NKE Options History — May 2008

In May 2008, NKE traded between $16.19 and $17.10. ATM implied volatility averaged 23.9%, placing in the 37.8% IV rank vs the trailing year. The 30-day expected move averaged 7.0%. IV traded above realized volatility by 2.7% (HV 20d: 21.2%). Max pain ranged from $16.25 to $17.50. Net GEX was positive for 9 of 21 trading days. Term structure was in contango for 21 of 21 days. Put/call ratio averaged 1.19.

Notable Days

  • 2008-05-08: Highest Volume — 68,712 contracts
  • 2008-05-14: Largest IV drop — 22.4% change
  • 2008-05-28: Highest IV Rank — 46.4%
  • 2008-05-28: Largest Expected Move — 7.6%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$16.67$16.19$17.10$16.95$17.09
Max Pain$17.38$16.25$17.50$16.25$17.50
ATM IV23.9%19.9%26.4%22.7%21.4%
Expected Move7.0%6.2%7.6%6.5%6.2%
HV 20d21.2%17.6%24.6%19.5%23.4%
HV 60d31.1%30.5%31.6%30.5%31.4%
IV Rank37.8%24.3%46.4%33.7%29.5%
IV Percentile29.7%11.9%44.8%25.4%15.5%
Term Structure3.2%0.9%5.3%0.9%5.3%
VWIV24.2%22.5%25.9%23.1%22.8%
Skew 25d2.8%0.7%7.1%2.0%5.3%
Skew 10d5.7%-1.3%16.4%13.3%14.2%
Call IV 25d23.4%19.6%25.5%22.6%19.6%
Put IV 25d26.1%24.3%27.9%24.5%24.9%
Bid-Ask Spread %9.785.5014.015.5011.58
Gamma HHI0.250.210.410.210.25
Net GEX-551.0K-4.0M1.6M358.0K768.6K
Net DEX-112.0M-168.1M4.4M-131.8M-163.4M
Net VEX-1.6M-1.9M-714.4K-1.4M-1.7M
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.190.154.521.650.77
Total Volume19,659.2383,62068,71210,0209,804
Total OI500,415.619292,360563,504455,920548,236

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2008-05-01$16.95$16.2522.7%6.5%19.5%33.7%23.1%2.0%0.9%358.0K-131.8M-1.4M1.655.503,7886,232228,128227,792
2008-05-02$16.91$16.2522.3%6.4%19.4%32.3%22.5%1.9%1.1%6.5K-126.8M-1.4M0.795.802,0241,596228,636230,672
2008-05-05$16.75$17.5025.1%7.3%17.6%42.0%24.0%3.3%3.1%-550.6K-111.0M-1.4M0.8110.392,4161,960229,032230,988
2008-05-06$16.89$17.5022.8%7.0%17.8%34.0%24.7%2.1%2.7%-27.9K-126.7M-1.4M3.1412.092,9609,296228,536231,592
2008-05-07$16.69$17.5025.2%7.4%18.4%42.2%24.8%3.0%2.8%-935.4K-106.5M-1.4M1.909.592,1444,064229,488229,060
2008-05-08$16.20$17.5026.0%7.4%20.4%45.1%25.7%2.8%3.0%-2.1M-64.4M-1.4M1.4511.1128,01640,696230,512229,740
2008-05-09$16.22$17.5025.0%7.3%20.2%41.7%25.3%2.5%3.5%-3.1M-65.2M-1.6M0.8711.415,6524,924251,108256,060
2008-05-12$16.34$17.5025.9%7.4%20.2%44.8%25.7%2.7%3.3%-4.0M4.4M-714.4K4.5212.623,26814,756133,732158,628
2008-05-13$16.41$17.5025.7%7.3%20.3%44.0%25.2%2.8%3.5%-3.4M-89.5M-1.5M0.8411.133,4842,916254,112256,908
2008-05-14$16.86$17.5019.9%7.4%22.4%24.3%24.8%1.8%3.0%-419.0K-136.3M-1.5M0.799.8216,67213,132255,872255,084
2008-05-15$17.00$17.5022.9%6.6%21.2%34.4%23.5%3.1%3.6%824.5K-151.1M-1.5M0.409.4221,0008,432264,660264,084
2008-05-16$16.88$17.5021.9%6.3%21.3%31.1%22.5%2.5%3.9%364.9K-142.0M-1.8M0.959.705,9725,656281,104279,440
2008-05-19$16.95$17.5022.3%6.4%20.9%32.3%22.8%2.0%3.6%641.2K-144.9M-1.7M0.5013.3411,0645,524259,092259,276
2008-05-20$16.76$17.5024.0%6.9%21.1%38.2%23.5%3.1%3.9%489.9K-130.5M-1.8M1.837.3710,24418,788265,320260,980
2008-05-21$16.28$17.5024.1%6.9%23.3%38.4%24.2%1.6%4.1%-585.2K-87.1M-1.8M1.446.418,98412,980270,932263,260
2008-05-22$16.25$17.5024.1%6.9%23.0%38.7%23.6%2.5%4.1%-742.3K-82.6M-1.8M0.206.6512,7802,536271,856265,812
2008-05-23$16.19$17.5024.7%7.1%22.6%40.7%25.3%0.7%3.9%-1.0M-75.8M-1.8M0.486.628,3324,032269,048266,568
2008-05-27$16.50$17.5025.7%7.4%23.5%44.0%25.9%2.0%3.4%-513.5K-102.3M-1.8M0.7814.0118,64814,580270,180267,432
2008-05-28$16.84$17.5026.4%7.6%24.6%46.4%24.1%3.2%2.1%831.2K-149.6M-1.9M0.159.4330,2924,428285,908277,596
2008-05-29$17.10$17.5023.6%6.8%23.9%36.9%25.1%7.1%3.2%1.6M-168.1M-1.7M0.8311.3715,73613,036276,092266,172
2008-05-30$17.09$17.5021.4%6.2%23.4%29.5%22.8%5.3%5.3%768.6K-163.4M-1.7M0.7711.585,5404,264273,636274,600