NKE Options History — June 2009 In June 2009, NKE traded between $12.71 and $14.81. ATM implied volatility averaged 37.6%, placing in the 18.5% IV rank vs the trailing year. The 30-day expected move averaged 11.0%. IV traded above realized volatility by 3.2% (HV 20d: 34.3%). Max pain ranged from $12.50 to $13.75. Net GEX was positive for 16 of 22 trading days. Term structure was in contango for 6 of 22 days. Put/call ratio averaged 1.48.
Notable Days 2009-06-25 : Highest Volume — 133,672 contracts2009-06-25 : Largest IV drop — 11.8% change2009-06-22 : Highest IV Rank — 30.6%2009-06-22 : Largest Expected Move — 13.1%Monthly Statistics Metric Avg Min Max Open Close Price $13.91 $12.71 $14.81 $14.81 $12.95 Max Pain $12.67 $12.50 $13.75 $12.50 $12.50 ATM IV 37.6% 31.1% 45.7% 34.2% 31.1% Expected Move 11.0% 8.9% 13.1% 9.8% 8.9% HV 20d 34.3% 26.6% 42.4% 42.4% 26.6% HV 60d 42.0% 38.2% 46.5% 46.1% 38.2% IV Rank 18.5% 6.9% 30.6% 19.0% 6.9% IV Percentile 32.9% 10.7% 57.5% 24.6% 10.7% Term Structure -0.8% -6.1% 5.5% 4.8% 0.5% VWIV 40.0% 30.3% 48.4% 36.0% 30.3% Skew 25d 7.5% 5.1% 10.2% 5.6% 7.2% Skew 10d 14.5% 10.1% 17.7% 11.3% 17.4% Call IV 25d 35.4% 25.5% 41.4% 32.7% 25.5% Put IV 25d 42.9% 32.7% 51.1% 38.3% 32.7% Bid-Ask Spread % 7.87 4.37 14.23 9.70 7.08 Gamma HHI 0.26 0.20 0.40 0.24 0.34 Net GEX 1.2M -2.8M 3.2M 3.1M -1.3M Net DEX -67.5M -174.4M 67.0M -174.4M 13.8M Net VEX -1.3M -1.4M -1.2M -1.3M -1.3M Div Yield 0.0% 0.0% 0.0% 0.0% 0.0% P/C Ratio 1.48 0.30 3.44 1.64 0.96 Total Volume 39,221.273 8,232 133,672 36,456 22,424 Total OI 659,531.818 603,368 807,108 605,000 805,472
Daily Data (22 trading days) Date Price Max Pain ATM IV Exp Move HV 20d IV Rank VWIV Skew 25d Term Str GEX DEX VEX P/C Spread % Call Vol Put Vol Call OI Put OI 2009-06-01 $14.81 $12.50 34.2% 9.8% 42.4% 19.0% 36.0% 5.6% 4.8% 3.1M -174.4M -1.3M 1.64 9.70 13,800 22,656 296,400 308,600 2009-06-02 $14.46 $13.75 34.3% 9.8% 41.2% 16.0% 35.3% 5.1% 4.7% 2.7M -141.0M -1.3M 1.40 11.58 6,232 8,728 299,224 316,116 2009-06-03 $14.54 $13.75 33.9% 9.7% 41.1% 15.4% 38.5% 5.3% 5.0% 2.6M -143.4M -1.3M 0.30 14.23 33,432 10,096 300,248 318,564 2009-06-04 $14.38 $13.75 33.9% 9.7% 41.3% 15.5% 36.0% 5.6% 5.5% 2.5M -109.8M -1.3M 1.61 5.99 10,064 16,252 284,232 319,136 2009-06-05 $14.57 $12.50 32.8% 11.1% 39.7% 12.7% 41.9% 7.7% -0.3% 2.8M -128.6M -1.4M 1.10 9.84 8,892 9,784 288,596 323,404 2009-06-08 $14.50 $12.50 34.9% 11.3% 39.1% 14.5% 45.4% 6.7% -0.9% 2.9M -125.1M -1.3M 1.70 9.98 4,276 7,268 289,504 323,080 2009-06-09 $14.66 $12.50 33.4% 11.1% 37.9% 10.8% 41.5% 7.1% -0.9% 3.2M -137.7M -1.3M 3.37 5.56 5,904 19,884 291,304 321,560 2009-06-10 $14.26 $12.50 37.1% 11.9% 35.9% 16.8% 41.2% 7.6% -1.8% 2.6M -95.8M -1.3M 0.99 9.15 12,476 12,356 292,340 331,056 2009-06-11 $14.15 $12.50 41.2% 11.8% 33.9% 23.3% 39.6% 7.4% -2.1% 2.4M -90.4M -1.3M 0.96 8.58 4,284 4,096 294,640 333,232 2009-06-12 $14.15 $12.50 40.9% 11.7% 33.0% 22.8% 41.3% 7.5% -1.4% 2.4M -88.4M -1.3M 1.39 8.44 6,144 8,548 296,000 332,776 2009-06-15 $13.98 $12.50 42.0% 12.1% 31.8% 24.7% 41.5% 7.4% -2.5% 2.0M -73.2M -1.3M 0.84 8.90 4,476 3,756 295,024 336,088 2009-06-16 $13.83 $12.50 42.5% 12.2% 31.2% 25.4% 43.0% 7.7% -2.5% 1.7M -62.2M -1.3M 2.75 9.60 2,724 7,500 296,316 337,056 2009-06-17 $13.66 $12.50 42.3% 12.1% 31.3% 25.1% 46.3% 8.0% -3.2% 1.3M -43.6M -1.3M 3.44 5.70 17,444 60,000 296,956 336,648 2009-06-18 $14.07 $12.50 43.2% 12.4% 30.9% 26.6% 45.2% 9.2% -3.6% 1.6M -87.7M -1.3M 2.03 5.54 18,992 38,520 308,728 373,252 2009-06-19 $14.18 $12.50 43.7% 12.5% 30.7% 27.4% 43.4% 10.2% -4.7% 1.4M -95.6M -1.4M 0.89 5.49 11,040 9,828 313,212 397,632 2009-06-22 $13.81 $12.50 45.7% 13.1% 32.0% 30.6% 48.4% 9.7% -6.1% 938.1K -53.0M -1.3M 1.71 7.88 15,768 27,024 289,376 350,368 2009-06-23 $13.38 $12.50 42.6% 12.2% 32.1% 25.6% 46.4% 9.3% -4.5% -86.9K -7.7M -1.3M 1.48 4.43 27,212 40,228 298,720 366,092 2009-06-24 $13.26 $12.50 38.7% 11.1% 32.2% 19.3% 42.0% 9.3% -3.1% -970.9K 12.3M -1.3M 1.27 9.01 30,872 39,260 316,912 394,500 2009-06-25 $12.82 $12.50 34.1% 9.8% 33.6% 11.9% 33.1% 7.1% -0.2% -2.4M 61.1M -1.2M 1.06 4.37 64,784 68,888 320,540 381,744 2009-06-26 $12.71 $12.50 31.5% 9.0% 30.5% 7.6% 31.3% 6.1% 0.6% -2.8M 67.0M -1.2M 0.82 6.42 56,696 46,252 337,852 390,092 2009-06-29 $12.94 $12.50 32.4% 9.3% 27.3% 9.0% 31.5% 7.3% -0.4% -1.2M 18.7M -1.3M 0.76 5.56 13,612 10,396 381,956 425,152 2009-06-30 $12.95 $12.50 31.1% 8.9% 26.6% 6.9% 30.3% 7.2% 0.5% -1.3M 13.8M -1.3M 0.96 7.08 11,448 10,976 382,200 423,272
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