NKE Options History — November 2008

In November 2008, NKE traded between $10.90 and $14.05. ATM implied volatility averaged 67.5%, placing in the 72.6% IV rank vs the trailing year. The 30-day expected move averaged 19.4%. IV traded below realized volatility by 20.6% (HV 20d: 88.1%). Max pain ranged from $13.75 to $13.75. Net GEX was positive for 0 of 19 trading days. Term structure was in contango for 3 of 19 days. Put/call ratio averaged 1.42.

Notable Days

  • 2008-11-11: Highest Volume — 119,844 contracts
  • 2008-11-06: Largest IV spike — 17.6% change
  • 2008-11-20: Highest IV Rank — 100.0%
  • 2008-11-20: Largest Expected Move — 25.4%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$12.27$10.90$14.05$13.96$13.31
Max Pain$13.75$13.75$13.75$13.75$13.75
ATM IV67.5%52.0%88.5%56.3%62.4%
Expected Move19.4%14.9%25.4%16.1%17.9%
HV 20d88.1%75.8%97.6%97.6%77.8%
HV 60d71.9%66.4%78.5%66.4%78.2%
IV Rank72.6%50.1%100.0%56.8%61.8%
IV Percentile96.1%90.5%100.0%93.7%91.7%
Term Structure-3.6%-8.7%2.9%1.7%-1.9%
VWIV69.8%51.4%90.9%56.4%64.7%
Skew 25d13.9%10.5%16.4%12.6%12.1%
Skew 10d26.8%20.6%32.9%25.6%24.1%
Call IV 25d62.2%46.6%83.5%50.6%59.3%
Put IV 25d76.1%57.3%99.0%63.2%71.4%
Bid-Ask Spread %12.167.8516.0015.5214.62
Gamma HHI0.170.130.230.160.14
Net GEX-2.0M-3.4M-750.6K-1.2M-1.1M
Net DEX181.1M58.1M271.2M59.6M93.0M
Net VEX-1.7M-2.1M-1.3M-2.1M-1.7M
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.420.384.312.930.66
Total Volume40,446.7375,560119,84416,5285,560
Total OI831,720.632748,288904,652794,912754,116

Daily Data (19 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2008-11-03$13.96$13.7556.3%16.1%97.6%56.8%56.4%12.6%1.7%-1.2M59.6M-2.1M2.9315.524,20812,320367,492427,420
2008-11-04$14.05$13.7552.0%14.9%96.0%50.1%51.4%10.7%2.9%-1.2M58.1M-2.1M0.829.4712,86810,580368,756432,932
2008-11-05$13.20$13.7552.3%15.0%97.5%50.6%56.6%12.1%2.9%-2.1M129.2M-2.0M0.9512.2415,47214,724373,500438,316
2008-11-06$12.66$13.7561.5%17.6%97.1%65.0%56.9%16.1%-1.3%-2.3M172.3M-1.8M1.5116.009,36814,136373,636438,004
2008-11-07$12.35$13.7558.8%17.6%96.8%60.7%63.6%15.6%-4.8%-2.5M205.1M-1.7M1.839.2618,14033,128373,496442,428
2008-11-10$11.99$13.7560.2%17.9%96.6%63.0%69.3%14.9%-4.1%-3.1M239.8M-1.6M2.047.8519,71240,276369,360460,464
2008-11-11$11.42$13.7567.3%19.6%96.9%74.0%70.0%16.4%-6.0%-3.4M271.2M-1.5M1.1811.0154,96464,880378,940474,604
2008-11-12$11.09$13.7570.3%20.0%87.3%78.7%81.7%16.0%-5.3%-2.6M269.3M-1.3M1.099.1516,55618,016389,688474,068
2008-11-13$12.21$13.7564.8%18.6%85.8%70.1%67.2%14.1%-4.6%-2.8M198.7M-1.6M0.388.2125,3689,520389,976483,812
2008-11-14$11.63$13.7572.3%20.7%86.1%81.8%68.8%13.2%-6.3%-2.4M227.9M-1.5M0.7210.0214,64810,600401,548479,348
2008-11-17$11.58$13.7575.1%21.5%84.2%86.1%74.1%14.6%-6.6%-2.1M230.5M-1.4M0.5711.2210,2325,876407,476481,808
2008-11-18$11.66$13.7578.9%22.6%83.6%92.1%82.0%13.1%-8.1%-2.1M216.6M-1.5M1.7814.6037,49666,756408,380483,236
2008-11-19$10.96$13.7583.2%23.9%81.3%98.9%85.3%12.2%-7.3%-1.7M249.4M-1.4M2.5010.1513,51633,784408,628474,248
2008-11-20$10.90$13.7588.5%25.4%80.7%100.0%90.9%15.5%-8.7%-2.5M256.5M-1.4M0.9515.4824,89623,724395,208490,700
2008-11-21$11.97$13.7579.6%22.8%85.7%87.0%79.1%14.5%-5.3%-1.5M196.6M-1.6M1.2313.4522,26827,460405,976498,676
2008-11-24$12.58$13.7570.3%20.2%86.9%73.5%73.2%14.2%-2.4%-1.4M132.5M-1.7M0.8315.4019,96416,484328,200420,088
2008-11-25$12.32$13.7567.9%19.5%75.8%69.9%65.6%15.0%-1.9%-1.1M147.4M-1.6M0.6414.9214,2889,200340,696412,864
2008-11-26$13.31$13.7561.0%17.5%81.0%59.8%69.1%10.5%-0.5%-750.6K88.1M-1.7M4.3112.403,29614,204340,256414,348
2008-11-28$13.31$13.7562.4%17.9%77.8%61.8%64.7%12.1%-1.9%-1.1M93.0M-1.7M0.6614.623,3562,204333,232420,884