NKE Options History — January 2008

In January 2008, NKE traded between $13.99 and $15.82. ATM implied volatility averaged 30.5%, placing in the 70.7% IV rank vs the trailing year. The 30-day expected move averaged 8.7%. IV traded above realized volatility by 3.4% (HV 20d: 27.1%). Max pain ranged from $12.50 to $16.25. Net GEX was positive for 9 of 21 trading days. Term structure was in contango for 18 of 21 days. Put/call ratio averaged 0.88.

Notable Days

  • 2008-01-10: Highest Volume — 49,712 contracts
  • 2008-01-30: Largest IV drop — 15.8% change
  • 2008-01-22: Highest IV Rank — 93.9%
  • 2008-01-22: Largest Expected Move — 10.5%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$14.86$13.99$15.82$15.82$15.33
Max Pain$15.12$12.50$16.25$12.50$15.00
ATM IV30.5%26.6%36.7%27.0%28.6%
Expected Move8.7%7.6%10.5%7.7%8.2%
HV 20d27.1%20.4%36.2%22.0%36.2%
HV 60d25.2%22.0%27.9%23.8%27.9%
IV Rank70.7%55.7%93.9%57.2%63.5%
IV Percentile83.3%69.0%98.4%75.7%72.2%
Term Structure1.1%-0.3%3.4%0.4%2.4%
VWIV29.6%26.5%35.0%26.9%26.5%
Skew 25d5.2%1.9%7.3%6.9%4.6%
Skew 10d11.6%2.6%19.0%17.1%9.8%
Call IV 25d27.6%23.2%32.1%23.2%25.4%
Put IV 25d32.7%28.7%39.0%30.1%30.0%
Bid-Ask Spread %9.843.3019.003.3019.00
Gamma HHI0.250.190.390.240.39
Net GEX281.5K-812.6K1.7M1.6M1.7M
Net DEX-141.6M-292.1M1.7M-292.1M-118.5M
Net VEX-1.0M-1.1M-922.8K-1.1M-1.1M
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.880.142.691.110.72
Total Volume24,056.9527,84049,71214,25229,808
Total OI610,449.524327,700792,000728,728398,024

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2008-01-02$15.82$12.5027.0%7.7%22.0%57.2%26.9%6.9%0.4%1.6M-292.1M-1.1M1.113.306,7407,512369,720359,008
2008-01-03$15.68$12.5026.6%7.6%21.4%55.9%27.6%4.1%0.6%1.2M-272.5M-1.0M0.723.505,2563,800370,680359,424
2008-01-04$15.44$16.2529.3%8.4%21.8%66.1%27.7%3.9%1.3%964.6K-244.0M-1.0M0.1412.5335,0445,028371,536358,604
2008-01-07$15.53$16.2530.9%8.6%22.0%72.2%28.8%4.8%-0.0%1.5M-267.4M-1.1M0.5010.538,6564,296388,048360,580
2008-01-08$15.46$16.2530.7%8.7%22.0%71.5%29.8%4.3%0.5%1.1M-249.5M-1.1M1.289.736,8928,844389,064361,448
2008-01-09$15.49$16.2531.5%8.6%21.7%74.3%29.7%5.0%0.8%1.1M-256.9M-1.1M0.3311.1214,5164,724391,376366,452
2008-01-10$15.63$16.2526.6%7.6%20.4%55.7%28.8%4.5%2.0%907.7K-271.5M-1.0M0.728.4928,89620,816388,232369,272
2008-01-11$15.18$16.2529.2%8.4%22.7%65.6%28.7%4.6%1.3%-184.4K-205.1M-1.0M0.666.7318,66012,260397,564386,380
2008-01-14$15.18$15.0029.3%8.4%22.4%66.0%29.2%5.1%1.3%-318.1K-201.6M-1.0M0.989.843,9563,884403,664388,336
2008-01-15$14.27$15.0032.6%9.3%30.6%78.5%30.7%5.1%0.4%-499.4K-89.4M-953.1K0.739.1119,90014,596401,064388,880
2008-01-16$14.42$15.0029.0%8.3%30.7%65.0%30.7%6.1%1.9%-370.1K-126.9M-954.2K1.058.5710,15610,708409,320372,532
2008-01-17$13.99$15.0033.2%9.5%31.4%80.9%31.5%6.0%-0.1%-228.5K-90.2M-925.9K2.027.295,32810,736406,156376,304
2008-01-18$14.13$15.0033.6%9.6%31.8%82.5%31.7%6.9%-0.3%-489.0K-110.5M-922.8K2.6911.977,90421,268407,272372,772
2008-01-22$14.32$15.0036.7%10.5%29.1%93.9%35.0%6.8%0.2%-643.4K-12.9M-983.8K0.846.7516,50413,936171,556156,144
2008-01-23$14.38$15.0032.4%9.3%29.1%77.9%33.8%7.3%0.3%-574.2K-16.7M-1.0M1.2914.868,75611,328178,468161,012
2008-01-24$14.35$15.0032.0%9.2%28.5%76.5%29.5%5.9%1.8%-812.6K-12.7M-994.6K1.209.2117,25220,616181,440163,512
2008-01-25$14.00$15.0031.1%8.9%29.1%72.7%30.4%6.2%2.9%-657.2K1.7M-1.0M0.328.5516,1925,232191,612168,156
2008-01-28$14.32$15.0031.9%9.1%31.0%75.9%29.8%4.4%1.7%-206.3K-29.4M-1.0M0.418.958,1483,336203,224169,524
2008-01-29$14.34$15.0031.9%9.1%31.0%75.8%28.1%4.4%1.1%-149.6K-31.9M-1.0M0.2011.8913,9282,772205,780170,524
2008-01-30$14.85$15.0026.9%7.7%34.2%56.8%26.9%1.9%3.4%995.2K-76.2M-1.1M0.5414.6724,04812,964215,000171,776
2008-01-31$15.33$15.0028.6%8.2%36.2%63.5%26.5%4.6%2.4%1.7M-118.5M-1.1M0.7219.0017,29212,516221,008177,016