NKE Options History — November 2009

In November 2009, NKE traded between $15.63 and $16.52. ATM implied volatility averaged 29.2%, placing in the 14.6% IV rank vs the trailing year. The 30-day expected move averaged 8.7%. IV traded above realized volatility by 6.4% (HV 20d: 22.8%). Max pain ranged from $16.25 to $16.25. Net GEX was positive for 20 of 20 trading days. Term structure was in contango for 4 of 20 days. Put/call ratio averaged 1.35.

Notable Days

  • 2009-11-03: Highest Volume — 26,608 contracts
  • 2009-11-12: Largest IV spike — 21.8% change
  • 2009-11-30: Highest IV Rank — 22.5%
  • 2009-11-30: Largest Expected Move — 9.3%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$16.10$15.63$16.52$15.63$16.22
Max Pain$16.25$16.25$16.25$16.25$16.25
ATM IV29.2%25.3%32.5%29.7%32.5%
Expected Move8.7%7.8%9.3%8.5%9.3%
HV 20d22.8%19.8%24.7%19.9%20.9%
HV 60d27.0%26.1%27.7%27.3%26.1%
IV Rank14.6%8.1%22.5%14.4%22.5%
IV Percentile25.0%10.7%36.1%25.4%36.1%
Term Structure-0.4%-3.1%4.1%3.8%-3.1%
VWIV30.9%28.8%34.1%29.2%34.1%
Skew 25d3.6%2.3%4.7%3.2%2.9%
Skew 10d7.7%4.4%13.1%6.4%6.3%
Call IV 25d29.2%26.6%32.2%27.4%32.2%
Put IV 25d32.9%30.3%35.1%30.6%35.1%
Bid-Ask Spread %11.056.6417.1615.128.43
Gamma HHI0.350.250.500.280.26
Net GEX3.9M2.2M6.5M2.3M3.0M
Net DEX-141.3M-203.3M-97.7M-97.7M-141.3M
Net VEX-1.2M-1.3M-1.1M-1.2M-1.1M
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.350.273.953.701.23
Total Volume13,2033,72826,60821,2768,600
Total OI613,837543,672641,172606,152559,932

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2009-11-02$15.63$16.2529.7%8.5%19.9%14.4%29.2%3.2%3.8%2.3M-97.7M-1.2M3.7015.124,52816,748300,948305,204
2009-11-03$15.66$16.2527.7%7.9%19.9%11.6%29.8%3.4%3.4%2.2M-101.9M-1.3M1.956.649,00817,600305,208309,548
2009-11-04$15.68$16.2527.7%7.9%19.8%11.5%28.8%2.3%3.2%2.3M-101.9M-1.3M0.9513.6710,1689,620308,608320,344
2009-11-05$16.19$16.2527.1%7.8%22.7%10.7%29.4%3.9%4.1%3.7M-156.9M-1.3M0.547.0216,8329,156307,552319,216
2009-11-06$16.14$16.2526.0%8.8%22.5%9.1%30.9%4.3%-0.9%3.9M-153.0M-1.3M0.9911.453,6483,628313,884324,244
2009-11-09$16.33$16.2526.9%9.0%22.7%10.5%32.4%4.7%-1.2%4.5M-170.8M-1.2M3.9513.953,27212,932310,696324,360
2009-11-10$16.12$16.2525.7%8.9%23.2%8.7%31.2%4.4%-1.3%4.4M-147.1M-1.2M0.6811.087,0284,808311,672324,544
2009-11-11$16.23$16.2525.3%8.8%22.4%8.1%31.4%3.6%-1.1%5.0M-165.4M-1.2M2.0815.111,3922,900312,140325,748
2009-11-12$16.02$16.2530.8%8.8%22.8%16.1%32.8%3.5%-1.1%4.3M-135.2M-1.2M2.0417.163,5927,324311,140325,800
2009-11-13$16.11$16.2530.2%8.7%22.9%15.2%30.2%3.9%-1.1%4.8M-142.2M-1.2M0.7716.796,2444,788310,556329,676
2009-11-16$16.52$16.2531.1%8.9%24.1%16.6%31.7%4.3%-1.5%5.8M-203.3M-1.2M0.5610.125,7563,220310,708329,116
2009-11-17$16.24$16.2530.6%8.8%24.3%15.7%30.7%3.8%-1.4%6.2M-163.9M-1.1M0.7111.037,2925,168308,472329,664
2009-11-18$16.11$16.2530.4%8.7%24.4%15.5%30.4%3.0%-1.1%6.5M-143.3M-1.2M0.2711.0410,7882,948309,852330,600
2009-11-19$15.89$16.2530.9%8.9%24.7%16.2%31.2%3.3%-1.6%4.0M-107.9M-1.1M0.297.1311,3163,240310,660330,512
2009-11-20$15.98$16.2530.5%8.7%24.2%15.6%31.3%3.8%-1.0%3.2M-116.9M-1.1M0.297.667,6522,244310,492329,452
2009-11-23$16.12$16.2530.8%8.8%24.3%18.5%32.2%4.2%-1.8%2.8M-133.1M-1.1M3.588.433,13611,236272,972270,700
2009-11-24$16.13$16.2529.3%8.4%24.2%16.8%30.4%3.9%-0.9%2.8M-134.9M-1.1M0.888.988,3687,404274,592278,028
2009-11-25$16.43$16.2529.2%8.4%23.2%16.8%28.9%2.8%-1.8%3.2M-163.5M-1.1M0.4710.894,6002,148277,900281,744
2009-11-27$16.26$16.2531.6%9.0%22.8%20.9%31.9%3.3%-1.9%2.9M-145.8M-1.1M1.159.231,7361,992278,284281,972
2009-11-30$16.22$16.2532.5%9.3%20.9%22.5%34.1%2.9%-3.1%3.0M-141.3M-1.1M1.238.433,8604,740277,360282,572