NKE Options History — October 2008

In October 2008, NKE traded between $11.64 and $16.54. ATM implied volatility averaged 60.3%, placing in the 77.0% IV rank vs the trailing year. The 30-day expected move averaged 16.1%. IV traded below realized volatility by 16.3% (HV 20d: 76.7%). Max pain ranged from $13.75 to $16.25. Net GEX was positive for 1 of 23 trading days. Term structure was in contango for 5 of 23 days. Put/call ratio averaged 1.85.

Notable Days

2008-10-10: Highest Volume — 109,720 contracts
2008-10-16: Largest IV drop — 27.6% change
2008-10-02: Highest IV Rank — 100.0%
2008-10-27: Largest Expected Move — 20.2%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$13.97	$11.64	$16.54	$16.54	$14.41
Max Pain	$14.95	$13.75	$16.25	$15.00	$13.75
ATM IV	60.3%	41.5%	84.0%	41.5%	53.8%
Expected Move	16.1%	11.9%	20.2%	11.9%	15.4%
HV 20d	76.7%	58.5%	97.7%	58.6%	97.7%
HV 60d	51.9%	39.4%	66.5%	39.4%	66.5%
IV Rank	77.0%	46.1%	100.0%	76.8%	52.9%
IV Percentile	98.0%	93.3%	100.0%	97.2%	93.3%
Term Structure	-2.6%	-8.9%	2.2%	-1.9%	2.0%
VWIV	56.3%	42.7%	71.7%	42.7%	59.3%
Skew 25d	11.7%	7.2%	16.9%	7.9%	13.4%
Skew 10d	23.8%	14.8%	32.0%	16.2%	26.9%
Call IV 25d	50.0%	36.8%	62.9%	36.8%	51.1%
Put IV 25d	61.7%	44.7%	76.8%	44.7%	64.4%
Bid-Ask Spread %	19.59	10.55	52.02	15.15	17.49
Gamma HHI	0.20	0.16	0.27	0.19	0.16
Net GEX	-2.0M	-4.8M	878.4K	878.4K	-621.9K
Net DEX	82.1M	-192.6M	264.6M	-192.6M	14.8M
Net VEX	-2.3M	-2.9M	-1.6M	-2.8M	-2.3M
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	1.85	0.58	5.68	1.44	1.40
Total Volume	43,720.348	16,692	109,720	18,796	16,692
Total OI	849,776.87	710,044	941,176	876,392	794,180

