NDLS Options History — August 2015

In August 2015, NDLS traded between $91.28 and $125.36. ATM implied volatility averaged 56.1%, placing in the 19.5% IV rank vs the trailing year. The 30-day expected move averaged 15.4%. IV traded below realized volatility by 10.0% (HV 20d: 66.1%). Max pain ranged from $100.00 to $160.00. Net GEX was positive for 0 of 21 trading days. Term structure was in contango for 10 of 21 days. Put/call ratio averaged 1.81.

Notable Days

  • 2015-08-07: Highest Volume — 387 contracts
  • 2015-08-07: Largest IV drop — 57.4% change
  • 2015-08-06: Highest IV Rank — 49.9%
  • 2015-08-05: Largest Expected Move — 25.7%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$103.16$91.28$125.36$124.64$95.36
Max Pain$120.00$100.00$160.00$160.00$100.00
ATM IV56.1%42.3%103.8%85.3%48.1%
Expected Move15.4%12.1%25.7%24.4%13.8%
HV 20d66.1%38.2%75.1%38.3%71.9%
HV 60d47.7%33.9%52.6%34.0%50.4%
IV Rank19.5%9.7%49.9%37.4%15.4%
IV Percentile69.5%43.7%97.6%96.0%68.7%
Term Structure-2.3%-29.8%10.3%-17.1%-0.6%
VWIV53.0%35.2%92.8%92.8%51.8%
Skew 25d9.0%-12.5%24.1%18.2%-2.8%
Skew 10d17.6%-10.8%48.5%26.4%-3.8%
Call IV 25d49.6%29.8%86.4%82.3%48.5%
Put IV 25d58.5%37.2%100.5%100.5%45.7%
Bid-Ask Spread %64.8525.06107.6671.60104.90
Gamma HHI0.550.250.930.250.30
Net GEX-51.1K-176.8K-3.0K-15.5K-3.0K
Net DEX3.7M1.5M5.8M2.9M1.5M
Net VEX-10.9K-15.7K-9.1K-15.7K-10.7K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.810.514.502.560.89
Total Volume156.5711238712123
Total OI1,219.4297021,4861,287777

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2015-08-03$124.64$160.0085.3%24.4%38.3%37.4%92.8%18.2%-17.1%-15.5K2.9M-15.7K2.5671.60N/AN/A39647640
2015-08-04$124.16$160.0089.3%25.6%38.4%40.1%89.3%12.4%-29.8%-14.2K2.9M-15.6K1.2266.37N/AN/A4859643640
2015-08-05$125.36$160.0089.7%25.7%38.2%40.4%90.3%14.4%-29.3%-16.7K3.0M-15.5K1.4669.35N/AN/A5174645655
2015-08-06$120.80$120.00103.8%19.3%40.4%49.9%67.7%9.9%-9.9%-22.9K3.3M-15.6K1.4653.28N/AN/A121177653684
2015-08-07$101.12$120.0044.2%12.8%73.8%9.8%41.6%9.7%5.1%-39.8K4.9M-11.0K4.2452.20N/AN/A74313690775
2015-08-10$100.40$120.0047.4%12.3%71.7%12.0%41.0%10.5%10.3%-77.4K5.2M-9.1K1.54101.74N/AN/A75115695730
2015-08-11$101.04$120.0053.7%13.5%71.9%16.2%43.9%4.5%-3.9%-72.0K5.0M-9.9K4.5037.94N/AN/A835708733
2015-08-12$102.00$120.0044.0%12.6%72.1%9.7%44.8%9.7%4.1%-69.4K4.9M-10.0K1.1063.91N/AN/A7178713731
2015-08-13$99.44$120.0046.4%13.3%72.3%11.3%40.0%-8.3%3.9%-72.2K5.0M-10.1K1.4525.06N/AN/A6898716736
2015-08-14$102.08$120.0045.1%12.9%73.3%12.9%41.4%22.8%5.4%-92.0K4.9M-9.6K0.7743.83N/AN/A8061716744
2015-08-17$102.40$120.0042.7%12.2%73.2%10.9%41.6%24.0%7.4%-92.0K4.8M-10.5K0.7542.85N/AN/A8463724747
2015-08-18$100.40$120.0042.8%12.3%73.2%10.9%39.0%3.2%-4.4%-109.3K5.1M-9.7K0.75107.66N/AN/A8060730752
2015-08-19$102.88$120.0043.1%12.4%71.9%11.3%43.1%8.3%6.1%-109.2K4.9M-9.6K0.0026.47N/AN/A017730756
2015-08-20$101.28$120.0042.3%12.1%72.0%10.5%35.2%3.1%8.3%-176.8K4.8M-10.0K0.9667.43N/AN/A7067730753
2015-08-21$99.60$100.0047.9%13.7%71.2%15.2%45.8%3.0%5.4%-11.9K5.8M-9.5K4.0768.73N/AN/A51207730748
2015-08-24$92.48$120.0061.7%17.7%75.1%26.6%50.9%-12.5%-1.6%-17.2K1.9M-9.4K2.39104.98N/AN/A53126308397
2015-08-25$91.92$100.0052.8%15.1%74.4%19.2%58.8%24.1%4.5%-14.8K1.8M-9.4K2.4098.22N/AN/A55131313389
2015-08-26$91.28$100.0045.8%13.1%71.3%13.4%50.3%11.9%-4.6%-15.6K1.8M-9.1K2.3196.16N/AN/A55128316387
2015-08-27$92.80$100.0051.1%14.6%71.6%17.8%52.3%6.8%-4.6%-16.4K1.8M-9.3K0.7829.22N/AN/A6954316390
2015-08-28$94.96$100.0051.1%14.7%72.0%17.9%51.7%15.5%-3.2%-14.6K1.7M-9.9K0.5129.88N/AN/A11760332389
2015-08-31$95.36$100.0048.1%13.8%71.9%15.4%51.8%-2.8%-0.6%-3.0K1.5M-10.7K0.89104.90N/AN/A6558380397