NKE Options History — August 2010

In August 2010, NKE traded between $17.50 and $18.58. ATM implied volatility averaged 22.7%, placing in the 32.4% IV rank vs the trailing year. The 30-day expected move averaged 6.6%. IV traded above realized volatility by 4.8% (HV 20d: 17.9%). Max pain ranged from $17.50 to $18.75. Net GEX was positive for 15 of 22 trading days. Term structure was in contango for 22 of 22 days. Put/call ratio averaged 1.76.

Notable Days

  • 2010-08-19: Highest Volume — 31,404 contracts
  • 2010-08-11: Largest IV spike — 14.0% change
  • 2010-08-16: Highest IV Rank — 44.1%
  • 2010-08-16: Largest Expected Move — 7.4%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$17.98$17.50$18.58$18.58$17.50
Max Pain$18.07$17.50$18.75$17.50$18.13
ATM IV22.7%19.8%25.9%20.7%24.3%
Expected Move6.6%5.7%7.4%5.9%7.0%
HV 20d17.9%14.7%21.0%20.0%14.7%
HV 60d25.0%21.3%31.4%31.4%21.3%
IV Rank32.4%21.4%44.1%24.8%38.2%
IV Percentile33.8%14.7%52.4%17.9%48.0%
Term Structure3.2%1.5%4.7%1.5%4.7%
VWIV23.8%21.2%26.0%22.2%24.1%
Skew 25d4.4%1.8%5.5%2.9%4.4%
Skew 10d7.9%5.9%9.3%7.0%8.6%
Call IV 25d21.7%20.3%23.2%20.3%22.9%
Put IV 25d26.1%22.2%28.7%23.2%27.3%
Bid-Ask Spread %4.662.716.735.406.73
Gamma HHI0.180.130.280.210.13
Net GEX2.4M-571.5K5.4M4.9M-571.5K
Net DEX-61.9M-136.9M-14.1M-136.9M-17.4M
Net VEX-1.2M-1.2M-1.1M-1.2M-1.2M
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.760.4811.600.581.06
Total Volume13,689.6364,82831,4044,82811,840
Total OI443,664401,100470,908438,700433,316

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2010-08-02$18.58$17.5020.7%5.9%20.0%24.8%22.2%2.9%1.5%4.9M-136.9M-1.2M0.585.403,0481,780218,004220,696
2010-08-03$18.27$17.5022.1%6.3%20.8%29.9%22.2%3.2%1.5%4.2M-105.6M-1.2M1.175.903,0963,624219,104220,812
2010-08-04$18.50$17.5020.5%5.9%20.2%24.0%22.1%2.9%1.9%4.4M-129.2M-1.2M1.245.176,1247,572219,836222,960
2010-08-05$18.52$17.5019.9%5.7%18.6%21.8%21.2%1.8%2.0%5.2M-124.2M-1.2M2.345.893,4728,128221,344227,236
2010-08-06$18.49$18.1319.8%6.4%18.6%21.4%24.1%4.7%2.5%4.8M-117.6M-1.2M11.605.101,45616,888221,172231,376
2010-08-09$18.53$18.1319.8%6.3%18.4%21.4%23.0%4.5%2.7%5.2M-119.1M-1.2M1.835.544,1807,656221,232233,532
2010-08-10$18.48$18.1319.9%6.3%18.3%21.7%22.9%4.7%2.8%5.4M-116.2M-1.2M0.804.834,7883,840222,160233,216
2010-08-11$18.02$18.1322.7%7.0%20.7%32.1%25.4%4.9%2.7%3.5M-65.7M-1.2M1.025.034,3044,392222,280233,932
2010-08-12$17.88$18.1324.6%7.0%21.0%39.2%25.5%5.1%2.7%2.7M-49.1M-1.2M0.856.006,5725,608222,624235,584
2010-08-13$17.64$18.1325.8%7.4%19.6%43.6%24.4%5.5%3.0%1.2M-18.8M-1.2M1.493.465,3928,012224,780238,132
2010-08-16$17.77$18.7525.9%7.4%19.5%44.1%26.0%5.2%2.9%1.4M-27.8M-1.2M1.802.974,6728,432225,632242,452
2010-08-17$17.93$18.1323.9%6.9%18.8%36.8%23.6%4.9%3.3%3.6M-52.2M-1.2M1.142.996,3727,256226,604240,972
2010-08-18$18.06$18.7523.2%6.7%18.9%34.1%23.4%4.7%3.2%5.2M-66.1M-1.2M1.633.218,70814,180227,268243,156
2010-08-19$17.84$18.1323.2%6.6%17.0%33.9%24.8%4.9%3.5%2.9M-39.7M-1.2M0.672.7118,84412,560228,124242,656
2010-08-20$17.82$18.1322.1%6.4%15.8%30.1%24.0%4.1%4.0%60.2K-38.0M-1.2M1.842.913,2405,952225,640245,268
2010-08-23$17.74$18.1323.9%6.9%15.6%36.7%23.9%4.6%3.6%-139.1K-31.6M-1.1M1.293.477,2449,332193,200207,900
2010-08-24$17.51$18.1323.8%6.8%15.8%36.1%24.2%5.0%4.2%-440.6K-14.1M-1.1M1.574.665,6488,844196,036208,920
2010-08-25$17.53$18.1323.7%6.8%15.7%36.1%24.0%4.7%4.2%-511.9K-14.8M-1.1M1.514.833,7645,700197,420210,760
2010-08-26$17.60$18.1324.1%6.9%15.6%37.4%23.9%4.5%4.4%-308.2K-21.0M-1.1M0.775.029,7407,532198,348212,592
2010-08-27$17.73$18.1322.9%6.6%15.9%33.1%23.9%4.1%4.6%-120.5K-30.9M-1.2M0.484.7212,7206,160200,976215,576
2010-08-30$17.59$18.1323.7%6.8%15.5%36.0%23.9%4.5%4.5%-300.7K-26.4M-1.2M2.086.094,0608,440210,068217,712
2010-08-31$17.50$18.1324.3%7.0%14.7%38.2%24.1%4.4%4.7%-571.5K-17.4M-1.2M1.066.735,7526,088211,144222,172