NKE Options History — February 2008

In February 2008, NKE traded between $14.95 and $15.65. ATM implied volatility averaged 30.8%, placing in the 71.5% IV rank vs the trailing year. The 30-day expected move averaged 9.3%. IV traded below realized volatility by 0.4% (HV 20d: 31.1%). Max pain ranged from $13.75 to $15.00. Net GEX was positive for 20 of 20 trading days. Term structure was in contango for 1 of 20 days. Put/call ratio averaged 1.86.

Notable Days

  • 2008-02-22: Highest Volume — 48,088 contracts
  • 2008-02-14: Largest IV spike — 53.4% change
  • 2008-02-11: Highest IV Rank — 85.2%
  • 2008-02-05: Largest Expected Move — 10.1%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$15.32$14.95$15.65$15.63$15.05
Max Pain$14.69$13.75$15.00$15.00$15.00
ATM IV30.8%22.2%34.4%24.9%32.5%
Expected Move9.3%7.1%10.1%7.1%9.3%
HV 20d31.1%23.5%38.4%36.8%23.5%
HV 60d28.1%27.3%28.7%28.1%27.5%
IV Rank71.5%39.4%85.2%49.5%77.3%
IV Percentile79.1%44.8%96.0%56.0%88.5%
Term Structure-1.8%-2.9%3.6%3.6%-2.6%
VWIV32.0%26.0%37.2%26.0%32.5%
Skew 25d4.4%1.8%6.4%1.8%3.2%
Skew 10d8.2%0.8%12.6%0.8%5.8%
Call IV 25d30.1%25.1%32.8%25.1%31.6%
Put IV 25d34.4%26.9%37.8%26.9%34.8%
Bid-Ask Spread %9.295.4414.165.4410.71
Gamma HHI0.280.230.380.380.26
Net GEX949.2K89.9K1.9M1.9M89.9K
Net DEX-106.6M-150.5M-58.2M-135.2M-58.2M
Net VEX-1.1M-1.2M-1.1M-1.1M-1.2M
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.860.434.531.703.17
Total Volume17,040.23,19248,08817,43220,916
Total OI432,500391,944471,048400,964444,804

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2008-02-01$15.63$15.0024.9%7.1%36.8%49.5%26.0%1.8%3.6%1.9M-135.2M-1.1M1.705.446,45210,980219,968180,996
2008-02-04$15.19$13.7529.3%9.4%37.8%66.0%32.1%5.5%-1.7%778.0K-97.3M-1.1M0.757.428,5126,380221,056186,420
2008-02-05$14.95$13.7531.2%10.1%38.1%73.3%34.9%5.1%-2.6%520.5K-81.6M-1.1M0.5112.0722,23211,256224,956185,224
2008-02-06$15.01$13.7531.2%10.0%38.1%73.3%34.5%5.0%-2.6%1.2M-91.2M-1.1M1.6912.389,66816,332238,944189,572
2008-02-07$15.19$13.7530.1%9.9%38.4%69.0%34.9%5.3%-2.3%1.2M-110.2M-1.1M2.527.175,91614,896243,680201,188
2008-02-08$15.16$13.7531.0%10.0%38.2%72.4%37.2%5.8%-2.4%1.1M-107.4M-1.1M3.8810.613,46013,412243,588196,772
2008-02-11$15.16$15.0034.4%10.1%36.7%85.2%33.3%5.8%-2.7%339.5K-102.2M-1.1M1.626.348,06813,104243,516203,176
2008-02-12$15.34$15.0034.2%10.0%37.0%84.8%34.4%6.4%-2.8%220.8K-122.0M-1.1M1.206.6711,07613,252247,588210,760
2008-02-13$15.64$15.0022.2%9.1%29.0%39.4%33.6%4.9%-1.7%1.4M-149.5M-1.2M0.438.354,5681,976253,360217,688
2008-02-14$15.57$15.0034.1%9.8%29.1%84.3%31.9%4.9%-1.9%1.1M-148.2M-1.1M3.496.091,7966,260252,932213,876
2008-02-15$15.57$15.0033.8%9.7%26.3%83.1%32.6%4.5%-2.4%1.7M-150.5M-1.1M0.739.784,1803,060253,240215,396
2008-02-19$15.28$15.0033.4%9.6%27.7%81.5%32.6%5.3%-2.5%1.5M-100.7M-1.1M1.148.339,17210,432216,844175,100
2008-02-20$15.30$15.0031.6%9.1%27.4%74.8%31.7%4.8%-1.6%1.4M-98.9M-1.1M1.4912.692,9324,380217,624182,148
2008-02-21$15.08$15.0032.0%9.2%28.1%76.3%32.1%3.7%-1.9%1.2M-77.5M-1.1M1.266.952,7963,528217,592183,984
2008-02-22$15.15$15.0030.0%8.6%28.1%68.7%30.1%4.1%-1.1%1.3M-86.3M-1.1M4.3111.979,06439,024218,156185,296
2008-02-25$15.40$15.0030.6%8.8%26.5%71.0%29.8%3.7%-1.5%506.1K-92.3M-1.2M1.0312.169,90010,164222,200210,232
2008-02-26$15.65$15.0028.4%8.1%26.0%62.6%29.6%3.1%-1.5%627.1K-114.3M-1.2M0.5411.035,7963,136224,720215,448
2008-02-27$15.60$15.0030.6%8.8%26.1%69.8%28.3%2.5%-2.9%511.9K-109.3M-1.2M1.3214.161,3761,816227,740217,992
2008-02-28$15.51$15.0029.9%8.6%23.6%67.2%28.9%2.6%-1.2%397.8K-99.0M-1.2M4.535.551,7247,812227,944218,280
2008-02-29$15.05$15.0032.5%9.3%23.5%77.3%32.5%3.2%-2.6%89.9K-58.2M-1.2M3.1710.715,01615,900227,812216,992