NKE Options History — May 2009

In May 2009, NKE traded between $12.38 and $14.26. ATM implied volatility averaged 38.8%, placing in the 26.7% IV rank vs the trailing year. The 30-day expected move averaged 11.1%. IV traded below realized volatility by 3.8% (HV 20d: 42.6%). Max pain ranged from $12.50 to $13.75. Net GEX was positive for 16 of 20 trading days. Term structure was in contango for 20 of 20 days. Put/call ratio averaged 1.20.

Notable Days

  • 2009-05-29: Highest Volume — 43,828 contracts
  • 2009-05-12: Largest IV spike — 13.4% change
  • 2009-05-13: Highest IV Rank — 40.6%
  • 2009-05-13: Largest Expected Move — 12.7%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$13.23$12.38$14.26$13.23$14.26
Max Pain$13.38$12.50$13.75$12.50$12.50
ATM IV38.8%33.4%47.8%39.0%35.4%
Expected Move11.1%9.6%12.7%11.2%10.2%
HV 20d42.6%39.3%44.9%43.3%40.7%
HV 60d49.8%47.8%51.0%50.6%47.8%
IV Rank26.7%17.9%40.6%27.7%20.8%
IV Percentile38.7%23.4%61.9%40.9%29.0%
Term Structure3.7%0.3%6.1%0.3%5.5%
VWIV39.1%33.7%46.3%40.4%33.7%
Skew 25d7.5%6.3%8.9%6.4%6.3%
Skew 10d14.7%10.2%18.5%13.8%18.5%
Call IV 25d35.5%31.0%41.2%39.1%31.0%
Put IV 25d42.9%37.3%48.3%45.5%37.3%
Bid-Ask Spread %10.307.1613.679.0912.66
Gamma HHI0.220.160.440.230.26
Net GEX921.1K-3.7M2.9M1.7M2.9M
Net DEX-34.9M-129.7M36.2M-39.1M-129.7M
Net VEX-1.2M-1.3M-1.1M-1.3M-1.3M
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.200.333.600.421.08
Total Volume22,585.66,40443,82814,09243,828
Total OI553,444.6510,652597,880538,188597,880

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2009-05-01$13.23$12.5039.0%11.2%43.3%27.7%40.4%6.4%0.3%1.7M-39.1M-1.3M0.429.099,9204,172267,024271,164
2009-05-04$13.82$13.7540.6%11.4%44.9%30.1%40.7%8.4%2.5%2.2M-78.3M-1.3M1.2012.174,2925,164263,188273,136
2009-05-05$13.75$13.7540.0%11.5%44.6%29.3%40.9%8.9%2.6%2.1M-74.4M-1.3M3.607.763,03610,920262,724274,096
2009-05-06$13.65$13.7538.6%11.3%43.3%27.2%39.4%8.3%3.1%1.8M-63.4M-1.3M0.908.683,3643,040262,344279,356
2009-05-07$13.27$13.7538.3%11.5%44.8%26.8%40.6%8.3%3.0%1.4M-37.1M-1.3M1.1912.6010,00811,896262,988277,240
2009-05-08$13.61$13.7536.7%11.3%40.7%24.4%40.0%8.0%3.0%1.9M-59.2M-1.3M0.939.818,1887,604264,736281,196
2009-05-11$13.29$13.7541.3%11.6%41.6%31.2%42.4%8.6%2.8%1.4M-34.6M-1.2M0.959.859,2488,776266,072280,132
2009-05-12$12.74$13.7546.8%12.6%42.6%39.2%42.3%8.5%2.0%-268.4K9.3M-1.2M1.4111.4514,39620,356268,456286,244
2009-05-13$12.38$13.7547.8%12.7%43.4%40.6%46.3%7.1%2.0%-638.0K30.9M-1.1M1.708.979,75616,608267,672289,512
2009-05-14$12.74$13.7542.8%12.3%43.1%33.4%42.4%7.6%2.1%-842.5K5.7M-1.2M0.9313.1211,27210,532268,100293,260
2009-05-15$12.44$13.7541.0%11.8%43.2%29.1%42.2%7.4%2.8%-3.7M36.2M-1.1M1.3713.6711,78416,164272,388297,064
2009-05-18$12.80$13.7538.1%10.9%42.4%24.9%38.0%7.1%3.8%178.8K2.6M-1.2M0.877.1617,37215,092241,244269,408
2009-05-19$13.01$13.7538.6%11.1%42.3%25.5%37.9%7.2%4.1%394.2K-14.1M-1.2M1.018.2820,11220,276249,444279,484
2009-05-20$12.67$13.7536.5%10.5%41.3%22.5%36.3%6.4%5.6%179.1K7.7M-1.2M0.8611.5910,2208,784259,416284,116
2009-05-21$12.84$13.7537.1%10.6%41.6%23.3%37.0%6.9%4.9%492.6K-3.9M-1.2M0.7413.079,0086,672263,840284,944
2009-05-22$13.10$12.5037.4%10.7%42.3%23.8%34.3%6.7%4.7%937.4K-25.5M-1.2M0.337.6625,1528,256267,668286,888
2009-05-26$13.54$12.5033.7%9.7%44.0%18.3%37.2%6.7%6.1%2.0M-68.2M-1.3M1.588.268,37613,224287,332292,508
2009-05-27$13.60$12.5033.8%9.7%42.9%18.4%35.4%7.2%6.0%2.1M-74.4M-1.3M1.6411.176,0169,868289,772296,632
2009-05-28$13.78$12.5033.4%9.6%39.3%17.9%35.1%7.4%6.1%2.3M-87.6M-1.3M1.228.888,54410,416292,052298,172
2009-05-29$14.26$12.5035.4%10.2%40.7%20.8%33.7%6.3%5.5%2.9M-129.7M-1.3M1.0812.6621,11222,716297,684300,196