NKE Options History — April 2008

In April 2008, NKE traded between $16.45 and $17.39. ATM implied volatility averaged 27.2%, placing in the 49.3% IV rank vs the trailing year. The 30-day expected move averaged 7.8%. IV traded below realized volatility by 7.8% (HV 20d: 35.1%). Max pain ranged from $15.00 to $17.50. Net GEX was positive for 21 of 22 trading days. Term structure was in contango for 21 of 22 days. Put/call ratio averaged 1.31.

Notable Days

  • 2008-04-02: Highest Volume — 22,500 contracts
  • 2008-04-07: Largest IV spike — 9.5% change
  • 2008-04-07: Highest IV Rank — 67.7%
  • 2008-04-07: Largest Expected Move — 8.9%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$16.89$16.45$17.39$17.39$16.70
Max Pain$16.36$15.00$17.50$15.00$16.25
ATM IV27.2%23.0%32.6%29.4%24.9%
Expected Move7.8%6.6%8.9%8.4%7.1%
HV 20d35.1%19.3%45.4%44.0%19.3%
HV 60d33.5%30.6%36.2%35.5%30.6%
IV Rank49.3%34.7%67.7%56.7%41.2%
IV Percentile48.7%26.6%83.7%61.9%34.9%
Term Structure1.8%-0.0%4.1%0.2%0.6%
VWIV27.7%23.4%31.5%29.9%24.3%
Skew 25d3.3%1.2%4.6%3.5%3.1%
Skew 10d8.0%4.7%12.2%10.1%12.2%
Call IV 25d26.1%22.4%30.8%29.5%23.6%
Put IV 25d29.5%25.1%33.1%32.9%26.7%
Bid-Ask Spread %10.194.1816.628.657.49
Gamma HHI0.230.190.310.240.21
Net GEX1.3M-112.8K2.7M1.9M-112.8K
Net DEX-174.0M-255.5M-113.5M-255.5M-113.5M
Net VEX-1.4M-1.5M-1.4M-1.5M-1.4M
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.310.165.080.361.36
Total Volume13,093.2733,87222,50012,6129,884
Total OI531,651.091420,356608,720561,920454,272

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2008-04-01$17.39$15.0029.4%8.4%44.0%56.7%29.9%3.5%0.2%1.9M-255.5M-1.5M0.368.659,2483,364288,852273,068
2008-04-02$16.99$15.0030.2%8.7%45.4%59.5%31.1%2.3%0.1%1.8M-214.8M-1.5M0.5110.2014,9007,600289,408273,636
2008-04-03$17.23$15.0029.7%8.5%45.4%57.6%31.5%1.2%-0.0%1.8M-241.0M-1.5M1.3111.034,3725,732294,544277,264
2008-04-04$17.13$17.5029.8%8.6%44.6%58.0%30.5%4.0%1.4%1.5M-228.9M-1.5M0.5511.815,4763,008295,360278,600
2008-04-07$16.71$17.5032.6%8.9%44.8%67.7%29.4%3.9%1.4%1.6M-184.9M-1.5M0.817.3112,1409,816294,784278,392
2008-04-08$16.63$17.5031.0%8.8%43.7%62.3%29.6%4.6%1.3%1.7M-176.7M-1.5M0.948.018,7568,228295,176282,768
2008-04-09$16.61$17.5030.5%8.7%43.7%60.4%30.1%4.6%1.6%1.8M-174.0M-1.5M0.958.215,9085,596296,656285,284
2008-04-10$16.84$17.5029.6%8.5%42.8%57.4%28.2%4.3%2.2%1.2M-200.2M-1.5M0.9910.116,5446,448296,432287,692
2008-04-11$16.67$16.2529.5%8.4%42.8%57.0%28.3%4.2%2.5%1.8M-183.0M-1.5M1.3110.713,5844,700300,288290,924
2008-04-14$16.52$16.2529.6%8.5%42.3%57.5%29.2%4.0%2.4%2.7M-158.1M-1.4M2.5812.263,4568,912297,128290,464
2008-04-15$16.45$16.2528.4%8.2%42.0%53.4%30.1%4.2%2.9%2.7M-148.1M-1.4M4.0514.613,92415,888294,840294,116
2008-04-16$16.52$16.2527.5%7.9%40.0%50.3%27.5%4.1%3.5%2.6M-157.3M-1.4M0.8411.215,2764,412295,380304,156
2008-04-17$16.89$16.2525.0%7.2%40.5%41.5%26.2%3.9%4.1%547.8K-198.0M-1.4M0.2310.5014,4763,284295,516303,900
2008-04-18$16.97$16.2524.5%7.0%27.4%39.9%25.2%3.5%4.1%225.8K-213.4M-1.4M0.7316.627,7765,688304,752303,968
2008-04-21$17.16$16.2524.6%7.1%26.0%40.3%24.7%3.2%1.0%707.1K-145.3M-1.4M1.4912.058,90013,304207,556212,800
2008-04-22$17.01$16.2524.8%7.1%25.9%41.0%25.8%2.6%1.8%445.6K-136.5M-1.4M0.1610.6914,5962,324207,556212,800
2008-04-23$16.89$16.2524.2%6.9%23.3%39.0%25.4%2.5%1.9%453.3K-129.4M-1.4M1.2313.024,2125,196221,672222,580
2008-04-24$17.02$16.2523.4%6.7%23.3%36.3%24.2%1.9%1.9%748.9K-139.9M-1.4M1.5310.921,5282,344223,584223,804
2008-04-25$17.18$16.2523.3%6.7%23.5%35.9%29.5%3.3%1.9%1.1M-151.4M-1.4M5.087.311,4647,436224,084224,288
2008-04-28$16.95$16.2523.8%6.8%21.3%37.5%25.5%2.0%1.2%549.5K-134.2M-1.4M0.587.236,3443,708224,276222,436
2008-04-29$17.06$16.2523.0%6.6%19.6%34.7%23.4%2.5%1.3%1.0M-144.9M-1.4M1.264.183,6724,628226,996224,272
2008-04-30$16.70$16.2524.9%7.1%19.3%41.2%24.3%3.1%0.6%-112.8K-113.5M-1.4M1.367.494,1925,692227,644226,628