NKE Options History — December 2009

In December 2009, NKE traded between $15.49 and $16.55. ATM implied volatility averaged 27.9%, placing in the 16.0% IV rank vs the trailing year. The 30-day expected move averaged 7.7%. IV traded above realized volatility by 8.9% (HV 20d: 19.0%). 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 8 of 22 days. Put/call ratio averaged 0.97.

Notable Days

  • 2009-12-02: Highest Volume — 290,460 contracts
  • 2009-12-10: Largest IV drop — 23.9% change
  • 2009-12-09: Highest IV Rank — 33.5%
  • 2009-12-01: Largest Expected Move — 9.2%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$16.15$15.49$16.55$16.35$16.52
Max Pain$15.17$15.00$16.25$16.25$15.00
ATM IV27.9%21.7%37.0%32.0%22.1%
Expected Move7.7%6.2%9.2%9.2%6.3%
HV 20d19.0%17.3%21.4%20.9%17.4%
HV 60d24.4%19.2%26.8%26.0%19.2%
IV Rank16.0%4.1%33.5%21.7%4.9%
IV Percentile22.2%1.2%50.8%34.9%2.8%
Term Structure-0.9%-3.3%2.0%-3.3%0.2%
VWIV27.8%21.8%32.9%32.9%22.4%
Skew 25d3.0%1.6%4.2%2.4%1.6%
Skew 10d7.6%4.3%28.9%5.1%4.4%
Call IV 25d27.1%20.9%34.7%32.3%21.7%
Put IV 25d30.1%23.2%37.5%34.7%23.2%
Bid-Ask Spread %7.923.3434.8012.667.56
Gamma HHI0.330.230.600.270.31
Net GEX3.6M1.6M8.0M3.2M3.6M
Net DEX-73.8M-151.4M-6.8M-151.4M-102.9M
Net VEX-966.9K-1.1M-875.5K-1.1M-875.5K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.970.042.710.811.12
Total Volume32,766.3644,212290,4604,7889,424
Total OI534,517.818511,160581,224561,816530,932

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2009-12-01$16.35$16.2532.0%9.2%20.9%21.7%32.9%2.4%-3.3%3.2M-151.4M-1.1M0.8112.662,6522,136279,152282,664
2009-12-02$16.34$16.2531.9%9.1%21.0%22.2%32.5%2.8%-2.8%3.2M-149.6M-1.0M0.0411.75280,15210,308279,336283,288
2009-12-03$16.17$16.2531.7%9.1%21.4%22.1%32.2%2.6%-2.9%2.9M-64.6M-1.0M0.8212.697,1605,864231,968285,584
2009-12-04$16.07$15.0031.6%8.1%18.3%21.9%29.5%3.0%-0.1%2.9M-62.0M-1.0M1.125.954,4324,948236,424282,408
2009-12-07$16.14$15.0033.9%8.3%18.3%27.4%29.1%3.1%-0.8%2.9M-64.6M-1.0M0.895.433,4443,052237,988285,116
2009-12-08$15.88$15.0033.9%8.3%18.6%27.4%29.6%3.2%-0.6%2.4M-38.5M-1.0M0.758.563,6802,764239,212286,668
2009-12-09$15.49$15.0037.0%8.8%20.0%33.5%30.1%3.4%-0.9%1.6M-6.8M-980.6K0.974.4210,76010,456238,964286,312
2009-12-10$15.68$15.0028.2%8.1%20.4%16.3%31.3%3.5%-0.5%2.3M-24.1M-987.7K2.713.693,6529,900243,076287,400
2009-12-11$15.96$15.0029.1%8.3%21.1%19.2%30.5%2.9%-1.3%3.0M-52.4M-1.0M0.455.5720,8889,328244,120290,032
2009-12-14$16.04$15.0030.0%8.6%21.1%21.2%30.8%3.4%-2.0%4.5M-67.7M-1.0M1.137.1313,14814,912255,344290,740
2009-12-15$16.09$15.0029.9%8.6%18.8%21.0%30.6%2.8%-1.8%4.3M-71.3M-999.5K1.215.915,7926,992258,336297,644
2009-12-16$16.01$15.0030.2%8.7%17.9%21.7%31.0%2.4%-2.6%4.2M-65.1M-989.0K0.617.4017,23610,508256,952298,196
2009-12-17$15.81$15.0030.6%8.8%18.2%22.4%32.5%3.9%-2.9%3.3M-39.7M-993.7K0.984.6446,30045,372256,616298,736
2009-12-18$16.11$15.0024.9%7.1%18.8%10.6%27.0%3.5%2.0%8.0M-47.5M-932.2K1.415.2234,49648,720268,288312,936
2009-12-21$16.22$15.0023.3%6.7%18.9%7.3%23.7%2.9%0.1%3.6M-72.6M-923.3K0.633.3411,0686,952227,200285,032
2009-12-22$16.27$15.0022.2%6.4%18.6%5.2%23.9%2.8%0.3%3.6M-78.0M-897.2K1.285.435,5767,164228,648282,512
2009-12-23$16.36$15.0021.7%6.2%18.7%4.1%22.5%3.6%0.7%3.5M-81.9M-914.9K0.485.035,8242,812229,612286,748
2009-12-24$16.31$15.0021.9%6.3%17.6%4.4%22.3%3.4%0.3%3.9M-89.5M-902.9K1.345.212,3523,152231,140286,856
2009-12-28$16.38$15.0022.4%6.4%17.3%5.6%22.4%4.2%0.2%3.8M-88.9M-879.8K1.015.186,6846,744232,256287,348
2009-12-29$16.55$15.0022.7%6.5%17.6%6.2%22.7%2.7%-0.5%4.1M-107.5M-883.4K0.6834.805,8444,000235,540293,048
2009-12-30$16.54$15.0022.2%6.4%17.4%5.1%21.8%3.1%0.4%3.4M-98.0M-879.0K0.916.632,2082,004234,324294,696
2009-12-31$16.52$15.0022.1%6.3%17.4%4.9%22.4%1.6%0.2%3.6M-102.9M-875.5K1.127.564,4524,972235,384295,548