NKE Options History — February 2009

In February 2009, NKE traded between $10.26 and $12.17. ATM implied volatility averaged 50.3%, placing in the 44.2% IV rank vs the trailing year. The 30-day expected move averaged 14.8%. IV traded above realized volatility by 3.9% (HV 20d: 46.3%). Max pain ranged from $11.25 to $11.25. Net GEX was positive for 2 of 19 trading days. Term structure was in contango for 4 of 19 days. Put/call ratio averaged 1.28.

Notable Days

  • 2009-02-25: Highest Volume — 82,924 contracts
  • 2009-02-17: Largest IV spike — 19.1% change
  • 2009-02-23: Highest IV Rank — 62.1%
  • 2009-02-23: Largest Expected Move — 17.9%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$11.02$10.26$12.17$11.11$10.38
Max Pain$11.25$11.25$11.25$11.25$11.25
ATM IV50.3%38.1%62.6%45.6%58.9%
Expected Move14.8%12.4%17.9%13.1%16.9%
HV 20d46.3%43.2%50.4%43.2%43.8%
HV 60d57.9%47.8%63.0%63.0%47.8%
IV Rank44.2%26.5%62.1%37.4%56.8%
IV Percentile74.9%60.3%88.5%71.4%83.3%
Term Structure-1.7%-6.7%6.2%5.4%-5.9%
VWIV52.4%39.9%60.9%45.7%56.0%
Skew 25d10.9%8.6%12.8%10.3%10.2%
Skew 10d21.0%16.9%23.7%18.1%17.6%
Call IV 25d46.9%36.7%55.0%41.8%52.6%
Put IV 25d57.8%45.6%67.4%52.1%62.8%
Bid-Ask Spread %10.455.4616.7111.8314.66
Gamma HHI0.200.140.260.150.25
Net GEX-744.9K-1.5M363.3K-908.7K-1.0M
Net DEX91.3M36.3M126.4M87.5M108.9M
Net VEX-892.3K-1.0M-790.0K-866.4K-1.0M
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.280.433.780.430.55
Total Volume25,789.6846,21282,92416,56425,036
Total OI518,607.368458,020584,584458,020582,136

Daily Data (19 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2009-02-02$11.11$11.2545.6%13.1%43.2%37.4%45.7%10.3%5.4%-908.7K87.5M-866.4K0.4311.8311,6164,948224,816233,204
2009-02-03$11.57$11.2544.3%12.7%46.4%35.4%43.8%8.6%5.9%-469.7K66.4M-941.6K0.577.696,2763,580233,972233,220
2009-02-04$11.45$11.2543.1%12.4%46.2%33.7%46.0%9.0%6.2%-408.1K69.1M-890.9K1.539.162,7604,212236,992232,016
2009-02-05$11.80$11.2544.0%12.6%46.5%35.0%39.9%8.9%5.4%-118.1K54.9M-957.6K0.668.5010,9527,272238,500234,468
2009-02-06$12.17$11.2538.1%12.8%47.5%26.5%46.1%10.4%-1.1%363.3K36.3M-988.0K0.4812.3619,6049,472241,792238,216
2009-02-09$11.94$11.2538.6%12.9%46.4%27.2%48.5%11.5%-1.6%284.3K45.1M-960.8K1.4916.713,4445,136250,240236,304
2009-02-10$11.26$11.2545.2%14.7%50.3%36.8%54.6%12.8%-3.3%-493.7K79.5M-870.0K3.787.6911,66844,108247,772237,308
2009-02-11$11.08$11.2544.0%14.8%50.4%35.1%54.2%12.1%-2.8%-1.5M98.7M-864.9K0.818.2820,96416,916250,392262,548
2009-02-12$11.12$11.2550.2%14.4%46.2%44.1%51.1%11.4%-2.2%-1.3M98.6M-854.1K0.5811.0521,90012,736258,512266,932
2009-02-13$10.86$11.2549.4%14.2%46.7%43.0%51.4%11.5%-1.9%-1.2M108.5M-863.3K1.068.537,7288,184275,492272,032
2009-02-17$10.48$11.2558.8%16.9%48.0%56.7%57.3%11.5%-5.1%-1.2M126.4M-790.0K1.556.568,86813,780276,428275,260
2009-02-18$10.88$11.2553.7%15.4%45.9%49.3%53.7%11.8%-3.1%-1.2M104.7M-867.1K1.5611.8212,06418,856278,576282,028
2009-02-19$10.70$11.2553.4%15.3%44.3%48.8%57.6%12.6%-3.3%-1.3M118.4M-851.2K1.7513.2410,27617,940282,548288,932
2009-02-20$10.73$11.2554.2%15.5%44.4%49.9%57.0%12.2%-4.2%-603.4K123.9M-885.2K1.8613.447,26013,500286,308298,276
2009-02-23$10.40$11.2562.6%17.9%45.4%62.1%60.9%12.4%-6.7%-728.6K103.3M-812.0K0.935.463,2202,992243,420259,376
2009-02-24$10.73$11.2553.3%15.3%47.2%48.7%56.7%8.8%-4.0%-584.3K93.3M-845.3K1.417.5410,92415,364244,164260,512
2009-02-25$10.54$11.2558.0%16.6%47.5%55.5%56.3%10.0%-5.0%-742.2K101.1M-830.0K1.4813.3233,39649,528247,112264,688
2009-02-26$10.26$11.2560.0%17.2%44.5%58.3%57.7%10.4%-5.9%-1.0M110.7M-1.0M1.8210.674,8048,720274,016305,032
2009-02-27$10.38$11.2558.9%16.9%43.8%56.8%56.0%10.2%-5.9%-1.0M108.9M-1.0M0.5514.6616,1168,920274,428307,708