NDLS Options History — March 2015

In March 2015, NDLS traded between $138.80 and $153.76. ATM implied volatility averaged 41.8%, placing in the 9.4% IV rank vs the trailing year. The 30-day expected move averaged 11.8%. IV traded below realized volatility by 63.3% (HV 20d: 105.0%). Max pain ranged from $140.00 to $160.00. Net GEX was positive for 13 of 22 trading days. Term structure was in contango for 19 of 22 days. Put/call ratio averaged 1.62.

Notable Days

  • 2015-03-03: Highest Volume — 232 contracts
  • 2015-03-04: Largest IV spike — 16.8% change
  • 2015-03-04: Highest IV Rank — 13.5%
  • 2015-03-04: Largest Expected Move — 13.7%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$143.66$138.80$153.76$153.76$140.16
Max Pain$142.73$140.00$160.00$160.00$140.00
ATM IV41.8%37.8%48.0%43.8%39.8%
Expected Move11.8%10.8%13.7%12.5%11.4%
HV 20d105.0%32.8%145.1%143.1%32.8%
HV 60d85.4%84.8%85.8%84.8%85.6%
IV Rank9.4%6.7%13.5%10.7%8.0%
IV Percentile40.8%13.9%72.6%58.3%25.4%
Term Structure10.8%-6.0%17.0%-5.1%15.4%
VWIV40.3%27.4%47.8%45.3%34.9%
Skew 25d2.7%-5.9%17.0%2.6%2.0%
Skew 10d6.4%-12.7%30.7%-3.2%2.7%
Call IV 25d39.0%26.6%46.4%46.4%33.3%
Put IV 25d41.7%32.7%52.4%49.0%35.2%
Bid-Ask Spread %33.8815.0899.5620.6437.11
Gamma HHI0.350.290.430.420.36
Net GEX13.0K-60.4K117.0K117.0K20.5K
Net DEX2.0M95.9K3.6M95.9K1.9M
Net VEX-31.2K-34.6K-28.8K-34.5K-28.9K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.620.1412.080.701.84
Total Volume84.1826232162125
Total OI2,031.6821,5062,3592,0971,586

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2015-03-02$153.76$160.0043.8%12.5%143.1%10.7%45.3%2.6%-5.1%117.0K95.9K-34.5K0.7020.64N/AN/A95671,288809
2015-03-03$150.80$160.0041.1%11.8%142.9%8.9%44.2%4.0%-2.8%109.1K391.5K-34.6K0.4220.00N/AN/A163691,301811
2015-03-04$147.52$160.0048.0%13.7%142.9%13.5%45.8%-0.1%-6.0%73.7K1.3M-33.8K0.8823.98N/AN/A78681,345805
2015-03-05$144.00$140.0043.4%11.7%142.9%10.4%40.5%1.5%13.4%14.3K2.3M-31.6K0.7823.65N/AN/A78611,353810
2015-03-06$140.08$140.0042.8%11.5%142.8%10.0%36.0%-0.1%12.8%-16.1K3.2M-29.2K1.0124.77N/AN/A85861,350809
2015-03-09$144.72$140.0046.3%11.9%143.2%12.3%40.6%3.8%12.3%-13.4K2.7M-30.1K0.8319.75N/AN/A35291,349829
2015-03-10$143.28$140.0044.2%11.8%143.2%10.9%47.8%3.4%13.3%-26.1K3.0M-30.4K0.1419.31N/AN/A92131,362849
2015-03-11$138.80$140.0041.0%11.8%142.7%8.9%41.7%0.3%9.6%-31.5K3.6M-30.5K0.6629.60N/AN/A57381,423859
2015-03-12$143.60$140.0040.5%11.6%143.9%8.5%40.9%5.8%13.2%-19.7K3.0M-32.4K0.4620.15N/AN/A1781,455891
2015-03-13$139.92$140.0041.0%11.8%143.7%8.9%39.9%1.9%13.9%-38.5K3.1M-33.0K0.2721.00N/AN/A1441,461895
2015-03-16$139.84$140.0041.7%12.0%143.6%9.3%27.4%1.9%13.2%-46.4K3.3M-31.3K0.4625.27N/AN/A1051,464895
2015-03-17$145.60$140.0043.5%12.5%145.1%10.5%44.0%7.4%9.9%-13.9K2.4M-32.0K1.0252.77N/AN/A26271,464894
2015-03-18$144.00$140.0042.5%12.2%143.0%9.8%38.8%4.0%12.0%-60.4K2.2M-31.7K0.4321.71N/AN/A1671,474884
2015-03-19$145.60$140.0041.8%12.0%141.5%9.4%41.3%-1.2%14.4%19.4K1.6M-31.4K5.3350.87N/AN/A3161,472882
2015-03-20$146.56$140.0040.2%11.5%40.9%8.3%39.4%-1.9%11.6%41.5K1.6M-31.2K2.6931.75N/AN/A27731,470886
2015-03-23$143.68$140.0040.1%11.5%41.4%8.2%38.9%-5.9%10.8%37.3K1.0M-30.1K1.7347.24N/AN/A1628873633
2015-03-24$144.00$140.0039.3%11.3%40.5%7.7%38.6%-1.3%15.2%30.7K1.1M-30.0K0.1420.28N/AN/A91882645
2015-03-25$142.56$140.0039.7%11.4%40.6%8.0%37.7%8.3%17.0%29.2K1.2M-30.3K12.0823.85N/AN/A339885645
2015-03-26$141.04$140.0040.6%11.6%39.3%8.6%36.2%3.2%16.3%19.2K1.6M-30.2K2.0315.08N/AN/A4183887682
2015-03-27$140.80$140.0037.8%10.8%38.0%6.7%37.8%2.2%16.2%18.9K1.6M-30.4K0.1499.56N/AN/A51888682
2015-03-30$140.16$140.0040.3%11.5%33.2%8.4%47.8%17.0%11.3%20.2K1.8M-28.8K1.6897.08N/AN/A5084888682
2015-03-31$140.16$140.0039.8%11.4%32.8%8.0%34.9%2.0%15.4%20.5K1.9M-28.9K1.8437.11N/AN/A4481898688