NKE Options History — September 2010

In September 2010, NKE traded between $18.03 and $20.16. ATM implied volatility averaged 23.2%, placing in the 34.0% IV rank vs the trailing year. The 30-day expected move averaged 6.9%. IV traded above realized volatility by 5.8% (HV 20d: 17.4%). Max pain ranged from $17.50 to $18.75. Net GEX was positive for 21 of 21 trading days. Term structure was in contango for 15 of 21 days. Put/call ratio averaged 0.81.

Notable Days

  • 2010-09-23: Highest Volume — 123,608 contracts
  • 2010-09-09: Largest IV spike — 24.3% change
  • 2010-09-22: Highest IV Rank — 47.3%
  • 2010-09-22: Largest Expected Move — 7.7%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$19.12$18.03$20.16$18.03$20.04
Max Pain$17.98$17.50$18.75$18.13$18.75
ATM IV23.2%18.6%26.7%21.4%20.7%
Expected Move6.9%5.9%7.7%6.1%5.9%
HV 20d17.4%15.8%19.7%18.0%15.8%
HV 60d20.3%18.0%22.2%22.1%18.3%
IV Rank34.0%16.8%47.3%27.4%24.7%
IV Percentile39.5%11.9%65.5%22.2%21.8%
Term Structure0.6%-3.0%5.4%5.1%1.1%
VWIV24.9%20.9%29.9%23.2%21.8%
Skew 25d3.9%2.2%5.6%3.6%2.2%
Skew 10d8.9%4.4%11.6%10.1%4.5%
Call IV 25d22.9%19.9%26.1%20.6%20.9%
Put IV 25d26.8%22.8%29.9%24.3%23.1%
Bid-Ask Spread %5.363.906.745.956.57
Gamma HHI0.280.150.420.150.38
Net GEX5.1M521.7K9.5M521.7K9.2M
Net DEX-192.7M-338.7M-61.9M-61.9M-315.3M
Net VEX-1.2M-1.3M-1.1M-1.2M-1.3M
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.810.251.711.321.03
Total Volume30,333.5246,764123,60814,58033,096
Total OI480,513.714426,424572,440439,180572,440

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2010-09-01$18.03$18.1321.4%6.1%18.0%27.4%23.2%3.6%5.1%521.7K-61.9M-1.2M1.325.956,2928,288213,540225,640
2010-09-02$18.24$18.1321.1%6.0%18.5%26.1%20.9%2.9%5.4%1.4M-88.7M-1.2M0.334.7810,0203,260214,840227,264
2010-09-03$18.56$17.5018.6%7.0%19.6%16.8%25.3%5.1%1.5%2.8M-123.7M-1.2M1.325.706,5488,648217,516226,900
2010-09-07$18.50$17.5020.5%7.4%19.7%24.0%27.1%5.4%0.8%2.9M-118.9M-1.2M0.565.236,5083,660220,220227,828
2010-09-08$18.54$17.5020.3%7.4%19.6%23.1%29.9%5.3%0.8%3.0M-127.0M-1.2M0.574.877,4404,228223,240230,184
2010-09-09$18.48$17.5025.2%7.2%17.3%41.6%26.6%5.3%0.9%3.2M-119.4M-1.2M0.764.683,8362,928225,612229,940
2010-09-10$18.44$17.5026.5%7.6%17.0%46.4%26.7%5.6%0.3%2.9M-112.2M-1.2M1.715.843,1165,316226,560230,552
2010-09-13$18.67$17.5025.0%7.2%16.5%41.0%25.7%5.1%0.3%4.3M-147.1M-1.1M0.404.916,6322,680227,152229,044
2010-09-14$18.82$17.5025.3%7.2%16.5%41.9%25.7%5.0%0.1%4.7M-167.8M-1.1M0.295.618,5602,468229,484229,736
2010-09-15$19.14$17.5026.2%7.5%17.2%45.2%25.7%4.5%-0.1%4.8M-200.6M-1.1M1.065.2310,14410,780230,684230,484
2010-09-16$19.16$17.5026.2%7.5%17.1%45.2%25.9%4.5%-0.0%5.2M-202.0M-1.1M1.015.944,0804,136233,988233,272
2010-09-17$19.32$17.5025.8%7.4%16.2%43.6%25.4%4.1%0.5%4.7M-218.5M-1.1M0.496.2318,6689,236234,464234,040
2010-09-20$19.59$18.1323.7%6.8%16.4%35.9%24.5%3.7%-1.4%5.9M-212.7M-1.1M0.256.5453,07613,408220,912205,512
2010-09-21$19.42$18.1324.0%6.9%16.8%37.0%25.7%3.9%-1.9%6.6M-220.3M-1.2M0.624.0412,5407,812250,820213,568
2010-09-22$19.33$18.1326.7%7.7%16.0%47.3%27.2%3.4%-1.4%6.1M-210.3M-1.2M1.083.9016,02817,332252,928217,272
2010-09-23$19.42$18.1326.1%7.5%15.9%44.7%28.1%3.4%-3.0%6.3M-221.2M-1.2M1.195.2256,52067,088256,444221,208
2010-09-24$19.89$18.7521.1%6.0%17.3%26.0%21.7%2.3%0.8%7.9M-273.9M-1.2M0.624.7976,20446,988270,912264,900
2010-09-27$19.78$18.7521.3%6.1%17.8%27.0%22.3%2.4%0.5%7.4M-257.7M-1.2M0.395.3135,68413,752278,224270,588
2010-09-28$20.16$18.7520.6%5.9%17.6%24.4%21.0%2.2%1.1%9.5M-338.7M-1.3M0.576.7412,7047,184299,064271,928
2010-09-29$19.98$18.7520.7%5.9%18.0%24.6%21.5%2.2%1.0%8.6M-308.9M-1.3M1.364.424,2925,824298,180273,704
2010-09-30$20.04$18.7520.7%5.9%15.8%24.7%21.8%2.2%1.1%9.2M-315.3M-1.3M1.036.5716,30416,792298,220274,220