NKE Options History — July 2007

In July 2007, NKE traded between $13.86 and $14.96. ATM implied volatility averaged 21.0%, placing in the 63.2% IV rank vs the trailing year. The 30-day expected move averaged 6.0%. IV traded below realized volatility by 8.9% (HV 20d: 29.8%). 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 20 of 21 days. Put/call ratio averaged 1.16.

Notable Days

  • 2007-07-20: Highest Volume — 36,144 contracts
  • 2007-07-26: Largest IV spike — 12.9% change
  • 2007-07-30: Highest IV Rank — 92.3%
  • 2007-07-30: Largest Expected Move — 7.3%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$14.62$13.86$14.96$14.60$14.11
Max Pain$13.57$12.50$13.75$12.50$13.75
ATM IV21.0%18.1%25.5%19.2%24.9%
Expected Move6.0%5.4%7.3%5.5%7.1%
HV 20d29.8%17.3%35.0%35.0%21.7%
HV 60d23.5%22.8%25.2%22.8%25.2%
IV Rank63.2%42.5%92.3%48.1%88.1%
IV Percentile86.2%63.8%98.6%73.0%97.9%
Term Structure2.0%-0.1%2.8%0.0%2.5%
VWIV20.8%17.0%23.6%19.3%17.0%
Skew 25d1.9%0.4%4.3%1.0%4.3%
Skew 10d2.6%-2.9%11.8%2.2%11.8%
Call IV 25d20.4%16.3%24.9%18.8%22.1%
Put IV 25d22.3%19.4%26.5%19.8%26.5%
Bid-Ask Spread %7.945.0514.747.5314.74
Gamma HHI0.220.170.260.260.21
Net GEX5.9M2.3M10.0M10.0M3.6M
Net DEX-551.9M-706.6M-248.2M-681.3M-265.0M
Net VEX-1.2M-1.4M-1.1M-1.2M-1.4M
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.160.183.280.221.70
Total Volume16,370.0955,54836,14431,71231,700
Total OI870,236.571634,924994,804987,100649,868

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2007-07-02$14.60$12.5019.2%5.5%35.0%0.0%19.3%1.0%0.0%10.0M-681.3M-1.2M0.227.5326,0045,708583,652403,448
2007-07-03$14.74$12.5019.0%5.4%35.0%0.0%18.1%2.5%0.2%8.9M-689.2M-1.2M0.615.603,7682,304576,952406,956
2007-07-05$14.84$12.5018.9%5.4%34.0%48.1%19.1%3.7%-0.1%7.6M-691.0M-1.1M1.695.764,3047,268562,408404,900
2007-07-06$14.92$13.7518.1%5.5%31.7%42.5%19.4%2.2%2.2%6.9M-706.6M-1.1M0.558.6611,5246,356562,072407,560
2007-07-09$14.77$13.7519.9%5.9%30.7%54.2%20.6%1.1%1.7%7.5M-675.5M-1.2M0.636.8711,6287,312563,164408,392
2007-07-10$14.61$13.7521.2%5.9%31.2%63.3%21.7%1.5%2.2%8.2M-656.8M-1.2M3.287.963,0329,956569,540411,296
2007-07-11$14.61$13.7521.0%6.0%31.1%61.9%21.1%1.0%2.3%8.5M-651.4M-1.3M0.427.828,1123,380570,000414,732
2007-07-12$14.87$13.7520.3%5.8%31.4%56.9%20.7%2.4%2.5%7.3M-699.7M-1.1M0.188.4312,8482,268572,960415,396
2007-07-13$14.75$13.7519.9%5.7%31.8%54.6%19.9%1.4%2.6%7.8M-679.1M-1.2M2.179.581,7523,796570,872415,608
2007-07-16$14.70$13.7520.1%5.8%31.7%56.1%20.2%1.7%2.5%7.9M-669.3M-1.2M2.7111.592,6247,124568,700417,496
2007-07-17$14.86$13.7520.1%5.8%31.8%56.0%20.5%1.9%2.3%6.2M-699.3M-1.1M0.558.994,4002,420568,304420,068
2007-07-18$14.92$13.7520.2%5.8%31.6%56.4%21.3%2.4%2.5%5.9M-705.7M-1.1M2.228.984,83210,744567,684420,460
2007-07-19$14.96$13.7520.1%5.8%30.6%55.9%20.1%0.8%2.8%2.3M-703.8M-1.1M0.499.689,5404,692566,256427,636
2007-07-20$14.63$13.7521.9%6.3%32.1%68.3%22.0%0.8%2.0%6.9M-642.9M-1.2M2.495.6310,34425,800567,268427,536
2007-07-23$14.85$13.7520.6%5.9%31.7%59.1%20.7%1.4%2.7%2.7M-345.5M-1.1M0.567.587,1244,020333,048303,840
2007-07-24$14.59$13.7521.0%6.0%32.5%61.7%22.8%1.4%2.6%2.9M-320.0M-1.2M1.605.927,36011,804333,748301,176
2007-07-25$14.46$13.7520.9%6.0%32.8%61.6%22.2%2.8%2.4%2.8M-302.4M-1.2M1.005.716,9406,932334,204307,676
2007-07-26$14.22$13.7523.6%6.8%17.3%79.9%22.0%1.3%2.1%3.1M-278.7M-1.3M0.707.4414,2729,992336,964303,088
2007-07-27$13.86$13.7524.1%6.9%19.4%82.8%23.6%0.4%2.4%3.1M-248.2M-1.3M0.257.1215,0323,692341,532304,388
2007-07-30$14.21$13.7525.5%7.3%21.7%92.3%23.5%3.3%1.5%3.8M-278.8M-1.3M0.315.058,4202,644350,124303,996
2007-07-31$14.11$13.7524.9%7.1%21.7%88.1%17.0%4.3%2.5%3.6M-265.0M-1.4M1.7014.7411,75219,948347,200302,668