NDLS Options History — February 2016

In February 2016, NDLS traded between $94.88 and $105.28. ATM implied volatility averaged 72.7%, placing in the 35.7% IV rank vs the trailing year. The 30-day expected move averaged 21.7%. IV traded above realized volatility by 26.8% (HV 20d: 45.9%). Max pain ranged from $100.00 to $100.00. Net GEX was positive for 15 of 20 trading days. Term structure was in contango for 3 of 20 days. Put/call ratio averaged 1.26.

Notable Days

  • 2016-02-25: Highest Volume — 230 contracts
  • 2016-02-26: Largest IV drop — 35.5% change
  • 2016-02-23: Highest IV Rank — 54.8%
  • 2016-02-23: Largest Expected Move — 27.5%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$99.62$94.88$105.28$96.64$102.32
Max Pain$100.00$100.00$100.00$100.00$100.00
ATM IV72.7%49.5%95.8%71.9%56.2%
Expected Move21.7%14.2%27.5%20.6%16.1%
HV 20d45.9%38.5%49.1%48.9%42.6%
HV 60d46.9%44.7%53.6%53.2%46.0%
IV Rank35.7%16.5%54.8%35.1%22.0%
IV Percentile80.2%43.3%97.6%84.1%59.5%
Term Structure-7.3%-30.0%18.8%-4.9%-10.8%
VWIV78.1%50.4%96.6%72.8%59.6%
Skew 25d14.2%-17.0%31.6%28.0%-4.4%
Skew 10d40.2%-22.8%67.9%31.1%-5.7%
Call IV 25d71.4%45.1%90.8%58.7%60.9%
Put IV 25d85.6%52.2%109.6%86.7%56.5%
Bid-Ask Spread %77.9337.1695.3754.7074.03
Gamma HHI0.440.270.740.390.46
Net GEX12.8K-4.5K51.9K5.8K16.6K
Net DEX99.1K-679.7K465.4K243.2K-121.1K
Net VEX-7.5K-8.3K-6.6K-7.6K-7.8K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.260.822.311.010.84
Total Volume96.9512307690
Total OI634.6508726613715

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2016-02-01$96.64$100.0071.9%20.6%48.9%35.1%72.8%28.0%-4.9%5.8K243.2K-7.6K1.0154.70N/AN/A3838253360
2016-02-02$100.88$100.0049.5%14.2%47.5%16.5%50.4%23.0%18.8%20.7K-7.9K-7.3K1.3737.16N/AN/A3852263360
2016-02-03$103.44$100.0053.5%15.4%47.3%19.9%54.4%-17.0%11.9%25.4K-192.1K-7.1K1.2389.98N/AN/A3644267372
2016-02-04$101.92$100.0055.4%20.3%45.3%21.4%76.0%13.5%-5.9%17.5K-155.4K-8.2K1.3780.13N/AN/A4055269375
2016-02-05$101.04$100.0053.2%21.6%45.7%19.6%71.8%17.8%-5.9%16.1K-39.9K-8.1K1.2184.00N/AN/A4250269388
2016-02-08$97.92$100.0066.1%22.4%47.4%30.2%79.3%18.0%-10.0%10.4K146.0K-8.0K1.2283.42N/AN/A4251270388
2016-02-09$95.28$100.0072.0%23.1%48.5%35.2%81.0%11.7%-9.0%6.1K335.8K-8.3K1.2283.38N/AN/A4251270389
2016-02-10$96.96$100.0082.0%23.5%48.8%43.4%83.1%31.6%-6.8%10.3K244.1K-7.9K1.0587.36N/AN/A4951270390
2016-02-11$94.88$100.0080.6%23.1%49.1%42.2%80.0%14.4%-9.1%6.5K424.7K-7.8K0.8285.47N/AN/A4940279390
2016-02-12$95.04$100.0080.0%22.9%48.8%41.7%78.9%22.7%-12.0%7.7K367.0K-7.7K0.9781.43N/AN/A4240279387
2016-02-16$99.60$100.0077.2%22.1%47.8%39.5%82.9%13.7%-2.0%27.2K144.4K-7.2K1.4389.57N/AN/A3145281387
2016-02-17$100.32$100.0076.9%22.1%47.6%39.2%78.1%19.0%-10.8%51.9K36.3K-7.0K1.2687.99N/AN/A3342282393
2016-02-18$103.28$100.0081.1%23.2%46.3%42.6%90.5%28.4%-10.8%43.9K-480.2K-7.0K1.4587.09N/AN/A3348282391
2016-02-19$105.28$100.0082.1%23.5%46.5%43.5%96.6%26.7%-9.1%-70-679.7K-6.6K2.3177.70N/AN/A3580282400
2016-02-22$103.20$100.0085.2%24.4%44.8%46.1%92.5%9.8%5.1%-2.3K221.1K-7.3K1.4495.37N/AN/A2130187321
2016-02-23$100.48$100.0095.8%27.5%45.4%54.8%91.3%2.5%-30.0%-3.4K283.8K-7.1K1.5586.69N/AN/A2031190322
2016-02-24$98.88$100.0090.2%25.9%42.9%50.2%91.9%13.6%-23.0%-4.5K465.4K-7.0K0.9479.66N/AN/A3836190324
2016-02-25$98.16$100.0088.4%25.3%38.6%48.7%90.4%14.1%-12.5%-1.1K305.6K-7.1K1.5242.09N/AN/A91139208323
2016-02-26$96.80$100.0057.0%16.3%38.5%22.7%60.0%-2.6%-9.1%1.6K440.3K-8.3K1.0471.40N/AN/A100105290436
2016-02-29$102.32$100.0056.2%16.1%42.6%22.0%59.6%-4.4%-10.8%16.6K-121.1K-7.8K0.8474.03N/AN/A4941303412