NKE Options History — March 2010

In March 2010, NKE traded between $16.91 and $18.66. ATM implied volatility averaged 22.4%, placing in the 12.9% IV rank vs the trailing year. The 30-day expected move averaged 6.1%. IV traded above realized volatility by 4.5% (HV 20d: 17.9%). Max pain ranged from $16.25 to $17.50. Net GEX was positive for 23 of 23 trading days. Term structure was in contango for 10 of 23 days. Put/call ratio averaged 0.78.

Notable Days

2010-03-17: Highest Volume — 214,416 contracts
2010-03-18: Largest IV drop — 27.0% change
2010-03-17: Highest IV Rank — 29.2%
2010-03-17: Largest Expected Move — 7.8%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$17.79	$16.91	$18.66	$17.06	$18.38
Max Pain	$16.77	$16.25	$17.50	$16.25	$17.50
ATM IV	22.4%	16.9%	28.2%	25.7%	16.9%
Expected Move	6.1%	4.8%	7.8%	7.4%	4.8%
HV 20d	17.9%	11.6%	22.5%	19.4%	21.0%
HV 60d	16.6%	14.5%	18.2%	16.6%	17.9%
IV Rank	12.9%	0.0%	29.2%	17.2%	0.0%
IV Percentile	18.8%	0.4%	46.0%	30.6%	0.4%
Term Structure	-0.7%	-4.5%	2.3%	-3.5%	2.3%
VWIV	21.9%	17.5%	27.3%	26.1%	17.5%
Skew 25d	2.9%	1.5%	4.6%	2.6%	3.4%
Skew 10d	7.2%	2.8%	12.8%	6.5%	9.0%
Call IV 25d	20.6%	16.0%	26.0%	24.7%	16.0%
Put IV 25d	23.5%	19.4%	28.2%	27.3%	19.4%
Bid-Ask Spread %	11.98	7.62	18.15	15.46	11.80
Gamma HHI	0.35	0.17	0.60	0.18	0.48
Net GEX	5.6M	2.8M	11.3M	3.0M	7.7M
Net DEX	-172.3M	-328.0M	-90.0M	-108.3M	-199.8M
Net VEX	-1.0M	-1.2M	-931.5K	-943.9K	-1.2M
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	0.78	0.31	1.42	0.53	0.82
Total Volume	41,205.739	5,948	214,416	30,556	5,948
Total OI	425,528.522	346,636	609,096	346,636	469,812

