NDLS Options History — March 2016

In March 2016, NDLS traded between $93.12 and $107.92. ATM implied volatility averaged 50.5%, placing in the 17.3% IV rank vs the trailing year. The 30-day expected move averaged 14.0%. IV traded below realized volatility by 2.0% (HV 20d: 52.5%). Max pain ranged from $100.00 to $100.00. Net GEX was positive for 22 of 22 trading days. Term structure was in contango for 18 of 22 days. Put/call ratio averaged 1.73.

Notable Days

  • 2016-03-22: Highest Volume — 175 contracts
  • 2016-03-31: Largest IV spike — 23.1% change
  • 2016-03-28: Highest IV Rank — 28.2%
  • 2016-03-28: Largest Expected Move — 18.2%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$99.16$93.12$107.92$104.40$95.20
Max Pain$100.00$100.00$100.00$100.00$100.00
ATM IV50.5%39.6%63.6%56.9%58.8%
Expected Move14.0%11.3%18.2%16.3%16.9%
HV 20d52.5%41.3%57.1%42.4%53.9%
HV 60d48.8%46.0%50.4%46.1%48.3%
IV Rank17.3%8.3%28.2%22.7%24.2%
IV Percentile42.2%10.7%69.0%61.1%65.5%
Term Structure6.9%-15.2%15.4%-9.3%1.0%
VWIV50.0%35.2%69.1%59.6%59.3%
Skew 25d10.3%-8.5%26.0%22.9%-1.2%
Skew 10d18.6%-9.7%44.1%44.1%16.7%
Call IV 25d45.7%35.9%61.4%41.2%57.6%
Put IV 25d56.0%40.3%86.0%64.0%56.4%
Bid-Ask Spread %92.6928.54121.8464.32104.90
Gamma HHI0.420.320.680.480.34
Net GEX11.4K1.6K42.5K15.7K3.3K
Net DEX358.7K-655.2K1.3M-368.5K1.1M
Net VEX-7.7K-8.9K-6.3K-7.8K-7.9K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.730.844.141.241.66
Total Volume101.909721759490
Total OI714.409609810722706

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2016-03-01$104.40$100.0056.9%16.3%42.4%22.7%59.6%22.9%-9.3%15.7K-368.5K-7.8K1.2464.32N/AN/A4252308414
2016-03-02$107.92$100.0050.1%14.4%41.3%17.0%50.2%15.2%-0.6%14.8K-655.2K-7.2K1.0956.84N/AN/A4751307418
2016-03-03$98.40$100.0056.8%13.6%52.6%22.5%46.1%5.7%11.9%7.0K290.0K-8.6K0.8487.80N/AN/A4739307419
2016-03-04$98.16$100.0054.7%13.5%52.4%20.8%47.0%24.1%10.4%6.5K277.5K-7.9K0.8496.10N/AN/A4739306418
2016-03-07$98.80$100.0057.7%13.8%52.4%23.3%47.6%6.7%12.0%8.7K119.2K-8.9K0.8691.42N/AN/A4639306418
2016-03-08$98.00$100.0057.1%14.0%51.3%22.8%50.7%22.1%9.8%8.4K140.8K-7.2K1.23106.41N/AN/A3240306418
2016-03-09$97.92$100.0048.5%13.9%50.3%15.7%48.1%17.7%9.4%4.9K340.5K-7.6K1.2695.18N/AN/A3342305418
2016-03-10$97.92$100.0046.5%13.3%49.9%14.0%46.1%16.4%10.8%3.5K319.4K-7.6K1.2974.73N/AN/A3242306418
2016-03-11$102.56$100.0045.0%12.9%51.7%12.8%44.7%21.6%11.6%16.8K-109.6K-7.0K1.0188.00N/AN/A4040306418
2016-03-14$103.60$100.0048.6%13.9%51.7%15.8%46.5%10.7%10.0%16.6K-343.5K-7.6K1.1528.54N/AN/A3540311418
2016-03-15$99.60$100.0046.5%13.3%51.4%14.1%47.2%-6.1%15.2%15.7K141.4K-7.6K1.3458.64N/AN/A3547318425
2016-03-16$97.92$100.0042.9%12.3%51.6%11.1%53.0%2.1%12.6%16.3K284.2K-6.3K1.34121.84N/AN/A3546320423
2016-03-17$104.00$100.0039.6%11.3%55.1%8.3%35.2%9.3%15.4%42.5K-370.3K-7.0K2.51108.86N/AN/A45113321424
2016-03-18$101.84$100.0040.0%11.5%55.2%8.6%40.5%-1.3%13.1%16.2K158.2K-8.1K2.72108.17N/AN/A46126314496
2016-03-21$100.24$100.0042.0%12.0%55.0%10.3%42.1%5.1%15.3%15.0K597.7K-8.4K3.57103.13N/AN/A35125271373
2016-03-22$99.28$100.0047.9%13.7%54.3%15.2%47.7%1.4%8.8%17.6K341.2K-7.6K4.07102.51N/AN/A35140272337
2016-03-23$94.24$100.0052.3%15.0%57.1%18.8%52.4%-8.5%3.2%3.3K1.0M-8.7K4.14109.14N/AN/A33135272411
2016-03-24$93.20$100.0058.4%16.7%57.1%23.8%58.4%8.7%-2.1%2.3K1.2M-7.8K1.79103.81N/AN/A3257272413
2016-03-28$93.12$100.0063.6%18.2%57.0%28.2%69.1%24.6%-15.2%1.6K1.3M-7.3K1.49106.17N/AN/A3348272428
2016-03-29$97.20$100.0049.5%14.2%55.5%16.5%58.1%26.0%2.9%4.3K1.2M-7.9K1.39107.95N/AN/A3549272428
2016-03-30$98.00$100.0047.8%13.7%55.0%15.1%51.1%2.9%6.0%9.8K1.0M-7.9K1.27114.73N/AN/A3443275429
2016-03-31$95.20$100.0058.8%16.9%53.9%24.2%59.3%-1.2%1.0%3.3K1.1M-7.9K1.66104.90N/AN/A3456277429