NKE Options History — May 2007

In May 2007, NKE traded between $13.14 and $14.19. ATM implied volatility averaged 16.4%. The 30-day expected move averaged 4.7%. IV traded above realized volatility by 4.0% (HV 20d: 12.4%). Max pain ranged from $13.13 to $13.75. Net GEX was positive for 22 of 22 trading days. Term structure was in contango for 19 of 22 days. Put/call ratio averaged 1.19.

Notable Days

  • 2007-05-31: Highest Volume — 48,352 contracts
  • 2007-05-16: Largest IV spike — 33.7% change
  • 2007-05-16: Largest Expected Move — 5.0%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$13.48$13.14$14.19$13.25$14.19
Max Pain$13.66$13.13$13.75$13.13$13.75
ATM IV16.4%13.1%18.0%17.4%14.7%
Expected Move4.7%3.8%5.0%5.0%4.2%
HV 20d12.4%10.3%15.6%10.8%15.6%
HV 60d15.1%13.8%16.2%15.8%13.8%
Term Structure2.4%-1.4%3.9%-1.4%3.7%
VWIV16.5%12.2%19.0%17.1%14.8%
Skew 25d2.1%-5.8%7.4%1.4%-3.1%
Skew 10d4.8%-9.3%11.9%4.8%-2.8%
Call IV 25d15.5%12.0%18.6%16.6%17.4%
Put IV 25d17.6%12.1%20.2%17.9%14.3%
Bid-Ask Spread %7.133.3312.356.877.56
Gamma HHI0.290.250.360.300.36
Net GEX6.8M2.0M11.0M6.8M10.9M
Net DEX-374.5M-539.7M-150.7M-345.9M-539.7M
Net VEX-1.7M-1.8M-1.1M-1.7M-1.4M
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.190.056.931.580.69
Total Volume17,518.3642,83248,35219,31248,352
Total OI810,328.727508,472871,452754,936850,992

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2007-05-01$13.25$13.1317.4%5.0%10.8%0.0%17.1%1.4%-1.4%6.8M-345.9M-1.7M1.586.877,48011,832469,012285,924
2007-05-02$13.37$13.1317.2%4.9%11.3%0.0%16.1%0.0%-0.9%7.2M-370.9M-1.7M0.517.092,1561,108470,120291,444
2007-05-03$13.32$13.1317.4%5.0%11.0%0.0%16.6%-0.7%-1.3%6.2M-350.1M-1.7M0.969.437,3727,112469,808330,620
2007-05-04$13.32$13.7516.7%4.7%11.0%0.0%16.6%3.9%2.9%6.1M-350.1M-1.7M4.8211.354,26420,536473,784315,024
2007-05-07$13.47$13.7516.7%4.7%11.3%0.0%16.5%4.5%1.9%7.1M-384.9M-1.7M0.994.9610,85210,764474,700329,140
2007-05-08$13.44$13.7518.0%4.8%11.3%0.0%17.6%3.6%2.9%6.7M-377.9M-1.7M0.365.114,7721,736479,636337,452
2007-05-09$13.48$13.7516.7%4.9%11.4%0.0%17.6%5.0%1.6%7.1M-385.6M-1.7M0.486.524,4682,152483,612338,480
2007-05-10$13.33$13.7516.6%4.8%11.9%0.0%18.0%4.2%3.2%5.8M-356.0M-1.7M0.136.4612,6681,660482,772339,268
2007-05-11$13.26$13.7517.4%5.0%11.5%0.0%19.0%2.8%3.1%4.7M-334.5M-1.8M1.5110.664,9847,504483,336340,268
2007-05-14$13.22$13.7517.3%5.0%10.3%0.0%17.5%2.1%3.1%2.0M-150.7M-1.1M0.1711.486,9321,208302,320206,152
2007-05-15$13.14$13.7513.1%3.8%10.3%0.0%12.2%2.1%3.4%3.2M-310.9M-1.8M6.9312.354,40030,508488,668348,200
2007-05-16$13.25$13.7517.5%5.0%10.7%0.0%17.9%2.7%3.1%2.8M-327.7M-1.8M2.0810.564,84810,104491,488372,264
2007-05-17$13.24$13.7517.5%5.0%10.4%0.0%17.5%1.3%2.8%2.2M-326.6M-1.8M1.815.492,7845,032493,616377,836
2007-05-18$13.31$13.7517.0%4.9%10.7%0.0%17.6%3.0%2.8%5.4M-349.9M-1.7M0.307.6014,4684,304492,504374,444
2007-05-21$13.67$13.7516.8%4.8%14.3%0.0%16.9%6.6%2.4%7.0M-404.2M-1.7M0.8310.4413,00010,824474,148346,156
2007-05-22$13.78$13.7517.0%4.9%14.5%0.0%17.0%7.4%2.3%7.3M-425.5M-1.6M0.394.0515,0725,804479,700348,692
2007-05-23$13.71$13.7515.6%4.5%14.7%0.0%15.6%-5.8%3.3%8.2M-422.3M-1.6M0.053.3328,3161,464485,268343,800
2007-05-24$13.62$13.7515.3%4.4%14.9%0.0%15.3%-2.1%3.2%10.4M-416.8M-1.7M0.174.1515,5402,568499,488340,740
2007-05-25$13.57$13.7514.4%4.1%14.9%0.0%15.3%5.6%3.7%10.8M-412.5M-1.7M0.923.751,4761,356502,372340,364
2007-05-29$13.68$13.7515.6%4.5%15.0%0.0%15.6%-0.7%3.0%10.7M-423.9M-1.6M0.354.055,3961,876496,164340,248
2007-05-30$13.93$13.7514.5%4.2%14.8%0.0%14.5%2.4%3.9%11.0M-472.3M-1.5M0.133.7123,2883,064496,760340,448
2007-05-31$14.19$13.7514.7%4.2%15.6%0.0%14.8%-3.1%3.7%10.9M-539.7M-1.4M0.697.5628,60019,752509,864341,128