NKE Options History — September 2008

In September 2008, NKE traded between $14.71 and $16.95. ATM implied volatility averaged 37.4%, placing in the 71.9% IV rank vs the trailing year. The 30-day expected move averaged 10.9%. IV traded above realized volatility by 1.8% (HV 20d: 35.5%). Max pain ranged from $15.00 to $15.00. Net GEX was positive for 2 of 21 trading days. Term structure was in contango for 3 of 21 days. Put/call ratio averaged 1.38.

Notable Days

2008-09-03: Highest Volume — 92,992 contracts
2008-09-29: Largest IV spike — 29.6% change
2008-09-17: Highest IV Rank — 100.0%
2008-09-24: Largest Expected Move — 13.8%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$15.51	$14.71	$16.95	$15.29	$16.73
Max Pain	$15.00	$15.00	$15.00	$15.00	$15.00
ATM IV	37.4%	28.7%	48.0%	28.7%	41.7%
Expected Move	10.9%	8.2%	13.8%	8.2%	11.9%
HV 20d	35.5%	23.9%	58.5%	25.8%	58.5%
HV 60d	35.4%	32.4%	40.2%	33.3%	39.8%
IV Rank	71.9%	39.6%	100.0%	39.6%	77.5%
IV Percentile	84.4%	39.3%	100.0%	39.3%	97.6%
Term Structure	-3.4%	-8.9%	4.4%	4.4%	-2.5%
VWIV	38.5%	27.1%	48.1%	27.1%	41.4%
Skew 25d	5.4%	2.3%	6.8%	2.3%	6.2%
Skew 10d	11.7%	3.0%	15.9%	6.3%	15.9%
Call IV 25d	35.6%	26.7%	46.5%	26.7%	38.0%
Put IV 25d	41.0%	29.0%	50.0%	29.0%	44.2%
Bid-Ask Spread %	14.18	6.12	48.33	12.87	17.33
Gamma HHI	0.22	0.18	0.27	0.27	0.20
Net GEX	-2.2M	-3.9M	1.4M	-2.9M	725.3K
Net DEX	-39.3M	-238.2M	76.8M	13.7M	-201.9M
Net VEX	-2.7M	-2.9M	-2.3M	-2.3M	-2.8M
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	1.38	0.43	4.23	0.62	0.57
Total Volume	30,266.476	4,740	92,992	8,896	19,640
Total OI	856,580.571	768,496	911,804	770,244	868,348

Daily Data (21 trading days)

Date	Price	Max Pain	ATM IV	Exp Move	HV 20d	IV Rank	VWIV	Skew 25d	Term Str	GEX	DEX	VEX	P/C	Spread %	Call Vol	Put Vol	Call OI	Put OI
2008-09-02	$15.29	$15.00	28.7%	8.2%	25.8%	39.6%	27.1%	2.3%	4.4%	-2.9M	13.7M	-2.3M	0.62	12.87	5,488	3,408	348,600	421,644
2008-09-03	$15.48	$15.00	29.0%	8.3%	23.9%	41.1%	31.7%	2.8%	3.5%	-2.6M	-8.9M	-2.3M	0.43	12.51	64,988	28,004	346,988	421,508
2008-09-04	$14.94	$15.00	30.4%	8.7%	26.8%	47.4%	33.7%	3.1%	3.3%	-3.1M	42.5M	-2.6M	4.23	6.12	3,060	12,936	382,028	444,540
2008-09-05	$14.71	$15.00	29.5%	9.7%	26.2%	43.3%	32.7%	4.8%	-2.1%	-3.8M	76.8M	-2.5M	1.67	12.83	3,316	5,528	381,824	448,872
2008-09-08	$15.08	$15.00	31.6%	9.9%	24.8%	52.7%	36.6%	6.4%	-3.1%	-3.2M	28.1M	-2.5M	1.19	11.40	24,392	29,088	381,628	449,804
2008-09-09	$15.07	$15.00	33.6%	10.6%	24.7%	62.0%	35.6%	5.9%	-4.1%	-2.8M	14.3M	-2.8M	0.51	7.72	5,288	2,692	401,220	470,548
2008-09-10	$14.97	$15.00	33.1%	10.4%	24.0%	59.6%	38.0%	5.7%	-3.8%	-3.2M	35.7M	-2.8M	0.72	13.92	6,580	4,708	402,900	471,072
2008-09-11	$15.24	$15.00	36.5%	10.5%	25.0%	74.8%	36.9%	6.7%	-4.2%	-2.7M	1.8M	-2.8M	2.61	13.08	8,844	23,088	404,148	472,828
2008-09-12	$15.48	$15.00	37.1%	10.6%	25.7%	77.6%	36.1%	6.3%	-3.8%	-3.2M	-32.0M	-2.8M	3.22	7.43	7,136	22,976	405,332	485,876
2008-09-15	$15.13	$15.00	40.1%	11.5%	26.9%	91.2%	38.9%	6.3%	-5.9%	-3.2M	6.1M	-2.8M	2.11	13.44	6,668	14,060	404,592	477,552
2008-09-16	$15.30	$15.00	40.2%	11.5%	27.0%	91.6%	39.0%	6.8%	-5.8%	-3.3M	-1.7M	-2.8M	0.50	8.52	8,400	4,192	405,804	486,172
2008-09-17	$14.89	$15.00	43.8%	12.6%	28.5%	100.0%	45.3%	6.5%	-7.9%	-3.9M	44.6M	-2.7M	1.60	15.61	1,820	2,920	407,384	485,460
2008-09-18	$16.16	$15.00	41.2%	11.8%	40.9%	89.2%	39.8%	5.8%	-7.3%	-77.0K	-155.3M	-2.8M	0.94	48.33	28,200	26,504	407,564	484,464
2008-09-19	$15.93	$15.00	37.8%	10.8%	41.4%	74.7%	39.5%	6.4%	-5.4%	-2.1M	-107.6M	-2.8M	1.96	12.44	8,188	16,040	410,296	501,508
2008-09-22	$15.79	$15.00	42.6%	12.2%	41.5%	95.1%	43.4%	6.0%	-5.3%	-1.9M	-78.8M	-2.8M	0.71	11.48	16,292	11,596	378,696	450,184
2008-09-23	$15.21	$15.00	45.5%	13.0%	42.9%	100.0%	44.7%	3.9%	-5.9%	-2.6M	-2.2M	-2.7M	1.36	8.48	8,264	11,240	382,160	451,888
2008-09-24	$14.82	$15.00	48.0%	13.8%	43.7%	100.0%	48.1%	3.5%	-8.9%	-2.7M	42.6M	-2.7M	0.95	8.93	34,316	32,656	385,612	452,512
2008-09-25	$16.25	$15.00	34.9%	10.0%	54.5%	53.4%	35.3%	5.4%	-1.7%	-160.2K	-148.7M	-2.8M	0.61	13.02	53,420	32,628	398,716	466,236
2008-09-26	$16.95	$15.00	34.5%	9.9%	55.6%	51.8%	38.6%	6.7%	-0.8%	1.4M	-238.2M	-2.8M	1.17	10.58	8,780	10,236	406,224	465,592
2008-09-29	$16.26	$15.00	44.7%	12.8%	57.8%	88.1%	45.8%	5.9%	-3.6%	-226.9K	-155.6M	-2.9M	1.40	31.73	7,496	10,520	402,184	467,684
2008-09-30	$16.73	$15.00	41.7%	11.9%	58.5%	77.5%	41.4%	6.2%	-2.5%	725.3K	-201.9M	-2.8M	0.57	17.33	12,536	7,104	403,752	464,596