NKE Options History — March 2007

In March 2007, NKE traded between $12.81 and $13.66. ATM implied volatility averaged 20.1%. The 30-day expected move averaged 5.9%. IV traded above realized volatility by 0.5% (HV 20d: 19.6%). Max pain ranged from $12.50 to $13.13. Net GEX was positive for 22 of 22 trading days. Term structure was in contango for 3 of 22 days. Put/call ratio averaged 0.98.

Notable Days

  • 2007-03-23: Highest Volume — 120,056 contracts
  • 2007-03-23: Largest IV drop — 20.0% change
  • 2007-03-05: Largest Expected Move — 6.5%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$13.27$12.81$13.66$13.16$13.28
Max Pain$12.73$12.50$13.13$13.13$13.13
ATM IV20.1%17.2%22.4%19.5%18.8%
Expected Move5.9%4.9%6.5%5.6%5.4%
HV 20d19.6%17.4%20.9%18.5%17.7%
HV 60d17.0%16.5%17.5%17.5%17.0%
Term Structure-1.4%-3.3%1.3%1.1%-0.2%
VWIV20.7%17.9%22.4%19.6%19.1%
Skew 25d2.6%1.3%3.6%2.0%2.1%
Skew 10d5.2%1.4%7.4%1.4%4.0%
Call IV 25d19.6%16.9%20.9%18.9%17.8%
Put IV 25d22.2%18.7%24.3%20.9%19.9%
Bid-Ask Spread %7.664.4011.486.164.44
Gamma HHI0.300.220.460.380.22
Net GEX9.4M6.0M11.2M6.0M10.6M
Net DEX-421.3M-510.4M-317.5M-377.4M-419.0M
Net VEX-1.7M-1.9M-1.5M-1.7M-1.8M
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.980.153.271.922.30
Total Volume39,134.1827,544120,05646,04839,952
Total OI843,092.727768,008949,112768,008943,800

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2007-03-01$13.16$13.1319.5%5.6%18.5%0.0%19.6%2.0%1.1%6.0M-377.4M-1.7M1.926.1615,76830,280472,216295,792
2007-03-02$12.98$13.1319.2%5.5%18.5%0.0%19.4%2.3%1.3%6.8M-344.6M-1.8M3.277.978,04026,320478,672302,504
2007-03-05$12.81$12.5021.5%6.5%19.1%0.0%21.6%3.4%-2.5%6.9M-317.5M-1.7M0.709.2112,5848,816493,992309,664
2007-03-06$13.14$12.5019.8%6.2%20.7%0.0%21.7%3.1%-2.0%8.0M-388.7M-1.8M0.6211.2224,20014,896497,816304,488
2007-03-07$13.07$12.5019.1%6.1%20.1%0.0%21.7%2.9%-1.9%9.3M-380.5M-1.8M0.157.2343,2886,648513,088314,032
2007-03-08$13.07$12.5019.4%6.1%19.2%0.0%21.0%2.5%-1.9%9.7M-377.8M-1.8M1.036.326,5206,744509,528315,912
2007-03-09$13.23$12.5018.8%6.1%19.6%0.0%20.1%2.6%-1.8%10.0M-420.4M-1.7M0.8511.469,9528,456511,952317,000
2007-03-12$13.20$12.5020.8%6.2%19.6%0.0%21.4%2.9%-2.9%10.2M-414.5M-1.7M1.1211.483,5603,984518,360320,944
2007-03-13$13.07$12.5022.3%6.3%19.8%0.0%21.8%2.9%-3.3%10.1M-381.4M-1.8M0.427.1023,0169,728519,488322,056
2007-03-14$13.10$12.5020.3%6.3%19.6%0.0%22.3%2.8%-3.1%10.7M-388.9M-1.8M0.936.6413,04812,096525,432319,432
2007-03-15$13.21$12.5022.2%6.4%19.8%0.0%21.7%2.7%-2.7%11.2M-425.5M-1.7M0.536.7413,3047,064526,864320,512
2007-03-16$13.43$12.5022.4%6.4%20.7%0.0%22.1%3.6%-2.8%10.2M-482.5M-1.6M0.187.8243,1207,888529,048320,792
2007-03-19$13.54$12.5020.9%6.0%20.7%0.0%22.2%3.1%-1.2%9.0M-471.7M-1.6M0.836.8515,32812,792495,000280,472
2007-03-20$13.66$12.5021.4%6.1%20.9%0.0%21.9%3.2%-1.5%8.7M-497.0M-1.5M1.068.4517,16818,120501,048287,752
2007-03-21$13.61$12.5021.5%6.2%20.9%0.0%22.3%2.8%-1.7%8.8M-485.4M-1.6M1.098.2120,44822,344508,072297,152
2007-03-22$13.57$12.5021.9%6.3%20.6%0.0%22.4%2.6%-2.1%9.2M-482.3M-1.6M0.868.4547,03240,272518,640302,784
2007-03-23$13.63$13.1317.5%5.0%20.7%0.0%18.3%1.4%0.1%9.9M-504.2M-1.6M0.955.8261,59258,464541,416323,176
2007-03-26$13.60$13.1317.2%4.9%20.7%0.0%17.9%2.0%-0.0%10.4M-510.4M-1.7M0.576.0820,19211,480561,288337,656
2007-03-27$13.32$13.1319.7%5.7%17.4%0.0%19.3%1.3%-0.8%10.2M-433.3M-1.8M0.354.4055,08019,528556,128338,024
2007-03-28$13.14$13.1319.2%5.5%18.1%0.0%19.1%2.3%-0.4%9.9M-383.9M-1.9M0.9810.5013,21612,896591,584355,352
2007-03-29$13.12$13.1318.4%5.3%17.9%0.0%18.3%2.2%-0.1%10.0M-382.4M-1.9M0.756.009,0006,728593,720355,392
2007-03-30$13.28$13.1318.8%5.4%17.7%0.0%19.1%2.1%-0.2%10.6M-419.0M-1.8M2.304.4412,11227,840591,680352,120