NKE Options History — April 2010

In April 2010, NKE traded between $18.40 and $19.56. ATM implied volatility averaged 17.9%, placing in the 9.1% IV rank vs the trailing year. The 30-day expected move averaged 5.3%. IV traded above realized volatility by 1.6% (HV 20d: 16.3%). Max pain ranged from $17.50 to $18.75. Net GEX was positive for 19 of 21 trading days. Term structure was in contango for 21 of 21 days. Put/call ratio averaged 0.99.

Notable Days

  • 2010-04-22: Highest Volume — 45,784 contracts
  • 2010-04-15: Largest IV spike — 29.0% change
  • 2010-04-30: Highest IV Rank — 26.3%
  • 2010-04-30: Largest Expected Move — 6.6%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$18.95$18.40$19.56$18.50$18.98
Max Pain$18.60$17.50$18.75$17.50$18.75
ATM IV17.9%14.1%22.9%16.4%22.9%
Expected Move5.3%4.7%6.6%4.7%6.6%
HV 20d16.3%10.3%21.5%20.9%15.8%
HV 60d17.7%17.1%18.7%18.0%18.7%
IV Rank9.1%0.0%26.3%0.0%26.3%
IV Percentile6.5%0.0%28.6%0.0%28.6%
Term Structure1.8%0.1%3.5%1.6%0.6%
VWIV18.9%16.9%22.7%16.9%22.7%
Skew 25d2.8%1.1%4.9%4.9%1.1%
Skew 10d7.9%6.1%10.4%8.9%7.4%
Call IV 25d17.3%14.4%22.6%14.6%22.6%
Put IV 25d20.1%17.8%23.6%19.5%23.6%
Bid-Ask Spread %14.227.7318.757.7315.10
Gamma HHI0.400.200.790.510.25
Net GEX7.6M-2.4M45.4M8.4M1.6M
Net DEX-215.0M-293.6M-132.0M-214.9M-160.6M
Net VEX-1.2M-1.4M-1.1M-1.2M-1.4M
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.990.144.970.650.51
Total Volume21,889.9057,00045,78412,97612,148
Total OI475,926.095421,596553,252471,660471,488

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2010-04-01$18.50$17.5016.4%4.7%20.9%0.0%16.9%4.9%1.6%8.4M-214.9M-1.2M0.657.737,8565,120246,404225,256
2010-04-05$18.53$18.7517.6%5.2%20.8%3.7%18.5%3.2%2.5%8.6M-217.3M-1.1M0.4516.039,2004,120245,252226,680
2010-04-06$18.48$18.7517.5%5.1%20.9%3.3%20.2%3.0%2.8%8.5M-209.1M-1.1M3.4217.006,46822,144244,744227,932
2010-04-07$18.40$18.7516.7%5.5%21.1%1.0%18.5%3.3%2.7%6.9M-190.8M-1.2M0.3818.685,0721,928246,116247,048
2010-04-08$18.50$18.7516.3%5.1%21.1%0.0%18.0%2.6%2.9%8.1M-204.2M-1.1M0.1417.9017,9882,516246,116247,048
2010-04-09$18.80$18.7515.4%5.1%21.5%0.0%18.1%2.6%2.8%11.7M-259.2M-1.2M0.1517.8939,5565,772257,164248,068
2010-04-12$18.88$18.1317.3%5.3%21.5%6.0%19.8%2.5%2.8%11.3M-273.5M-1.2M0.2314.3424,8565,812259,164250,556
2010-04-13$18.88$18.1317.1%5.2%21.5%5.2%18.7%2.8%2.8%12.1M-278.9M-1.2M0.3715.5413,6565,016264,820250,668
2010-04-14$18.95$18.1314.1%5.2%21.5%0.0%18.9%2.3%3.0%13.8M-293.6M-1.2M4.9718.756,65233,092264,236252,624
2010-04-15$18.91$18.7518.2%5.2%21.5%12.1%18.3%2.4%2.7%11.9M-274.0M-1.2M0.2818.1513,7363,872263,500283,436
2010-04-16$18.79$18.7517.7%5.1%11.7%10.8%18.5%2.7%3.5%45.4M-269.8M-1.2M2.1917.9813,54029,592269,464283,788
2010-04-19$18.89$18.7518.1%5.2%10.3%11.8%18.5%2.8%1.1%-2.4M-132.0M-1.3M1.1112.706,4527,184191,748229,848
2010-04-20$19.09$18.7517.7%5.1%10.7%10.6%17.1%2.5%1.1%-1.4M-159.1M-1.2M1.619.196,32810,200194,884233,972
2010-04-21$19.18$18.7517.1%4.9%10.5%8.9%17.6%2.3%1.3%26.0K-171.9M-1.2M0.508.056,6003,276197,368232,696
2010-04-22$19.56$18.7516.5%4.7%10.4%7.2%17.6%4.3%1.0%1.7M-211.2M-1.2M1.0516.6822,34823,436199,244233,012
2010-04-23$19.48$18.7517.0%4.9%10.8%8.5%17.9%3.4%1.2%2.5M-209.2M-1.2M0.2914.7312,5043,652210,416225,656
2010-04-26$19.50$18.7518.3%5.2%10.8%12.5%19.3%3.7%0.5%3.1M-218.2M-1.2M0.6113.2814,1608,580216,972227,416
2010-04-27$19.18$18.7521.4%6.1%12.7%21.8%20.6%2.3%0.3%2.2M-187.5M-1.3M0.9711.169,9769,676227,492232,816
2010-04-28$19.11$18.7521.6%6.2%12.8%22.3%20.5%2.7%0.4%1.5M-173.0M-1.3M0.439.307,6963,348224,552232,276
2010-04-29$19.39$18.7520.3%5.8%13.4%18.6%21.1%2.4%0.1%3.1M-206.3M-1.3M0.538.519,5165,044228,160234,348
2010-04-30$18.98$18.7522.9%6.6%15.8%26.3%22.7%1.1%0.6%1.6M-160.6M-1.4M0.5115.108,0284,120236,720234,768