NKE Options History — January 2009

In January 2009, NKE traded between $11.04 and $13.36. ATM implied volatility averaged 48.0%, placing in the 41.0% IV rank vs the trailing year. The 30-day expected move averaged 13.6%. IV traded above realized volatility by 1.5% (HV 20d: 46.5%). Max pain ranged from $11.25 to $13.75. Net GEX was positive for 0 of 20 trading days. Term structure was in contango for 20 of 20 days. Put/call ratio averaged 1.41.

Notable Days

  • 2009-01-02: Highest Volume — 64,344 contracts
  • 2009-01-29: Largest IV spike — 17.5% change
  • 2009-01-14: Highest IV Rank — 49.8%
  • 2009-01-14: Largest Expected Move — 15.9%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$12.02$11.04$13.36$13.27$11.31
Max Pain$12.25$11.25$13.75$13.75$11.25
ATM IV48.0%38.6%54.1%40.6%44.6%
Expected Move13.6%11.1%15.9%11.6%12.8%
HV 20d46.5%42.7%52.3%52.3%46.3%
HV 60d71.3%62.9%79.4%79.4%62.9%
IV Rank41.0%27.2%49.8%30.1%36.0%
IV Percentile75.3%63.5%81.3%71.4%69.0%
Term Structure5.0%1.0%7.3%1.0%6.3%
VWIV46.4%42.0%55.4%42.0%43.4%
Skew 25d10.8%5.2%13.7%5.2%9.3%
Skew 10d21.4%11.4%26.7%11.4%15.1%
Call IV 25d42.5%37.8%48.4%40.2%40.6%
Put IV 25d53.3%45.5%61.0%45.5%49.9%
Bid-Ask Spread %12.087.3618.007.5712.97
Gamma HHI0.170.140.320.150.15
Net GEX-750.6K-2.0M-108.8K-205.0K-820.8K
Net DEX102.1M52.1M187.8M59.3M79.0M
Net VEX-1.0M-1.3M-868.2K-1.2M-921.2K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.410.363.881.280.48
Total Volume23,843.44,13264,34464,34412,128
Total OI607,503.2381,264773,312700,824451,612

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2009-01-02$13.27$13.7540.6%11.6%52.3%30.1%42.0%5.2%1.0%-205.0K59.3M-1.2M1.287.5728,20436,140353,096347,728
2009-01-05$13.36$12.5043.7%12.6%52.3%34.6%44.4%11.6%4.6%-108.8K52.1M-1.3M2.2711.979,63621,888365,824366,928
2009-01-06$13.09$12.5049.8%13.9%52.0%43.5%45.2%11.3%4.0%-433.6K80.1M-1.3M1.7715.617,90014,000368,056374,104
2009-01-07$12.62$13.7550.0%14.1%49.6%43.8%47.1%11.3%4.1%-776.4K121.5M-1.2M0.6917.1016,94011,632370,488378,220
2009-01-08$12.85$13.7549.5%13.9%45.9%43.1%47.2%10.8%4.5%-330.2K105.6M-1.2M1.8115.163,2885,940378,464381,184
2009-01-09$12.40$13.7546.4%13.6%44.5%38.6%44.5%12.4%4.2%-822.0K140.9M-1.1M1.0213.639,1209,292372,300379,960
2009-01-12$12.53$12.5052.3%14.0%42.7%47.1%49.6%12.0%3.9%-663.5K134.2M-1.1M3.8813.546,51625,292376,896377,392
2009-01-13$12.38$12.5051.5%13.5%42.7%46.1%45.2%11.4%5.1%-641.9K148.0M-1.2M0.6411.4513,7168,812379,224388,440
2009-01-14$11.66$12.5054.1%15.9%47.0%49.8%55.4%13.7%3.0%-1.9M187.8M-956.1K3.627.3611,76442,544384,080367,540
2009-01-15$11.74$12.5053.6%15.4%45.6%49.1%49.9%12.8%3.7%-2.0M182.3M-997.4K0.618.2415,3129,304387,004379,704
2009-01-16$11.70$12.5050.7%14.5%44.8%44.8%46.0%11.7%4.8%-559.9K171.5M-1.0M0.9410.366,7566,384395,180378,132
2009-01-20$11.04$12.5053.1%15.2%45.7%48.3%53.8%12.6%4.6%-728.6K79.9M-868.2K1.2414.6422,86028,296180,812200,452
2009-01-21$11.41$11.2547.9%13.7%47.5%40.8%48.4%10.7%7.3%-778.4K75.1M-964.0K1.0514.3211,26011,872197,676221,872
2009-01-22$11.41$11.2548.2%13.8%45.5%41.2%45.6%11.0%6.4%-758.6K72.8M-985.8K0.7512.678,7406,556204,588231,840
2009-01-23$11.42$11.2547.8%13.7%44.9%40.6%44.2%10.8%6.3%-709.6K72.8M-956.2K2.378.022,2925,432208,468229,680
2009-01-26$11.42$11.2547.6%13.6%43.8%40.3%44.3%8.9%6.6%-752.3K73.1M-952.4K0.368.9410,9403,988208,920229,944
2009-01-27$11.38$11.2545.3%13.0%43.4%37.0%43.7%9.6%6.9%-820.2K76.3M-932.5K1.539.374,0286,156209,900230,732
2009-01-28$11.90$11.2538.6%11.1%46.5%27.2%45.0%9.2%6.7%-469.8K57.9M-993.4K0.7118.0010,4007,408211,416231,648
2009-01-29$11.50$11.2545.3%13.0%47.4%37.0%42.5%9.2%6.6%-668.8K71.4M-934.8K1.2610.771,8282,304218,704231,856
2009-01-30$11.31$11.2544.6%12.8%46.3%36.0%43.4%9.3%6.3%-820.8K79.0M-921.2K0.4812.978,2203,908219,272232,340