NKE Options History — December 2010

In December 2010, NKE traded between $21.32 and $23.07. ATM implied volatility averaged 20.3%, placing in the 23.3% IV rank vs the trailing year. The 30-day expected move averaged 6.1%. IV traded below realized volatility by 1.2% (HV 20d: 21.6%). Max pain ranged from $20.00 to $21.25. Net GEX was positive for 22 of 22 trading days. Term structure was in contango for 15 of 22 days. Put/call ratio averaged 0.72.

Notable Days

  • 2010-12-01: Highest Volume — 640,088 contracts
  • 2010-12-22: Largest IV drop — 26.1% change
  • 2010-12-21: Highest IV Rank — 42.6%
  • 2010-12-21: Largest Expected Move — 7.3%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$21.94$21.32$23.07$21.91$21.36
Max Pain$20.63$20.00$21.25$21.25$21.25
ATM IV20.3%17.8%25.5%20.8%19.2%
Expected Move6.1%5.3%7.3%6.0%5.5%
HV 20d21.6%12.9%26.7%21.7%25.5%
HV 60d17.4%15.5%20.3%16.5%20.1%
IV Rank23.3%14.0%42.6%25.0%19.2%
IV Percentile31.5%9.1%73.0%36.1%20.6%
Term Structure0.4%-3.2%3.6%1.9%0.8%
VWIV22.2%18.9%30.5%30.5%19.4%
Skew 25d2.1%0.8%3.1%2.9%1.7%
Skew 10d4.8%1.0%8.9%4.8%2.9%
Call IV 25d21.0%18.5%25.3%20.9%19.5%
Put IV 25d23.1%20.0%26.1%23.7%21.2%
Bid-Ask Spread %7.263.8912.468.413.89
Gamma HHI0.350.260.750.350.33
Net GEX7.8M4.0M27.7M6.9M4.0M
Net DEX-283.4M-405.5M-182.4M-405.5M-182.4M
Net VEX-1.2M-1.4M-962.4K-1.3M-1.4M
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.720.012.000.010.91
Total Volume66,654.9096,896640,088640,08820,204
Total OI563,556.545491,032700,404554,912700,404

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2010-12-01$21.91$21.2520.8%6.0%21.7%25.0%30.5%2.9%1.9%6.9M-405.5M-1.3M0.018.41635,0445,044291,132263,780
2010-12-02$21.96$21.2519.9%5.7%21.7%21.8%21.1%1.9%2.5%6.4M-279.8M-1.2M0.397.165,5002,144226,024265,008
2010-12-03$21.88$21.2518.5%5.3%21.0%16.5%19.6%1.8%3.6%6.8M-276.7M-1.2M0.568.437,5724,244227,128265,324
2010-12-06$21.93$20.0019.1%6.3%20.9%18.7%22.9%3.0%0.5%7.6M-297.1M-1.1M1.366.644,6686,348229,288267,332
2010-12-07$21.80$20.0021.0%6.7%20.9%25.7%23.3%2.9%0.1%7.6M-273.3M-1.2M0.9310.343,5643,332230,408269,940
2010-12-08$21.83$20.0020.7%6.6%20.7%24.8%22.7%2.9%-0.0%7.8M-287.2M-1.1M0.5811.148,3164,856231,272271,392
2010-12-09$21.87$20.0020.6%6.6%20.6%24.5%22.7%2.8%0.3%7.7M-291.8M-1.1M2.0012.464,3328,656229,672273,844
2010-12-10$21.95$20.0017.8%6.3%20.5%14.0%23.7%3.1%0.0%7.2M-290.9M-1.1M1.568.874,0966,388230,720277,308
2010-12-13$22.31$20.0020.4%6.6%20.3%23.5%23.6%2.8%-0.3%6.9M-319.9M-1.1M0.527.6021,22811,108232,136278,568
2010-12-14$22.32$20.0020.1%6.5%19.7%22.4%23.4%3.0%-0.1%6.9M-327.8M-1.1M0.356.9221,7687,636236,844282,952
2010-12-15$22.14$20.0022.7%6.5%18.8%32.1%23.3%3.0%-0.3%7.3M-314.8M-1.1M0.197.2810,0321,876243,516284,476
2010-12-16$22.31$20.0022.4%6.4%18.7%31.2%23.7%2.7%-0.0%8.1M-326.7M-1.1M0.246.9313,1323,172244,548285,100
2010-12-17$22.51$20.0022.0%6.3%18.5%29.6%24.0%2.5%0.1%27.7M-358.9M-996.1K0.875.5718,58016,084246,000285,552
2010-12-20$22.57$20.0022.4%6.4%12.9%31.1%22.6%1.4%-1.2%6.3M-320.4M-962.4K0.415.6751,86421,092224,296267,448
2010-12-21$23.07$21.2525.5%7.3%14.7%42.6%25.7%0.8%-3.2%8.1M-389.1M-1.0M0.606.27108,41264,920254,476278,912
2010-12-22$21.74$21.2518.8%5.4%26.7%17.7%18.9%1.3%0.8%6.8M-238.8M-1.2M0.384.59116,20844,444301,968313,924
2010-12-23$21.51$21.2518.8%5.4%26.4%17.4%19.1%1.4%0.9%7.3M-221.0M-1.3M0.635.7256,72835,960332,100325,216
2010-12-27$21.46$21.2519.3%5.5%26.4%19.4%19.6%1.5%0.5%6.7M-212.4M-1.3M0.576.4317,4569,900339,600335,816
2010-12-28$21.58$21.2519.3%5.5%26.2%19.4%19.8%1.2%0.7%7.0M-231.9M-1.3M0.566.8515,2968,580338,816339,956
2010-12-29$21.32$21.2518.9%5.4%26.3%18.0%19.9%1.1%1.0%5.2M-188.3M-1.3M1.296.2918,38023,684337,876342,020
2010-12-30$21.44$21.2518.9%5.4%25.5%17.8%19.4%1.4%1.1%4.8M-199.3M-1.3M0.876.227,8046,756342,008354,144
2010-12-31$21.36$21.2519.2%5.5%25.5%19.2%19.4%1.7%0.8%4.0M-182.4M-1.4M0.913.8910,5809,624343,616356,788