NDLS Options History — January 2016

In January 2016, NDLS traded between $81.76 and $99.04. ATM implied volatility averaged 73.3%, placing in the 36.2% IV rank vs the trailing year. The 30-day expected move averaged 19.4%. IV traded above realized volatility by 23.9% (HV 20d: 49.4%). Max pain ranged from $100.00 to $100.00. Net GEX was positive for 1 of 19 trading days. Term structure was in contango for 1 of 19 days. Put/call ratio averaged 1.92.

Notable Days

  • 2016-01-06: Highest Volume — 286 contracts
  • 2016-01-13: Largest IV drop — 33.6% change
  • 2016-01-12: Highest IV Rank — 66.3%
  • 2016-01-27: Largest Expected Move — 21.5%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$90.35$81.76$99.04$82.24$94.40
Max Pain$100.00$100.00$100.00$100.00$100.00
ATM IV73.3%64.3%109.6%64.3%68.8%
Expected Move19.4%16.9%21.5%17.4%19.7%
HV 20d49.4%45.5%54.9%49.0%53.6%
HV 60d51.4%48.6%53.6%48.6%52.9%
IV Rank36.2%28.8%66.3%28.8%32.5%
IV Percentile84.7%78.2%99.2%80.2%79.0%
Term Structure-4.5%-11.7%2.0%-1.3%-5.5%
VWIV67.7%57.7%76.6%62.9%67.5%
Skew 25d19.6%-0.5%42.4%11.2%18.7%
Skew 10d36.9%10.8%90.1%42.1%37.7%
Call IV 25d58.1%47.2%72.3%55.6%57.9%
Put IV 25d77.7%61.7%91.9%66.7%76.5%
Bid-Ask Spread %52.2428.6386.0144.1567.38
Gamma HHI0.340.270.490.460.34
Net GEX-10.0K-21.2K162-20.8K162
Net DEX1.3M381.6K2.2M2.2M482.9K
Net VEX-6.8K-7.7K-5.3K-5.3K-7.2K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.920.864.934.931.04
Total Volume137.4216728625373
Total OI702.842563916759593

Daily Data (19 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2016-01-04$82.24$100.0064.3%17.4%49.0%28.8%62.9%11.2%-1.3%-20.8K2.2M-5.3K4.9344.15N/AN/A43210275484
2016-01-05$81.76$100.0066.4%18.7%48.6%30.5%64.1%12.9%-5.3%-21.2K2.2M-5.7K4.9336.06N/AN/A43210280496
2016-01-06$86.40$100.0068.9%19.1%49.4%32.6%63.3%10.8%-3.0%-16.3K2.0M-5.8K2.1428.63N/AN/A91195280496
2016-01-07$86.72$100.0067.2%18.3%47.6%31.2%59.1%10.4%-1.3%-20.2K2.1M-5.9K0.8631.31N/AN/A9178313497
2016-01-08$88.56$100.0075.3%18.6%47.9%37.9%57.7%3.7%-11.7%-19.0K2.0M-5.8K0.8884.25N/AN/A8878313490
2016-01-11$90.08$100.0096.4%18.1%48.1%55.3%63.2%17.3%-6.1%-16.1K1.9M-6.2K2.3433.04N/AN/A4298316490
2016-01-12$90.80$100.00109.6%16.9%47.4%66.3%70.3%19.8%-0.2%-18.2K1.8M-7.2K3.1870.58N/AN/A42135318497
2016-01-13$89.28$100.0072.7%20.9%47.2%35.7%68.8%9.5%-9.5%-9.2K1.9M-6.4K1.8886.01N/AN/A73136318537
2016-01-14$90.64$100.0064.5%18.5%45.5%28.9%68.6%20.7%-3.8%-6.9K1.8M-6.9K1.4852.33N/AN/A5785344538
2016-01-15$86.56$100.0074.3%21.3%47.2%37.0%70.4%-0.5%-3.0%-8.9K1.8M-7.4K1.2261.18N/AN/A5870360556
2016-01-19$88.16$100.0074.8%21.5%47.6%37.5%75.4%16.7%2.0%-9.6K878.4K-6.3K1.2944.36N/AN/A3849209356
2016-01-20$92.08$100.0066.5%19.1%49.7%30.6%68.9%26.6%-1.4%-6.1K680.2K-7.6K1.3043.97N/AN/A3849211356
2016-01-21$92.00$100.0066.0%18.9%49.4%30.2%73.6%26.4%-1.4%-4.8K692.3K-7.6K2.5137.20N/AN/A2254210356
2016-01-22$96.48$100.0069.7%20.0%51.9%33.2%76.6%42.4%-5.9%-4.5K507.7K-7.5K1.8848.69N/AN/A2547210353
2016-01-25$94.64$100.0073.1%21.0%48.4%36.0%68.8%38.0%-8.1%-2.4K491.5K-7.5K1.1253.52N/AN/A3540215354
2016-01-26$99.04$100.0070.3%20.1%50.2%33.7%68.5%33.2%-6.6%-1.8K381.6K-7.3K1.2459.49N/AN/A3037218354
2016-01-27$94.08$100.0074.9%21.5%54.5%37.5%69.2%28.7%-10.3%-1.6K469.9K-7.7K1.3056.22N/AN/A3342222354
2016-01-28$92.64$100.0069.2%19.8%54.9%32.8%68.8%26.9%-2.8%-1.8K537.5K-7.6K0.9754.20N/AN/A3937225360
2016-01-29$94.40$100.0068.8%19.7%53.6%32.5%67.5%18.7%-5.5%162482.9K-7.2K1.0467.38N/AN/A3637233360