NKE Options History — April 2009

In April 2009, NKE traded between $11.75 and $13.90. ATM implied volatility averaged 41.5%, placing in the 31.4% IV rank vs the trailing year. The 30-day expected move averaged 12.1%. IV traded below realized volatility by 7.6% (HV 20d: 49.1%). Max pain ranged from $11.25 to $12.50. Net GEX was positive for 21 of 21 trading days. Term structure was in contango for 19 of 21 days. Put/call ratio averaged 1.04.

Notable Days

  • 2009-04-02: Highest Volume — 55,388 contracts
  • 2009-04-20: Largest IV spike — 18.5% change
  • 2009-04-01: Highest IV Rank — 38.9%
  • 2009-04-01: Largest Expected Move — 13.4%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$13.14$11.75$13.90$11.75$13.12
Max Pain$11.96$11.25$12.50$12.50$12.50
ATM IV41.5%38.2%46.6%46.6%45.1%
Expected Move12.1%10.9%13.4%13.4%12.9%
HV 20d49.1%45.1%54.5%54.5%49.8%
HV 60d51.1%49.8%52.7%49.8%50.7%
IV Rank31.4%26.6%38.9%38.9%36.7%
IV Percentile48.7%41.3%60.7%60.7%55.6%
Term Structure1.4%-1.1%3.7%1.5%-1.1%
VWIV42.3%39.4%46.5%44.3%41.1%
Skew 25d9.2%7.7%10.5%8.2%8.2%
Skew 10d19.2%13.2%24.0%15.0%13.2%
Call IV 25d38.3%35.0%41.6%41.6%38.7%
Put IV 25d47.4%44.0%50.8%49.9%46.8%
Bid-Ask Spread %9.973.5114.183.5114.02
Gamma HHI0.270.190.760.200.23
Net GEX2.6M695.6K12.7M695.6K1.6M
Net DEX-72.5M-144.4M20.2M20.2M-36.5M
Net VEX-1.3M-1.4M-1.3M-1.3M-1.3M
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.040.222.950.461.73
Total Volume25,162.85712,10055,38813,38028,916
Total OI600,817.714458,916694,432652,608522,140

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2009-04-01$11.75$12.5046.6%13.4%54.5%38.9%44.3%8.2%1.5%695.6K20.2M-1.3M0.463.519,1644,216323,536329,072
2009-04-02$12.62$12.5042.0%12.1%53.1%32.2%41.7%7.7%3.2%1.8M-54.4M-1.4M0.409.8739,49615,892325,032329,344
2009-04-03$12.97$11.2541.0%12.9%53.1%30.7%41.9%10.2%1.9%2.7M-91.8M-1.4M1.4614.186,1208,956345,200335,528
2009-04-06$12.82$11.2542.1%13.0%51.0%32.4%45.3%10.5%1.8%2.6M-77.6M-1.4M0.659.437,7084,976346,352336,352
2009-04-07$12.46$11.2541.1%12.9%47.5%30.9%46.5%9.9%2.4%2.1M-43.1M-1.3M2.958.183,87211,416345,508337,492
2009-04-08$12.56$11.2541.4%12.8%45.8%31.3%46.4%10.1%1.7%2.0M-49.1M-1.3M0.3410.5720,2046,968345,612341,352
2009-04-09$13.32$11.2539.8%11.4%48.9%28.9%42.3%9.7%3.7%2.8M-121.0M-1.4M0.677.4820,82813,856339,888343,844
2009-04-13$13.28$11.2541.2%11.8%49.0%31.0%43.5%9.6%2.3%3.0M-119.6M-1.3M0.9212.389,3248,560344,220346,608
2009-04-14$12.85$11.2546.6%13.3%50.4%38.8%45.6%9.4%0.6%2.0M-80.0M-1.3M2.4813.139,42823,420346,416348,016
2009-04-15$13.03$11.2545.3%13.0%49.6%36.9%42.6%9.4%0.9%2.1M-94.1M-1.3M0.235.1624,6565,692344,888348,320
2009-04-16$13.44$11.2539.0%11.2%50.3%27.8%40.8%9.2%2.6%4.7M-131.3M-1.3M0.229.6720,6164,604341,540332,712
2009-04-17$13.65$12.5038.2%10.9%50.4%26.6%39.4%9.1%3.6%12.7M-144.4M-1.3M0.4012.3320,2408,016353,948332,756
2009-04-20$13.09$12.5045.2%13.0%51.5%36.9%42.2%9.4%-1.0%1.3M-39.8M-1.3M0.9710.139,9289,640230,584228,332
2009-04-21$13.32$12.5038.6%11.1%48.4%27.1%41.4%8.6%0.6%1.5M-52.7M-1.3M1.619.705,4408,732236,128230,960
2009-04-22$13.75$12.5040.0%11.5%45.6%29.2%40.1%9.0%0.2%1.7M-76.1M-1.3M0.857.4626,06822,136238,624236,376
2009-04-23$13.60$12.5039.1%11.2%46.1%28.0%41.0%8.4%1.0%1.7M-65.5M-1.3M1.1413.9011,71613,404249,000244,844
2009-04-24$13.68$12.5039.0%11.2%45.5%27.7%40.9%8.8%1.3%1.6M-68.8M-1.3M2.248.483,7368,364250,388251,340
2009-04-27$13.53$12.5040.2%11.5%45.2%29.5%40.8%9.1%0.8%1.6M-61.8M-1.3M0.828.089,3767,644252,180252,812
2009-04-28$13.90$12.5040.7%11.7%45.1%30.3%40.1%9.2%0.6%2.3M-91.9M-1.3M0.898.0312,62811,196261,392253,976
2009-04-29$13.24$12.5038.9%11.2%49.5%27.7%40.2%8.6%0.9%1.6M-43.1M-1.3M0.4313.7021,9249,344259,148255,412
2009-04-30$13.12$12.5045.1%12.9%49.8%36.7%41.1%8.2%-1.1%1.6M-36.5M-1.3M1.7314.0210,58418,332263,408258,732