NKE Options History — June 2010

In June 2010, NKE traded between $16.89 and $18.73. ATM implied volatility averaged 31.2%, placing in the 56.4% IV rank vs the trailing year. The 30-day expected move averaged 9.0%. IV traded below realized volatility by 1.5% (HV 20d: 32.7%). Max pain ranged from $17.50 to $18.13. Net GEX was positive for 17 of 22 trading days. Term structure was in contango for 7 of 22 days. Put/call ratio averaged 0.94.

Notable Days

  • 2010-06-23: Highest Volume — 66,212 contracts
  • 2010-06-29: Largest IV spike — 18.4% change
  • 2010-06-07: Highest IV Rank — 73.1%
  • 2010-06-07: Largest Expected Move — 10.9%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$17.92$16.89$18.73$17.80$16.89
Max Pain$17.59$17.50$18.13$18.13$17.50
ATM IV31.2%26.2%37.2%36.2%32.4%
Expected Move9.0%7.5%10.9%10.4%9.3%
HV 20d32.7%27.2%44.1%42.8%30.0%
HV 60d30.7%29.5%32.2%29.5%32.2%
IV Rank56.4%38.3%73.1%70.0%68.6%
IV Percentile74.4%50.0%94.8%93.3%83.3%
Term Structure-0.8%-4.2%2.8%0.7%0.1%
VWIV31.6%27.4%37.5%35.1%31.8%
Skew 25d6.6%4.9%8.1%7.4%6.5%
Skew 10d14.0%11.4%17.3%14.5%12.6%
Call IV 25d29.0%24.4%34.7%32.5%30.0%
Put IV 25d35.5%29.9%42.6%39.9%36.5%
Bid-Ask Spread %15.116.7121.6719.8216.47
Gamma HHI0.270.120.900.220.12
Net GEX6.7M-1.9M70.0M3.6M-1.9M
Net DEX-78.7M-181.4M37.6M-74.8M37.6M
Net VEX-1.4M-1.5M-1.3M-1.5M-1.3M
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.940.282.080.851.33
Total Volume17,632.9092,86466,21223,87212,248
Total OI470,410.364404,748500,620466,788500,620

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2010-06-01$17.80$18.1336.2%10.4%42.8%70.0%35.1%7.4%0.7%3.6M-74.8M-1.5M0.8519.8212,91210,960255,684211,104
2010-06-02$18.25$18.1331.1%8.9%44.1%53.8%31.0%7.5%2.7%4.9M-113.2M-1.5M0.2921.673,9681,140258,172212,628
2010-06-03$18.41$18.1330.2%8.6%43.2%50.9%29.9%5.9%2.8%5.8M-136.5M-1.5M0.5517.752,7561,520257,788213,092
2010-06-04$17.69$17.5035.3%10.4%43.3%67.2%34.2%8.0%-3.0%3.5M-64.4M-1.5M0.6116.116,2043,756257,796213,512
2010-06-07$17.40$17.5037.2%10.9%42.9%73.1%37.5%7.9%-4.2%2.6M-35.1M-1.4M1.6513.992,0523,384257,704213,536
2010-06-08$17.57$17.5034.9%10.5%30.1%65.8%36.2%8.1%-2.9%3.0M-46.9M-1.4M1.1617.142,5682,988257,652214,604
2010-06-09$17.50$17.5034.1%10.3%30.1%63.1%35.6%7.7%-3.0%2.8M-38.8M-1.4M0.2814.964,5161,248258,200214,524
2010-06-10$17.94$17.5033.3%9.5%30.8%60.7%33.1%7.7%-2.1%4.7M-83.6M-1.4M0.6614.064,1442,728259,912214,768
2010-06-11$18.08$17.5032.8%9.4%29.5%59.1%33.3%6.6%-1.7%5.5M-95.8M-1.4M0.6914.011,6961,168258,724214,204
2010-06-14$18.05$17.5033.4%9.6%28.3%60.9%34.0%6.6%-2.4%5.5M-92.8M-1.4M0.4911.824,1602,048258,940214,040
2010-06-15$18.50$17.5029.8%8.6%29.7%49.8%29.7%6.4%-1.2%9.1M-147.3M-1.3M0.7517.875,9924,516260,860214,652
2010-06-16$18.46$17.5028.7%8.2%29.5%46.2%29.7%6.4%-0.5%9.8M-144.8M-1.3M0.4715.926,5283,048263,396216,992
2010-06-17$18.64$17.5027.8%8.0%29.4%43.4%30.7%5.7%-0.1%14.3M-176.6M-1.3M0.6418.608,0365,136266,148216,192
2010-06-18$18.73$17.5027.0%7.7%27.4%40.7%27.4%4.9%-0.1%70.0M-181.4M-1.3M0.3816.0810,6284,068263,076216,980
2010-06-21$18.59$17.5026.2%7.5%27.2%38.3%27.7%5.7%-0.6%3.6M-134.4M-1.3M1.2815.2820,65626,348211,844192,904
2010-06-22$18.11$17.5029.9%8.6%29.0%50.0%29.2%5.4%-2.1%2.0M-86.1M-1.3M0.5512.8519,95211,032210,788205,200
2010-06-23$18.13$17.5032.5%9.3%27.9%64.6%33.9%6.4%-3.9%2.6M-89.6M-1.3M1.796.7123,73642,476222,980209,716
2010-06-24$17.41$17.5027.6%7.9%31.3%50.5%27.8%5.8%1.1%-1.3M-2.3M-1.3M1.0811.2023,52025,296235,396251,048
2010-06-25$17.53$17.5027.1%7.8%30.6%48.6%27.6%5.5%1.2%-1.0M-18.4M-1.4M1.9011.8211,41221,668234,488252,244
2010-06-28$17.63$17.5027.0%7.7%29.9%48.1%27.7%5.5%1.7%-159.1K-31.1M-1.4M1.2513.504,2685,352238,272252,004
2010-06-29$17.04$17.5031.9%9.1%31.6%66.6%31.5%6.4%-0.0%-1.5M23.8M-1.4M2.0814.745,23210,860242,148254,496
2010-06-30$16.89$17.5032.4%9.3%30.0%68.6%31.8%6.5%0.1%-1.9M37.6M-1.3M1.3316.475,2606,988243,140257,480