NKE Options History — June 2008

In June 2008, NKE traded between $14.88 and $17.52. ATM implied volatility averaged 30.4%, placing in the 56.0% IV rank vs the trailing year. The 30-day expected move averaged 8.9%. IV traded above realized volatility by 1.6% (HV 20d: 28.8%). Max pain ranged from $16.25 to $17.50. Net GEX was positive for 13 of 21 trading days. Term structure was in contango for 5 of 21 days. Put/call ratio averaged 1.71.

Notable Days

  • 2008-06-26: Highest Volume — 207,824 contracts
  • 2008-06-11: Largest IV spike — 22.3% change
  • 2008-06-23: Highest IV Rank — 76.0%
  • 2008-06-23: Largest Expected Move — 10.4%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$16.64$14.88$17.52$16.79$14.90
Max Pain$16.49$16.25$17.50$17.50$16.25
ATM IV30.4%23.9%36.3%25.5%29.0%
Expected Move8.9%6.9%10.4%7.3%8.3%
HV 20d28.8%24.0%44.0%24.3%43.8%
HV 60d28.3%22.8%31.4%31.4%30.8%
IV Rank56.0%38.0%76.0%43.4%45.7%
IV Percentile66.3%23.8%95.2%38.1%49.2%
Term Structure-1.1%-4.2%4.4%3.3%0.9%
VWIV31.8%25.1%35.2%25.1%29.2%
Skew 25d4.3%3.2%5.8%3.3%3.3%
Skew 10d8.4%2.6%15.3%10.9%2.6%
Call IV 25d29.6%22.6%34.2%22.9%28.5%
Put IV 25d33.9%26.2%37.4%26.2%31.7%
Bid-Ask Spread %10.215.4915.1711.696.92
Gamma HHI0.260.200.300.270.30
Net GEX243.6K-3.5M3.2M-191.6K-2.9M
Net DEX-110.4M-217.4M127.5M-132.2M108.9M
Net VEX-2.2M-2.5M-1.7M-1.7M-2.5M
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.710.595.531.211.44
Total Volume41,558.0956,064207,8246,06433,724
Total OI644,128552,144824,508552,144824,508

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2008-06-02$16.79$17.5025.5%7.3%24.3%43.4%25.1%3.3%3.3%-191.6K-132.2M-1.7M1.2111.692,7443,320277,404274,740
2008-06-03$16.74$17.5026.5%7.6%24.0%46.8%27.1%4.9%3.4%-218.7K-130.2M-1.7M4.9710.542,08810,376277,636275,344
2008-06-04$16.98$17.5023.9%6.9%24.4%38.0%25.5%5.8%4.4%826.5K-156.8M-1.7M0.635.4910,2406,444278,112274,060
2008-06-05$17.52$17.5024.8%7.1%26.2%40.8%26.4%5.7%4.3%3.2M-217.4M-1.7M1.068.5850,33253,236280,756277,128
2008-06-06$16.98$16.2525.8%8.5%26.4%44.4%31.0%3.9%-0.8%1.2M-161.1M-1.9M1.1610.935,7806,684296,504295,720
2008-06-09$17.14$16.2526.8%9.0%26.5%47.9%33.9%4.1%-1.7%1.9M-175.7M-1.9M3.718.644,54016,832295,036290,728
2008-06-10$17.12$16.2526.6%9.0%26.5%47.3%34.4%4.7%-1.8%1.7M-171.0M-2.2M1.019.296,2646,296315,548314,936
2008-06-11$16.86$16.2532.6%10.1%27.2%67.6%34.4%4.8%-3.5%309.6K-139.0M-2.3M1.228.656,7768,296313,848316,736
2008-06-12$16.70$16.2534.6%9.9%25.7%69.1%34.4%4.9%-2.6%-414.9K-124.4M-2.3M0.8012.767,3205,848317,268318,700
2008-06-13$17.25$16.2531.4%9.0%28.1%55.8%32.6%4.5%-1.6%2.4M-187.3M-2.2M0.9112.6113,40012,260319,220319,508
2008-06-16$17.09$16.2532.6%9.4%28.2%60.8%33.2%4.7%-2.8%2.1M-173.9M-2.3M0.6414.1613,6888,820326,428322,300
2008-06-17$17.00$16.2532.3%9.3%28.3%59.5%34.5%4.6%-2.6%1.8M-162.6M-2.3M0.7414.838,2886,104328,576326,876
2008-06-18$16.97$16.2532.8%9.4%28.0%61.7%34.8%4.9%-2.8%536.2K-154.1M-2.3M5.5312.382,53213,992323,420328,848
2008-06-19$16.96$16.2532.8%9.4%25.7%61.5%34.7%4.0%-3.0%503.5K-150.7M-2.3M2.2015.174,86010,672324,116328,956
2008-06-20$16.68$16.2534.9%10.0%26.5%70.3%33.3%3.8%-3.8%211.1K-120.5M-2.2M1.857.4518,94435,036326,260333,416
2008-06-23$16.73$16.2536.3%10.4%26.5%76.0%35.2%3.2%-4.2%542.7K-129.8M-2.3M2.066.9512,67626,084306,480322,948
2008-06-24$16.49$16.2534.3%9.8%26.2%67.6%34.0%3.3%-2.9%-219.6K-93.6M-2.4M2.447.1727,70467,588312,756349,168
2008-06-25$16.49$16.2534.2%9.8%25.0%67.5%33.7%4.1%-3.8%-1.2M-81.5M-2.5M0.6612.6843,18428,324324,104397,540
2008-06-26$14.88$16.2530.5%8.8%43.4%52.1%30.4%3.8%-0.7%-3.5M127.5M-2.3M1.0011.94104,068103,756344,996400,532
2008-06-27$15.09$16.2530.5%8.7%44.0%51.6%30.6%4.0%-0.0%-3.4M107.0M-2.3M0.595.5739,91623,684344,996400,532
2008-06-30$14.90$16.2529.0%8.3%43.8%45.7%29.2%3.3%0.9%-2.9M108.9M-2.5M1.446.9213,80819,916388,872435,636