NKE Options History — January 2010

In January 2010, NKE traded between $15.74 and $16.46. ATM implied volatility averaged 20.4%, placing in the 4.3% IV rank vs the trailing year. The 30-day expected move averaged 5.7%. IV traded above realized volatility by 7.0% (HV 20d: 13.4%). Max pain ranged from $16.25 to $16.25. Net GEX was positive for 19 of 19 trading days. Term structure was in contango for 19 of 19 days. Put/call ratio averaged 1.09.

Notable Days

2010-01-15: Highest Volume — 23,972 contracts
2010-01-28: Largest IV spike — 15.7% change
2010-01-04: Highest IV Rank — 9.2%
2010-01-04: Largest Expected Move — 6.4%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$16.14	$15.74	$16.46	$16.34	$15.94
Max Pain	$16.25	$16.25	$16.25	$16.25	$16.25
ATM IV	20.4%	16.9%	24.2%	24.2%	20.8%
Expected Move	5.7%	4.8%	6.4%	6.4%	6.0%
HV 20d	13.4%	11.3%	17.5%	17.5%	11.8%
HV 60d	18.7%	17.1%	19.3%	19.3%	17.1%
IV Rank	4.3%	0.0%	9.2%	9.2%	7.7%
IV Percentile	3.2%	0.0%	10.7%	10.7%	5.6%
Term Structure	3.8%	2.7%	5.2%	2.7%	4.7%
VWIV	20.0%	17.3%	21.7%	21.7%	21.2%
Skew 25d	3.3%	2.9%	3.7%	3.6%	3.7%
Skew 10d	8.2%	5.7%	12.2%	12.2%	7.6%
Call IV 25d	18.6%	16.2%	20.8%	20.8%	18.9%
Put IV 25d	22.0%	19.3%	24.4%	24.4%	22.5%
Bid-Ask Spread %	12.40	9.11	16.05	9.42	16.05
Gamma HHI	0.29	0.16	0.64	0.30	0.16
Net GEX	2.8M	603.7K	8.0M	3.4M	980.7K
Net DEX	-55.6M	-103.6M	-14.9M	-84.6M	-24.3M
Net VEX	-834.6K	-896.0K	-792.1K	-845.6K	-896.0K
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	1.09	0.34	2.25	1.89	1.74
Total Volume	12,046.526	3,348	23,972	8,392	5,976
Total OI	407,110.316	225,416	551,996	532,460	276,476

Daily Data (19 trading days)

Date	Price	Max Pain	ATM IV	Exp Move	HV 20d	IV Rank	VWIV	Skew 25d	Term Str	GEX	DEX	VEX	P/C	Spread %	Call Vol	Put Vol	Call OI	Put OI
2010-01-04	$16.34	$16.25	24.2%	6.4%	17.5%	9.2%	21.7%	3.6%	2.7%	3.4M	-84.6M	-845.6K	1.89	9.42	2,908	5,484	235,744	296,716
2010-01-05	$16.40	$16.25	23.2%	6.3%	17.4%	7.1%	21.4%	3.7%	2.8%	3.5M	-88.4M	-837.3K	0.50	9.99	2,228	1,120	236,564	300,132
2010-01-06	$16.30	$16.25	23.2%	6.2%	17.5%	7.1%	21.4%	3.6%	3.2%	3.5M	-81.8M	-826.1K	0.49	10.70	7,144	3,508	237,328	299,304
2010-01-07	$16.46	$16.25	22.2%	6.2%	16.7%	5.2%	21.4%	3.5%	3.2%	3.8M	-96.4M	-825.4K	0.96	12.60	6,808	6,544	239,228	301,088
2010-01-08	$16.43	$16.25	20.1%	6.0%	13.4%	0.7%	20.8%	3.3%	2.9%	3.7M	-96.2M	-835.9K	1.23	12.27	4,100	5,060	243,824	306,368
2010-01-11	$16.23	$16.25	22.5%	5.9%	14.0%	5.8%	20.5%	3.5%	3.5%	3.8M	-72.9M	-824.3K	1.12	9.48	3,692	4,136	243,960	307,260
2010-01-12	$16.20	$16.25	21.9%	5.9%	12.6%	4.4%	20.6%	3.6%	3.2%	4.5M	-73.0M	-816.4K	1.48	13.32	6,492	9,608	245,260	306,736
2010-01-13	$16.35	$16.25	19.3%	5.7%	12.8%	0.0%	20.3%	2.9%	3.6%	5.7M	-103.6M	-819.0K	0.84	14.52	4,740	4,000	245,632	301,256
2010-01-14	$16.25	$16.25	18.9%	5.4%	13.1%	0.0%	19.1%	3.1%	4.1%	8.0M	-85.8M	-812.0K	0.52	12.62	9,568	5,012	245,092	301,656
2010-01-15	$16.10	$16.25	18.2%	5.2%	13.4%	0.0%	18.6%	3.3%	4.4%	3.8M	-50.8M	-792.1K	0.34	13.98	17,832	6,140	248,024	303,532
2010-01-19	$16.18	$16.25	17.2%	4.9%	12.6%	0.0%	17.3%	3.1%	4.4%	1.1M	-32.5M	-793.3K	0.41	13.15	15,416	6,352	111,236	114,180
2010-01-20	$16.05	$16.25	16.9%	4.8%	11.3%	0.0%	17.8%	3.1%	4.6%	1.4M	-29.6M	-823.4K	1.52	14.00	7,624	11,568	119,828	117,056
2010-01-21	$15.91	$16.25	19.4%	5.6%	11.3%	4.9%	18.8%	3.0%	3.7%	670.2K	-21.9M	-831.5K	1.48	11.50	5,956	8,800	123,380	124,400
2010-01-22	$15.74	$16.25	20.5%	5.9%	11.6%	7.1%	20.9%	3.2%	3.8%	603.7K	-14.9M	-827.5K	1.29	11.41	5,260	6,796	125,400	125,136
2010-01-25	$15.92	$16.25	20.2%	5.8%	12.2%	6.5%	19.3%	3.6%	3.9%	838.2K	-23.8M	-848.4K	1.04	11.66	4,572	4,752	128,268	129,020
2010-01-26	$15.94	$16.25	20.2%	5.8%	12.2%	6.4%	19.1%	3.2%	4.4%	1.0M	-24.7M	-859.3K	0.34	9.11	5,448	1,872	131,396	131,032
2010-01-27	$16.00	$16.25	17.9%	5.1%	12.3%	2.0%	19.5%	3.5%	5.2%	1.2M	-28.8M	-867.0K	1.26	14.35	2,796	3,524	134,088	132,084
2010-01-28	$15.88	$16.25	20.7%	5.9%	11.6%	7.5%	20.8%	2.9%	4.5%	1.0M	-22.5M	-876.4K	2.25	15.54	4,940	11,108	134,892	132,520
2010-01-29	$15.94	$16.25	20.8%	6.0%	11.8%	7.7%	21.2%	3.7%	4.7%	980.7K	-24.3M	-896.0K	1.74	16.05	2,180	3,796	137,284	139,192