NKE Options History — December 2007

In December 2007, NKE traded between $15.76 and $16.75. ATM implied volatility averaged 31.3%, placing in the 74.2% IV rank vs the trailing year. The 30-day expected move averaged 8.6%. IV traded above realized volatility by 7.0% (HV 20d: 24.3%). Max pain ranged from $12.50 to $16.25. Net GEX was positive for 20 of 20 trading days. Term structure was in contango for 7 of 20 days. Put/call ratio averaged 1.26.

Notable Days

  • 2007-12-20: Highest Volume — 117,792 contracts
  • 2007-12-13: Largest IV drop — 19.2% change
  • 2007-12-11: Highest IV Rank — 100.0%
  • 2007-12-04: Largest Expected Move — 9.9%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$16.28$15.76$16.75$16.75$16.06
Max Pain$13.25$12.50$16.25$16.25$12.50
ATM IV31.3%25.1%38.3%33.1%26.1%
Expected Move8.6%7.2%9.9%9.5%7.5%
HV 20d24.3%22.7%27.0%24.1%23.0%
HV 60d23.1%22.2%23.8%23.1%23.8%
IV Rank74.2%50.3%100.0%82.3%54.1%
IV Percentile86.8%66.3%100.0%95.2%71.6%
Term Structure-1.0%-3.1%1.7%-2.2%0.4%
VWIV30.0%24.9%34.6%32.9%26.1%
Skew 25d3.3%1.4%4.6%1.4%4.3%
Skew 10d6.4%1.9%9.9%2.2%9.2%
Call IV 25d28.7%23.4%33.2%32.4%24.9%
Put IV 25d32.0%27.5%36.1%33.8%29.2%
Bid-Ask Spread %7.604.1111.4011.4010.53
Gamma HHI0.300.220.440.390.28
Net GEX2.1M452.5K4.1M3.5M2.2M
Net DEX-357.4M-459.0M-274.6M-459.0M-327.3M
Net VEX-1.1M-1.2M-996.3K-996.3K-1.1M
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.260.234.460.460.56
Total Volume24,943.45,524117,79227,6246,652
Total OI719,603.6659,252773,904659,252727,004

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2007-12-03$16.75$16.2533.1%9.5%24.1%82.3%32.9%1.4%-2.2%3.5M-459.0M-996.3K0.4611.4018,8888,736357,956301,296
2007-12-04$16.45$16.2534.5%9.9%24.9%87.9%34.4%2.9%-1.8%3.6M-438.2M-1.0M4.465.587,65234,164365,588303,252
2007-12-05$16.48$16.2534.3%9.8%24.7%87.1%34.6%2.9%-3.1%2.0M-414.4M-1.1M1.037.103,9844,096362,476331,816
2007-12-06$16.35$16.2533.7%9.7%23.8%84.9%33.1%3.7%-3.1%1.9M-352.8M-1.1M0.796.846,8485,440330,072333,108
2007-12-07$16.35$12.5034.4%8.9%23.7%87.5%30.5%3.7%-1.1%1.9M-352.6M-1.1M0.947.345,4725,156331,716334,992
2007-12-10$16.46$12.5035.9%8.7%22.7%93.3%30.6%4.4%-0.8%2.1M-366.8M-1.1M1.935.0522,12442,788334,744336,776
2007-12-11$16.05$12.5038.3%9.0%24.8%100.0%31.4%2.8%-1.2%643.4K-311.5M-1.2M2.318.226,35614,656355,448376,496
2007-12-12$16.11$12.5038.3%8.9%23.6%100.0%31.3%3.7%-1.1%719.3K-316.1M-1.2M0.848.7012,37210,384357,048378,880
2007-12-13$16.24$12.5030.9%8.9%23.2%72.3%29.7%3.3%-1.6%746.1K-330.3M-1.2M0.237.179,9642,256360,452386,032
2007-12-14$16.08$12.5030.9%8.8%23.5%72.0%31.6%2.9%-1.4%959.9K-317.4M-1.2M0.419.193,9081,616365,804382,648
2007-12-17$15.76$12.5031.9%9.1%24.6%75.8%32.1%2.9%-2.2%452.5K-274.6M-1.2M2.909.269,21226,744367,788383,080
2007-12-18$15.94$12.5031.6%9.1%24.5%75.0%32.4%1.8%-2.3%790.3K-296.0M-1.2M1.7510.694,2767,492371,096385,368
2007-12-19$15.95$12.5032.4%9.3%24.5%77.9%33.0%2.4%-3.0%1.8M-316.1M-1.2M1.7711.0617,32830,680371,296375,092
2007-12-20$16.50$12.5028.6%8.2%27.0%63.4%28.3%3.6%0.2%4.1M-396.2M-1.1M1.157.0554,68063,112375,924390,836
2007-12-21$16.57$12.5026.8%7.7%26.7%56.6%26.2%4.3%1.7%3.5M-410.6M-1.1M0.524.1111,3645,904382,444391,460
2007-12-24$16.72$12.5026.3%7.5%24.8%54.7%24.9%4.1%0.5%3.7M-407.9M-1.1M0.755.646,6484,956362,984352,732
2007-12-26$16.52$12.5026.0%7.5%24.7%53.8%25.9%3.7%0.2%3.3M-381.5M-1.1M0.536.034,5602,396365,596355,008
2007-12-27$16.25$12.5026.4%7.6%23.5%55.2%26.3%4.6%0.3%2.8M-351.7M-1.1M1.265.183,5324,448367,180355,460
2007-12-28$16.08$12.5025.1%7.2%23.6%50.3%25.2%3.9%1.0%2.1M-325.9M-1.1M0.515.895,3082,716367,292357,832
2007-12-31$16.06$12.5026.1%7.5%23.0%54.1%26.1%4.3%0.4%2.2M-327.3M-1.1M0.5610.534,2522,400368,852358,152