NDLS Options History — April 2015 In April 2015, NDLS traded between $138.72 and $168.56. ATM implied volatility averaged 59.1%, placing in the 20.8% IV rank vs the trailing year. The 30-day expected move averaged 17.6%. IV traded above realized volatility by 34.7% (HV 20d: 24.4%). Max pain ranged from $140.00 to $160.00. Net GEX was positive for 21 of 21 trading days. Term structure was in contango for 1 of 21 days. Put/call ratio averaged 1.43.
Notable Days 2015-04-27 : Highest Volume — 1,012 contracts2015-04-08 : Largest IV spike — 38.9% change2015-04-29 : Highest IV Rank — 38.1%2015-04-29 : Largest Expected Move — 24.4%Monthly Statistics Metric Avg Min Max Open Close Price $151.93 $138.72 $168.56 $138.72 $160.00 Max Pain $159.05 $140.00 $160.00 $140.00 $160.00 ATM IV 59.1% 36.9% 85.1% 38.8% 84.3% Expected Move 17.6% 11.1% 24.4% 11.1% 24.2% HV 20d 24.4% 19.7% 32.2% 32.2% 25.7% HV 60d 85.3% 84.7% 85.8% 85.5% 85.8% IV Rank 20.8% 6.1% 38.1% 7.3% 37.5% IV Percentile 74.6% 11.1% 96.8% 18.3% 96.4% Term Structure -11.8% -32.5% 14.4% 14.4% -32.5% VWIV 60.0% 35.1% 87.7% 35.1% 87.7% Skew 25d 5.1% -2.9% 11.9% -2.9% 3.7% Skew 10d 13.1% -3.8% 29.1% -3.8% 15.9% Call IV 25d 59.3% 36.4% 88.8% 36.4% 87.1% Put IV 25d 64.3% 33.6% 90.8% 33.6% 90.8% Bid-Ask Spread % 68.11 24.96 111.41 111.41 73.49 Gamma HHI 0.38 0.27 0.46 0.35 0.39 Net GEX 46.5K 7.2K 90.4K 13.5K 90.0K Net DEX 266.9K -2.7M 2.4M 2.3M -362.4K Net VEX -31.6K -46.0K -27.6K -28.2K -46.0K Div Yield 0.0% 0.0% 0.0% 0.0% 0.0% P/C Ratio 1.43 0.52 2.58 1.59 2.07 Total Volume 253.381 5 1,012 124 430 Total OI 1,814.476 1,603 2,762 1,603 2,762
Daily Data (21 trading days) Date Price Max Pain ATM IV Exp Move HV 20d IV Rank VWIV Skew 25d Term Str GEX DEX VEX P/C Spread % Call Wall Put Wall Call Vol Put Vol Call OI Put OI 2015-04-01 $138.72 $140.00 38.8% 11.1% 32.2% 7.3% 35.1% -2.9% 14.4% 13.5K 2.3M -28.2K 1.59 111.41 N/A N/A 48 76 910 693 2015-04-02 $138.96 $160.00 36.9% 15.3% 31.3% 6.1% 54.9% 9.4% -4.2% 14.1K 2.1M -28.6K 1.23 78.95 N/A N/A 65 80 922 694 2015-04-06 $142.32 $160.00 41.8% 15.9% 31.0% 9.3% 46.1% 10.4% -7.8% 25.6K 1.8M -27.9K 1.14 77.61 N/A N/A 70 80 927 692 2015-04-07 $141.92 $160.00 40.1% 16.1% 28.6% 8.2% 54.6% 9.3% -9.0% 25.6K 1.7M -27.8K 2.03 83.44 N/A N/A 88 179 930 691 2015-04-08 $140.16 $160.00 55.7% 16.0% 28.7% 18.6% 59.9% 5.5% -8.1% 13.9K 2.4M -27.6K 0.52 80.88 N/A N/A 3 2 916 747 2015-04-09 $141.12 $160.00 55.6% 16.0% 26.4% 18.5% 51.6% 6.4% -7.6% 7.2K 2.0M -28.0K 1.74 81.45 N/A N/A 68 118 916 749 2015-04-10 $144.32 $160.00 55.6% 15.9% 24.8% 18.5% 46.6% 11.9% -6.7% 23.7K 1.5M -28.5K 1.13 82.76 N/A N/A 73 82 920 750 2015-04-13 $149.28 $160.00 58.1% 16.6% 25.4% 20.1% 55.2% 5.3% -9.6% 46.9K 514.0K -29.2K 1.15 74.20 N/A N/A 73 84 921 751 2015-04-14 $149.12 $160.00 58.8% 16.8% 25.5% 20.6% 56.9% 6.7% -10.9% 34.9K 499.1K -28.6K 1.61 79.36 N/A N/A 57 91 931 754 2015-04-15 $150.88 $160.00 57.2% 16.4% 21.7% 19.6% 55.6% 2.6% -8.1% 43.9K 15.1K -29.0K 1.62 52.41 N/A N/A 55 89 932 759 2015-04-16 $151.76 $160.00 58.2% 16.7% 21.2% 20.3% 59.7% 2.4% -10.6% 47.8K -118.2K -29.4K 1.90 47.18 N/A N/A 57 108 933 762 2015-04-17 $152.96 $160.00 58.4% 16.8% 21.0% 20.4% 57.4% 1.9% -9.3% 44.7K -130.3K -29.7K 1.50 32.07 N/A N/A 54 81 943 784 2015-04-20 $153.20 $160.00 56.8% 16.3% 21.0% 19.3% 54.0% 4.4% -11.2% 51.6K 162.2K -28.8K 1.26 24.96 N/A N/A 61 77 883 738 2015-04-21 $155.44 $160.00 58.8% 16.8% 19.7% 20.6% 55.7% 5.9% -13.2% 64.1K -182.9K -29.2K 1.49 57.85 N/A N/A 55 82 898 748 2015-04-22 $157.52 $160.00 59.2% 17.0% 19.9% 20.9% 60.0% 3.9% -11.6% 60.2K -789.4K -29.8K 1.20 26.18 N/A N/A 80 97 900 754 2015-04-23 $161.92 $160.00 61.3% 17.6% 20.8% 22.3% 61.7% 4.2% -12.0% 87.0K -1.6M -30.2K 1.13 80.40 N/A N/A 159 179 918 769 2015-04-24 $165.04 $160.00 65.5% 18.8% 20.2% 25.1% 64.4% 3.2% -16.0% 90.4K -1.6M -33.4K 1.11 73.55 N/A N/A 143 158 1,008 847 2015-04-27 $168.56 $160.00 78.4% 22.5% 20.4% 33.6% 78.0% 10.9% -23.6% 78.0K -2.7M -35.4K 1.05 75.09 N/A N/A 493 519 1,021 847 2015-04-28 $166.48 $160.00 76.2% 21.8% 21.2% 32.2% 77.8% 3.7% -19.7% 69.7K -1.7M -45.2K 2.58 78.40 N/A N/A 99 256 1,331 1,209 2015-04-29 $160.80 $160.00 85.1% 24.4% 26.1% 38.1% 86.5% -2.4% -31.3% 43.5K -157.0K -43.9K 0.92 58.69 N/A N/A 339 313 1,334 1,210 2015-04-30 $160.00 $160.00 84.3% 24.2% 25.7% 37.5% 87.7% 3.7% -32.5% 90.0K -362.4K -46.0K 2.07 73.49 N/A N/A 140 290 1,523 1,239
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