NKE Options History — July 2010

In July 2010, NKE traded between $16.80 and $18.42. ATM implied volatility averaged 24.9%, placing in the 40.6% IV rank vs the trailing year. The 30-day expected move averaged 7.2%. IV traded below realized volatility by 0.8% (HV 20d: 25.7%). Max pain ranged from $17.50 to $17.50. Net GEX was positive for 16 of 21 trading days. Term structure was in contango for 21 of 21 days. Put/call ratio averaged 1.09.

Notable Days

  • 2010-07-08: Highest Volume — 41,480 contracts
  • 2010-07-12: Largest IV spike — 14.6% change
  • 2010-07-01: Highest IV Rank — 65.7%
  • 2010-07-01: Largest Expected Move — 9.1%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$17.64$16.80$18.42$17.02$18.41
Max Pain$17.50$17.50$17.50$17.50$17.50
ATM IV24.9%21.6%31.7%31.7%21.6%
Expected Move7.2%6.2%9.1%9.1%6.2%
HV 20d25.7%20.1%29.9%29.9%20.1%
HV 60d32.8%32.1%33.6%32.3%32.4%
IV Rank40.6%28.1%65.7%65.7%28.1%
IV Percentile41.7%21.0%80.6%80.6%21.0%
Term Structure2.0%0.7%3.6%0.7%2.6%
VWIV25.5%21.0%31.7%31.7%21.2%
Skew 25d4.7%2.6%7.1%5.0%2.6%
Skew 10d10.3%4.8%14.6%10.9%5.6%
Call IV 25d23.2%19.8%29.6%29.6%20.7%
Put IV 25d27.9%23.2%34.7%34.6%23.2%
Bid-Ask Spread %14.169.9119.6713.4517.23
Gamma HHI0.150.110.190.120.19
Net GEX1.6M-2.2M4.1M-1.8M4.1M
Net DEX-48.3M-122.1M43.5M24.9M-122.1M
Net VEX-1.3M-1.4M-1.2M-1.4M-1.3M
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.090.214.914.911.56
Total Volume14,326.2863,68041,48034,0766,572
Total OI475,259.81401,560547,088503,416437,232

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2010-07-01$17.02$17.5031.7%9.1%29.9%65.7%31.7%5.0%0.7%-1.8M24.9M-1.4M4.9113.455,76828,308243,244260,172
2010-07-02$16.96$17.5029.1%8.3%26.8%56.1%29.8%4.2%1.7%-1.4M23.2M-1.3M2.0413.802,4364,980245,832256,528
2010-07-06$16.80$17.5030.4%8.7%26.4%60.8%30.3%7.1%1.6%-2.2M43.5M-1.3M0.4817.9013,5966,576246,748256,576
2010-07-07$17.14$17.5030.3%8.5%27.2%60.5%29.0%6.3%1.4%-1.1M10.2M-1.3M0.2112.3016,8443,456248,060257,060
2010-07-08$17.57$17.5026.0%7.7%28.7%44.5%28.1%5.8%2.2%2.7M-50.9M-1.3M1.3514.2517,66023,820258,496256,268
2010-07-09$17.54$17.5023.2%7.5%27.2%34.0%28.1%5.6%2.3%2.2M-43.3M-1.3M0.3611.447,6522,736263,332268,504
2010-07-12$17.45$17.5026.6%7.6%27.0%46.7%25.8%5.9%2.2%766.2K-28.4M-1.3M0.3212.837,5042,436259,444269,336
2010-07-13$17.62$17.5025.6%7.6%27.3%43.1%27.5%4.9%2.7%2.5M-53.8M-1.3M0.6914.8917,97212,360263,856269,392
2010-07-14$17.64$17.5024.8%7.4%25.7%40.0%27.1%5.5%2.9%1.7M-50.1M-1.3M1.3410.895,5807,496264,880275,908
2010-07-15$17.66$17.5025.4%7.3%25.7%42.4%26.3%5.1%2.8%3.0M-59.2M-1.3M0.9715.174,4084,280266,132279,440
2010-07-16$17.24$17.5025.1%7.2%26.4%41.2%25.7%5.2%3.6%190.1K3.6M-1.3M0.699.9112,2168,440268,068279,020
2010-07-19$17.15$17.5025.2%7.2%26.2%41.6%24.4%5.3%1.6%-98.5K-4.1M-1.2M0.3713.8813,3604,980197,452204,108
2010-07-20$17.46$17.5022.7%6.5%27.3%32.1%23.2%5.1%1.3%1.2M-35.6M-1.3M0.3912.185,0842,000206,628206,728
2010-07-21$17.41$17.5023.6%6.8%26.0%35.7%23.8%4.9%1.3%1.3M-33.8M-1.3M0.6311.895,2643,316208,700206,740
2010-07-22$17.89$17.5022.3%6.4%28.0%30.6%23.9%4.4%1.3%2.6M-73.6M-1.3M0.9513.043,4963,316211,016208,232
2010-07-23$18.18$17.5021.7%6.2%24.2%28.4%21.9%3.5%1.5%3.3M-100.8M-1.3M1.2419.672,6283,268211,940209,396
2010-07-26$18.30$17.5022.2%6.4%24.2%30.4%22.4%3.2%1.5%3.7M-112.3M-1.3M0.5117.418,0964,104213,184211,692
2010-07-27$18.42$17.5022.1%6.3%24.2%29.9%21.0%4.0%2.0%4.0M-119.3M-1.3M0.5410.282,3841,296213,452213,140
2010-07-28$18.28$17.5022.1%6.3%20.6%29.8%22.4%2.6%1.9%3.9M-111.1M-1.3M1.5218.202,9644,492216,100214,000
2010-07-29$18.38$17.5022.1%6.3%20.1%30.1%22.5%2.8%2.1%4.1M-122.0M-1.3M1.7516.742,8004,908216,912217,508
2010-07-30$18.41$17.5021.6%6.2%20.1%28.1%21.2%2.6%2.6%4.1M-122.1M-1.3M1.5617.232,5724,000218,472218,760