Daily Data (23 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
2010-03-01	$17.06	$16.25	25.7%	7.4%	19.4%	17.2%	26.1%	2.6%	-3.5%	3.0M	-108.3M	-943.9K	0.53	15.46	19,936	10,620	162,092	184,544
2010-03-02	$17.01	$16.25	25.8%	7.4%	19.5%	17.3%	25.5%	4.6%	-3.9%	3.2M	-104.0M	-962.4K	1.12	10.20	5,160	5,776	168,268	187,312
2010-03-03	$16.91	$16.25	26.0%	7.5%	19.7%	17.8%	26.0%	2.9%	-4.5%	2.8M	-94.0M	-971.4K	0.38	18.15	17,824	6,804	169,300	191,204
2010-03-04	$16.91	$16.25	25.6%	7.4%	19.7%	17.1%	25.5%	2.6%	-4.2%	3.2M	-90.0M	-963.2K	0.82	15.81	7,108	5,816	167,164	193,068
2010-03-05	$17.08	$16.25	26.1%	6.1%	15.5%	18.0%	22.1%	3.5%	0.5%	3.6M	-105.9M	-960.5K	0.70	14.06	15,164	10,596	169,552	194,632
2010-03-08	$17.20	$16.25	27.5%	6.0%	14.9%	20.7%	22.1%	3.4%	-0.2%	4.2M	-120.8M	-980.1K	0.42	14.94	11,028	4,648	179,860	201,984
2010-03-09	$17.23	$16.25	27.6%	6.0%	14.4%	20.8%	21.7%	3.5%	-0.0%	4.8M	-124.9M	-976.7K	0.98	10.06	3,704	3,640	184,164	205,080
2010-03-10	$17.28	$16.25	28.2%	6.0%	13.4%	22.4%	21.4%	3.6%	0.1%	4.8M	-129.4M	-969.8K	1.01	15.16	3,516	3,544	185,012	206,168
2010-03-11	$17.44	$16.25	21.9%	6.3%	13.5%	11.9%	22.8%	3.5%	-0.4%	4.9M	-146.7M	-959.7K	1.07	13.79	7,652	8,156	184,616	207,304
2010-03-12	$17.48	$16.25	21.9%	6.3%	13.5%	14.5%	22.3%	2.6%	-0.6%	4.7M	-145.9M	-969.4K	0.95	11.45	4,904	4,676	186,188	210,500
2010-03-15	$17.60	$16.25	24.0%	6.9%	12.7%	20.2%	24.2%	3.5%	-1.7%	4.9M	-158.7M	-933.5K	0.84	10.56	26,816	22,596	187,464	211,168
2010-03-16	$17.59	$16.25	24.1%	6.9%	11.9%	20.8%	23.7%	3.5%	-2.1%	4.9M	-161.1M	-966.0K	0.47	9.97	38,784	18,128	201,528	223,784
2010-03-17	$17.72	$16.25	27.1%	7.8%	11.6%	29.2%	27.3%	1.7%	-4.3%	5.9M	-184.2M	-989.6K	1.42	10.28	88,480	125,936	220,148	231,364
2010-03-18	$18.66	$16.88	19.8%	5.7%	20.2%	8.4%	20.4%	2.5%	1.1%	11.3M	-328.0M	-931.5K	0.60	10.52	127,240	76,472	259,852	307,988
2010-03-19	$18.38	$17.50	19.9%	5.7%	21.6%	9.3%	21.0%	2.6%	1.0%	6.3M	-280.4M	-1.1M	1.06	10.84	19,368	20,580	283,008	326,088
2010-03-22	$18.47	$17.50	18.4%	5.3%	21.4%	4.7%	20.1%	2.6%	-0.4%	6.4M	-207.9M	-1.1M	0.99	17.71	26,112	25,852	219,760	206,616
2010-03-23	$18.62	$17.50	17.9%	5.1%	21.1%	3.2%	17.8%	2.1%	0.4%	7.0M	-223.2M	-1.1M	0.32	8.18	28,996	9,252	221,924	207,028
2010-03-24	$18.34	$17.50	18.3%	5.2%	22.5%	4.2%	18.8%	1.5%	1.2%	6.0M	-198.1M	-1.1M	0.31	7.62	16,668	5,208	226,856	212,484
2010-03-25	$18.39	$17.50	18.3%	5.2%	22.0%	4.3%	19.5%	1.7%	1.4%	6.3M	-204.8M	-1.2M	0.86	7.74	31,764	27,168	231,428	214,428
2010-03-26	$18.47	$17.50	18.4%	5.3%	21.1%	4.7%	18.8%	1.7%	0.3%	7.4M	-218.4M	-1.2M	0.85	8.88	11,868	10,048	241,576	215,128
2010-03-29	$18.49	$17.50	18.8%	5.4%	21.1%	6.0%	19.6%	1.9%	0.0%	7.5M	-217.1M	-1.2M	1.09	10.63	7,528	8,184	241,884	219,816
2010-03-30	$18.45	$17.50	18.0%	5.2%	21.0%	3.4%	18.4%	4.0%	0.7%	7.6M	-210.2M	-1.2M	0.38	11.64	6,136	2,328	244,036	223,976
2010-03-31	$18.38	$17.50	16.9%	4.8%	21.0%	0.0%	17.5%	3.4%	2.3%	7.7M	-199.8M	-1.2M	0.82	11.80	3,272	2,676	245,424	224,388