NKE Options History — January 2011

In January 2011, NKE traded between $20.36 and $21.52. ATM implied volatility averaged 18.8%, placing in the 17.5% IV rank vs the trailing year. The 30-day expected move averaged 5.4%. IV traded below realized volatility by 4.3% (HV 20d: 23.1%). Max pain ranged from $21.25 to $21.25. Net GEX was positive for 13 of 20 trading days. Term structure was in contango for 19 of 20 days. Put/call ratio averaged 0.68.

Notable Days

2011-01-04: Highest Volume — 48,096 contracts
2011-01-24: Largest IV drop — 13.2% change
2011-01-04: Highest IV Rank — 21.9%
2011-01-10: Largest Expected Move — 5.7%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$20.87	$20.36	$21.52	$21.52	$20.62
Max Pain	$21.25	$21.25	$21.25	$21.25	$21.25
ATM IV	18.8%	17.1%	20.0%	19.3%	19.8%
Expected Move	5.4%	4.9%	5.7%	5.5%	5.7%
HV 20d	23.1%	15.3%	27.6%	25.7%	17.6%
HV 60d	21.0%	20.1%	21.8%	20.1%	21.8%
IV Rank	17.5%	11.2%	21.9%	19.6%	21.2%
IV Percentile	18.8%	4.4%	31.7%	23.4%	31.0%
Term Structure	1.9%	0.0%	3.5%	0.7%	3.1%
VWIV	19.4%	17.6%	21.2%	20.0%	18.7%
Skew 25d	1.4%	-0.3%	2.8%	1.3%	2.0%
Skew 10d	3.8%	-0.2%	6.6%	1.3%	5.6%
Call IV 25d	19.1%	17.3%	21.5%	19.8%	17.7%
Put IV 25d	20.5%	19.0%	21.7%	21.1%	19.7%
Bid-Ask Spread %	6.46	4.78	10.42	5.03	6.51
Gamma HHI	0.27	0.22	0.41	0.32	0.25
Net GEX	150.7K	-4.6M	4.5M	4.5M	728.7K
Net DEX	-97.8M	-206.3M	-24.3M	-206.3M	-90.5M
Net VEX	-1.3M	-1.4M	-1.3M	-1.3M	-1.4M
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	0.68	0.23	1.81	0.49	1.00
Total Volume	29,174	15,156	48,096	35,412	26,232
Total OI	663,133.4	445,336	779,916	705,408	489,212

Daily Data (20 trading days)

Date	Price	Max Pain	ATM IV	Exp Move	HV 20d	IV Rank	VWIV	Skew 25d	Term Str	GEX	DEX	VEX	P/C	Spread %	Call Vol	Put Vol	Call OI	Put OI
2011-01-03	$21.52	$21.25	19.3%	5.5%	25.7%	19.6%	20.0%	1.3%	0.7%	4.5M	-206.3M	-1.3M	0.49	5.03	23,788	11,624	343,228	362,180
2011-01-04	$20.99	$21.25	20.0%	5.7%	27.1%	21.9%	20.6%	0.5%	0.0%	200.6K	-98.4M	-1.4M	0.44	5.44	33,468	14,628	345,752	363,792
2011-01-05	$21.13	$21.25	19.7%	5.7%	27.2%	21.0%	20.8%	0.1%	0.5%	2.7M	-136.7M	-1.4M	0.43	6.01	23,392	9,956	355,976	365,972
2011-01-06	$20.94	$21.25	19.8%	5.7%	27.3%	21.3%	20.6%	-0.3%	0.4%	487.1K	-109.3M	-1.4M	0.75	6.62	14,200	10,592	354,768	371,212
2011-01-07	$20.88	$21.25	19.0%	5.7%	27.2%	18.4%	20.1%	1.0%	1.5%	-557.0K	-88.2M	-1.4M	0.29	5.81	14,980	4,276	357,600	374,412
2011-01-10	$21.04	$21.25	19.6%	5.7%	27.4%	20.7%	21.2%	1.4%	1.4%	1.0M	-115.5M	-1.3M	0.55	10.42	14,204	7,864	362,780	374,516
2011-01-11	$21.00	$21.25	18.6%	5.6%	26.5%	16.7%	19.8%	1.1%	1.7%	574.7K	-115.7M	-1.3M	0.28	7.31	15,100	4,292	362,444	376,252
2011-01-12	$20.93	$21.25	17.6%	5.5%	26.5%	13.3%	19.9%	1.1%	1.8%	61.5K	-94.5M	-1.3M	0.89	7.91	22,928	20,396	363,652	377,224
2011-01-13	$20.64	$21.25	19.1%	5.5%	26.7%	18.8%	19.6%	1.5%	1.7%	-3.3M	-36.6M	-1.3M	0.75	5.14	18,948	14,304	364,164	390,008
2011-01-14	$21.02	$21.25	18.4%	5.3%	27.6%	16.0%	18.6%	1.1%	2.1%	29.5K	-113.9M	-1.3M	0.23	6.37	26,460	6,004	366,912	396,612
2011-01-18	$21.02	$21.25	18.8%	5.4%	27.2%	17.7%	19.6%	1.2%	1.8%	1.9M	-119.1M	-1.3M	0.76	4.78	13,728	10,372	375,444	397,416
2011-01-19	$20.91	$21.25	18.8%	5.4%	27.2%	17.4%	19.4%	1.3%	1.8%	884.1K	-89.0M	-1.3M	0.56	5.29	24,752	13,884	376,620	398,808
2011-01-20	$20.77	$21.25	18.9%	5.4%	25.4%	17.9%	19.5%	1.7%	1.7%	-1.1M	-55.6M	-1.3M	1.81	5.95	8,728	15,780	373,068	404,180
2011-01-21	$20.57	$21.25	19.8%	5.7%	15.3%	21.4%	19.2%	2.2%	1.4%	-4.6M	-24.3M	-1.3M	0.98	6.90	18,060	17,620	372,920	406,996
2011-01-24	$20.66	$21.25	17.2%	4.9%	15.3%	11.6%	18.1%	2.8%	2.6%	-569.9K	-92.6M	-1.3M	0.51	6.04	18,780	9,604	235,116	210,220
2011-01-25	$20.72	$21.25	17.4%	5.0%	15.3%	12.2%	18.2%	2.3%	2.9%	-241.2K	-92.4M	-1.4M	1.13	5.05	7,108	8,048	243,492	216,640
2011-01-26	$21.00	$21.25	17.1%	4.9%	16.1%	11.2%	17.7%	1.4%	3.2%	1.0M	-127.1M	-1.4M	0.66	7.44	12,836	8,488	247,176	221,796
2011-01-27	$20.69	$21.25	17.1%	4.9%	16.3%	11.4%	17.6%	1.7%	3.2%	209.1K	-89.5M	-1.4M	0.67	7.13	17,808	11,908	251,896	224,284
2011-01-28	$20.36	$21.25	19.1%	5.5%	16.8%	18.9%	18.9%	2.4%	3.5%	-909.4K	-61.1M	-1.4M	0.44	8.05	19,704	8,636	259,540	228,388
2011-01-31	$20.62	$21.25	19.8%	5.7%	17.6%	21.2%	18.7%	2.0%	3.1%	728.7K	-90.5M	-1.4M	1.00	6.51	13,124	13,108	262,148	227,064