NKE Options History — July 2009

In July 2009, NKE traded between $12.77 and $14.16. ATM implied volatility averaged 28.1%, placing in the 5.1% IV rank vs the trailing year. The 30-day expected move averaged 8.2%. IV traded above realized volatility by 2.7% (HV 20d: 25.4%). Max pain ranged from $12.50 to $13.75. Net GEX was positive for 13 of 22 trading days. Term structure was in contango for 22 of 22 days. Put/call ratio averaged 1.12.

Notable Days

  • 2009-07-10: Highest Volume — 68,876 contracts
  • 2009-07-15: Largest IV drop — 27.0% change
  • 2009-07-13: Highest IV Rank — 11.3%
  • 2009-07-08: Largest Expected Move — 9.8%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$13.12$12.77$14.16$13.11$14.16
Max Pain$12.78$12.50$13.75$12.50$12.50
ATM IV28.1%23.5%33.8%30.7%26.0%
Expected Move8.2%6.8%9.8%8.8%7.5%
HV 20d25.4%20.1%28.6%27.1%21.5%
HV 60d34.3%31.1%38.3%38.2%31.8%
IV Rank5.1%0.0%11.3%6.3%3.8%
IV Percentile6.2%0.0%20.2%9.1%2.8%
Term Structure3.2%1.1%5.9%1.1%1.9%
VWIV27.9%23.9%32.2%29.0%25.6%
Skew 25d4.2%2.2%6.6%4.9%2.2%
Skew 10d10.5%3.4%15.8%15.8%8.8%
Call IV 25d26.0%21.9%30.5%25.9%24.8%
Put IV 25d30.2%25.7%36.4%30.8%27.1%
Bid-Ask Spread %9.124.2416.584.354.70
Gamma HHI0.360.280.450.330.32
Net GEX401.0K-3.7M4.3M-453.0K4.1M
Net DEX-14.0M-115.0M36.1M-11.5M-115.0M
Net VEX-1.3M-1.4M-1.2M-1.3M-1.3M
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.120.145.690.701.09
Total Volume33,954.7273,71268,87617,48026,820
Total OI708,938.364550,384837,984812,616592,268

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2009-07-01$13.11$12.5030.7%8.8%27.1%6.3%29.0%4.9%1.1%-453.0K-11.5M-1.3M0.704.3510,2967,184386,844425,772
2009-07-02$12.77$12.5031.3%9.0%28.0%7.2%29.8%4.5%1.3%-2.2M34.8M-1.3M0.398.9418,4767,248389,404425,732
2009-07-06$12.98$13.7533.0%9.6%28.4%10.0%30.7%6.6%2.4%-986.2K1.5M-1.3M0.729.2831,34022,512396,204428,828
2009-07-07$12.80$13.7533.3%9.6%28.5%10.6%32.2%6.1%2.8%-3.4M36.1M-1.4M1.3312.0712,28416,280393,276443,008
2009-07-08$12.88$13.7533.0%9.8%28.1%10.0%32.2%6.0%2.9%-2.9M16.9M-1.4M1.469.8512,08417,596393,660444,324
2009-07-09$12.77$13.7528.8%9.4%27.0%3.2%31.4%5.7%3.5%-3.7M34.3M-1.3M3.1712.314,22413,400393,768432,252
2009-07-10$12.82$12.5030.9%9.5%27.2%6.6%31.5%5.0%3.3%-2.9M19.7M-1.3M0.9612.4435,06433,812394,420428,396
2009-07-13$12.88$13.7533.8%9.0%27.4%11.3%31.2%4.9%4.7%-3.1M12.0M-1.3M2.0816.5815,65632,616389,112426,804
2009-07-14$12.97$12.5032.4%8.7%27.5%9.1%29.3%4.6%5.0%-2.6M5.2M-1.3M5.6911.244,68426,648381,212424,360
2009-07-15$13.23$12.5023.7%7.8%28.6%0.0%28.2%3.5%5.0%738.3K-27.9M-1.3M0.9410.6024,86423,376380,684417,896
2009-07-16$13.30$12.5027.1%7.8%28.4%5.3%30.1%3.6%5.5%1.5M-42.0M-1.3M0.1411.6954,4927,440394,532410,404
2009-07-17$13.11$12.5028.9%8.3%26.2%8.0%28.1%5.6%5.9%1.2M-35.8M-1.2M0.158.6237,8085,792396,524398,088
2009-07-20$13.21$12.5023.6%6.8%26.2%0.0%24.5%4.4%2.6%2.0M-16.3M-1.2M0.464.2424,96811,480283,468266,916
2009-07-21$13.02$12.5025.3%7.3%25.2%2.6%24.4%3.3%3.4%1.9M-4.4M-1.2M0.8111.599,0087,288299,064271,136
2009-07-22$12.88$12.5025.2%7.2%23.1%2.5%24.6%2.7%3.0%1.6M6.3M-1.2M0.2011.1215,3083,116302,364274,132
2009-07-23$12.79$12.5025.9%7.4%23.0%3.4%23.9%3.5%2.7%1.5M11.9M-1.2M0.158.4824,7123,664306,712273,604
2009-07-24$13.04$12.5026.4%7.6%21.0%4.3%26.1%3.9%2.3%2.4M-11.6M-1.2M0.174.6138,2846,352308,124274,880
2009-07-27$13.09$12.5026.3%7.5%20.7%4.1%25.7%2.6%2.9%2.7M-15.4M-1.2M0.9811.221,8761,836309,536277,216
2009-07-28$13.23$12.5023.5%6.8%20.1%0.0%24.9%2.9%2.1%3.1M-29.8M-1.2M0.964.743,7563,612306,804276,492
2009-07-29$13.59$12.5023.7%6.8%22.1%0.2%25.1%3.0%3.4%4.2M-68.7M-1.2M1.204.4920,08424,032307,712277,712
2009-07-30$14.02$12.5026.1%7.5%24.1%3.9%25.9%3.5%1.9%4.3M-108.3M-1.3M0.897.3924,14821,484307,092285,908
2009-07-31$14.16$12.5026.0%7.5%21.5%3.8%25.6%2.2%1.9%4.1M-115.0M-1.3M1.094.7012,83613,984304,372287,896