NDLS Options History — July 2015

In July 2015, NDLS traded between $112.88 and $123.60. ATM implied volatility averaged 60.4%, placing in the 20.7% IV rank vs the trailing year. The 30-day expected move averaged 18.9%. IV traded above realized volatility by 24.8% (HV 20d: 35.5%). Max pain ranged from $140.00 to $160.00. Net GEX was positive for 0 of 22 trading days. Term structure was in contango for 2 of 22 days. Put/call ratio averaged 1.17.

Notable Days

  • 2015-07-24: Highest Volume — 112 contracts
  • 2015-07-14: Largest IV spike — 17.2% change
  • 2015-07-31: Highest IV Rank — 36.7%
  • 2015-07-31: Largest Expected Move — 24.1%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$118.45$112.88$123.60$118.00$123.60
Max Pain$158.18$140.00$160.00$140.00$160.00
ATM IV60.4%37.0%84.2%37.0%84.2%
Expected Move18.9%10.6%24.1%10.6%24.1%
HV 20d35.5%30.1%39.1%39.1%38.8%
HV 60d51.8%34.2%53.4%52.3%34.2%
IV Rank20.7%5.0%36.7%5.0%36.7%
IV Percentile70.5%8.3%95.2%8.3%95.2%
Term Structure-11.3%-26.0%19.1%19.1%-26.0%
VWIV66.8%38.1%82.6%38.1%82.6%
Skew 25d8.1%-0.4%16.0%1.4%14.7%
Skew 10d8.6%-7.9%34.4%2.0%20.8%
Call IV 25d65.4%37.0%79.7%37.0%77.2%
Put IV 25d73.5%38.3%92.0%38.3%92.0%
Bid-Ask Spread %61.8523.3397.4697.4647.40
Gamma HHI0.320.260.350.330.27
Net GEX-28.6K-39.6K-16.6K-34.3K-16.6K
Net DEX3.4M2.8M3.8M3.6M3.0M
Net VEX-16.4K-18.6K-14.5K-18.6K-15.6K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.170.851.500.960.85
Total Volume97.6828511290107
Total OI1,287.2731,2391,3261,3031,276

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2015-07-01$118.00$140.0037.0%10.6%39.1%5.0%38.1%1.4%19.1%-34.3K3.6M-18.6K0.9697.46N/AN/A4644641662
2015-07-02$117.60$140.0040.3%11.6%39.0%7.2%40.4%3.6%15.4%-34.2K3.5M-18.2K1.0991.50N/AN/A4347642662
2015-07-06$120.00$160.0047.2%16.9%30.6%11.9%58.6%10.5%-8.4%-37.2K3.6M-17.1K1.1360.53N/AN/A4248642660
2015-07-07$120.48$160.0045.1%16.8%30.1%10.5%55.9%9.7%-9.0%-35.9K3.5M-17.4K1.4364.65N/AN/A4159645661
2015-07-08$122.24$160.0039.4%17.9%30.8%6.6%57.9%10.5%-9.2%-38.6K3.5M-17.4K1.4361.13N/AN/A4159645663
2015-07-09$121.04$160.0041.8%17.6%30.5%8.2%56.6%15.3%-9.0%-36.4K3.5M-17.8K1.4964.29N/AN/A4060645661
2015-07-10$115.76$160.0040.0%18.8%33.8%7.0%65.6%8.8%-12.0%-32.3K3.6M-17.4K1.4174.47N/AN/A4158648659
2015-07-13$120.48$160.0046.7%18.8%37.3%11.5%70.1%13.1%-9.4%-39.6K3.4M-17.5K1.2174.19N/AN/A5060649661
2015-07-14$119.36$160.0054.8%17.9%37.3%16.9%66.3%5.9%-11.6%-33.3K3.3M-17.8K1.0976.21N/AN/A5054659664
2015-07-15$117.52$160.0064.0%18.4%36.7%23.2%72.7%16.0%-12.3%-33.2K3.6M-16.3K1.3274.55N/AN/A3850659665
2015-07-16$117.52$160.0065.0%18.6%36.8%23.8%70.8%-0.4%-13.4%-31.8K3.5M-16.2K1.0575.44N/AN/A4144659664
2015-07-17$117.36$160.0065.0%18.6%36.7%23.8%68.8%5.3%-13.8%-23.3K3.8M-15.7K1.3023.33N/AN/A3849659667
2015-07-20$114.80$160.0067.3%19.3%36.3%25.3%62.5%7.7%-9.6%-26.0K3.6M-14.5K1.2836.56N/AN/A3848618621
2015-07-21$115.76$160.0069.3%19.9%36.6%26.7%72.6%6.0%-14.4%-25.5K3.4M-15.1K1.1249.04N/AN/A4348620624
2015-07-22$120.64$160.0069.8%20.0%33.7%27.0%73.1%10.1%-16.9%-21.3K3.2M-15.5K1.1036.16N/AN/A4549625624
2015-07-23$119.12$160.0066.9%19.2%33.6%25.1%73.4%4.2%-9.5%-20.0K2.9M-16.9K1.0773.32N/AN/A4852624624
2015-07-24$114.80$160.0072.3%20.7%36.0%28.7%71.2%1.3%-15.3%-23.6K3.3M-15.3K1.5052.76N/AN/A4567627627
2015-07-27$112.88$160.0077.0%22.1%35.4%31.9%74.5%3.3%-18.9%-24.6K3.4M-15.1K1.0373.35N/AN/A5557627632
2015-07-28$114.96$160.0077.8%22.3%35.5%32.4%76.6%10.5%-20.7%-23.9K3.5M-14.7K1.1436.39N/AN/A5158637633
2015-07-29$120.32$160.0078.2%22.4%38.5%32.6%81.3%8.4%-20.3%-21.1K3.3M-14.8K0.9151.65N/AN/A5247636632
2015-07-30$121.76$160.0079.3%22.7%38.6%33.4%80.6%11.6%-23.0%-16.8K2.8M-15.8K0.8866.43N/AN/A5145639632
2015-07-31$123.60$160.0084.2%24.1%38.8%36.7%82.6%14.7%-26.0%-16.6K3.0M-15.6K0.8547.40N/AN/A5849640636