NDLS Options History — September 2015

In September 2015, NDLS traded between $95.12 and $115.92. ATM implied volatility averaged 47.4%, placing in the 14.8% IV rank vs the trailing year. The 30-day expected move averaged 13.5%. IV traded below realized volatility by 0.6% (HV 20d: 48.0%). Max pain ranged from $100.00 to $120.00. Net GEX was positive for 3 of 21 trading days. Term structure was in contango for 19 of 21 days. Put/call ratio averaged 1.64.

Notable Days

  • 2015-09-22: Highest Volume — 242 contracts
  • 2015-09-08: Largest IV spike — 27.2% change
  • 2015-09-08: Highest IV Rank — 26.1%
  • 2015-09-14: Largest Expected Move — 15.0%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$104.66$95.12$115.92$96.08$112.72
Max Pain$112.38$100.00$120.00$100.00$120.00
ATM IV47.4%41.4%61.1%52.0%42.7%
Expected Move13.5%11.9%15.0%14.9%12.3%
HV 20d48.0%37.3%73.0%72.2%48.8%
HV 60d53.0%50.4%55.8%50.4%55.8%
IV Rank14.8%9.8%26.1%18.6%10.9%
IV Percentile58.7%28.6%80.2%71.0%39.3%
Term Structure12.5%-0.8%30.0%7.1%10.8%
VWIV48.3%38.8%69.5%69.5%41.4%
Skew 25d8.4%-2.4%22.2%-1.0%10.3%
Skew 10d17.4%-3.5%85.8%3.3%15.3%
Call IV 25d45.2%38.3%56.4%49.0%48.3%
Put IV 25d53.7%46.1%70.9%48.0%58.7%
Bid-Ask Spread %100.0787.96108.64105.23104.86
Gamma HHI0.330.240.430.270.36
Net GEX-17.6K-39.7K4.8K-1.3K-35.7K
Net DEX1.3M854.2K1.6M1.2M1.5M
Net VEX-11.7K-12.5K-10.4K-12.3K-11.7K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.640.003.930.901.90
Total Volume144.9051242123154
Total OI845.762777927777885

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2015-09-01$96.08$100.0052.0%14.9%72.2%18.6%69.5%-1.0%7.1%-1.3K1.2M-12.3K0.90105.23N/AN/A6558380397
2015-09-02$98.40$100.0050.8%14.6%73.0%17.6%53.3%0.3%-0.8%-1.1K1.4M-11.0K0.9093.80N/AN/A6558381397
2015-09-03$97.20$100.0047.3%14.0%72.4%14.7%49.0%16.4%7.8%-1.2K1.4M-10.7K1.3092.59N/AN/A5470382397
2015-09-04$95.12$100.0048.0%14.1%37.3%15.3%49.3%17.6%12.9%-3.4K1.6M-10.4K1.0887.96N/AN/A5862382418
2015-09-08$97.28$100.0061.1%13.8%38.3%26.1%47.9%21.4%14.2%-2.8K1.5M-10.4K0.0091.08N/AN/A10386419
2015-09-09$98.56$100.0049.7%14.2%38.6%16.7%50.7%13.1%11.2%-491.3M-10.8K1.1690.84N/AN/A5463386419
2015-09-10$97.04$100.0048.4%13.9%38.7%15.6%49.9%22.2%13.6%1.5K1.4M-10.7K1.33105.80N/AN/A5978386419
2015-09-11$98.00$100.0049.4%14.2%38.0%16.4%39.8%20.9%12.0%4.8K1.2M-12.5K1.84105.09N/AN/A5398392429
2015-09-14$104.56$120.0052.4%15.0%43.6%18.9%51.2%5.4%-0.6%3.4K1.1M-11.8K1.70106.82N/AN/A73124392445
2015-09-15$108.72$120.0047.7%13.7%45.7%15.1%48.5%4.1%17.2%-15.2K854.2K-12.1K1.21100.81N/AN/A4251390483
2015-09-16$112.00$120.0042.0%12.0%45.8%10.3%49.3%9.5%15.5%-22.7K926.3K-12.4K1.69102.78N/AN/A74124396521
2015-09-17$105.68$120.0047.3%13.6%50.4%14.7%48.7%1.8%15.6%-23.7K1.3M-12.3K2.26106.92N/AN/A55125393533
2015-09-18$104.96$120.0045.9%13.1%50.1%13.5%46.0%-2.4%14.8%-34.5K1.4M-11.6K1.9897.72N/AN/A57113394533
2015-09-21$106.08$120.0046.0%13.2%49.7%13.6%45.4%2.0%13.6%-34.6K1.5M-11.4K2.2098.14N/AN/A49108334496
2015-09-22$105.36$120.0046.4%13.3%40.7%13.9%46.5%0.8%17.6%-34.1K1.6M-11.6K3.9395.85N/AN/A49193335497
2015-09-23$109.84$120.0046.1%13.2%42.2%13.7%50.6%6.5%21.5%-39.7K1.5M-12.0K3.0897.17N/AN/A52161329531
2015-09-24$112.56$120.0044.1%12.6%42.2%12.0%44.5%-0.0%6.6%-31.4K1.5M-12.2K1.27108.64N/AN/A5975330537
2015-09-25$115.92$120.0041.4%11.9%42.6%9.8%47.6%18.8%12.2%-28.1K1.1M-12.4K1.53104.03N/AN/A5076337537
2015-09-28$109.60$120.0045.6%13.1%48.5%13.3%46.7%0.1%30.0%-35.1K1.4M-12.5K1.47103.42N/AN/A5986338540
2015-09-29$112.08$120.0041.7%12.0%48.8%10.1%38.8%9.5%10.2%-35.1K1.5M-11.8K1.70101.87N/AN/A5187335550
2015-09-30$112.72$120.0042.7%12.3%48.8%10.9%41.4%10.3%10.8%-35.7K1.5M-11.7K1.90104.86N/AN/A53101335550