NDLS Options History — October 2015

In October 2015, NDLS traded between $108.00 and $117.28. ATM implied volatility averaged 68.0%, placing in the 31.8% IV rank vs the trailing year. The 30-day expected move averaged 20.1%. IV traded above realized volatility by 30.6% (HV 20d: 37.4%). Max pain ranged from $120.00 to $120.00. Net GEX was positive for 0 of 22 trading days. Term structure was in contango for 2 of 22 days. Put/call ratio averaged 3.30.

Notable Days

  • 2015-10-08: Highest Volume — 264 contracts
  • 2015-10-12: Largest IV spike — 38.0% change
  • 2015-10-27: Highest IV Rank — 47.2%
  • 2015-10-27: Largest Expected Move — 24.8%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$110.19$108.00$117.28$109.28$117.28
Max Pain$120.00$120.00$120.00$120.00$120.00
ATM IV68.0%41.4%86.6%51.9%80.1%
Expected Move20.1%14.9%24.8%14.9%23.0%
HV 20d37.4%21.2%50.3%50.3%25.9%
HV 60d54.1%52.6%56.1%56.0%53.4%
IV Rank31.8%9.9%47.2%18.5%41.8%
IV Percentile82.8%28.2%97.6%69.4%94.4%
Term Structure-11.0%-21.3%26.8%26.8%-19.6%
VWIV71.5%61.6%86.0%62.8%79.9%
Skew 25d11.2%2.8%26.6%13.0%6.4%
Skew 10d25.6%12.0%38.2%17.0%38.2%
Call IV 25d66.2%48.9%82.9%50.2%78.5%
Put IV 25d77.4%63.2%92.9%63.2%84.9%
Bid-Ask Spread %91.8482.48119.53117.9582.48
Gamma HHI0.430.290.630.380.29
Net GEX-35.9K-61.7K-12.7K-41.3K-12.9K
Net DEX1.5M952.3K1.8M1.5M952.3K
Net VEX-11.6K-12.7K-10.8K-12.0K-11.3K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio3.300.8115.592.790.81
Total Volume198.27356264198226
Total OI948.8188551,036896903

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2015-10-01$109.28$120.0051.9%14.9%50.3%18.5%62.8%13.0%26.8%-41.3K1.5M-12.0K2.79117.95N/AN/A52146339557
2015-10-02$108.00$120.0067.9%19.5%50.3%31.7%73.3%26.6%8.6%-52.8K1.8M-12.2K2.70119.53N/AN/A55148340620
2015-10-05$108.48$120.0055.7%19.6%49.3%21.7%61.6%7.5%-14.6%-61.7K1.7M-11.3K15.5988.78N/AN/A353341620
2015-10-06$110.80$120.0057.5%17.5%49.2%23.1%65.7%11.6%-10.2%-60.6K1.8M-12.5K3.7885.03N/AN/A52198342671
2015-10-07$110.88$120.0048.2%18.2%49.2%15.4%69.3%13.6%-11.9%-58.5K1.8M-12.7K3.9693.95N/AN/A52208342671
2015-10-08$110.80$120.0041.4%17.1%48.6%9.9%66.4%16.7%-9.6%-61.3K1.8M-12.5K3.7288.02N/AN/A56208342685
2015-10-09$110.24$120.0048.7%16.8%48.8%15.8%61.9%11.2%-11.0%-59.8K1.8M-11.9K3.6785.88N/AN/A56206345685
2015-10-12$109.28$120.0067.2%20.3%43.7%31.1%67.4%11.1%-15.4%-47.1K1.7M-11.9K3.6489.51N/AN/A53194347686
2015-10-13$108.08$120.0084.9%20.4%41.7%45.8%69.0%11.8%-16.4%-58.9K1.8M-11.7K3.7287.09N/AN/A52194348687
2015-10-14$108.00$120.0071.5%20.5%40.2%34.8%65.1%13.7%-16.9%-52.2K1.8M-11.5K3.6985.75N/AN/A53194349687
2015-10-15$109.20$120.0072.5%20.8%34.4%35.5%71.2%18.8%-15.1%-21.5K1.7M-11.7K3.6793.56N/AN/A53194349687
2015-10-16$108.72$120.0071.4%20.5%34.4%34.6%70.5%11.0%-14.2%-25.8K1.7M-11.3K3.6292.00N/AN/A53193348687
2015-10-19$108.48$120.0071.2%20.4%34.2%34.5%68.3%8.4%-8.1%-24.8K1.4M-11.7K2.5283.02N/AN/A51128336519
2015-10-20$109.92$120.0076.3%21.9%34.4%38.7%73.5%12.7%-13.8%-21.5K1.4M-11.3K2.3292.82N/AN/A54126340520
2015-10-21$108.00$120.0075.1%21.5%31.6%37.7%74.1%3.8%-12.3%-22.0K1.5M-10.9K2.4289.75N/AN/A52126345524
2015-10-22$110.64$120.0071.0%20.3%31.6%34.3%73.9%8.1%-12.6%-20.5K1.4M-11.1K2.2490.37N/AN/A55124346525
2015-10-23$110.16$120.0070.8%20.3%29.5%34.1%71.3%10.0%-14.1%-23.4K1.4M-11.1K2.1787.50N/AN/A57124350526
2015-10-26$110.24$120.0073.4%21.1%21.7%36.3%81.2%13.2%-11.3%-17.0K1.4M-11.0K1.4293.82N/AN/A5172364526
2015-10-27$108.08$120.0086.6%24.8%21.2%47.2%86.0%10.0%-21.3%-18.0K1.4M-11.0K1.3696.82N/AN/A5372364527
2015-10-28$112.88$120.0073.8%21.1%26.5%36.6%77.6%4.8%-12.7%-15.8K1.2M-10.8K1.3190.03N/AN/A5471364530
2015-10-29$116.80$120.0079.2%22.7%26.5%41.1%83.0%2.8%-16.5%-12.7K995.2K-10.9K1.3986.87N/AN/A5981359531
2015-10-30$117.28$120.0080.1%23.0%25.9%41.8%79.9%6.4%-19.6%-12.9K952.3K-11.3K0.8182.48N/AN/A125101366537