NDLS Options History — November 2015

In November 2015, NDLS traded between $82.32 and $111.76. ATM implied volatility averaged 59.4%, placing in the 24.7% IV rank vs the trailing year. The 30-day expected move averaged 16.7%. IV traded above realized volatility by 4.8% (HV 20d: 54.7%). Max pain ranged from $100.00 to $120.00. Net GEX was positive for 0 of 20 trading days. Term structure was in contango for 6 of 20 days. Put/call ratio averaged 14.24.

Notable Days

  • 2015-11-04: Highest Volume — 374 contracts
  • 2015-11-05: Largest IV drop — 42.2% change
  • 2015-11-04: Highest IV Rank — 60.1%
  • 2015-11-04: Largest Expected Move — 29.3%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$90.48$82.32$111.76$111.52$88.80
Max Pain$114.00$100.00$120.00$120.00$100.00
ATM IV59.4%40.8%102.2%90.8%54.1%
Expected Move16.7%11.7%29.3%26.0%15.5%
HV 20d54.7%31.5%63.7%32.3%61.3%
HV 60d47.1%40.0%49.7%40.1%49.4%
IV Rank24.7%9.4%60.1%50.6%20.3%
IV Percentile70.8%24.6%98.8%98.4%68.3%
Term Structure-4.2%-28.9%10.0%-24.0%3.6%
VWIV54.6%31.3%101.4%101.4%52.4%
Skew 25d15.6%-3.3%47.1%3.6%11.4%
Skew 10d35.1%-1.4%103.7%35.0%15.5%
Call IV 25d51.7%35.5%97.7%92.5%48.0%
Put IV 25d67.4%47.5%110.8%96.0%59.4%
Bid-Ask Spread %42.0013.6391.8189.5031.28
Gamma HHI0.430.240.660.240.46
Net GEX-41.2K-71.2K-3.6K-3.6K-41.1K
Net DEX3.6M757.1K5.0M757.1K2.7M
Net VEX-7.4K-11.9K-5.3K-11.9K-6.6K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio14.240.00218.001.460.36
Total Volume148.75737422215
Total OI1,089.26901,289986756

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2015-11-02$111.52$120.0090.8%26.0%32.3%50.6%101.4%3.6%-24.0%-3.6K757.1K-11.9K1.4689.50N/AN/A90132434552
2015-11-03$111.76$120.0087.0%24.9%31.5%47.5%90.3%-3.3%-23.1%-6.3K873.9K-10.9K1.7187.03N/AN/A5798434558
2015-11-04$108.32$120.00102.2%29.3%33.4%60.1%96.4%13.1%-28.9%-12.5K1.2M-11.6K4.4079.55N/AN/A69305430563
2015-11-05$96.16$120.0059.1%15.1%53.5%24.4%53.2%0.1%-7.2%-48.2K3.7M-8.8K2.5883.63N/AN/A85219441750
2015-11-06$93.76$120.0056.5%14.3%53.9%22.3%52.5%14.9%-6.1%-61.8K4.2M-9.4K15.7735.98N/AN/A343436802
2015-11-09$89.76$120.0062.2%16.1%55.4%27.0%49.4%7.0%-6.5%-59.9K4.7M-7.6K16.5720.08N/AN/A458434833
2015-11-10$86.00$120.0052.8%14.6%56.6%19.3%44.3%20.8%2.1%-67.2K4.9M-7.2K2.0824.91N/AN/A64134433840
2015-11-11$88.80$120.0040.8%11.7%58.6%9.4%41.7%6.0%7.8%-62.1K4.9M-7.2K2.0827.09N/AN/A64134434844
2015-11-12$85.68$120.0053.3%15.3%58.7%19.6%49.4%6.2%-1.0%-63.9K5.0M-6.6K1.5791.81N/AN/A64100434844
2015-11-13$84.08$120.0054.6%15.7%58.7%20.7%51.7%4.9%-2.8%-66.4K5.0M-6.7K1.6226.55N/AN/A62100434855
2015-11-16$85.12$120.0052.9%15.2%59.3%19.3%39.4%16.7%-3.0%-67.8K5.0M-6.2K218.0019.01N/AN/A027434855
2015-11-17$82.32$120.0051.3%14.7%58.9%18.0%48.5%6.0%-0.6%-23.4K4.7M-5.9K1.3544.84N/AN/A6284434853
2015-11-18$84.00$100.0051.2%14.7%60.2%18.0%48.2%43.6%-0.3%-25.1K4.7M-5.8K1.1623.36N/AN/A6272435844
2015-11-19$84.24$100.0052.9%15.2%58.9%19.4%50.5%30.6%-2.2%-71.2K4.9M-6.0K2.3314.25N/AN/A61141435844
2015-11-20$84.40$100.0050.0%14.3%59.1%16.9%49.3%40.7%0.8%-22.5K4.6M-5.6K2.1629.60N/AN/A61131436823
2015-11-23$83.68$120.0050.5%14.5%58.9%17.3%0.0%47.1%-3.5%-21.6K2.6M-5.3K5.7313.73N/AN/A422240450
2015-11-24$82.72$120.0051.5%14.8%58.9%18.2%31.3%13.2%-2.2%-22.4K2.6M-5.4K0.0013.63N/AN/A70242459
2015-11-25$89.12$100.0051.0%14.6%63.7%17.7%43.8%9.4%10.0%-34.8K2.4M-6.3K1.9840.11N/AN/A57113249459
2015-11-27$89.36$100.0064.0%18.4%61.6%28.5%44.0%20.7%3.0%-42.3K2.5M-7.3K1.9543.98N/AN/A58113256495
2015-11-30$88.80$100.0054.1%15.5%61.3%20.3%52.4%11.4%3.6%-41.1K2.7M-6.6K0.3631.28N/AN/A114261495