NKE Options History — February 2007

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

In February 2007, NKE traded between $12.43 and $13.53. ATM implied volatility averaged 17.0%. The 30-day expected move averaged 4.8%. IV traded above realized volatility by 1.0% (HV 20d: 16.1%). Max pain ranged from $11.88 to $13.13. Net GEX was positive for 19 of 19 trading days. Term structure was in contango for 17 of 19 days. Put/call ratio averaged 0.74.

Notable Days

2007-02-01: Highest Volume — 65,120 contracts
2007-02-27: Largest IV spike — 58.0% change
2007-02-27: Largest Expected Move — 5.4%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$13.06	$12.43	$13.53	$12.59	$13.06
Max Pain	$12.63	$11.88	$13.13	$11.88	$13.13
ATM IV	17.0%	11.8%	19.9%	18.2%	17.4%
Expected Move	4.8%	3.4%	5.4%	5.2%	5.0%
HV 20d	16.1%	11.9%	19.1%	15.6%	18.7%
Term Structure	1.5%	-1.8%	2.8%	-1.8%	2.2%
VWIV	16.8%	12.9%	19.0%	18.2%	17.8%
Skew 25d	2.4%	0.4%	3.4%	1.2%	1.6%
Skew 10d	5.1%	-0.7%	8.7%	4.5%	-0.7%
Call IV 25d	16.3%	14.8%	19.3%	18.3%	17.5%
Put IV 25d	18.7%	16.7%	21.5%	19.5%	19.2%
Bid-Ask Spread %	7.99	5.01	17.93	6.56	6.71
Gamma HHI	0.47	0.30	0.81	0.81	0.46
Net GEX	15.3M	6.7M	24.6M	22.5M	6.7M
Net DEX	-484.4M	-634.6M	-357.0M	-409.7M	-368.8M
Net VEX	-1.6M	-1.8M	-1.5M	-1.8M	-1.7M
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	0.74	0.18	2.23	0.18	1.37
Total Volume	28,961.684	10,056	65,120	65,120	27,264
Total OI	812,822.316	703,568	916,640	786,864	758,064

Daily Data (19 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
2007-02-01	$12.59	$11.88	18.2%	5.2%	15.6%	0.0%	18.2%	1.2%	-1.8%	22.5M	-409.7M	-1.8M	0.18	6.56	55,320	9,800	541,000	245,864
2007-02-02	$12.53	$12.50	18.1%	4.9%	15.4%	0.0%	16.6%	2.8%	1.8%	24.6M	-397.5M	-1.8M	0.29	10.75	9,504	2,800	573,480	250,656
2007-02-05	$12.43	$12.50	19.9%	5.0%	15.7%	0.0%	17.5%	2.7%	1.4%	24.5M	-365.6M	-1.8M	0.78	8.67	11,792	9,152	571,696	251,608
2007-02-06	$12.65	$12.50	19.8%	5.1%	16.8%	0.0%	16.6%	3.1%	1.7%	24.6M	-433.4M	-1.8M	0.45	7.52	13,576	6,072	573,912	256,496
2007-02-07	$12.86	$12.50	18.9%	5.0%	17.2%	0.0%	18.3%	2.9%	0.6%	21.4M	-508.0M	-1.5M	0.50	8.20	27,152	13,608	576,136	258,576
2007-02-08	$12.92	$12.50	17.2%	4.9%	17.2%	0.0%	17.9%	2.8%	1.3%	21.3M	-533.2M	-1.5M	0.31	6.84	29,280	8,936	586,680	261,448
2007-02-09	$12.95	$12.50	17.4%	5.0%	17.2%	0.0%	18.6%	2.4%	1.1%	21.0M	-550.4M	-1.6M	0.83	6.68	17,408	14,376	604,136	266,872
2007-02-12	$13.05	$12.50	17.1%	4.9%	17.3%	0.0%	17.5%	2.9%	1.1%	19.2M	-576.3M	-1.6M	0.88	7.66	25,616	22,656	612,864	274,584
2007-02-13	$13.15	$12.50	17.1%	4.9%	17.4%	0.0%	17.2%	3.0%	1.8%	14.9M	-593.7M	-1.7M	0.63	9.48	14,016	8,808	621,336	292,544
2007-02-14	$13.17	$12.50	16.5%	4.7%	17.3%	0.0%	16.5%	3.4%	2.1%	14.1M	-602.4M	-1.6M	0.76	6.76	9,176	6,976	623,960	292,496
2007-02-15	$13.19	$12.50	16.7%	4.8%	17.3%	0.0%	17.9%	0.4%	-0.2%	14.2M	-610.0M	-1.6M	0.47	7.29	12,104	5,632	623,280	293,136
2007-02-16	$13.29	$12.50	16.7%	4.8%	17.4%	0.0%	16.7%	2.4%	2.2%	9.7M	-634.6M	-1.6M	0.29	7.61	29,632	8,480	621,088	295,552
2007-02-20	$13.35	$12.50	16.4%	4.7%	14.5%	0.0%	13.1%	3.3%	2.2%	9.1M	-437.1M	-1.5M	0.87	6.25	6,128	5,352	452,816	250,752
2007-02-21	$13.39	$12.50	16.6%	4.7%	13.5%	0.0%	15.5%	3.3%	2.5%	9.1M	-445.6M	-1.5M	0.71	5.01	5,896	4,160	455,520	252,984
2007-02-22	$13.53	$13.13	14.8%	4.3%	13.5%	0.0%	16.6%	1.7%	2.3%	8.6M	-463.2M	-1.5M	1.38	8.11	7,960	11,008	457,616	253,976
2007-02-23	$13.51	$13.13	14.5%	4.2%	12.5%	0.0%	15.7%	1.5%	2.8%	8.3M	-459.0M	-1.5M	0.37	7.88	12,376	4,560	459,760	259,600
2007-02-26	$13.48	$13.13	11.8%	3.4%	11.9%	0.0%	12.9%	1.5%	2.8%	8.4M	-457.5M	-1.5M	0.86	5.85	25,568	21,920	463,728	262,192
2007-02-27	$13.00	$13.13	18.7%	5.4%	19.1%	0.0%	19.0%	2.2%	1.2%	7.8M	-357.0M	-1.8M	2.23	17.93	14,312	31,896	467,976	279,240
2007-02-28	$13.06	$13.13	17.4%	5.0%	18.7%	0.0%	17.8%	1.6%	2.2%	6.7M	-368.8M	-1.7M	1.37	6.71	11,496	15,768	469,608	288,456