NKE Options History — April 2007 In April 2007, NKE traded between $13.30 and $13.59. ATM implied volatility averaged 17.4%. The 30-day expected move averaged 5.0%. IV traded above realized volatility by 4.4% (HV 20d: 13.0%). Max pain ranged from $6.88 to $13.13. Net GEX was positive for 19 of 20 trading days. Term structure was in contango for 14 of 20 days. Put/call ratio averaged 0.74.
Notable Days 2007-04-18 : Highest Volume — 35,448 contracts2007-04-10 : Largest IV drop — 10.7% change2007-04-04 : Largest Expected Move — 5.5%Monthly Statistics Metric Avg Min Max Open Close Price $13.44 $13.30 $13.59 $13.30 $13.46 Max Pain $12.81 $6.88 $13.13 $13.13 $13.13 ATM IV 17.4% 15.0% 19.7% 18.9% 16.2% Expected Move 5.0% 4.3% 5.5% 5.4% 4.7% HV 20d 13.0% 8.9% 16.8% 16.8% 8.9% HV 60d 16.6% 15.4% 17.2% 16.9% 15.4% Term Structure 0.6% -1.3% 2.1% 0.4% -0.2% VWIV 17.3% 14.9% 19.6% 18.7% 16.3% Skew 25d 1.6% 0.4% 4.3% 2.1% 2.2% Skew 10d 3.6% 0.1% 9.2% 3.7% 9.2% Call IV 25d 16.5% 12.6% 19.2% 18.1% 14.6% Put IV 25d 18.1% 16.8% 20.2% 20.2% 16.8% Bid-Ask Spread % 10.08 5.12 15.67 5.12 6.78 Gamma HHI 0.27 0.22 0.34 0.23 0.30 Net GEX 9.9M -64.3K 15.5M 10.0M 7.9M Net DEX -426.5M -514.2M -54.2M -422.3M -391.5M Net VEX -1.6M -1.8M -55.2K -1.8M -1.6M Div Yield 0.0% 0.0% 0.0% 0.0% 0.0% P/C Ratio 0.74 0.06 2.66 0.47 1.74 Total Volume 15,706.8 2,940 35,448 21,048 8,096 Total OI 865,507.2 79,880 1,032,936 952,640 753,032
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 2007-04-02 $13.30 $13.13 18.9% 5.4% 16.8% 0.0% 18.7% 2.1% 0.4% 10.0M -422.3M -1.8M 0.47 5.12 14,344 6,704 592,176 360,464 2007-04-03 $13.30 $6.88 18.1% 5.2% 14.3% 0.0% 18.0% 1.1% 1.2% -64.3K -54.2M -55.2K 0.54 10.38 4,720 2,528 49,592 30,288 2007-04-04 $13.40 $13.13 19.1% 5.5% 14.4% 0.0% 19.6% 0.4% -0.3% 10.9M -455.6M -1.8M 0.70 10.45 7,124 4,988 598,404 358,280 2007-04-05 $13.37 $13.13 18.1% 5.2% 14.4% 0.0% 18.6% 0.6% 1.1% 10.8M -444.8M -1.8M 0.38 5.87 11,132 4,216 597,496 359,052 2007-04-09 $13.47 $13.13 19.7% 5.3% 14.1% 0.0% 19.4% 1.9% 0.6% 11.4M -477.0M -1.7M 0.50 6.85 19,036 9,572 598,200 357,580 2007-04-10 $13.50 $13.13 17.6% 5.2% 14.0% 0.0% 18.1% 1.5% 0.7% 12.4M -481.4M -1.7M 0.26 10.24 6,832 1,744 604,928 362,764 2007-04-11 $13.50 $13.13 18.6% 5.2% 13.5% 0.0% 18.0% 1.2% 0.5% 12.1M -488.7M -1.7M 0.85 10.38 8,856 7,504 603,904 363,404 2007-04-12 $13.56 $13.13 17.6% 5.0% 13.5% 0.0% 17.3% 1.6% 1.2% 12.1M -503.3M -1.7M 0.78 9.69 9,184 7,152 606,664 363,764 2007-04-13 $13.41 $13.13 17.6% 5.0% 14.0% 0.0% 17.2% 1.3% 2.1% 12.1M -467.5M -1.7M 0.88 13.54 3,736 3,296 608,692 366,200 2007-04-16 $13.59 $13.13 17.0% 4.9% 13.5% 0.0% 17.2% 0.7% 1.6% 12.0M -514.2M -1.6M 0.63 13.83 17,612 11,012 609,540 367,628 2007-04-17 $13.54 $13.13 16.8% 4.8% 13.3% 0.0% 17.5% 1.9% 1.6% 12.2M -504.0M -1.7M 2.66 15.67 4,228 11,260 619,576 376,380 2007-04-18 $13.47 $13.13 17.2% 4.9% 13.0% 0.0% 17.4% 0.5% 0.8% 12.5M -483.1M -1.7M 0.06 15.45 33,460 1,988 619,284 386,660 2007-04-19 $13.37 $13.13 17.0% 4.9% 13.2% 0.0% 16.8% 0.9% 1.7% 15.5M -456.5M -1.7M 0.48 14.56 11,476 5,524 645,372 387,564 2007-04-20 $13.38 $13.13 16.8% 4.8% 13.2% 0.0% 16.8% 1.1% 1.7% 9.0M -475.7M -1.7M 0.87 13.36 17,400 15,188 644,568 386,924 2007-04-23 $13.39 $13.13 16.8% 4.8% 13.1% 0.0% 15.8% 1.2% -1.1% 6.4M -369.7M -1.7M 0.27 5.87 12,880 3,472 454,220 280,596 2007-04-24 $13.38 $13.13 16.8% 4.8% 13.1% 0.0% 15.7% 2.8% -1.0% 7.0M -373.7M -1.7M 0.98 13.88 4,580 4,492 463,340 282,400 2007-04-25 $13.40 $13.13 16.7% 4.8% 10.8% 0.0% 15.8% 2.3% -1.3% 7.3M -376.3M -1.7M 0.10 6.58 7,884 780 465,448 282,340 2007-04-26 $13.46 $13.13 16.3% 4.7% 9.5% 0.0% 16.6% 2.9% -0.3% 7.7M -388.5M -1.7M 1.22 6.34 3,240 3,956 468,576 282,428 2007-04-27 $13.53 $13.13 15.0% 4.3% 9.6% 0.0% 14.9% 4.3% 0.7% 7.9M -402.5M -1.6M 0.44 6.81 2,040 900 468,492 283,924 2007-04-30 $13.46 $13.13 16.2% 4.7% 8.9% 0.0% 16.3% 2.2% -0.2% 7.9M -391.5M -1.6M 1.74 6.78 2,952 5,144 468,844 284,188
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