NKE Options History — March 2009

In March 2009, NKE traded between $9.64 and $11.90. ATM implied volatility averaged 53.3%, placing in the 48.6% IV rank vs the trailing year. The 30-day expected move averaged 14.8%. IV traded below realized volatility by 2.6% (HV 20d: 55.9%). Max pain ranged from $11.25 to $12.50. Net GEX was positive for 15 of 22 trading days. Term structure was in contango for 9 of 22 days. Put/call ratio averaged 1.16.

Notable Days

  • 2009-03-18: Highest Volume — 102,596 contracts
  • 2009-03-05: Largest IV spike — 16.0% change
  • 2009-03-09: Highest IV Rank — 70.4%
  • 2009-03-02: Largest Expected Move — 18.7%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$11.01$9.64$11.90$9.94$11.72
Max Pain$12.27$11.25$12.50$11.25$12.50
ATM IV53.3%40.3%68.3%65.4%47.8%
Expected Move14.8%11.6%18.7%18.7%13.7%
HV 20d55.9%45.8%60.9%45.8%57.9%
HV 60d49.5%46.9%50.8%47.7%49.9%
IV Rank48.6%29.7%70.4%66.2%40.6%
IV Percentile72.4%50.4%92.9%90.9%62.7%
Term Structure-1.5%-8.0%2.4%-8.0%0.7%
VWIV52.2%44.5%65.9%65.9%47.0%
Skew 25d10.3%8.8%11.7%8.8%9.3%
Skew 10d19.6%16.3%22.3%16.8%16.3%
Call IV 25d47.2%39.9%61.6%61.6%41.9%
Put IV 25d57.5%50.0%70.4%70.4%51.1%
Bid-Ask Spread %9.116.4512.349.298.60
Gamma HHI0.230.170.420.260.18
Net GEX247.5K-1.2M2.9M-1.1M799.3K
Net DEX54.9M-17.9M132.4M123.8M19.1M
Net VEX-1.2M-1.3M-908.2K-945.8K-1.3M
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.160.332.951.002.95
Total Volume36,329.45511,968102,59623,97621,384
Total OI654,975.273593,980765,720593,980648,784

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2009-03-02$9.94$11.2565.4%18.7%45.8%66.2%65.9%8.8%-8.0%-1.1M123.8M-945.8K1.009.2911,99611,980283,884310,096
2009-03-03$10.01$11.2561.8%17.7%45.8%61.0%58.7%10.7%-6.4%-1.2M122.4M-965.7K0.338.2619,5046,400284,724315,896
2009-03-04$10.64$11.2554.5%15.6%48.8%50.5%59.6%10.4%-4.6%-501.8K97.9M-1.0M1.439.1217,07224,456296,228321,076
2009-03-05$9.98$11.2563.3%18.1%53.1%63.2%64.0%11.0%-6.9%-1.1M129.5M-982.8K1.768.469,45616,632297,268331,052
2009-03-06$9.98$12.5065.0%16.3%51.3%65.6%53.5%9.7%-4.2%-1.1M122.8M-976.1K0.4011.6724,1849,688302,816325,420
2009-03-09$9.64$12.5068.3%16.4%49.9%70.4%59.7%10.7%-4.1%-1.2M132.4M-908.2K1.6012.078,89214,204311,356324,760
2009-03-10$10.40$12.5067.7%16.2%58.7%69.6%55.1%11.3%-3.9%-568.6K91.8M-1.1M0.596.4518,93611,140316,572327,076
2009-03-11$10.86$12.5059.3%14.5%57.9%57.4%51.4%11.1%-0.8%219.2K56.1M-1.2M0.767.7715,76011,936324,488329,128
2009-03-12$11.15$12.5050.4%14.5%58.4%44.5%50.1%10.4%-0.8%657.9K35.8M-1.2M0.477.5530,01213,996332,148335,368
2009-03-13$11.17$12.5049.6%14.2%58.4%43.2%49.8%9.0%-0.4%855.0K31.5M-1.2M0.627.8816,60810,340340,644341,600
2009-03-16$10.98$12.5050.0%14.3%58.1%43.8%51.5%10.3%-1.0%754.5K48.0M-1.2M1.4311.7013,79219,788346,124345,440
2009-03-17$11.35$12.5051.9%14.9%57.7%46.6%54.5%11.2%-2.4%1.3M19.4M-1.2M1.659.7326,13643,216348,368348,228
2009-03-18$11.48$12.5051.6%14.8%56.4%46.1%49.9%11.7%-1.3%1.1M9.0M-1.3M0.8412.3455,79646,800356,060366,052
2009-03-19$11.63$12.5047.4%13.6%56.0%40.0%47.9%10.3%1.2%1.5M-17.9M-1.3M1.168.0040,23246,568380,060385,660
2009-03-20$11.26$12.5047.9%13.7%57.5%40.8%48.6%10.3%2.3%2.9M32.3M-1.2M1.079.3435,39637,764378,816385,200
2009-03-23$11.90$12.5041.1%11.8%59.1%30.9%45.4%9.8%1.3%434.6K13.2M-1.3M0.847.5216,53213,832301,152312,292
2009-03-24$11.40$12.5046.8%13.4%60.9%39.2%52.4%9.7%0.5%55.7K44.6M-1.2M2.618.654,37611,404309,316313,960
2009-03-25$11.59$12.5046.1%13.2%60.5%38.2%45.7%9.7%1.4%310.7K30.7M-1.3M1.5911.145,5208,800310,548314,872
2009-03-26$11.90$12.5040.3%11.6%59.8%29.7%45.2%10.4%2.4%653.7K9.8M-1.3M1.1610.528,0089,300311,996317,056
2009-03-27$11.71$12.5046.5%13.3%60.3%38.6%44.5%10.7%1.2%420.4K22.9M-1.3M0.776.966,7725,196315,244321,500
2009-03-30$11.56$12.5049.2%14.1%57.9%42.7%47.8%10.5%0.3%357.4K31.7M-1.3M0.507.3912,9446,500318,292322,836
2009-03-31$11.72$12.5047.8%13.7%57.9%40.6%47.0%9.3%0.7%799.3K19.1M-1.3M2.958.605,42015,964325,140323,644