NKE Options History — September 2009

In September 2009, NKE traded between $13.33 and $16.18. ATM implied volatility averaged 31.4%, placing in the 12.2% IV rank vs the trailing year. The 30-day expected move averaged 9.3%. IV traded above realized volatility by 6.9% (HV 20d: 24.6%). Max pain ranged from $13.75 to $15.00. Net GEX was positive for 21 of 21 trading days. Term structure was in contango for 4 of 21 days. Put/call ratio averaged 0.94.

Notable Days

  • 2009-09-29: Highest Volume — 231,212 contracts
  • 2009-09-30: Largest IV drop — 35.0% change
  • 2009-09-28: Highest IV Rank — 20.9%
  • 2009-09-28: Largest Expected Move — 10.6%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$14.24$13.33$16.18$13.59$16.18
Max Pain$13.81$13.75$15.00$13.75$15.00
ATM IV31.4%24.0%37.1%27.6%24.0%
Expected Move9.3%6.9%10.6%7.9%6.9%
HV 20d24.6%21.7%31.9%23.3%31.9%
HV 60d24.3%22.2%26.4%25.2%26.4%
IV Rank12.2%0.6%20.9%6.3%0.6%
IV Percentile18.6%1.6%32.1%9.9%1.6%
Term Structure-1.8%-6.9%7.4%6.4%1.1%
VWIV33.2%24.7%37.9%28.0%24.7%
Skew 25d4.0%1.3%8.5%8.5%3.1%
Skew 10d8.6%4.1%12.7%12.7%4.7%
Call IV 25d31.3%22.3%37.6%22.3%24.0%
Put IV 25d35.3%27.1%39.9%30.8%27.1%
Bid-Ask Spread %8.484.7815.417.1810.14
Gamma HHI0.200.160.310.200.31
Net GEX1.2M249.9K5.6M501.0K5.6M
Net DEX-53.3M-313.9M31.3M10.1M-313.9M
Net VEX-1.1M-1.2M-1.1M-1.2M-1.2M
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.940.441.801.030.86
Total Volume44,515.814,280231,21213,728212,760
Total OI591,404.381558,424752,220558,916752,220

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2009-09-01$13.59$13.7527.6%7.9%23.3%6.3%28.0%8.5%6.4%501.0K10.1M-1.2M1.037.186,7646,964269,084289,832
2009-09-02$13.33$13.7527.8%8.0%24.0%6.6%29.3%4.4%5.9%249.9K31.3M-1.1M0.544.787,8684,260269,516290,092
2009-09-03$13.43$13.7525.9%7.4%23.8%3.7%26.6%6.4%7.4%384.8K24.0M-1.1M0.515.475,0722,576266,968291,456
2009-09-04$13.56$13.7525.0%9.4%23.9%2.2%34.8%4.2%-0.8%651.7K12.5M-1.1M1.5315.411,8322,800269,136291,748
2009-09-08$13.81$13.7526.4%9.7%24.6%4.4%33.7%5.1%-1.7%954.8K-10.2M-1.1M0.558.562,7601,520269,784291,908
2009-09-09$13.84$13.7525.4%9.4%24.6%2.8%32.8%4.7%-1.2%1.0M-13.6M-1.1M0.8012.7012,89610,332270,204292,060
2009-09-10$13.86$13.7532.3%9.3%24.0%13.5%31.3%4.3%-1.1%1.0M-16.2M-1.1M0.9912.823,1483,124275,052297,768
2009-09-11$13.75$13.7532.7%9.4%24.0%14.0%32.7%4.2%-1.4%924.8K-5.9M-1.1M0.8712.924,1283,596274,892298,748
2009-09-14$13.73$13.7533.4%9.6%23.4%15.1%33.9%4.1%-2.1%924.0K-3.1M-1.1M1.4112.446,3048,880274,380299,304
2009-09-15$13.67$13.7532.7%9.4%21.7%14.1%33.2%3.8%-2.0%689.0K5.7M-1.1M0.858.397,7726,612272,624299,308
2009-09-16$14.29$13.7535.0%10.0%27.0%17.6%34.6%4.0%-3.7%803.6K-59.3M-1.1M0.625.5040,11625,056274,876302,744
2009-09-17$14.52$13.7533.1%9.5%26.6%14.7%34.6%3.9%-3.2%1.6M-92.6M-1.1M1.385.2910,41614,372291,048314,736
2009-09-18$14.65$13.7533.6%9.6%26.7%15.5%35.4%3.6%-3.4%1.3M-100.2M-1.1M1.645.526,71211,024290,472317,160
2009-09-21$14.64$13.7534.0%9.7%25.0%16.1%35.2%4.0%-4.4%996.9K-79.0M-1.1M0.695.7511,0447,636268,852295,024
2009-09-22$14.64$13.7533.8%9.7%25.0%15.8%35.0%3.3%-4.5%1.1M-78.5M-1.1M1.805.8611,46020,676273,584297,216
2009-09-23$14.57$13.7534.4%9.8%24.3%16.6%35.1%3.9%-5.0%1.2M-77.0M-1.1M0.449.0221,2889,304278,244299,436
2009-09-24$14.54$13.7534.2%9.8%24.3%16.4%35.7%2.4%-5.2%1.2M-68.9M-1.2M0.997.9811,65211,592285,264305,920
2009-09-25$14.66$13.7535.2%10.1%23.0%17.9%35.7%2.3%-5.3%1.4M-85.2M-1.2M1.1310.4238,86444,064289,264307,704
2009-09-28$14.75$13.7537.1%10.6%22.5%20.9%37.9%1.3%-6.9%445.1K-80.9M-1.2M0.566.4755,35231,024299,576341,644
2009-09-29$15.02$13.7536.9%10.6%22.3%20.5%37.4%3.6%-6.5%1.8M-119.6M-1.2M0.575.51146,89284,320329,088351,556
2009-09-30$16.18$15.0024.0%6.9%31.9%0.6%24.7%3.1%1.1%5.6M-313.9M-1.2M0.8610.14114,40898,352364,184388,036