NKE Options History — October 2009

In October 2009, NKE traded between $15.51 and $16.52. ATM implied volatility averaged 23.7%, placing in the 4.4% IV rank vs the trailing year. The 30-day expected move averaged 7.1%. IV traded below realized volatility by 7.7% (HV 20d: 31.4%). Max pain ranged from $15.00 to $16.25. Net GEX was positive for 22 of 22 trading days. Term structure was in contango for 22 of 22 days. Put/call ratio averaged 0.97.

Notable Days

  • 2009-10-01: Highest Volume — 68,020 contracts
  • 2009-10-15: Largest IV spike — 23.6% change
  • 2009-10-30: Highest IV Rank — 13.2%
  • 2009-10-30: Largest Expected Move — 8.3%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$15.96$15.51$16.52$15.63$15.54
Max Pain$15.34$15.00$16.25$15.00$16.25
ATM IV23.7%19.7%28.8%27.4%28.8%
Expected Move7.1%6.3%8.3%7.8%8.3%
HV 20d31.4%18.5%34.5%34.0%20.3%
HV 60d27.2%26.4%27.6%27.6%27.4%
IV Rank4.4%0.0%13.2%5.9%13.2%
IV Percentile4.5%0.0%23.0%11.5%23.0%
Term Structure3.2%0.8%4.8%1.5%3.0%
VWIV25.5%22.5%27.7%26.8%27.7%
Skew 25d3.1%0.8%4.1%0.8%3.4%
Skew 10d7.3%-0.2%12.3%-0.2%5.0%
Call IV 25d24.0%20.9%26.6%26.6%26.1%
Put IV 25d27.1%23.9%29.8%27.4%29.5%
Bid-Ask Spread %8.373.7818.263.7818.26
Gamma HHI0.430.240.880.240.28
Net GEX6.2M2.2M39.9M3.6M2.2M
Net DEX-209.0M-329.2M-96.6M-217.1M-96.6M
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 Ratio0.970.272.821.051.47
Total Volume24,861.45511,05668,02068,02011,596
Total OI701,368.727554,436815,024782,760606,376

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2009-10-01$15.63$15.0027.4%7.8%34.0%5.9%26.8%0.8%1.5%3.6M-217.1M-1.3M1.053.7833,14034,880371,712411,048
2009-10-02$15.51$15.0027.8%8.0%34.5%6.5%27.4%2.1%0.8%2.5M-187.5M-1.3M1.174.7421,17224,812366,740406,876
2009-10-05$15.70$15.0025.5%7.6%34.5%3.1%27.3%4.1%2.3%3.1M-211.8M-1.3M1.406.429,44013,240364,968407,800
2009-10-06$15.77$15.0024.7%7.6%34.3%1.8%27.2%3.5%2.3%3.8M-231.0M-1.2M0.685.0927,73218,928368,436408,060
2009-10-07$15.86$15.0023.2%7.6%34.2%0.0%27.6%3.7%2.2%4.7M-249.6M-1.2M0.784.9211,9049,320377,784410,952
2009-10-08$16.00$15.0022.1%7.4%34.2%0.0%27.5%3.3%2.5%5.5M-277.2M-1.3M1.0411.5011,33611,752383,380417,504
2009-10-09$15.90$15.0019.7%7.3%34.1%0.0%26.3%3.2%2.8%5.2M-265.2M-1.2M0.275.8917,5564,716384,080421,600
2009-10-12$15.81$15.0023.4%7.3%34.3%5.3%26.7%2.9%2.5%4.4M-247.2M-1.2M0.726.417,8165,636385,068422,692
2009-10-13$15.92$15.0021.0%7.3%34.0%1.8%25.8%3.1%3.1%6.0M-267.5M-1.2M0.348.5310,3763,512385,812423,356
2009-10-14$16.23$15.0020.0%7.2%31.5%0.3%25.7%3.5%2.8%9.7M-316.0M-1.2M0.348.7312,6044,264390,084424,940
2009-10-15$16.24$15.0024.7%7.1%31.3%7.2%25.2%3.6%2.9%11.4M-315.3M-1.2M0.459.5913,1445,968386,420420,844
2009-10-16$16.27$15.0023.8%6.8%31.3%5.8%23.8%3.6%3.7%39.9M-329.2M-1.2M0.357.0020,8687,280388,852422,860
2009-10-19$16.52$15.0022.7%6.5%31.4%4.4%22.5%3.1%4.8%4.6M-197.7M-1.1M1.036.9313,05613,404279,428275,008
2009-10-20$16.27$15.0022.9%6.6%32.3%4.6%25.0%3.0%4.1%4.1M-171.5M-1.1M2.825.477,00019,752281,592279,336
2009-10-21$16.19$15.0022.8%6.5%32.3%4.5%22.8%3.2%4.2%4.3M-165.2M-1.1M1.058.5918,30019,212284,168280,188
2009-10-22$16.30$15.0022.1%6.3%32.2%3.5%22.5%2.8%4.5%4.3M-178.4M-1.2M1.516.274,4126,644294,892293,700
2009-10-23$16.04$16.2522.1%6.3%33.1%3.4%22.6%3.6%4.3%3.6M-146.3M-1.2M1.0211.378,9609,100296,272297,128
2009-10-26$15.94$16.2523.2%6.7%33.3%5.0%24.8%2.4%4.1%3.4M-139.5M-1.3M1.418.619,23212,972298,368299,332
2009-10-27$16.02$16.2523.1%6.6%32.9%4.9%23.3%3.0%4.1%3.5M-146.7M-1.3M0.427.6610,4364,428299,212301,460
2009-10-28$15.64$16.2525.5%7.3%21.2%8.4%27.0%2.9%3.5%2.5M-105.0M-1.3M1.2114.519,82411,872302,068303,304
2009-10-29$15.93$16.2524.3%7.0%18.5%6.6%25.6%2.4%4.4%3.3M-136.7M-1.3M0.8013.818,5486,808302,380304,032
2009-10-30$15.54$16.2528.8%8.3%20.3%13.2%27.7%3.4%3.0%2.2M-96.6M-1.3M1.4718.264,7046,892302,260304,116