NKE Options History — August 2008

In August 2008, NKE traded between $14.73 and $15.82. ATM implied volatility averaged 30.2%, placing in the 46.4% IV rank vs the trailing year. The 30-day expected move averaged 8.6%. IV traded above realized volatility by 3.2% (HV 20d: 26.9%). Max pain ranged from $15.00 to $15.00. Net GEX was positive for 4 of 21 trading days. Term structure was in contango for 21 of 21 days. Put/call ratio averaged 1.20.

Notable Days

  • 2008-08-28: Highest Volume — 28,840 contracts
  • 2008-08-11: Largest IV spike — 13.7% change
  • 2008-08-12: Highest IV Rank — 59.6%
  • 2008-08-12: Largest Expected Move — 9.3%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$15.28$14.73$15.82$14.85$15.15
Max Pain$15.00$15.00$15.00$15.00$15.00
ATM IV30.2%26.8%33.1%30.4%26.8%
Expected Move8.6%7.7%9.3%8.7%7.7%
HV 20d26.9%24.8%31.6%31.6%25.7%
HV 60d34.2%33.5%34.8%34.0%33.7%
IV Rank46.4%31.1%59.6%47.6%31.1%
IV Percentile53.0%31.7%78.6%52.0%31.7%
Term Structure2.9%0.4%5.2%0.4%5.1%
VWIV30.2%26.6%33.4%33.4%26.7%
Skew 25d4.2%2.1%5.4%5.3%2.1%
Skew 10d8.6%1.8%11.7%10.5%1.8%
Call IV 25d28.1%24.5%29.7%29.2%26.3%
Put IV 25d32.4%28.4%34.4%34.4%28.4%
Bid-Ask Spread %9.895.6116.9412.309.42
Gamma HHI0.270.220.400.400.27
Net GEX-1.5M-3.4M643.1K-1.5M-3.1M
Net DEX-5.8M-100.3M85.6M43.2M31.0M
Net VEX-2.4M-2.5M-2.3M-2.4M-2.3M
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.200.204.021.471.36
Total Volume14,955.0485,04028,8407,4206,540
Total OI778,655.429733,220843,776774,316768,148

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2008-08-01$14.85$15.0030.4%8.7%31.6%47.6%33.4%5.3%0.4%-1.5M43.2M-2.4M1.4712.303,0084,412357,900416,416
2008-08-04$14.95$15.0031.9%9.1%28.5%54.3%32.8%4.2%1.8%-1.4M32.7M-2.4M0.788.564,7843,720359,328417,848
2008-08-05$15.39$15.0032.2%9.0%28.2%55.7%30.4%4.6%1.8%-458.9K-28.2M-2.4M0.566.5110,8126,096362,136419,160
2008-08-06$15.55$15.0031.8%9.0%26.4%53.5%31.7%3.9%2.2%-112.3K-57.5M-2.4M0.969.505,2765,048365,272421,876
2008-08-07$15.21$15.0030.7%9.1%26.3%48.6%32.3%3.9%2.2%-632.7K-10.4M-2.4M1.136.315,2125,900365,592423,128
2008-08-08$15.74$15.0028.7%8.3%28.3%39.7%29.5%4.0%2.7%293.9K-80.7M-2.5M0.5210.0818,2609,580367,460423,636
2008-08-11$15.82$15.0032.6%8.7%27.8%57.5%30.7%4.3%1.9%643.1K-100.3M-2.5M1.0016.5011,62011,576375,120427,212
2008-08-12$15.53$15.0033.1%9.3%27.4%59.6%31.0%4.8%1.6%23.4K-57.5M-2.4M0.809.6614,16411,284377,688431,868
2008-08-13$15.49$15.0029.6%9.3%27.4%43.8%31.4%5.4%1.9%-154.0K-56.1M-2.4M1.979.294,7769,424385,436437,036
2008-08-14$15.50$15.0031.9%9.1%27.3%54.0%31.8%4.6%1.9%123.9K-50.5M-2.5M3.589.486,15222,000388,284439,372
2008-08-15$15.57$15.0031.2%8.9%27.1%50.8%31.4%5.3%2.7%-1.5M-73.0M-2.4M0.5010.723,3521,688390,044453,732
2008-08-18$15.41$15.0031.1%8.9%27.0%50.4%29.8%5.0%3.1%-1.8M-8.8M-2.4M0.8613.163,9763,412337,396395,824
2008-08-19$15.26$15.0030.6%8.8%26.7%48.4%29.6%3.4%2.7%-2.0M9.3M-2.4M0.6916.946,9004,784338,756397,884
2008-08-20$15.16$15.0030.1%8.6%26.7%46.0%30.3%4.4%3.9%-2.1M20.3M-2.4M4.0211.213,10812,504341,172399,576
2008-08-21$15.15$15.0029.2%8.4%25.7%42.0%28.9%4.3%4.2%-2.6M31.8M-2.4M1.647.948,72414,328343,284407,492
2008-08-22$15.28$15.0028.3%8.1%25.8%38.0%26.9%3.4%3.9%-2.6M15.0M-2.4M0.545.616,0483,260342,264414,420
2008-08-25$14.93$15.0028.9%8.3%26.6%40.5%29.1%3.8%4.8%-3.1M60.2M-2.3M0.617.904,0522,452344,572414,976
2008-08-26$14.73$15.0029.6%8.5%24.8%43.8%29.7%3.7%3.6%-3.4M85.6M-2.3M0.2012.3714,6602,892344,724416,000
2008-08-27$14.92$15.0028.4%8.1%24.9%38.2%30.8%4.8%4.2%-2.9M61.4M-2.3M1.476.823,8165,616351,176417,064
2008-08-28$15.30$15.0026.8%7.7%25.6%31.2%26.6%4.0%5.2%-2.4M9.7M-2.3M0.577.4718,31610,524350,992420,500
2008-08-29$15.15$15.0026.8%7.7%25.7%31.1%26.7%2.1%5.1%-3.1M31.0M-2.3M1.369.422,7763,764347,136421,012