NDLS Options History — December 2015

In December 2015, NDLS traded between $77.76 and $88.72. ATM implied volatility averaged 54.3%, placing in the 20.5% IV rank vs the trailing year. The 30-day expected move averaged 15.3%. IV traded above realized volatility by 7.6% (HV 20d: 46.7%). Max pain ranged from $100.00 to $160.00. Net GEX was positive for 0 of 22 trading days. Term structure was in contango for 21 of 22 days. Put/call ratio averaged 1.33.

Notable Days

  • 2015-12-31: Highest Volume — 247 contracts
  • 2015-12-28: Largest IV spike — 14.0% change
  • 2015-12-08: Highest IV Rank — 24.3%
  • 2015-12-30: Largest Expected Move — 16.6%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$84.88$77.76$88.72$87.28$77.76
Max Pain$141.82$100.00$160.00$100.00$140.00
ATM IV54.3%49.3%58.9%57.6%51.7%
Expected Move15.3%13.9%16.6%16.5%14.8%
HV 20d46.7%40.4%60.5%59.8%44.7%
HV 60d47.5%45.4%50.6%49.3%46.9%
IV Rank20.5%16.4%24.3%23.2%18.3%
IV Percentile65.6%51.2%76.2%73.8%56.3%
Term Structure6.8%-3.6%18.9%-3.6%5.4%
VWIV50.3%38.5%70.6%45.4%51.8%
Skew 25d13.4%-3.9%51.2%21.5%10.1%
Skew 10d35.8%-7.6%110.2%30.3%16.6%
Call IV 25d45.8%34.9%58.0%39.3%46.8%
Put IV 25d59.2%46.5%90.9%60.8%56.9%
Bid-Ask Spread %28.0513.7548.7440.9348.74
Gamma HHI0.540.390.700.400.68
Net GEX-23.3K-34.1K-18.4K-33.3K-18.4K
Net DEX2.4M1.9M2.8M2.7M2.0M
Net VEX-5.1K-6.2K-4.0K-6.2K-4.0K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.330.333.750.333.75
Total Volume11532473247
Total OI717.773641775764658

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2015-12-01$87.28$100.0057.6%16.5%59.8%23.2%0.0%21.5%-3.6%-33.3K2.7M-6.2K0.3340.93N/AN/A21268496
2015-12-02$88.72$100.0052.0%14.9%60.5%18.6%45.4%23.1%8.3%-34.1K2.8M-6.0K1.6226.11N/AN/A62101268497
2015-12-03$86.16$160.0055.8%14.7%60.4%21.7%47.0%2.6%6.1%-29.0K2.8M-5.9K0.7528.61N/AN/A5844268497
2015-12-04$84.40$160.0055.9%13.9%45.4%21.8%45.3%1.0%7.4%-25.2K2.8M-5.5K0.7332.76N/AN/A6044271498
2015-12-07$88.64$160.0057.9%15.1%48.8%23.4%51.3%1.8%4.8%-33.6K2.8M-5.4K0.9540.62N/AN/A77272498
2015-12-08$85.44$160.0058.9%14.8%48.1%24.3%48.8%2.0%10.7%-24.1K2.8M-5.7K0.9222.76N/AN/A6358277498
2015-12-09$84.32$160.0050.8%14.6%45.9%17.6%49.3%-3.9%7.1%-23.6K2.7M-5.3K0.7621.51N/AN/A6348277489
2015-12-10$84.56$160.0051.1%14.6%44.3%17.8%47.4%12.7%6.8%-23.6K2.7M-5.3K1.2327.77N/AN/A6377278483
2015-12-11$82.96$140.0055.0%15.8%43.0%21.1%50.7%11.7%6.3%-23.9K2.6M-5.6K1.3728.16N/AN/A5677278481
2015-12-14$81.28$140.0056.0%16.0%43.1%21.9%70.6%10.5%9.8%-23.4K2.5M-5.5K1.5131.44N/AN/A5786278476
2015-12-15$84.64$140.0052.6%15.1%45.4%19.0%45.8%25.1%4.5%-24.0K2.5M-4.8K1.5521.77N/AN/A5789275460
2015-12-16$87.52$140.0054.1%15.5%45.1%20.4%41.4%18.1%7.5%-24.1K2.5M-4.8K1.6440.79N/AN/A5794275460
2015-12-17$86.88$140.0057.0%16.4%44.8%22.8%38.5%11.8%6.1%-19.9K2.5M-4.8K1.3228.11N/AN/A5877275463
2015-12-18$85.84$140.0053.9%15.5%45.1%20.2%48.4%9.2%7.9%-18.8K2.4M-5.0K1.2119.10N/AN/A4757275449
2015-12-21$87.44$140.0053.5%15.3%45.5%19.8%55.1%9.2%18.9%-19.2K2.0M-4.6K1.2231.33N/AN/A4352257384
2015-12-22$87.60$140.0051.8%14.8%45.3%18.4%51.4%3.1%13.7%-19.5K2.0M-4.8K1.2231.98N/AN/A4352261385
2015-12-23$83.20$140.0051.9%14.9%49.0%18.5%52.4%32.9%4.6%-18.4K1.9M-4.6K1.3925.99N/AN/A4359261385
2015-12-24$83.12$140.0049.3%14.1%40.4%16.4%48.6%51.2%3.2%-20.2K2.0M-4.5K1.5013.75N/AN/A4364262391
2015-12-28$83.12$140.0056.2%16.1%40.4%22.1%55.5%9.5%5.9%-18.9K2.1M-4.4K1.5024.42N/AN/A4364264392
2015-12-29$84.48$140.0054.4%15.6%41.0%20.6%53.9%12.7%6.1%-19.8K2.0M-4.4K1.4714.92N/AN/A4363264391
2015-12-30$82.00$140.0057.9%16.6%41.8%23.5%58.0%17.8%1.5%-18.6K2.0M-4.3K1.4215.42N/AN/A4259265391
2015-12-31$77.76$140.0051.7%14.8%44.7%18.3%51.8%10.1%5.4%-18.4K2.0M-4.0K3.7548.74N/AN/A52195265393