NKE Options History — November 2007

In November 2007, NKE traded between $15.50 and $16.41. ATM implied volatility averaged 29.9%, placing in the 69.9% IV rank vs the trailing year. The 30-day expected move averaged 9.0%. IV traded above realized volatility by 5.9% (HV 20d: 24.0%). Max pain ranged from $15.00 to $16.25. Net GEX was positive for 21 of 21 trading days. Term structure was in contango for 3 of 21 days. Put/call ratio averaged 1.38.

Notable Days

  • 2007-11-21: Highest Volume — 27,352 contracts
  • 2007-11-15: Largest IV spike — 16.7% change
  • 2007-11-26: Highest IV Rank — 86.8%
  • 2007-11-09: Largest Expected Move — 10.1%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$15.84$15.50$16.41$15.96$16.41
Max Pain$16.13$15.00$16.25$15.00$16.25
ATM IV29.9%25.0%34.2%26.6%30.8%
Expected Move9.0%7.3%10.1%7.6%8.8%
HV 20d24.0%21.5%27.3%25.7%23.1%
HV 60d23.0%21.9%26.2%26.2%23.3%
IV Rank69.9%50.9%86.8%57.1%73.6%
IV Percentile89.4%75.6%97.8%85.2%89.1%
Term Structure-0.8%-2.6%4.7%3.7%-2.0%
VWIV31.9%27.7%34.4%28.4%31.2%
Skew 25d3.5%0.2%9.7%3.6%2.3%
Skew 10d6.9%-0.3%18.9%7.4%-0.3%
Call IV 25d30.3%21.0%34.3%26.9%29.8%
Put IV 25d33.8%30.5%37.5%30.5%32.1%
Bid-Ask Spread %11.174.0715.6013.1112.49
Gamma HHI0.360.290.420.320.39
Net GEX2.9M2.2M3.4M2.8M3.3M
Net DEX-378.3M-422.6M-341.3M-397.3M-422.6M
Net VEX-1.1M-1.2M-1.0M-1.1M-1.0M
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.380.324.951.350.42
Total Volume12,182.6674,52027,35216,51220,168
Total OI657,781.714628,020675,020652,920654,696

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2007-11-01$15.96$15.0026.6%7.6%25.7%57.1%28.4%3.6%3.7%2.8M-397.3M-1.1M1.3513.117,0329,480353,584299,336
2007-11-02$15.97$15.0025.6%7.3%25.3%53.3%27.7%9.7%4.7%2.9M-393.2M-1.1M0.795.015,6484,464355,720302,624
2007-11-05$15.85$16.2526.8%8.8%25.4%57.9%31.0%4.3%-1.3%2.9M-385.7M-1.1M1.5911.462,9604,712357,820301,588
2007-11-06$16.00$16.2525.0%8.7%23.6%50.9%29.6%4.4%-1.0%3.1M-403.1M-1.1M1.658.482,8244,672357,964301,464
2007-11-07$15.70$16.2527.5%8.9%24.7%60.7%31.6%4.5%-1.1%2.7M-370.8M-1.1M1.9215.573,8127,320358,020301,596
2007-11-08$15.82$16.2527.5%9.3%24.3%60.5%34.1%4.0%-1.4%2.7M-379.0M-1.2M1.8412.995,93610,896359,592304,372
2007-11-09$15.55$16.2532.0%10.1%21.9%78.2%34.4%4.5%-2.6%2.2M-349.9M-1.2M1.7213.442,9285,028359,484306,420
2007-11-12$15.65$16.2529.4%9.7%21.5%68.0%34.0%4.9%-1.9%2.5M-362.9M-1.2M0.4812.0412,3525,884360,296306,984
2007-11-13$16.00$16.2529.3%9.4%23.0%67.7%33.3%4.0%-1.4%3.4M-400.1M-1.1M0.3712.596,9122,556364,756308,268
2007-11-14$15.80$16.2528.5%9.4%23.0%64.8%33.9%3.8%-1.8%3.1M-380.5M-1.1M0.3513.986,0122,100365,240308,844
2007-11-15$15.76$16.2533.3%9.5%23.0%83.2%33.0%4.6%-2.1%3.0M-374.4M-1.1M0.4814.233,0441,476365,428309,064
2007-11-16$15.66$16.2530.4%8.7%23.1%72.0%32.3%4.5%-0.5%2.9M-366.0M-1.1M1.4015.607,31610,276366,184308,836
2007-11-19$15.50$16.2533.3%9.5%23.4%83.2%32.0%2.6%-0.5%3.0M-341.3M-1.1M0.6613.098,4925,600344,424283,596
2007-11-20$15.57$16.2530.7%8.8%22.7%73.0%30.2%1.6%0.3%3.1M-348.0M-1.1M3.587.174,82417,284348,160287,136
2007-11-21$15.72$16.2531.5%9.0%22.8%76.2%32.3%0.9%-1.7%2.5M-357.7M-1.2M4.9513.774,60022,752350,368300,584
2007-11-23$15.94$16.2531.2%8.9%23.3%74.9%32.1%1.9%-0.7%2.8M-376.0M-1.1M1.167.693,9884,632351,188298,536
2007-11-26$15.54$16.2534.2%9.8%24.4%86.8%33.1%0.2%-0.9%2.6M-347.0M-1.1M1.497.654,0846,096351,820298,632
2007-11-27$15.85$16.2531.4%9.0%25.3%75.9%32.1%2.7%-1.5%2.9M-370.7M-1.1M0.828.173,4962,856353,320301,276
2007-11-28$16.30$16.2531.0%8.9%27.3%74.1%32.0%2.4%-1.5%3.2M-413.3M-1.1M0.324.074,9161,564352,704300,204
2007-11-29$16.18$16.2531.2%9.0%26.4%75.2%31.4%2.2%-1.5%3.2M-405.2M-1.1M1.6412.011,8363,008353,156300,132
2007-11-30$16.41$16.2530.8%8.8%23.1%73.6%31.2%2.3%-2.0%3.3M-422.6M-1.0M0.4212.4914,1805,988353,196301,500