NKE Options History — January 2007

Name: NKE Options Analytics - January 2007
Creator: Options Analysis Suite

In January 2007, NKE traded between $11.90 and $12.50. ATM implied volatility averaged 16.9%. The 30-day expected move averaged 5.0%. IV traded above realized volatility by 3.1% (HV 20d: 13.8%). Max pain ranged from $11.25 to $12.50. Net GEX was positive for 20 of 20 trading days. Term structure was in contango for 12 of 20 days. Put/call ratio averaged 0.57.

Notable Days

2007-01-19: Highest Volume — 54,872 contracts
2007-01-11: Largest IV spike — 14.2% change
2007-01-16: Largest Expected Move — 5.2%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$12.30	$11.90	$12.50	$12.21	$12.35
Max Pain	$12.19	$11.25	$12.50	$11.25	$11.88
ATM IV	16.9%	15.0%	18.3%	16.6%	17.1%
Expected Move	5.0%	4.6%	5.2%	4.8%	4.9%
HV 20d	13.8%	13.1%	14.6%	13.3%	14.6%
Term Structure	0.1%	-2.0%	2.4%	1.4%	-1.0%
VWIV	17.5%	16.2%	18.6%	17.0%	17.4%
Skew 25d	1.6%	0.0%	2.4%	1.4%	0.0%
Skew 10d	3.9%	0.0%	8.5%	2.7%	2.4%
Call IV 25d	17.0%	16.0%	17.9%	16.8%	17.9%
Put IV 25d	18.5%	17.4%	19.7%	18.2%	17.9%
Bid-Ask Spread %	8.51	4.33	13.76	4.33	8.55
Gamma HHI	0.79	0.67	0.98	0.67	0.81
Net GEX	33.9M	11.7M	245.1M	15.7M	23.0M
Net DEX	-478.7M	-683.5M	-210.1M	-499.4M	-341.0M
Net VEX	-1.9M	-2.0M	-1.7M	-2.0M	-1.8M
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	0.57	0.07	1.18	1.18	0.49
Total Volume	21,161.6	4,824	54,872	36,208	10,112
Total OI	1,098,977.6	740,632	1,359,712	1,303,464	786,096

Daily Data (20 trading days)

Date	Price	Max Pain	ATM IV	Exp Move	HV 20d	IV Rank	VWIV	Skew 25d	Term Str	GEX	DEX	VEX	P/C	Spread %	Call Vol	Put Vol	Call OI	Put OI
2007-01-03	$12.21	$11.25	16.6%	4.8%	0.0%	0.0%	17.0%	1.4%	1.4%	15.7M	-499.4M	-2.0M	1.18	4.33	16,640	19,568	773,160	530,304
2007-01-04	$12.33	$11.25	15.9%	4.6%	0.0%	0.0%	16.8%	1.0%	2.4%	19.6M	-552.8M	-2.0M	0.36	4.49	27,376	9,760	775,832	518,512
2007-01-05	$12.35	$12.50	15.0%	5.1%	0.0%	0.0%	17.9%	1.9%	0.8%	20.7M	-596.7M	-2.0M	0.63	11.75	9,672	6,112	792,576	520,336
2007-01-08	$12.32	$12.50	16.3%	5.2%	0.0%	0.0%	18.6%	2.1%	0.7%	20.3M	-565.2M	-2.0M	0.70	12.79	2,888	2,016	795,064	520,248
2007-01-09	$12.47	$12.50	15.8%	5.2%	0.0%	0.0%	17.7%	1.9%	0.6%	22.8M	-639.4M	-1.9M	0.70	10.54	8,720	6,136	794,528	518,720
2007-01-10	$12.47	$12.50	15.5%	5.1%	0.0%	0.0%	18.1%	1.7%	0.7%	23.8M	-637.7M	-1.9M	0.30	7.98	5,280	1,608	796,456	518,224
2007-01-11	$12.50	$12.50	17.7%	5.1%	0.0%	0.0%	18.0%	2.2%	0.7%	24.6M	-651.4M	-1.9M	0.50	13.76	3,224	1,600	796,984	518,824
2007-01-12	$12.47	$12.50	17.5%	5.0%	0.0%	0.0%	17.5%	1.8%	0.8%	25.1M	-635.9M	-1.9M	0.07	8.46	44,512	2,968	797,864	519,336
2007-01-16	$12.50	$12.50	18.3%	5.2%	0.0%	0.0%	18.3%	2.1%	0.1%	35.4M	-683.5M	-1.8M	0.47	8.80	9,864	4,616	838,144	519,760
2007-01-17	$12.48	$12.50	17.8%	5.1%	0.0%	0.0%	18.0%	1.5%	0.6%	39.3M	-669.1M	-1.9M	0.91	10.71	5,664	5,160	837,288	521,152
2007-01-18	$12.46	$12.50	17.7%	5.1%	0.0%	0.0%	17.8%	1.8%	0.3%	48.0M	-656.0M	-1.8M	1.06	10.89	7,648	8,088	838,600	521,112
2007-01-19	$12.49	$12.50	17.2%	4.9%	0.0%	0.0%	18.3%	2.4%	0.6%	245.1M	-658.0M	-1.8M	0.43	6.88	38,312	16,560	830,584	521,712
2007-01-22	$12.21	$12.50	17.0%	4.9%	0.0%	0.0%	17.2%	1.7%	-0.4%	18.5M	-293.1M	-1.8M	0.86	7.95	9,696	8,312	515,288	225,344
2007-01-23	$12.10	$12.50	17.5%	5.0%	0.0%	0.0%	16.2%	2.1%	-0.6%	17.5M	-256.2M	-1.8M	0.36	5.28	19,680	7,088	519,536	229,992
2007-01-24	$12.11	$11.88	17.2%	4.9%	0.0%	0.0%	16.4%	1.4%	-0.4%	16.6M	-259.6M	-1.8M	0.22	6.44	19,080	4,128	511,656	232,832
2007-01-25	$11.98	$11.88	17.1%	4.9%	13.3%	0.0%	17.3%	1.8%	-2.0%	13.7M	-229.8M	-1.7M	0.89	6.13	8,792	7,824	508,728	235,840
2007-01-26	$11.90	$11.88	16.8%	4.8%	13.1%	0.0%	16.5%	1.3%	-0.2%	11.7M	-210.1M	-1.7M	0.48	8.53	19,104	9,120	511,720	238,592
2007-01-29	$12.04	$11.88	17.6%	5.1%	13.6%	0.0%	17.8%	0.4%	-2.0%	15.7M	-244.6M	-1.8M	0.38	11.28	16,856	6,384	527,440	242,712
2007-01-30	$12.22	$11.88	17.1%	4.9%	14.5%	0.0%	17.4%	0.9%	-0.8%	20.1M	-294.6M	-1.8M	0.34	4.73	9,776	3,288	533,784	244,672
2007-01-31	$12.35	$11.88	17.1%	4.9%	14.6%	0.0%	17.4%	0.0%	-1.0%	23.0M	-341.0M	-1.8M	0.49	8.55	6,768	3,344	540,544	245,552