NKE Options History — October 2010

In October 2010, NKE traded between $19.97 and $20.53. ATM implied volatility averaged 19.8%, placing in the 21.4% IV rank vs the trailing year. The 30-day expected move averaged 5.8%. IV traded above realized volatility by 5.4% (HV 20d: 14.4%). Max pain ranged from $18.75 to $20.00. Net GEX was positive for 21 of 21 trading days. Term structure was in contango for 21 of 21 days. Put/call ratio averaged 0.86.

Notable Days

  • 2010-10-13: Highest Volume — 41,516 contracts
  • 2010-10-11: Largest IV spike — 12.1% change
  • 2010-10-12: Highest IV Rank — 31.4%
  • 2010-10-04: Largest Expected Move — 6.3%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$20.36$19.97$20.53$20.06$20.36
Max Pain$19.94$18.75$20.00$18.75$20.00
ATM IV19.8%18.6%22.5%19.7%19.3%
Expected Move5.8%5.4%6.3%5.7%5.5%
HV 20d14.4%11.1%15.9%15.7%11.2%
HV 60d16.7%15.6%18.1%17.7%15.6%
IV Rank21.4%16.7%31.4%21.1%19.5%
IV Percentile18.3%11.9%38.9%14.7%16.3%
Term Structure2.5%0.9%3.9%1.8%1.0%
VWIV20.0%18.2%23.1%20.3%19.6%
Skew 25d3.5%2.3%4.2%2.3%3.0%
Skew 10d6.5%4.7%7.7%4.7%6.1%
Call IV 25d18.4%17.2%20.5%20.0%18.2%
Put IV 25d21.9%20.4%24.7%22.3%21.2%
Bid-Ask Spread %6.552.958.855.158.47
Gamma HHI0.290.190.420.420.22
Net GEX7.1M3.9M10.6M9.6M4.9M
Net DEX-310.0M-385.5M-232.7M-319.8M-265.7M
Net VEX-1.2M-1.3M-1.1M-1.3M-1.2M
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.860.172.470.770.33
Total Volume12,897.1434,83641,5167,8285,708
Total OI525,537.524436,668614,836583,064477,784

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2010-10-01$20.06$18.7519.7%5.7%15.7%21.1%20.3%2.3%1.8%9.6M-319.8M-1.3M0.775.154,4163,412299,676283,388
2010-10-04$19.97$20.0020.7%6.3%15.2%24.8%22.8%4.2%3.0%8.8M-299.3M-1.3M0.662.955,6963,764298,280284,060
2010-10-05$20.32$20.0020.0%6.1%15.8%21.9%21.0%4.0%3.2%10.6M-354.8M-1.2M0.444.329,1003,992299,196284,076
2010-10-06$20.33$20.0019.2%6.1%15.8%19.1%23.1%4.0%3.4%10.6M-353.5M-1.2M1.113.833,9364,352296,076283,900
2010-10-07$20.25$20.0019.0%6.0%15.9%18.4%21.1%4.2%3.6%10.5M-347.5M-1.2M0.954.373,9363,740293,552284,940
2010-10-08$20.51$20.0018.6%5.9%15.9%16.7%19.8%3.4%3.9%10.1M-385.5M-1.1M0.416.6313,8725,664293,832285,628
2010-10-11$20.50$20.0020.8%6.0%15.8%25.1%19.0%3.6%3.6%9.6M-376.5M-1.2M0.446.717,7443,380294,680286,108
2010-10-12$20.47$20.0022.5%6.0%15.9%31.4%19.8%3.7%3.8%10.2M-382.2M-1.1M0.637.1917,51610,948297,520285,400
2010-10-13$20.50$20.0021.2%5.9%15.2%26.7%19.8%3.5%3.6%9.7M-379.2M-1.2M2.068.8513,57227,944301,624290,180
2010-10-14$20.44$20.0020.6%5.9%15.4%24.5%20.8%3.8%3.6%9.9M-367.9M-1.2M0.726.004,4283,196303,328311,508
2010-10-15$20.50$20.0020.3%5.8%15.3%23.0%19.1%3.7%3.8%4.3M-374.5M-1.2M0.176.6211,0441,892302,872311,828
2010-10-18$20.41$20.0019.3%5.5%14.8%19.6%19.1%3.6%2.5%4.3M-250.3M-1.2M0.827.258,6167,088231,516205,152
2010-10-19$20.18$20.0019.9%5.7%15.1%21.8%20.3%3.8%1.7%3.9M-232.7M-1.3M0.917.689,1688,304234,768209,136
2010-10-20$20.31$20.0019.5%5.6%15.0%20.2%20.4%3.7%1.5%4.2M-249.6M-1.2M1.226.682,7483,352236,488211,548
2010-10-21$20.53$20.0019.3%5.5%15.3%19.4%19.1%3.2%2.0%4.6M-269.8M-1.2M1.176.723,6644,304236,224212,540
2010-10-22$20.48$20.0018.9%5.4%13.1%17.8%18.4%3.2%2.0%4.5M-264.7M-1.1M1.166.793,5764,140235,764213,452
2010-10-25$20.51$20.0019.6%5.6%12.8%20.5%19.3%3.1%1.4%4.7M-269.4M-1.1M0.688.665,2483,584237,404216,420
2010-10-26$20.45$20.0019.4%5.6%11.1%20.0%19.5%3.1%1.1%4.8M-263.3M-1.3M0.447.218,3403,644245,412216,940
2010-10-27$20.26$20.0019.3%5.5%11.2%19.3%19.4%3.3%0.9%4.8M-260.9M-1.2M2.477.344,88812,088249,516218,068
2010-10-28$20.28$20.0019.0%5.5%11.2%18.5%18.2%3.2%1.1%4.5M-242.1M-1.3M0.448.193,3561,480250,384226,120
2010-10-29$20.36$20.0019.3%5.5%11.2%19.5%19.6%3.0%1.0%4.9M-265.7M-1.2M0.338.474,3001,408251,656226,128