NKE Options History — October 2007

In October 2007, NKE traded between $14.79 and $16.57. ATM implied volatility averaged 23.8%, placing in the 46.3% IV rank vs the trailing year. The 30-day expected move averaged 6.9%. IV traded above realized volatility by 2.4% (HV 20d: 21.4%). Max pain ranged from $14.38 to $15.00. Net GEX was positive for 23 of 23 trading days. Term structure was in contango for 23 of 23 days. Put/call ratio averaged 0.99.

Notable Days

  • 2007-10-10: Highest Volume — 52,380 contracts
  • 2007-10-11: Largest IV spike — 11.5% change
  • 2007-10-19: Highest IV Rank — 55.7%
  • 2007-10-19: Largest Expected Move — 7.5%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$15.64$14.79$16.57$14.85$16.57
Max Pain$14.89$14.38$15.00$14.38$15.00
ATM IV23.8%20.1%26.2%21.2%24.7%
Expected Move6.9%5.9%7.5%6.1%7.1%
HV 20d21.4%19.2%25.8%23.0%20.7%
HV 60d25.9%25.3%27.2%25.8%25.5%
IV Rank46.3%31.9%55.7%36.4%49.7%
IV Percentile74.8%58.1%83.6%67.4%74.2%
Term Structure1.7%0.0%3.6%1.7%3.6%
VWIV24.8%21.4%29.2%22.0%25.6%
Skew 25d2.9%1.4%5.1%1.4%4.4%
Skew 10d5.8%0.2%11.7%4.5%11.7%
Call IV 25d23.1%20.3%25.7%21.1%22.6%
Put IV 25d26.1%22.3%29.0%22.4%27.0%
Bid-Ask Spread %10.886.0317.217.999.28
Gamma HHI0.310.240.380.240.32
Net GEX5.3M3.1M8.4M4.9M3.1M
Net DEX-429.4M-522.3M-357.2M-357.2M-454.0M
Net VEX-1.1M-1.3M-1.0M-1.2M-1.0M
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.990.112.560.320.51
Total Volume18,857.9134,92852,38037,25610,416
Total OI747,879.826624,812827,072781,400653,220

Daily Data (23 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2007-10-01$14.85$14.3821.2%6.1%23.0%36.4%22.0%1.4%1.7%4.9M-357.2M-1.2M0.327.9928,1329,124401,452379,948
2007-10-02$14.79$14.3820.5%5.9%23.1%33.7%21.7%1.8%2.1%5.1M-362.1M-1.3M1.1010.617,5808,320415,808383,644
2007-10-03$14.80$14.3820.7%5.9%21.9%34.3%21.8%2.7%1.7%4.7M-358.7M-1.3M1.1514.3514,71616,880414,300386,808
2007-10-04$14.84$14.3820.7%5.9%21.9%34.4%21.4%3.1%2.1%5.3M-363.1M-1.3M0.3111.617,5522,376414,480383,148
2007-10-05$15.09$15.0020.1%6.4%20.6%31.9%22.3%2.5%1.8%6.3M-397.2M-1.2M0.406.4220,8608,276410,668380,240
2007-10-08$15.00$15.0020.6%6.5%20.9%34.1%22.6%3.4%2.1%5.9M-385.8M-1.2M2.566.621,3843,544405,216382,956
2007-10-09$15.44$15.0021.1%6.5%22.7%35.8%22.2%1.6%2.0%7.4M-448.0M-1.1M1.6415.3613,98822,916403,392384,368
2007-10-10$15.46$15.0022.6%6.8%22.6%41.7%23.7%1.6%1.3%5.7M-441.9M-1.1M0.388.5438,05614,324401,912398,004
2007-10-11$15.25$15.0025.2%7.2%23.3%51.8%25.0%1.9%0.4%5.3M-419.3M-1.2M1.1013.825,2085,704417,428396,036
2007-10-12$15.79$15.0024.4%7.0%25.8%48.7%25.2%1.9%0.6%7.4M-494.0M-1.1M0.5810.7117,0009,776418,368397,636
2007-10-15$15.98$15.0025.6%7.3%24.6%53.2%25.7%3.2%0.3%7.7M-522.3M-1.0M0.876.0311,2529,832419,912401,144
2007-10-16$15.98$15.0025.6%7.3%20.5%53.4%26.1%3.1%0.0%7.8M-513.9M-1.1M0.2712.4913,5123,632417,648403,604
2007-10-17$15.79$15.0025.1%7.2%21.1%51.4%25.9%2.8%0.6%7.8M-490.1M-1.1M0.9314.359,6608,972419,492403,876
2007-10-18$15.81$15.0024.7%7.1%20.9%49.9%25.8%2.5%1.0%8.4M-496.4M-1.1M1.0014.303,6723,656421,932404,916
2007-10-19$15.83$15.0026.2%7.5%19.2%55.7%26.8%2.5%0.2%5.4M-502.6M-1.1M0.1114.4424,3762,756421,220405,852
2007-10-22$15.79$15.0025.7%7.4%19.3%53.8%28.2%3.9%1.7%3.6M-391.4M-1.1M2.2217.214,68810,400345,756279,056
2007-10-23$16.03$15.0025.0%7.2%19.5%50.9%25.2%3.1%2.5%3.3M-408.8M-1.1M0.479.143,6521,732345,932286,108
2007-10-24$15.87$15.0024.8%7.1%20.2%50.3%26.1%3.5%2.9%3.2M-394.1M-1.1M0.9511.405,7285,416346,496286,448
2007-10-25$15.96$15.0025.9%7.4%19.9%54.4%26.5%3.1%2.5%3.3M-404.2M-1.1M2.557.062,3205,920349,004288,668
2007-10-26$16.15$15.0025.1%7.2%20.1%51.5%25.9%3.8%2.9%3.2M-416.6M-1.1M0.828.135,7124,664348,892291,844
2007-10-29$16.30$15.0025.4%7.3%19.9%52.5%25.7%5.1%3.4%3.3M-430.5M-1.1M1.0410.343,3243,452348,924292,092
2007-10-30$16.23$15.0025.9%7.4%20.0%54.7%29.2%4.2%2.4%3.1M-423.5M-1.1M1.6010.057,40811,864349,216294,172
2007-10-31$16.57$15.0024.7%7.1%20.7%49.7%25.6%4.4%3.6%3.1M-454.0M-1.0M0.519.286,8923,524351,576301,644