NDLS Options History — May 2015

In May 2015, NDLS traded between $115.52 and $165.84. ATM implied volatility averaged 55.5%, placing in the 18.5% IV rank vs the trailing year. The 30-day expected move averaged 13.4%. IV traded below realized volatility by 14.4% (HV 20d: 69.9%). Max pain ranged from $160.00 to $200.00. Net GEX was positive for 3 of 20 trading days. Term structure was in contango for 12 of 20 days. Put/call ratio averaged 1.77.

Notable Days

  • 2015-05-04: Highest Volume — 1,711 contracts
  • 2015-05-04: Largest IV spike — 67.8% change
  • 2015-05-05: Highest IV Rank — 81.4%
  • 2015-05-05: Largest Expected Move — 24.1%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$129.78$115.52$165.84$165.84$116.40
Max Pain$180.00$160.00$200.00$160.00$180.00
ATM IV55.5%37.5%150.4%83.6%39.9%
Expected Move13.4%10.8%24.1%24.0%11.5%
HV 20d69.9%27.6%80.3%27.6%74.3%
HV 60d74.1%50.5%95.3%86.2%50.5%
IV Rank18.5%6.5%81.4%37.1%8.1%
IV Percentile46.5%12.3%99.6%95.6%25.4%
Term Structure1.4%-28.8%14.3%-28.8%0.0%
VWIV47.5%30.0%89.3%89.3%48.9%
Skew 25d3.4%-8.4%28.9%6.5%3.0%
Skew 10d13.1%-15.5%97.5%20.5%-1.0%
Call IV 25d47.6%32.1%87.1%87.1%45.3%
Put IV 25d50.9%28.9%93.6%93.6%48.3%
Bid-Ask Spread %56.2528.5288.0457.3040.67
Gamma HHI0.390.240.690.420.34
Net GEX-41.7K-128.5K112.2K112.2K-31.4K
Net DEX8.7M-1.8M21.4M-1.8M5.9M
Net VEX-28.7K-65.9K-20.3K-45.8K-21.2K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.770.546.952.291.34
Total Volume375.35211,711383173
Total OI3,081.851,9634,5412,7882,053

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2015-05-01$165.84$160.0083.6%24.0%27.6%37.1%89.3%6.5%-28.8%112.2K-1.8M-45.8K2.2957.30N/AN/A1162671,5311,257
2015-05-04$161.60$200.00140.3%21.6%29.5%74.6%75.6%-3.5%-17.1%65.4K-1.3M-47.4K1.2366.57N/AN/A7669451,5291,296
2015-05-05$164.40$180.00150.4%24.1%29.6%81.4%79.7%2.4%-18.1%17.5K-906.9K-65.9K1.5164.70N/AN/A3815742,0691,968
2015-05-06$134.32$180.0052.0%13.6%80.0%16.1%49.6%3.4%10.5%-111.6K21.4M-30.5K6.9550.88N/AN/A1801,2532,2582,283
2015-05-07$131.20$180.0039.8%12.9%80.3%8.1%46.2%2.7%9.8%-111.5K15.6M-27.5K2.5941.03N/AN/A1163012,2841,859
2015-05-08$130.00$180.0049.8%12.3%79.7%14.7%45.4%1.4%14.3%-89.1K14.7M-27.9K0.8765.39N/AN/A31272,3161,788
2015-05-11$129.68$180.0060.3%12.2%78.4%21.6%40.1%1.0%9.6%-82.7K15.1M-24.6K1.3450.90N/AN/A941252,3221,795
2015-05-12$126.72$180.0056.6%11.5%78.5%19.2%42.0%0.1%10.7%-128.5K15.1M-27.1K1.1088.04N/AN/A1681862,3861,849
2015-05-13$127.28$180.0039.3%11.3%78.3%7.7%40.1%22.7%12.9%-117.7K15.2M-26.5K1.5835.07N/AN/A911442,4021,846
2015-05-14$126.08$180.0040.4%11.6%78.2%8.5%33.2%-0.8%12.8%-98.2K15.1M-24.9K1.4358.79N/AN/A821172,4041,838
2015-05-15$127.12$180.0039.1%11.2%78.2%7.6%30.4%28.9%12.7%-18.8K14.8M-25.0K1.7828.52N/AN/A891592,4061,830
2015-05-18$126.72$180.0039.5%11.3%78.1%7.9%38.8%0.1%-1.3%-32.4K5.4M-24.5K0.6063.67N/AN/A17101,145818
2015-05-19$122.48$180.0039.2%11.2%78.0%7.7%39.3%-8.4%-0.2%-27.8K5.5M-24.1K0.5459.12N/AN/A1471,160821
2015-05-20$121.04$180.0037.5%10.8%77.5%6.5%41.7%-0.7%-0.6%-25.9K5.6M-23.1K1.4878.57N/AN/A711051,168822
2015-05-21$118.96$180.0038.3%11.0%75.9%7.1%30.0%-3.2%1.3%-27.1K5.7M-22.9K2.2773.64N/AN/A641461,176838
2015-05-22$118.48$180.0039.6%11.3%75.0%7.9%46.1%14.2%0.1%-29.3K5.9M-22.0K2.2740.82N/AN/A631431,176844
2015-05-26$115.60$180.0040.6%11.6%73.7%8.6%43.1%-1.6%1.1%-29.0K5.8M-21.9K1.4037.02N/AN/A66931,181844
2015-05-27$115.52$180.0041.4%11.9%73.9%9.1%43.7%-0.1%-0.4%-32.9K6.0M-20.3K1.4670.13N/AN/A66961,183851
2015-05-28$116.24$180.0042.7%12.2%74.2%10.0%47.4%-0.6%-2.3%-34.8K6.0M-21.0K1.4054.12N/AN/A67941,183858
2015-05-29$116.40$180.0039.9%11.5%74.3%8.1%48.9%3.0%0.0%-31.4K5.9M-21.2K1.3440.67N/AN/A74991,196857