NKE Options History — August 2009

In August 2009, NKE traded between $13.79 and $14.52. ATM implied volatility averaged 27.2%, placing in the 5.6% IV rank vs the trailing year. The 30-day expected move averaged 7.9%. IV traded above realized volatility by 4.5% (HV 20d: 22.7%). Max pain ranged from $12.50 to $13.75. Net GEX was positive for 21 of 21 trading days. Term structure was in contango for 21 of 21 days. Put/call ratio averaged 1.48.

Notable Days

  • 2009-08-27: Highest Volume — 41,488 contracts
  • 2009-08-10: Largest IV spike — 21.8% change
  • 2009-08-10: Highest IV Rank — 9.2%
  • 2009-08-10: Largest Expected Move — 8.5%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$14.15$13.79$14.52$14.15$13.85
Max Pain$13.45$12.50$13.75$12.50$13.75
ATM IV27.2%24.3%29.5%27.3%27.4%
Expected Move7.9%7.1%8.5%7.8%7.8%
HV 20d22.7%20.4%25.6%21.2%23.5%
HV 60d27.3%24.5%31.2%31.2%25.0%
IV Rank5.6%1.1%9.2%5.8%5.9%
IV Percentile7.1%1.6%12.7%5.6%9.9%
Term Structure4.4%1.2%6.6%1.6%6.6%
VWIV27.9%26.6%31.3%26.8%27.0%
Skew 25d4.1%2.2%5.0%3.6%3.8%
Skew 10d10.2%5.2%14.8%10.0%6.3%
Call IV 25d25.7%24.5%27.8%24.9%26.7%
Put IV 25d29.7%27.7%32.3%28.4%30.5%
Bid-Ask Spread %9.204.7917.215.747.88
Gamma HHI0.270.180.440.320.19
Net GEX3.1M745.7K5.3M3.9M745.7K
Net DEX-89.3M-140.9M-11.0M-108.5M-11.0M
Net VEX-1.2M-1.3M-1.1M-1.3M-1.2M
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.480.415.581.250.89
Total Volume12,464.9523,11241,4888,9368,012
Total OI584,915.238512,924615,164596,776556,764

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2009-08-03$14.15$12.5027.3%7.8%21.2%5.8%26.8%3.6%1.6%3.9M-108.5M-1.3M1.255.743,9804,956304,376292,400
2009-08-04$14.38$12.5024.7%7.1%20.4%1.8%27.9%3.1%1.4%3.9M-128.4M-1.3M0.414.7916,3406,760304,536297,748
2009-08-05$14.26$12.5028.3%8.1%21.1%7.3%27.8%3.1%1.2%3.9M-118.1M-1.3M1.635.585,4208,828305,192294,960
2009-08-06$14.40$12.5025.5%7.3%20.5%3.0%27.5%2.2%1.2%3.6M-127.5M-1.3M1.066.045,5165,864302,664295,960
2009-08-07$14.52$12.5024.3%7.5%20.5%1.1%27.8%4.6%5.5%3.7M-140.9M-1.2M0.9414.045,7885,436304,828295,336
2009-08-10$14.29$13.7529.5%8.5%22.0%9.2%27.8%5.0%3.6%3.6M-116.5M-1.2M1.0817.021,5841,708304,600297,980
2009-08-11$14.20$13.7528.1%8.4%22.4%7.1%28.1%4.5%4.2%3.7M-108.6M-1.2M1.2417.212,7323,396304,636298,188
2009-08-12$14.38$13.7524.7%7.5%21.9%1.8%26.8%4.7%5.3%3.7M-126.1M-1.2M0.567.8410,1005,608304,560297,656
2009-08-13$14.45$13.7525.9%7.4%21.9%3.6%26.7%4.9%5.2%3.7M-134.5M-1.2M0.6311.035,5483,504308,768299,172
2009-08-14$14.21$13.7528.8%8.3%22.2%8.1%28.4%4.8%4.0%3.8M-111.4M-1.2M0.875.881,6681,444309,788300,192
2009-08-17$13.86$13.7529.5%8.5%24.4%9.2%29.1%4.5%4.5%4.4M-76.2M-1.2M0.8212.204,8323,980310,804300,192
2009-08-18$13.90$13.7528.6%8.2%23.6%7.8%31.3%4.7%4.6%5.3M-79.4M-1.1M1.0412.414,3924,564310,520300,128
2009-08-19$14.19$13.7529.1%8.4%23.8%8.6%29.1%4.8%3.9%4.0M-112.6M-1.2M1.106.845,8846,476311,652299,476
2009-08-20$14.25$13.7528.3%8.1%23.3%7.3%30.2%4.2%4.8%2.1M-121.8M-1.1M3.217.662,5648,228310,080299,340
2009-08-21$13.91$13.7527.2%7.8%24.9%5.6%28.2%4.7%5.1%3.7M-93.3M-1.1M1.577.947,06411,104310,776304,388
2009-08-24$14.00$13.7527.2%7.8%24.9%5.6%27.3%3.6%5.2%1.5M-37.6M-1.1M1.587.516,61210,476254,268258,656
2009-08-25$13.79$13.7526.5%7.6%25.6%4.5%26.7%3.8%5.6%1.3M-19.8M-1.1M2.9810.062,2486,692258,296264,836
2009-08-26$13.86$13.7526.5%7.6%23.8%4.6%27.0%3.0%5.6%1.3M-25.5M-1.1M5.588.401,7689,868258,692266,544
2009-08-27$14.21$13.7527.1%7.8%22.8%5.4%27.1%3.6%6.4%1.5M-50.0M-1.1M1.877.9414,46027,028259,400269,788
2009-08-28$14.04$13.7526.5%7.6%22.9%4.6%26.6%4.0%6.5%897.5K-27.9M-1.2M0.719.285,4723,860266,964288,116
2009-08-31$13.85$13.7527.4%7.8%23.5%5.9%27.0%3.8%6.6%745.7K-11.0M-1.2M0.897.884,2323,780267,980288,784