NDLS Options History — June 2015

In June 2015, NDLS traded between $114.88 and $132.56. ATM implied volatility averaged 36.9%, placing in the 5.1% IV rank vs the trailing year. The 30-day expected move averaged 10.7%. IV traded below realized volatility by 2.3% (HV 20d: 39.2%). Max pain ranged from $120.00 to $180.00. Net GEX was positive for 0 of 22 trading days. Term structure was in contango for 19 of 22 days. Put/call ratio averaged 0.89.

Notable Days

  • 2015-06-01: Highest Volume — 201 contracts
  • 2015-06-16: Largest IV drop — 31.2% change
  • 2015-06-01: Highest IV Rank — 8.9%
  • 2015-06-10: Largest Expected Move — 12.3%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$124.67$114.88$132.56$116.00$117.20
Max Pain$135.45$120.00$180.00$180.00$140.00
ATM IV36.9%29.5%42.9%41.1%38.4%
Expected Move10.7%8.5%12.3%11.8%11.0%
HV 20d39.2%22.5%73.7%72.0%39.1%
HV 60d51.0%50.0%52.3%50.4%52.2%
IV Rank5.1%0.0%8.9%8.9%5.9%
IV Percentile15.9%0.0%50.0%36.9%12.7%
Term Structure15.6%-1.5%30.6%-1.1%19.3%
VWIV37.6%30.3%41.5%36.8%39.1%
Skew 25d1.5%-9.8%10.3%-8.1%-2.7%
Skew 10d2.2%-15.6%13.8%-7.2%-3.3%
Call IV 25d37.3%32.0%43.1%38.4%37.7%
Put IV 25d38.9%30.4%45.3%30.4%35.0%
Bid-Ask Spread %82.7911.12100.5411.1261.27
Gamma HHI0.290.230.340.340.34
Net GEX-24.7K-34.9K-13.2K-32.0K-34.6K
Net DEX4.5M2.2M6.0M5.9M3.7M
Net VEX-22.3K-24.9K-17.9K-21.4K-17.9K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.890.401.220.940.96
Total Volume139.6362420120190
Total OI1,865.8181,2782,1622,0711,300

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2015-06-01$116.00$180.0041.1%11.8%72.0%8.9%36.8%-8.1%-1.1%-32.0K5.9M-21.4K0.9411.12N/AN/A104971,207864
2015-06-02$119.36$180.0040.0%11.5%73.7%8.2%39.9%2.2%-1.5%-31.5K6.0M-20.8K0.4040.35N/AN/A1771,229867
2015-06-03$118.40$180.0040.8%11.7%72.8%8.7%41.0%-1.1%-1.4%-26.4K5.7M-22.3K1.2239.67N/AN/A831011,242871
2015-06-04$118.96$120.0040.8%10.9%22.5%8.7%37.4%4.3%16.5%-27.6K5.7M-21.8K1.1393.05N/AN/A911041,243871
2015-06-05$127.36$120.0033.9%11.3%33.8%4.1%36.2%2.1%18.1%-20.4K4.9M-24.9K0.8195.28N/AN/A102831,257879
2015-06-08$129.12$120.0038.6%12.2%34.1%7.2%40.6%4.0%12.2%-21.8K4.9M-23.8K0.9689.82N/AN/A87831,266884
2015-06-09$128.72$120.0036.8%12.2%34.1%6.1%41.3%3.4%8.5%-20.6K4.9M-23.8K0.8394.10N/AN/A92761,269884
2015-06-10$130.00$120.0042.9%12.3%33.1%8.4%41.5%4.1%14.3%-17.8K4.7M-24.7K0.7994.63N/AN/A92731,274884
2015-06-11$128.96$120.0041.9%12.0%33.3%7.7%38.3%6.9%13.3%-15.0K4.8M-24.3K0.7990.38N/AN/A86681,275884
2015-06-12$129.92$120.0034.4%9.9%33.1%1.4%34.3%5.8%30.6%-18.6K4.8M-23.7K0.7993.56N/AN/A87691,275887
2015-06-15$128.80$120.0042.9%12.3%33.2%7.2%37.6%4.0%16.0%-28.1K5.1M-23.2K0.7797.42N/AN/A86671,258887
2015-06-16$130.88$120.0029.5%8.5%33.6%0.0%30.3%6.3%18.4%-25.7K4.7M-23.2K0.76100.54N/AN/A86651,262873
2015-06-17$130.32$120.0032.9%9.4%31.0%2.3%39.6%8.7%23.5%-18.9K4.7M-23.9K0.7496.83N/AN/A88651,259874
2015-06-18$130.64$120.0033.2%9.5%30.5%2.4%38.2%8.7%17.0%-15.9K4.7M-23.1K1.0492.09N/AN/A79821,260874
2015-06-19$132.56$140.0033.3%9.5%29.7%2.5%36.8%8.4%16.4%-16.3K4.6M-23.3K1.0690.70N/AN/A79841,260868
2015-06-22$130.40$140.0032.6%9.4%30.5%2.1%38.3%10.3%19.1%-13.2K2.2M-23.6K0.8789.90N/AN/A5548630648
2015-06-23$122.48$140.0037.3%10.7%37.5%5.2%38.1%-8.5%17.0%-27.4K2.9M-21.1K1.0390.86N/AN/A5254635653
2015-06-24$120.80$140.0036.4%10.4%38.0%4.6%35.2%-9.8%18.3%-30.6K3.1M-20.9K0.9487.52N/AN/A5149632662
2015-06-25$120.00$140.0035.6%10.2%38.1%4.1%37.5%-9.0%19.4%-34.9K3.4M-19.3K0.9583.51N/AN/A4946632662
2015-06-26$117.04$140.0029.9%8.6%39.2%0.3%31.7%-1.0%29.4%-34.5K3.4M-19.6K0.8494.13N/AN/A5445635666
2015-06-29$114.88$140.0037.8%10.8%39.8%5.5%37.6%-5.1%20.1%-32.3K3.5M-19.1K0.9694.57N/AN/A4947639667
2015-06-30$117.20$140.0038.4%11.0%39.1%5.9%39.1%-2.7%19.3%-34.6K3.7M-17.9K0.9661.27N/AN/A4644638662