NKE Options History — June 2007

In June 2007, NKE traded between $13.24 and $14.57. ATM implied volatility averaged 19.8%. The 30-day expected move averaged 6.3%. IV traded below realized volatility by 2.8% (HV 20d: 22.5%). Max pain ranged from $12.50 to $13.75. Net GEX was positive for 21 of 21 trading days. Term structure was in contango for 6 of 21 days. Put/call ratio averaged 1.34.

Notable Days

  • 2007-06-27: Highest Volume — 139,904 contracts
  • 2007-06-13: Largest IV spike — 51.1% change
  • 2007-06-25: Largest Expected Move — 7.6%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$13.71$13.24$14.57$14.17$14.57
Max Pain$12.56$12.50$13.75$13.75$12.50
ATM IV19.8%12.9%26.6%15.6%19.1%
Expected Move6.3%4.5%7.6%4.5%5.5%
HV 20d22.5%15.5%35.6%15.5%35.1%
HV 60d16.5%13.7%22.8%13.7%22.8%
Term Structure-1.3%-3.6%2.8%2.8%0.7%
VWIV22.0%15.6%27.2%15.6%19.5%
Skew 25d2.9%0.4%4.4%3.3%0.4%
Skew 10d5.9%0.4%7.9%5.0%0.4%
Call IV 25d20.7%12.0%26.0%12.0%19.0%
Put IV 25d23.5%15.3%30.1%15.3%19.4%
Bid-Ask Spread %10.424.3517.484.358.69
Gamma HHI0.300.250.410.350.28
Net GEX10.0M8.8M12.7M11.1M10.5M
Net DEX-445.2M-680.2M-323.2M-538.5M-680.2M
Net VEX-1.6M-1.7M-1.3M-1.4M-1.3M
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.340.195.211.821.06
Total Volume33,885.5243,692139,90418,24415,004
Total OI897,883.048844,532991,200865,240991,200

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2007-06-01$14.17$13.7515.6%4.5%15.5%0.0%15.6%3.3%2.8%11.1M-538.5M-1.4M1.824.356,46811,776518,556346,684
2007-06-04$14.31$12.5018.4%5.4%15.6%0.0%20.5%2.3%0.4%10.0M-556.9M-1.4M0.896.745,6245,024513,808348,696
2007-06-05$14.22$12.5017.0%5.4%15.7%0.0%19.6%2.6%0.1%10.5M-545.1M-1.4M0.199.6416,0203,076516,284348,404
2007-06-06$13.93$12.5016.9%5.9%17.8%0.0%20.2%2.9%-0.2%12.7M-480.2M-1.6M5.218.183,57218,620517,780350,812
2007-06-07$13.53$12.5016.5%6.1%20.9%0.0%21.2%3.9%-0.9%11.7M-386.5M-1.7M1.1717.4812,47614,608517,596359,536
2007-06-08$13.24$12.5013.8%6.8%21.9%0.0%23.9%3.7%-1.8%9.3M-323.2M-1.7M0.9911.8533,88833,500525,692364,284
2007-06-11$13.35$12.5015.4%7.1%22.0%0.0%23.8%3.8%-3.0%10.1M-354.0M-1.7M0.5414.9411,0925,964531,584375,004
2007-06-12$13.30$12.5012.9%7.0%22.1%0.0%24.8%3.9%-2.2%8.9M-336.1M-1.7M0.3113.936,5162,012531,548375,756
2007-06-13$13.37$12.5019.4%6.8%22.0%0.0%23.6%4.3%-2.2%10.8M-360.0M-1.7M3.3415.221,6205,404534,920374,180
2007-06-14$13.42$12.5023.2%6.6%21.9%0.0%23.9%3.5%-1.4%9.1M-364.8M-1.7M5.0212.832,10410,568535,344377,640
2007-06-15$13.36$12.5023.3%6.7%22.0%0.0%22.2%3.2%-1.9%8.9M-356.6M-1.7M1.079.941,7801,912535,364375,620
2007-06-18$13.41$12.5022.5%6.4%21.9%0.0%21.2%3.3%-2.6%9.0M-380.6M-1.6M0.209.279,1921,880498,920345,612
2007-06-19$13.63$12.5020.4%5.9%20.6%0.0%21.0%2.3%-1.0%9.4M-431.3M-1.6M0.527.8116,6768,684502,964346,456
2007-06-20$13.41$12.5023.0%6.6%21.0%0.0%22.3%2.7%-3.3%9.5M-387.1M-1.6M1.2714.207,7729,880509,336350,884
2007-06-21$13.39$12.5023.7%6.8%21.0%0.0%24.0%3.2%-3.1%9.1M-371.4M-1.7M1.1011.9610,38411,412511,092356,296
2007-06-22$13.24$12.5024.7%7.1%21.3%0.0%24.7%2.3%-3.1%8.8M-345.1M-1.7M0.937.8612,68811,768515,496363,480
2007-06-25$13.45$12.5026.6%7.6%22.1%0.0%27.2%4.4%-2.8%9.0M-387.2M-1.7M0.578.7264,99637,064523,188366,560
2007-06-26$13.46$12.5026.5%7.6%21.9%0.0%27.1%2.7%-3.6%10.6M-409.7M-1.7M0.899.7350,83245,412559,972372,880
2007-06-27$14.57$12.5018.1%5.2%35.6%0.0%16.3%0.4%0.2%10.8M-677.8M-1.3M0.649.3085,09254,812581,248398,320
2007-06-28$14.57$12.5018.4%5.3%35.1%0.0%18.9%0.9%0.7%10.7M-677.6M-1.3M0.446.2330,83213,592585,608400,940
2007-06-29$14.57$12.5019.1%5.5%35.1%0.0%19.5%0.4%0.7%10.5M-680.2M-1.3M1.068.697,2847,720589,460401,740