NDLS Options History — February 2015

In February 2015, NDLS traded between $146.64 and $221.92. ATM implied volatility averaged 56.4%, placing in the 19.1% IV rank vs the trailing year. The 30-day expected move averaged 14.8%. IV traded below realized volatility by 5.6% (HV 20d: 62.1%). Max pain ranged from $160.00 to $200.00. Net GEX was positive for 18 of 19 trading days. Term structure was in contango for 6 of 19 days. Put/call ratio averaged 0.68.

Notable Days

  • 2015-02-20: Highest Volume — 1,958 contracts
  • 2015-02-04: Largest IV spike — 52.2% change
  • 2015-02-10: Highest IV Rank — 37.4%
  • 2015-02-04: Largest Expected Move — 20.5%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$188.66$146.64$221.92$206.16$146.64
Max Pain$186.32$160.00$200.00$180.00$160.00
ATM IV56.4%40.4%84.2%42.1%41.8%
Expected Move14.8%11.6%20.5%12.1%12.0%
HV 20d62.1%21.3%141.4%30.6%141.3%
HV 60d46.8%26.4%84.2%40.1%84.2%
IV Rank19.1%8.4%37.4%9.5%9.4%
IV Percentile74.3%29.8%96.8%45.2%41.7%
Term Structure-2.5%-20.1%11.8%11.8%-1.1%
VWIV52.8%38.7%72.0%42.5%41.3%
Skew 25d5.3%-1.9%14.5%4.0%0.7%
Skew 10d9.1%-11.8%27.4%2.8%-11.8%
Call IV 25d49.6%35.8%71.2%35.8%41.0%
Put IV 25d54.9%39.7%75.6%39.7%41.7%
Bid-Ask Spread %61.4818.77103.84103.8419.89
Gamma HHI0.340.240.560.390.40
Net GEX70.9K-14.5K174.3K60.8K77.4K
Net DEX-1.5M-6.0M6.4M-2.6M1.1M
Net VEX-21.5K-35.4K-12.1K-14.9K-33.8K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.680.301.820.570.63
Total Volume297.368121,95812180
Total OI1,428.9471,0562,1021,0562,102

Daily Data (19 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2015-02-02$206.16$180.0042.1%12.1%30.6%9.5%42.5%4.0%11.8%60.8K-2.6M-14.9K0.57103.84N/AN/A84473583
2015-02-03$204.80$180.0047.1%13.5%30.1%12.9%61.7%14.5%5.8%47.5K-2.6M-16.1K0.44102.74N/AN/A7131488584
2015-02-04$202.00$180.0071.6%20.5%26.3%29.1%72.0%4.4%-20.1%48.5K-2.4M-17.8K0.5991.02N/AN/A9456491590
2015-02-05$201.60$200.0069.4%14.9%24.3%27.6%52.1%8.1%2.0%41.4K-2.1M-17.9K0.4575.26N/AN/A9242505602
2015-02-06$206.56$200.0073.0%15.7%22.8%30.0%55.3%9.4%-4.0%44.1K-2.3M-17.5K0.6066.19N/AN/A8551506604
2015-02-09$204.48$200.0078.9%15.6%22.8%34.0%54.2%7.0%5.6%63.0K-2.9M-18.3K0.5475.28N/AN/A8847522620
2015-02-10$208.16$200.0084.2%16.1%23.1%37.4%57.4%10.5%-4.7%65.9K-3.1M-18.2K0.5374.85N/AN/A8143529621
2015-02-11$205.84$200.0053.2%15.3%23.3%16.9%56.5%2.9%0.7%70.8K-3.3M-18.1K0.3278.98N/AN/A11837533622
2015-02-12$206.96$200.0056.5%16.2%21.3%19.1%56.6%9.6%-6.8%81.7K-3.4M-18.1K0.6076.37N/AN/A8249570624
2015-02-13$207.92$200.0055.1%15.8%21.4%18.2%55.1%6.9%-6.5%91.7K-3.3M-18.0K0.6980.60N/AN/A7049581641
2015-02-17$201.92$200.0057.2%16.4%23.5%19.6%57.9%6.1%-4.0%74.0K-2.9M-17.9K0.6280.00N/AN/A170105582643
2015-02-18$212.40$200.0060.8%17.4%30.2%22.0%58.0%7.0%-10.1%111.0K-4.2M-20.6K0.4368.04N/AN/A19282668709
2015-02-19$221.92$200.0057.7%16.5%32.9%19.9%60.0%7.6%-9.2%174.3K-6.0M-23.6K0.3040.98N/AN/A442132755749
2015-02-20$151.20$200.0050.0%14.3%141.2%14.8%51.7%1.9%1.1%-14.5K6.4M-12.1K0.9434.97N/AN/A1,0089501,028827
2015-02-23$150.88$160.0046.1%13.2%141.0%12.2%46.5%-1.9%-3.7%68.1K1.1M-28.9K0.3932.80N/AN/A3531371,073650
2015-02-24$147.04$160.0044.0%12.6%140.9%10.9%44.1%0.8%-1.0%77.7K1.3M-30.3K1.1326.01N/AN/A1231391,238711
2015-02-25$147.04$160.0043.3%12.4%141.0%10.3%41.6%-0.2%-1.9%67.1K2.0M-30.2K1.8221.49N/AN/A871581,271768
2015-02-26$151.04$160.0040.4%11.6%141.4%8.4%38.7%2.1%-0.5%96.8K764.4K-35.4K1.3618.77N/AN/A821121,291796
2015-02-27$146.64$160.0041.8%12.0%141.3%9.4%41.3%0.7%-1.1%77.4K1.1M-33.8K0.6319.89N/AN/A110701,299803