NKE Options History — August 2007

In August 2007, NKE traded between $13.30 and $14.52. ATM implied volatility averaged 29.5%, placing in the 89.0% IV rank vs the trailing year. The 30-day expected move averaged 8.6%. IV traded above realized volatility by 0.3% (HV 20d: 29.2%). Max pain ranged from $13.75 to $13.75. Net GEX was positive for 23 of 23 trading days. Term structure was in contango for 4 of 23 days. Put/call ratio averaged 1.25.

Notable Days

  • 2007-08-09: Highest Volume — 75,748 contracts
  • 2007-08-08: Largest IV spike — 24.0% change
  • 2007-08-09: Highest IV Rank — 100.0%
  • 2007-08-16: Largest Expected Move — 9.9%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$13.80$13.30$14.52$14.22$14.09
Max Pain$13.75$13.75$13.75$13.75$13.75
ATM IV29.5%21.0%34.4%26.1%29.8%
Expected Move8.6%7.1%9.9%7.5%8.5%
HV 20d29.2%21.3%33.6%21.6%32.4%
HV 60d28.1%25.2%29.7%25.2%28.9%
IV Rank89.0%62.0%100.0%96.7%79.5%
IV Percentile96.5%83.2%100.0%98.6%91.6%
Term Structure-1.1%-2.7%3.4%2.1%-2.7%
VWIV30.1%23.2%34.7%23.7%29.6%
Skew 25d2.8%1.1%5.3%5.1%1.9%
Skew 10d5.8%-0.1%13.5%13.5%10.6%
Call IV 25d29.2%20.9%34.2%20.9%29.5%
Put IV 25d32.0%24.7%38.9%26.0%31.3%
Bid-Ask Spread %10.505.0019.999.059.21
Gamma HHI0.200.180.220.200.22
Net GEX3.2M2.2M4.2M3.6M4.2M
Net DEX-235.0M-306.9M-173.9M-275.7M-279.6M
Net VEX-1.4M-1.6M-1.4M-1.4M-1.4M
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.250.102.880.782.36
Total Volume15,855.3042,70875,74816,90412,124
Total OI668,424.174648,452695,308654,596689,448

Daily Data (23 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2007-08-01$14.22$13.7526.1%7.5%21.6%96.7%23.7%5.1%2.1%3.6M-275.7M-1.4M0.789.059,4887,416349,200305,396
2007-08-02$14.24$13.7524.8%7.1%21.4%87.8%23.2%3.3%2.4%3.7M-279.8M-1.4M0.967.7212,17211,744352,548306,840
2007-08-03$14.13$13.7525.1%7.2%21.3%89.6%24.1%1.5%3.4%3.8M-268.3M-1.4M0.9310.0815,20014,112350,788302,608
2007-08-06$14.37$13.7526.5%8.3%22.2%99.4%27.1%3.6%-2.1%3.9M-287.1M-1.4M1.5114.103,5045,296352,976304,768
2007-08-07$14.52$13.7521.0%7.6%22.3%62.0%27.7%3.3%0.1%3.9M-306.9M-1.4M0.278.912,708720353,836307,336
2007-08-08$14.15$13.7526.1%8.0%24.0%96.1%28.1%3.2%-1.6%3.9M-262.2M-1.4M1.4310.855,2287,484353,832307,076
2007-08-09$13.47$13.7530.5%8.8%28.3%100.0%30.7%3.1%-0.9%3.0M-192.5M-1.5M0.4016.5653,95221,796355,664308,200
2007-08-10$13.95$13.7531.1%9.3%31.5%100.0%32.5%3.3%-2.0%3.9M-258.5M-1.5M1.0310.999,6769,964372,352306,620
2007-08-13$14.04$13.7531.8%9.4%31.6%100.0%32.7%1.7%-2.3%3.6M-265.0M-1.5M0.8517.975,3804,564368,356308,192
2007-08-14$13.66$13.7532.2%9.4%32.4%100.0%33.0%1.1%-2.4%3.1M-221.5M-1.5M0.9411.486,6206,244368,904308,104
2007-08-15$13.39$13.7532.5%9.7%32.7%100.0%34.1%2.3%-1.6%2.5M-185.7M-1.5M1.6211.538,69214,044369,412311,060
2007-08-16$13.30$13.7534.4%9.9%32.6%100.0%34.7%5.3%-1.0%2.2M-173.9M-1.6M1.7119.995,7569,828370,424322,376
2007-08-17$13.62$13.7533.5%9.6%33.6%96.1%34.2%1.9%-1.4%2.9M-204.3M-1.5M0.8211.397,8806,500369,448325,860
2007-08-20$13.60$13.7531.7%9.1%32.9%88.1%31.6%3.2%-1.5%2.6M-213.7M-1.5M1.5314.643,5605,432346,408302,044
2007-08-21$13.53$13.7530.5%8.7%32.5%82.7%31.0%2.5%-1.1%2.6M-204.8M-1.5M0.577.633,0241,716347,468304,688
2007-08-22$13.55$13.7530.6%8.8%32.5%83.3%31.0%1.1%-2.2%2.7M-211.6M-1.4M0.716.271,5801,128347,980305,456
2007-08-23$13.51$13.7530.3%8.7%32.1%82.1%30.7%2.4%-2.0%2.6M-204.9M-1.4M2.887.062,8928,332348,356305,044
2007-08-24$13.53$13.7528.9%8.3%30.9%75.7%30.7%1.6%-1.5%2.7M-209.0M-1.4M2.537.363,6009,124349,568311,144
2007-08-27$13.47$13.7529.1%8.3%29.3%76.7%29.5%2.3%-1.7%2.4M-203.3M-1.4M0.167.1312,3801,932351,292316,108
2007-08-28$13.38$13.7530.6%8.8%29.3%83.4%31.2%2.7%-1.0%2.4M-191.8M-1.4M2.809.372,1405,984355,888316,148
2007-08-29$13.87$13.7530.8%8.8%32.1%84.1%30.7%4.2%-2.6%3.2M-242.8M-1.4M0.105.0013,7761,428356,184320,680
2007-08-30$13.94$13.7530.9%8.9%32.2%84.6%31.0%3.1%-2.1%3.9M-262.2M-1.4M1.877.222,9765,576366,628321,048
2007-08-31$14.09$13.7529.8%8.5%32.4%79.5%29.6%1.9%-2.7%4.2M-279.6M-1.4M2.369.213,6048,520366,060323,388