NKE Options History — July 2008

In July 2008, NKE traded between $13.92 and $14.92. ATM implied volatility averaged 32.7%, placing in the 58.4% IV rank vs the trailing year. The 30-day expected move averaged 9.3%. IV traded below realized volatility by 8.5% (HV 20d: 41.2%). Max pain ranged from $15.00 to $16.25. Net GEX was positive for 0 of 22 trading days. Term structure was in contango for 18 of 22 days. Put/call ratio averaged 1.25.

Notable Days

  • 2008-07-01: Highest Volume — 64,504 contracts
  • 2008-07-07: Largest IV spike — 24.2% change
  • 2008-07-14: Highest IV Rank — 79.4%
  • 2008-07-14: Largest Expected Move — 10.7%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$14.48$13.92$14.92$14.75$14.67
Max Pain$15.17$15.00$16.25$16.25$15.00
ATM IV32.7%28.3%37.5%29.2%30.9%
Expected Move9.3%8.1%10.7%8.4%8.9%
HV 20d41.2%29.2%46.6%43.9%31.4%
HV 60d32.6%30.5%33.9%30.5%33.9%
IV Rank58.4%42.6%79.4%46.3%49.6%
IV Percentile74.0%44.8%97.6%50.4%59.5%
Term Structure0.6%-1.3%1.9%1.0%0.8%
VWIV32.9%28.8%38.2%29.6%30.9%
Skew 25d4.7%2.6%6.3%4.9%3.3%
Skew 10d10.0%-1.6%15.8%9.4%8.1%
Call IV 25d31.3%28.4%34.6%28.4%30.8%
Put IV 25d36.1%31.6%40.2%33.3%34.1%
Bid-Ask Spread %10.113.7712.8210.4010.56
Gamma HHI0.350.300.410.300.41
Net GEX-2.9M-3.7M-1.8M-3.2M-2.2M
Net DEX131.3M43.4M219.5M132.0M68.6M
Net VEX-2.3M-2.5M-2.2M-2.5M-2.4M
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.250.374.034.030.76
Total Volume23,776.9096,65264,50464,50414,268
Total OI807,154.545717,844886,888831,300765,516

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2008-07-01$14.75$16.2529.2%8.4%43.9%46.3%29.6%4.9%1.0%-3.2M132.0M-2.5M4.0310.4012,82451,680389,808441,492
2008-07-02$14.52$16.2529.5%8.5%43.3%47.8%30.1%2.6%0.6%-3.3M162.3M-2.4M1.1411.9210,29611,696395,196443,504
2008-07-03$14.63$16.2528.3%8.1%41.2%42.6%28.8%2.9%1.3%-3.4M153.3M-2.4M0.613.774,1362,516395,868443,920
2008-07-07$14.12$15.0035.1%9.5%41.6%71.2%31.7%5.7%1.3%-3.7M216.9M-2.2M1.0910.5722,92024,948397,216444,216
2008-07-08$14.58$15.0030.1%8.7%43.7%46.5%29.3%5.5%1.9%-3.2M155.1M-2.3M0.8912.5720,29218,028399,720440,764
2008-07-09$14.24$15.0035.6%9.7%44.0%70.9%32.9%4.5%0.7%-3.3M184.0M-2.3M1.5612.825,6448,816405,520439,800
2008-07-10$13.92$15.0035.3%10.1%44.2%69.4%34.3%4.9%0.2%-3.5M219.5M-2.2M1.469.207,05610,312408,884442,832
2008-07-11$14.06$15.0036.0%10.3%44.8%72.7%35.5%5.1%-0.3%-3.3M195.6M-2.3M1.409.727,36810,280410,288444,252
2008-07-14$13.95$15.0037.5%10.7%42.1%79.4%35.4%6.1%-1.3%-3.3M207.0M-2.2M0.397.619,1643,556412,768442,972
2008-07-15$14.41$15.0035.3%10.1%44.7%69.4%38.2%5.5%-0.6%-2.5M160.3M-2.3M2.9711.447,74023,000416,304442,208
2008-07-16$14.54$15.0034.4%9.9%45.2%65.5%36.8%6.3%0.3%-2.7M135.3M-2.4M1.3410.396,3408,468415,448447,328
2008-07-17$14.64$15.0034.1%9.8%45.4%63.9%34.7%5.3%-0.3%-2.3M128.9M-2.4M1.4812.4017,51225,984417,280449,148
2008-07-18$14.55$15.0033.3%9.6%45.3%60.6%33.7%4.5%0.8%-2.9M144.0M-2.4M0.3712.7030,63211,296425,780461,108
2008-07-21$14.38$15.0032.7%9.4%45.3%57.7%34.5%6.0%0.4%-2.8M106.1M-2.3M1.2310.088,44010,420326,420391,424
2008-07-22$14.67$15.0032.0%9.2%46.2%54.5%34.1%5.8%0.7%-2.5M78.6M-2.4M1.5010.075,8448,744331,532396,752
2008-07-23$14.80$15.0031.2%8.9%46.4%50.9%32.6%4.5%0.7%-2.6M57.7M-2.4M1.139.817,0167,952329,988401,600
2008-07-24$14.53$15.0030.6%8.8%46.6%48.2%32.0%4.1%1.3%-2.9M83.8M-2.4M1.2310.0116,36020,052332,092403,484
2008-07-25$14.54$15.0030.8%8.8%29.3%49.1%31.4%3.7%1.4%-2.5M83.2M-2.4M0.7411.768,5406,308336,724403,228
2008-07-28$14.31$15.0035.7%10.2%29.2%71.2%34.5%4.4%0.7%-2.7M106.9M-2.3M1.458.533,7925,480341,568407,324
2008-07-29$14.77$15.0030.2%8.7%31.3%46.6%31.0%4.3%1.3%-2.3M65.6M-2.4M0.429.4611,2124,660342,612411,156
2008-07-30$14.92$15.0031.4%9.0%31.3%51.9%31.6%4.3%0.6%-1.8M43.4M-2.4M0.436.538,0323,468348,648413,708
2008-07-31$14.67$15.0030.9%8.9%31.4%49.6%30.9%3.3%0.8%-2.2M68.6M-2.4M0.7610.568,1006,168352,544412,972