NKE Options History — May 2010

In May 2010, NKE traded between $17.58 and $19.46. ATM implied volatility averaged 32.4%, placing in the 56.6% IV rank vs the trailing year. The 30-day expected move averaged 9.2%. IV traded below realized volatility by 4.6% (HV 20d: 37.0%). Max pain ranged from $18.13 to $18.75. Net GEX was positive for 11 of 20 trading days. Term structure was in contango for 16 of 20 days. Put/call ratio averaged 0.84.

Notable Days

  • 2010-05-13: Highest Volume — 64,340 contracts
  • 2010-05-04: Largest IV spike — 29.6% change
  • 2010-05-20: Highest IV Rank — 84.6%
  • 2010-05-20: Largest Expected Move — 11.7%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$18.46$17.58$19.46$19.44$18.09
Max Pain$18.56$18.13$18.75$18.75$18.13
ATM IV32.4%22.4%40.8%22.4%30.7%
Expected Move9.2%6.4%11.7%6.4%8.8%
HV 20d37.0%17.8%43.8%17.8%43.7%
HV 60d26.0%17.9%29.3%17.9%29.3%
IV Rank56.6%24.8%84.6%24.8%52.7%
IV Percentile76.7%26.2%96.4%26.2%72.2%
Term Structure0.8%-1.9%2.9%-1.2%2.9%
VWIV32.5%23.4%40.4%23.4%30.7%
Skew 25d5.5%1.3%9.0%2.1%6.0%
Skew 10d12.5%2.9%22.3%4.6%12.8%
Call IV 25d30.5%22.5%38.5%22.5%29.0%
Put IV 25d36.0%24.7%46.3%24.7%35.0%
Bid-Ask Spread %17.638.8229.058.8218.35
Gamma HHI0.300.150.520.270.23
Net GEX-726.6K-10.4M4.8M3.9M4.3M
Net DEX-86.5M-216.6M76.4M-216.6M-99.9M
Net VEX-1.5M-1.6M-1.3M-1.3M-1.5M
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.840.152.010.431.22
Total Volume25,492.46,24064,3409,9206,396
Total OI512,567.2428,228580,136471,456464,556

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2010-05-03$19.44$18.7522.4%6.4%17.8%24.8%23.4%2.1%-1.2%3.9M-216.6M-1.3M0.438.826,9362,984236,984234,472
2010-05-04$19.34$18.7529.1%8.3%17.9%44.5%29.0%1.3%-1.4%3.0M-201.9M-1.3M0.5016.9039,76019,760237,192234,612
2010-05-05$18.80$18.7529.3%8.4%20.8%45.2%30.1%2.2%-1.9%1.1M-137.0M-1.5M0.6816.3633,33622,640260,928246,436
2010-05-06$18.07$18.7531.8%9.1%25.2%52.4%32.3%1.5%0.8%-2.2M-33.8M-1.5M2.0129.0515,31230,716266,132257,256
2010-05-07$17.65$18.7538.0%10.3%25.6%70.9%35.6%5.5%-0.5%-2.7M17.2M-1.5M1.0612.9116,62417,612263,156261,932
2010-05-10$19.16$18.7533.6%8.8%39.6%57.9%31.0%5.4%0.6%2.3M-175.8M-1.5M0.4517.4918,6088,444262,916265,348
2010-05-11$19.11$18.7530.8%8.8%39.6%49.7%30.9%5.5%0.6%1.5M-162.0M-1.5M0.4021.7410,1524,028258,092267,620
2010-05-12$19.46$18.7527.2%7.9%40.1%39.0%29.9%4.9%1.6%3.9M-210.1M-1.4M0.4722.608,2043,820253,284267,984
2010-05-13$18.89$18.7528.7%8.2%41.6%43.4%28.0%5.0%1.7%-1.3M-126.5M-1.4M0.6617.8838,77225,568250,020268,548
2010-05-14$18.43$18.7532.5%9.3%42.5%58.2%32.4%6.5%1.1%-5.2M-54.6M-1.6M1.0518.6110,74011,324270,700290,652
2010-05-17$18.41$18.7533.1%9.5%42.4%60.1%34.1%5.9%0.6%-6.5M-54.2M-1.6M1.5914.738,92414,232275,080292,356
2010-05-18$18.23$18.7534.4%9.9%42.3%64.3%34.3%6.7%0.5%-7.9M-26.3M-1.6M0.5917.256,1843,636274,008293,652
2010-05-19$18.06$18.7534.8%10.0%42.3%65.5%35.1%6.1%0.9%-10.4M5.0M-1.5M1.1515.254,1724,804274,036294,400
2010-05-20$17.58$18.7540.8%11.7%42.2%84.6%40.4%7.8%0.9%-6.7M76.4M-1.5M0.6022.7015,8209,552275,252295,364
2010-05-21$17.85$18.1338.4%11.0%42.8%77.0%40.1%9.0%0.7%-3.4M60.7M-1.5M0.8921.109,2328,228282,836297,300
2010-05-24$17.84$18.1335.8%10.3%42.8%68.7%34.7%8.3%1.0%1.3M-60.8M-1.5M1.1316.356,9887,928220,592207,636
2010-05-25$18.23$18.1335.4%10.1%43.5%67.3%34.3%7.9%1.6%1.9M-90.6M-1.5M0.1514.0132,4605,008222,284207,484
2010-05-26$18.13$18.1333.3%9.6%43.5%60.8%34.1%6.0%1.8%3.9M-103.8M-1.6M1.4717.465,9448,760250,260208,268
2010-05-27$18.48$18.1328.6%8.2%43.8%45.8%29.4%6.1%2.8%4.8M-135.9M-1.5M0.3513.064,6361,604252,364209,352
2010-05-28$18.09$18.1330.7%8.8%43.7%52.7%30.7%6.0%2.9%4.3M-99.9M-1.5M1.2218.352,8843,512254,256210,300