Daily Data (23 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
2008-10-01	$16.54	$15.00	41.5%	11.9%	58.6%	76.8%	42.7%	7.9%	-1.9%	878.4K	-192.6M	-2.8M	1.44	15.15	7,704	11,092	407,856	468,536
2008-10-02	$15.94	$15.00	48.0%	13.8%	58.8%	100.0%	49.8%	7.6%	-3.0%	-746.5K	-107.2M	-2.9M	1.79	12.10	13,460	24,160	408,576	470,716
2008-10-03	$15.81	$15.00	44.7%	12.8%	58.5%	88.2%	48.9%	9.4%	-1.3%	-648.4K	-103.6M	-2.8M	1.35	15.91	17,976	24,188	418,300	476,656
2008-10-06	$15.29	$16.25	56.9%	13.9%	59.4%	100.0%	50.1%	9.1%	-4.3%	-2.5M	-6.4M	-2.8M	1.76	22.31	27,808	48,988	426,764	489,672
2008-10-07	$14.49	$16.25	55.6%	14.3%	62.4%	96.4%	49.5%	8.2%	-4.8%	-3.7M	80.1M	-2.7M	0.67	22.73	22,336	14,980	433,588	496,960
2008-10-08	$13.93	$16.25	67.0%	15.9%	63.8%	100.0%	52.9%	8.7%	-6.1%	-3.7M	148.2M	-2.5M	1.12	21.37	17,524	19,632	437,136	498,656
2008-10-09	$13.27	$15.00	73.2%	17.1%	65.1%	100.0%	58.6%	11.8%	-8.9%	-3.0M	169.5M	-2.4M	0.90	28.67	12,124	10,956	442,844	498,332
2008-10-10	$13.63	$15.00	62.7%	16.4%	65.8%	80.3%	55.7%	7.2%	-5.2%	-3.8M	163.5M	-2.5M	1.19	52.02	50,208	59,512	438,944	495,384
2008-10-13	$13.96	$15.00	65.2%	15.6%	66.3%	85.0%	56.6%	11.8%	-4.5%	-4.3M	119.9M	-2.3M	2.43	22.21	6,700	16,300	419,176	476,640
2008-10-14	$14.28	$15.00	71.8%	15.2%	66.8%	97.5%	50.4%	11.7%	-4.6%	-4.8M	106.0M	-2.3M	5.68	20.96	13,232	75,124	419,304	477,448
2008-10-15	$12.59	$15.00	84.0%	16.9%	79.4%	100.0%	57.3%	9.8%	-5.3%	-3.3M	264.6M	-1.9M	2.66	22.12	16,396	43,628	421,776	479,024
2008-10-16	$13.99	$15.00	60.8%	17.4%	83.4%	63.8%	61.9%	14.6%	-7.1%	-4.7M	124.7M	-2.3M	1.74	20.36	15,116	26,244	426,500	489,496
2008-10-17	$14.37	$15.00	56.8%	16.3%	84.2%	57.5%	59.3%	13.3%	-4.0%	-774.8K	84.5M	-2.3M	1.93	22.43	6,968	13,460	429,164	501,028
2008-10-20	$14.94	$15.00	49.4%	14.2%	85.6%	46.1%	50.5%	11.6%	2.2%	-291.6K	-17.9M	-2.3M	0.99	20.26	49,724	49,048	337,996	372,048
2008-10-21	$14.28	$15.00	53.0%	15.2%	86.0%	51.7%	49.0%	11.2%	0.8%	-965.6K	40.2M	-2.4M	0.58	16.93	17,564	10,120	359,072	399,272
2008-10-22	$13.13	$15.00	61.6%	17.6%	90.5%	65.0%	59.0%	14.0%	-1.8%	-1.3M	126.2M	-2.2M	5.16	11.45	10,124	52,228	370,664	400,976
2008-10-23	$12.68	$15.00	62.7%	18.0%	83.0%	66.8%	61.0%	14.0%	-0.4%	-1.6M	153.9M	-2.0M	1.18	10.55	25,968	30,680	358,332	410,488
2008-10-24	$11.95	$15.00	61.8%	17.7%	82.0%	65.3%	71.7%	16.9%	-0.8%	-1.7M	198.1M	-1.7M	3.06	12.51	8,868	27,112	357,448	407,460
2008-10-27	$11.64	$15.00	70.5%	20.2%	81.6%	79.0%	65.9%	13.9%	-2.8%	-1.8M	215.9M	-1.6M	0.83	13.99	12,116	10,116	359,256	416,160
2008-10-28	$13.11	$13.75	62.4%	17.9%	93.7%	66.3%	58.0%	15.0%	-0.1%	-1.4M	133.0M	-2.0M	0.65	12.36	13,908	9,000	365,344	416,616
2008-10-29	$13.12	$13.75	63.9%	18.3%	93.8%	68.7%	63.8%	13.1%	0.2%	-1.4M	123.2M	-2.0M	1.56	19.86	7,572	11,828	366,624	420,552
2008-10-30	$13.95	$13.75	60.5%	17.3%	96.7%	63.4%	63.8%	13.9%	0.8%	-835.7K	50.9M	-2.2M	2.44	16.78	7,880	19,204	366,048	417,856
2008-10-31	$14.41	$13.75	53.8%	15.4%	97.7%	52.9%	59.3%	13.4%	2.0%	-621.9K	14.8M	-2.3M	1.40	17.49	6,960	9,732	367,648	426,532