NKE Options History — December 2008

In December 2008, NKE traded between $11.99 and $14.04. ATM implied volatility averaged 58.7%, placing in the 56.5% IV rank vs the trailing year. The 30-day expected move averaged 16.5%. IV traded below realized volatility by 18.0% (HV 20d: 76.7%). Max pain ranged from $13.75 to $15.00. Net GEX was positive for 1 of 22 trading days. Term structure was in contango for 10 of 22 days. Put/call ratio averaged 1.14.

Notable Days

  • 2008-12-17: Highest Volume — 60,408 contracts
  • 2008-12-11: Largest IV drop — 14.5% change
  • 2008-12-01: Highest IV Rank — 82.3%
  • 2008-12-01: Largest Expected Move — 21.9%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$12.63$11.99$14.04$12.01$12.75
Max Pain$14.43$13.75$15.00$13.75$13.75
ATM IV58.7%43.7%76.4%76.4%43.9%
Expected Move16.5%12.5%21.9%21.9%12.6%
HV 20d76.7%52.2%87.1%84.4%52.2%
HV 60d81.3%79.5%83.7%80.9%79.6%
IV Rank56.5%34.6%82.3%82.3%34.9%
IV Percentile85.7%74.2%98.0%98.0%74.6%
Term Structure-0.6%-7.4%5.9%-7.4%1.8%
VWIV58.4%43.4%80.7%80.7%44.0%
Skew 25d9.8%6.0%13.6%13.6%6.5%
Skew 10d19.5%10.6%27.3%26.1%10.6%
Call IV 25d53.6%40.9%73.2%73.2%40.9%
Put IV 25d63.3%47.4%86.8%86.8%47.4%
Bid-Ask Spread %11.883.4018.4617.163.40
Gamma HHI0.170.140.220.140.17
Net GEX-1.2M-2.2M55.9K-1.6M-699.2K
Net DEX138.4M34.1M197.1M166.5M105.7M
Net VEX-1.4M-1.8M-1.1M-1.5M-1.1M
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.140.352.502.501.37
Total Volume24,215.0914,66860,40829,27625,828
Total OI759,940.364685,360835,996755,728689,312

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2008-12-01$12.01$13.7576.4%21.9%84.4%82.3%80.7%13.6%-7.4%-1.6M166.5M-1.5M2.5017.168,36820,908334,816420,912
2008-12-02$12.50$13.7574.6%21.4%85.7%79.6%75.7%12.4%-6.8%-1.5M139.3M-1.6M0.4513.997,4963,368334,088427,592
2008-12-03$13.00$13.7571.7%20.6%87.1%75.5%71.1%11.8%-6.9%-1.4M115.2M-1.6M0.8411.447,9166,656331,684428,720
2008-12-04$12.99$13.7574.0%21.2%84.2%78.7%74.9%11.4%-6.6%-1.3M111.8M-1.6M0.8714.5022,44819,608333,720431,056
2008-12-05$13.34$15.0067.8%17.7%83.3%69.8%63.9%12.1%-1.4%-1.2M90.4M-1.7M1.3816.505,6327,768340,612439,032
2008-12-08$14.04$15.0070.7%17.8%84.4%73.9%61.5%11.6%-2.8%-592.6K34.1M-1.8M1.1613.7917,24819,972340,824433,940
2008-12-09$13.23$15.0068.2%17.7%86.7%70.3%64.3%11.8%-2.0%-1.0M100.2M-1.6M1.0912.637,1807,840346,648437,636
2008-12-10$12.63$15.0071.4%18.2%86.6%75.0%65.4%11.1%-1.1%-1.6M152.8M-1.5M1.5711.5812,44019,552347,300437,000
2008-12-11$12.18$15.0061.0%17.5%87.0%59.9%63.8%11.1%0.1%-1.9M181.2M-1.4M2.388.906,14814,628353,860444,552
2008-12-12$12.34$15.0060.9%17.5%80.1%59.8%63.2%11.4%-0.7%-2.0M176.3M-1.4M0.699.0611,9168,200354,656448,280
2008-12-15$12.05$15.0063.2%18.1%78.5%63.1%61.4%10.4%-2.2%-2.2M197.1M-1.3M0.359.1333,01211,472356,444450,456
2008-12-16$12.41$15.0058.6%16.8%79.1%56.3%58.3%10.7%-0.1%-1.4M170.9M-1.3M0.6110.8412,7127,808372,200442,692
2008-12-17$12.66$15.0058.0%16.6%79.3%55.5%57.9%8.5%-0.4%-831.8K145.1M-1.4M0.9913.9430,37230,036376,344443,416
2008-12-18$13.17$15.0051.0%14.6%76.2%45.3%53.5%9.1%3.0%55.9K103.5M-1.4M1.3318.4623,46431,124383,032449,256
2008-12-19$12.81$15.0048.4%13.9%77.2%41.6%48.3%8.0%5.9%-933.8K140.7M-1.3M1.428.319,28813,216383,832452,164
2008-12-22$12.28$15.0048.5%13.9%72.2%41.6%48.3%8.7%1.4%-1.1M179.7M-1.2M0.7514.6011,1328,384334,632375,132
2008-12-23$11.99$13.7545.1%12.9%70.3%36.7%46.7%7.3%2.9%-1.3M169.8M-1.1M1.0010.898,1328,144337,304355,800
2008-12-24$12.28$13.7544.3%12.7%70.6%35.5%46.4%7.6%2.7%-1.1M147.6M-1.2M0.9612.233,0482,928340,968350,376
2008-12-26$12.44$13.7544.2%12.7%64.7%35.3%45.4%7.4%3.1%-988.2K136.7M-1.1M1.3513.381,9882,680342,396344,800
2008-12-29$12.23$13.7545.9%13.2%64.8%37.9%46.5%6.1%1.8%-1.1M144.0M-1.1M1.099.894,8045,220343,148342,212
2008-12-30$12.42$13.7543.7%12.5%53.4%34.6%43.4%6.0%2.1%-1.0M135.2M-1.1M1.016.666,3086,340344,984340,860
2008-12-31$12.75$13.7543.9%12.6%52.2%34.9%44.0%6.5%1.8%-699.2K105.7M-1.1M1.373.4010,89614,932347,312342,000