NKE Options History — November 2010

In November 2010, NKE traded between $20.13 and $21.63. ATM implied volatility averaged 19.5%, placing in the 20.3% IV rank vs the trailing year. The 30-day expected move averaged 5.7%. IV traded above realized volatility by 4.7% (HV 20d: 14.9%). Max pain ranged from $20.00 to $21.25. Net GEX was positive for 21 of 21 trading days. Term structure was in contango for 21 of 21 days. Put/call ratio averaged 1.21.

Notable Days

  • 2010-11-19: Highest Volume — 65,628 contracts
  • 2010-11-04: Largest IV drop — 13.1% change
  • 2010-11-30: Highest IV Rank — 31.7%
  • 2010-11-30: Largest Expected Move — 6.5%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$20.91$20.13$21.63$20.27$21.53
Max Pain$20.18$20.00$21.25$20.00$21.25
ATM IV19.5%16.9%22.6%19.9%22.6%
Expected Move5.7%4.8%6.5%5.7%6.5%
HV 20d14.9%9.7%21.1%11.2%21.1%
HV 60d15.7%14.7%17.1%15.7%16.2%
IV Rank20.3%10.5%31.7%21.6%31.7%
IV Percentile22.5%3.2%51.2%20.6%51.2%
Term Structure2.4%0.6%3.1%0.6%1.9%
VWIV20.0%18.0%23.4%20.0%23.4%
Skew 25d2.6%1.6%3.4%3.3%2.5%
Skew 10d5.6%4.2%7.3%6.3%5.3%
Call IV 25d19.1%16.9%22.4%18.9%22.4%
Put IV 25d21.7%18.9%24.9%22.1%24.9%
Bid-Ask Spread %8.394.2514.3712.139.01
Gamma HHI0.370.210.610.210.38
Net GEX6.7M4.4M11.3M4.9M7.1M
Net DEX-329.9M-437.7M-243.7M-260.2M-406.6M
Net VEX-1.3M-1.4M-1.1M-1.2M-1.3M
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.210.294.824.820.72
Total Volume19,075.0486,96465,62813,46810,156
Total OI534,956.952479,948575,528479,948566,300

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2010-11-01$20.27$20.0019.9%5.7%11.2%21.6%20.0%3.3%0.6%4.9M-260.2M-1.2M4.8212.132,31611,152253,472226,476
2010-11-02$20.44$20.0020.3%5.8%9.7%23.3%20.1%2.6%0.6%4.8M-269.3M-1.2M0.476.4610,0804,768254,312233,852
2010-11-03$20.46$20.0019.4%5.6%9.7%20.0%19.3%2.6%1.2%4.9M-277.0M-1.2M2.347.812,4765,784259,068235,756
2010-11-04$20.85$20.0016.9%4.8%11.6%10.5%18.0%2.0%1.1%6.1M-321.4M-1.2M0.894.263,6803,284259,732236,708
2010-11-05$21.03$20.0016.9%5.3%11.1%10.5%19.0%2.3%2.8%6.4M-339.5M-1.1M0.787.766,0684,716259,608237,004
2010-11-08$20.90$20.0017.6%5.4%11.4%13.2%18.7%2.5%2.9%6.3M-309.2M-1.2M0.299.3126,9847,892260,660237,520
2010-11-09$20.80$20.0017.8%5.3%11.6%13.8%19.9%3.0%2.8%7.7M-316.7M-1.3M1.629.087,08411,448277,868239,800
2010-11-10$20.97$20.0017.2%5.3%11.9%11.4%18.5%2.4%3.0%9.3M-345.2M-1.2M0.548.429,4445,144279,800244,696
2010-11-11$20.92$20.0018.4%5.3%11.9%16.3%18.9%2.7%3.0%7.8M-343.6M-1.2M1.857.989,81218,168280,588245,792
2010-11-12$20.66$20.0018.8%5.4%12.8%17.7%19.3%3.0%3.1%6.7M-295.0M-1.4M0.6611.049,7606,468286,912253,964
2010-11-15$20.45$20.0020.7%5.9%13.2%24.7%19.6%3.2%2.4%5.9M-268.7M-1.4M1.8414.375,0649,312291,348256,568
2010-11-16$20.13$20.0021.0%6.0%13.8%25.7%20.9%3.2%2.5%4.4M-243.7M-1.4M0.965.1311,58011,064291,836260,404
2010-11-17$20.35$20.0021.3%6.1%14.2%26.8%20.0%3.4%2.0%4.7M-259.6M-1.4M0.495.0716,8888,200297,184264,692
2010-11-18$20.62$20.0019.9%5.7%14.5%21.8%19.4%2.8%2.5%6.3M-301.9M-1.4M0.9011.096,2005,592304,832266,444
2010-11-19$21.45$20.0019.4%5.6%20.1%19.9%20.0%2.1%3.1%11.3M-437.7M-1.2M0.459.0245,27220,356307,864267,664
2010-11-22$21.48$20.0019.6%5.6%20.1%20.8%20.5%1.6%3.1%7.3M-410.7M-1.2M0.694.2512,9648,928293,840252,408
2010-11-23$21.32$20.0020.0%5.7%20.3%22.0%20.5%2.2%3.1%7.5M-371.7M-1.4M2.347.762,9806,972301,524257,272
2010-11-24$21.63$20.0020.0%5.7%20.3%22.2%21.1%2.5%3.0%7.6M-402.5M-1.4M0.806.209,3287,448299,808259,484
2010-11-26$21.49$21.2520.5%5.9%20.6%24.0%20.5%2.0%2.8%7.3M-385.8M-1.4M1.168.754,4325,148301,464262,692
2010-11-29$21.29$21.2521.8%6.3%21.1%28.9%23.1%2.7%2.1%7.3M-361.4M-1.4M0.8811.2113,94412,220303,224263,656
2010-11-30$21.53$21.2522.6%6.5%21.1%31.7%23.4%2.5%1.9%7.1M-406.6M-1.3M0.729.015,9164,240302,896263,404