NKE Options History — February 2010

In February 2010, NKE traded between $15.32 and $16.90. ATM implied volatility averaged 22.7%, placing in the 11.4% IV rank vs the trailing year. The 30-day expected move averaged 6.9%. IV traded above realized volatility by 6.7% (HV 20d: 16.0%). Max pain ranged from $15.63 to $16.25. Net GEX was positive for 10 of 19 trading days. Term structure was in contango for 4 of 19 days. Put/call ratio averaged 1.56.

Notable Days

  • 2010-02-05: Highest Volume — 55,560 contracts
  • 2010-02-11: Largest IV spike — 31.4% change
  • 2010-02-11: Highest IV Rank — 18.7%
  • 2010-02-08: Largest Expected Move — 7.8%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$15.94$15.32$16.90$16.02$16.90
Max Pain$16.22$15.63$16.25$16.25$16.25
ATM IV22.7%17.4%26.5%19.5%23.6%
Expected Move6.9%5.0%7.8%5.6%6.8%
HV 20d16.0%11.4%19.3%12.1%19.3%
HV 60d16.4%15.7%17.1%17.1%16.6%
IV Rank11.4%1.1%18.7%5.0%13.1%
IV Percentile16.1%0.8%31.3%2.8%19.4%
Term Structure-0.3%-2.7%6.1%5.2%-2.6%
VWIV24.5%18.4%28.1%19.6%23.9%
Skew 25d3.9%3.0%4.9%3.2%3.0%
Skew 10d7.9%4.6%11.2%6.2%11.2%
Call IV 25d22.8%17.5%26.0%19.0%22.6%
Put IV 25d26.8%20.6%30.7%22.1%25.6%
Bid-Ask Spread %16.7112.9225.7115.6619.16
Gamma HHI0.190.170.210.170.17
Net GEX-265.3K-2.3M2.7M1.1M2.7M
Net DEX-16.2M-96.1M34.7M-29.8M-96.1M
Net VEX-925.5K-959.1K-885.8K-885.8K-937.9K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.560.168.372.340.65
Total Volume14,0643,94055,56017,64018,208
Total OI317,187.368278,348338,928278,348338,928

Daily Data (19 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2010-02-01$16.02$16.2519.5%5.6%12.1%5.0%19.6%3.2%5.2%1.1M-29.8M-885.8K2.3415.665,28412,356137,380140,968
2010-02-02$15.98$16.2518.2%5.2%11.5%2.6%21.6%3.1%6.1%609.4K-24.2M-920.8K2.5517.644,90812,532140,848151,764
2010-02-03$16.00$16.2517.4%5.0%11.4%1.1%18.4%3.1%6.0%587.7K-24.1M-933.0K0.7814.385,0043,912142,904155,624
2010-02-04$15.52$16.2521.4%6.1%15.3%8.7%20.8%3.3%5.9%-642.8K8.0M-924.2K0.3813.117,9643,048143,428156,428
2010-02-05$15.43$16.2521.5%7.8%14.7%9.0%28.1%4.9%-2.0%-935.0K16.2M-911.3K8.3713.605,93249,628143,184157,224
2010-02-08$15.32$16.2521.8%7.8%14.7%9.5%26.2%4.4%-1.6%-2.3M34.7M-932.1K1.8518.001,9083,528145,704177,276
2010-02-09$15.63$16.2520.8%7.7%16.4%7.6%28.1%4.9%-1.7%-1.8M13.8M-959.1K1.7712.923,4246,052145,328178,276
2010-02-10$15.66$16.2520.2%7.7%16.5%6.4%27.1%4.5%-1.6%-1.9M12.4M-951.2K2.5414.081,3003,304145,684180,076
2010-02-11$15.74$16.2526.5%7.6%16.2%18.7%26.6%4.5%-1.7%-1.8M7.2M-954.1K0.8514.692,1241,816146,256181,176
2010-02-12$15.62$16.2526.1%7.5%16.2%18.0%27.2%4.6%-1.9%-2.3M16.1M-946.7K0.8613.562,8162,420147,040180,892
2010-02-16$15.91$16.2526.4%7.6%17.5%18.6%25.3%4.3%-1.9%-1.0M-9.8M-932.9K0.6115.4410,3406,284149,152181,268
2010-02-17$16.12$16.2524.9%7.1%18.1%15.6%25.4%3.6%-1.5%174.0K-30.6M-926.7K0.9014.493,3723,044152,280182,468
2010-02-18$16.11$16.2524.1%6.9%17.8%14.0%24.3%4.2%-1.6%452.0K-28.4M-917.6K0.3316.208,9242,980152,604182,916
2010-02-19$16.09$16.2523.7%6.8%17.5%13.3%24.1%4.3%-1.6%222.0K-25.9M-917.5K0.1619.706,6241,060155,112183,720
2010-02-22$16.08$16.2524.0%6.9%17.1%13.9%24.4%4.3%-2.1%81.0K-24.9M-905.5K0.6420.195,8283,712138,392163,828
2010-02-23$16.03$16.2524.0%6.9%16.7%13.8%26.5%3.4%-2.1%-19.2K-22.7M-897.5K2.8922.035,06014,600138,968165,124
2010-02-24$16.23$15.6323.3%6.7%17.2%12.4%23.6%3.7%-2.1%427.3K-37.5M-919.0K0.9025.713,3363,008144,844175,696
2010-02-25$16.54$16.2524.8%7.1%18.4%15.5%24.2%3.3%-2.7%1.3M-62.6M-911.9K0.3417.0023,5728,004146,568177,232
2010-02-26$16.90$16.2523.6%6.8%19.3%13.1%23.9%3.0%-2.6%2.7M-96.1M-937.9K0.6519.1611,0287,180158,280180,648