NKE Options History — March 2008

In March 2008, NKE traded between $14.24 and $17.27. ATM implied volatility averaged 34.2%, placing in the 76.0% IV rank vs the trailing year. The 30-day expected move averaged 9.4%. IV traded above realized volatility by 3.1% (HV 20d: 31.1%). Max pain ranged from $15.00 to $15.00. Net GEX was positive for 20 of 20 trading days. Term structure was in contango for 7 of 20 days. Put/call ratio averaged 1.74.

Notable Days

  • 2008-03-19: Highest Volume — 142,244 contracts
  • 2008-03-20: Largest IV drop — 20.2% change
  • 2008-03-10: Highest IV Rank — 100.0%
  • 2008-03-19: Largest Expected Move — 11.0%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$15.60$14.24$17.27$15.02$17.00
Max Pain$15.00$15.00$15.00$15.00$15.00
ATM IV34.2%29.5%42.0%33.8%30.9%
Expected Move9.4%8.5%11.0%9.7%8.9%
HV 20d31.1%19.3%44.5%22.3%43.8%
HV 60d30.6%27.3%35.3%27.3%35.3%
IV Rank76.0%57.1%100.0%82.5%61.8%
IV Percentile86.5%64.3%100.0%93.3%70.2%
Term Structure-0.9%-4.3%3.9%-3.8%0.1%
VWIV33.3%29.7%37.5%34.3%31.9%
Skew 25d3.5%0.9%4.9%3.5%3.4%
Skew 10d6.5%-0.3%10.9%5.3%7.8%
Call IV 25d31.5%27.2%36.1%32.5%31.0%
Put IV 25d35.0%31.9%39.7%36.0%34.4%
Bid-Ask Spread %9.904.4616.086.487.59
Gamma HHI0.240.160.360.240.22
Net GEX1.6M218.9K5.0M411.0K1.4M
Net DEX-116.9M-328.6M6.4M-59.2M-205.4M
Net VEX-1.3M-1.6M-1.1M-1.2M-1.6M
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.740.215.404.230.73
Total Volume39,967.48,184142,2449,49221,872
Total OI498,012.4441,728596,136443,204569,480

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2008-03-03$15.02$15.0033.8%9.7%22.3%82.5%34.3%3.5%-3.8%411.0K-59.2M-1.2M4.236.481,8167,676229,796213,408
2008-03-04$15.11$15.0034.6%9.9%20.1%85.6%33.9%3.9%-3.8%624.2K-68.9M-1.2M4.306.473,91616,836229,604212,124
2008-03-05$15.20$15.0034.8%10.0%19.3%86.1%35.1%2.5%-3.9%402.5K-69.7M-1.2M0.644.4612,3407,944231,492219,236
2008-03-06$14.89$15.0035.9%10.3%20.7%90.6%36.2%0.9%-4.3%218.9K-38.0M-1.2M0.815.8912,2529,928227,564219,732
2008-03-07$14.56$15.0036.8%9.1%21.6%94.2%31.6%3.3%-1.1%358.1K-18.6M-1.2M1.3614.938,28811,280233,232215,136
2008-03-10$14.24$15.0042.0%9.9%22.7%100.0%33.5%3.5%-2.1%373.8K6.4M-1.1M0.3911.0512,9725,060236,572214,500
2008-03-11$14.48$15.0037.3%9.0%23.8%84.0%32.5%3.9%-1.2%893.6K-14.5M-1.2M1.8711.8610,01218,724242,868214,208
2008-03-12$14.94$15.0039.1%9.1%26.2%89.9%32.8%3.4%-1.0%1.0M-65.5M-1.2M4.3510.795,95225,884250,376222,432
2008-03-13$15.26$15.0033.2%9.5%26.4%69.7%34.5%3.6%-1.0%913.1K-95.2M-1.2M1.5510.098,54413,232250,500232,772
2008-03-14$14.99$15.0034.2%9.8%27.0%73.2%35.1%3.7%-0.9%1.6M-74.3M-1.3M1.269.8513,64017,120254,720227,592
2008-03-17$14.81$15.0036.7%10.5%27.2%81.7%36.2%2.9%-2.5%1.9M-56.9M-1.2M0.2111.3632,7246,792260,588230,656
2008-03-18$15.42$15.0033.1%9.5%30.3%69.6%34.4%4.9%-0.1%5.0M-146.9M-1.3M0.7916.0816,52813,052305,376231,700
2008-03-19$15.46$15.0038.4%11.0%30.4%87.4%37.5%3.6%-1.6%4.5M-163.4M-1.3M1.2510.9163,19279,052311,060237,296
2008-03-20$16.82$15.0030.6%8.8%41.9%60.9%31.6%4.9%3.9%2.9M-328.6M-1.3M1.0114.0647,16047,812315,292280,844
2008-03-24$17.27$15.0029.5%8.5%42.6%57.1%29.7%2.9%0.8%3.0M-247.7M-1.2M1.0612.0254,10457,092239,952217,620
2008-03-25$17.09$15.0029.7%8.5%42.8%57.6%32.1%4.3%0.7%1.1M-200.3M-1.4M0.745.9644,49232,848263,404263,524
2008-03-26$16.57$15.0031.2%9.0%44.5%63.0%31.3%3.9%0.7%1.6M-167.9M-1.6M1.896.539,88418,680280,748269,020
2008-03-27$16.50$15.0031.1%8.9%44.5%62.6%30.0%3.7%1.2%1.7M-163.1M-1.6M1.069.843,9644,220282,136270,520
2008-03-28$16.46$15.0031.0%8.9%44.4%62.1%32.3%2.8%1.3%1.8M-160.8M-1.6M5.4011.843,51218,952283,552269,616
2008-03-31$17.00$15.0030.9%8.9%43.8%61.8%31.9%3.4%0.1%1.4M-205.4M-1.6M0.737.5912,6569,216285,140284,340