NKE Options History — September 2007

In September 2007, NKE traded between $13.68 and $14.70. ATM implied volatility averaged 29.4%, placing in the 71.2% IV rank vs the trailing year. The 30-day expected move averaged 8.1%. IV traded above realized volatility by 4.8% (HV 20d: 24.7%). Max pain ranged from $13.75 to $14.38. Net GEX was positive for 19 of 19 trading days. Term structure was in contango for 6 of 19 days. Put/call ratio averaged 1.36.

Notable Days

  • 2007-09-21: Highest Volume — 158,960 contracts
  • 2007-09-13: Largest IV drop — 22.3% change
  • 2007-09-10: Highest IV Rank — 100.0%
  • 2007-09-06: Largest Expected Move — 9.7%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$14.26$13.68$14.70$14.11$14.66
Max Pain$13.95$13.75$14.38$13.75$14.38
ATM IV29.4%21.6%37.6%33.0%21.6%
Expected Move8.1%6.2%9.7%9.4%6.2%
HV 20d24.7%19.5%31.9%31.7%22.9%
HV 60d28.1%25.6%30.2%28.5%25.7%
IV Rank71.2%38.0%100.0%93.7%38.0%
IV Percentile87.9%69.4%100.0%98.8%69.4%
Term Structure-1.6%-5.4%2.1%-5.4%1.4%
VWIV28.4%21.2%33.8%32.9%21.2%
Skew 25d2.1%-0.1%3.9%1.5%2.3%
Skew 10d4.7%-0.1%8.0%1.2%5.6%
Call IV 25d27.4%20.4%33.8%32.7%20.4%
Put IV 25d29.6%22.7%35.1%34.2%22.7%
Bid-Ask Spread %10.957.0018.417.4610.43
Gamma HHI0.210.190.260.210.23
Net GEX3.9M3.0M5.4M3.9M3.9M
Net DEX-293.4M-357.7M-225.4M-275.1M-329.3M
Net VEX-1.3M-1.4M-1.2M-1.3M-1.3M
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.360.235.320.840.56
Total Volume33,411.1583,820158,96012,97213,308
Total OI726,147.789687,416818,256690,488780,428

Daily Data (19 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2007-09-04$14.11$13.7533.0%9.4%31.7%93.7%32.9%1.5%-5.4%3.9M-275.1M-1.3M0.847.467,0445,928362,972327,516
2007-09-05$13.87$13.7533.7%9.7%31.9%96.9%33.8%1.1%-3.8%3.7M-254.5M-1.4M0.867.002,2921,960364,836322,712
2007-09-06$13.95$13.7533.8%9.7%30.9%97.6%33.5%1.3%-4.3%4.0M-266.6M-1.3M5.327.641,4607,764364,028323,388
2007-09-07$13.68$13.7534.3%8.6%26.2%99.6%29.6%3.9%-2.8%3.1M-225.4M-1.4M3.6318.411,4165,136364,420328,416
2007-09-10$13.79$13.7536.3%8.8%23.2%100.0%31.2%2.9%-3.3%3.3M-237.7M-1.4M1.1711.902,7163,184364,876329,884
2007-09-11$13.88$13.7537.0%8.9%23.2%100.0%31.0%3.7%-3.8%3.5M-248.4M-1.4M1.0712.191,8441,976365,780330,464
2007-09-12$14.02$13.7537.6%8.9%21.3%100.0%32.0%3.4%-3.3%3.7M-264.2M-1.3M0.6515.3910,2286,620365,596331,224
2007-09-13$14.22$13.7529.3%8.4%20.2%67.5%30.0%3.8%-1.7%4.4M-294.4M-1.3M2.1313.543,6607,788368,200332,808
2007-09-14$14.31$13.7527.4%7.8%19.8%60.2%28.0%2.4%-0.2%4.6M-306.4M-1.3M3.0914.435,54017,112369,324336,208
2007-09-17$14.08$13.7528.4%8.1%19.5%64.3%29.3%2.2%-0.9%3.9M-275.3M-1.3M0.3014.106,2961,912371,384342,472
2007-09-18$14.70$13.7527.3%7.8%24.4%59.7%27.8%2.5%-0.9%5.4M-357.7M-1.2M0.377.3533,92812,700373,464342,820
2007-09-19$14.64$13.7529.1%8.4%24.3%67.1%29.6%0.1%-3.2%4.9M-353.0M-1.2M0.7512.6956,72042,348373,376346,136
2007-09-20$14.58$13.7532.0%9.2%24.5%78.3%32.3%-0.1%-3.7%5.0M-338.8M-1.2M0.7912.2161,10848,348395,684357,928
2007-09-21$14.31$14.3825.4%7.3%25.6%52.5%25.7%0.1%2.1%3.2M-302.5M-1.2M0.239.58128,81630,144424,984393,272
2007-09-24$14.45$14.3824.5%7.0%25.7%49.0%24.4%2.5%0.4%3.0M-292.9M-1.3M0.607.5720,22412,080384,712362,876
2007-09-25$14.61$14.3824.0%6.9%25.7%47.2%23.7%2.9%0.3%3.9M-323.9M-1.3M0.819.8213,06410,572392,540367,488
2007-09-26$14.60$14.3822.9%6.6%25.5%42.8%22.8%1.4%0.8%3.5M-318.2M-1.3M2.087.346,17212,860393,376372,912
2007-09-27$14.54$14.3822.0%6.3%22.8%39.3%21.7%2.6%1.6%3.1M-309.9M-1.3M0.578.9519,45611,088393,480374,824
2007-09-28$14.66$14.3821.6%6.2%22.9%38.0%21.2%2.3%1.4%3.9M-329.3M-1.3M0.5610.438,5364,772401,184379,244