NKE Options History — February 2011

In February 2011, NKE traded between $20.89 and $22.26. ATM implied volatility averaged 21.2%, placing in the 26.7% IV rank vs the trailing year. The 30-day expected move averaged 6.4%. IV traded above realized volatility by 3.7% (HV 20d: 17.6%). Max pain ranged from $20.00 to $21.25. Net GEX was positive for 19 of 19 trading days. Term structure was in contango for 3 of 19 days. Put/call ratio averaged 0.88.

Notable Days

2011-02-18: Highest Volume — 35,416 contracts
2011-02-10: Largest IV spike — 27.5% change
2011-02-24: Highest IV Rank — 46.1%
2011-02-24: Largest Expected Move — 7.6%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$21.57	$20.89	$22.26	$20.89	$22.26
Max Pain	$20.72	$20.00	$21.25	$21.25	$21.25
ATM IV	21.2%	15.8%	26.4%	16.9%	25.1%
Expected Move	6.4%	4.5%	7.6%	4.8%	7.2%
HV 20d	17.6%	15.5%	20.5%	18.1%	18.7%
HV 60d	21.3%	19.8%	22.0%	21.6%	20.9%
IV Rank	26.7%	6.4%	46.1%	10.5%	41.1%
IV Percentile	42.9%	0.8%	79.8%	3.2%	70.6%
Term Structure	-0.8%	-2.9%	4.9%	3.8%	-2.9%
VWIV	22.6%	16.9%	26.4%	17.2%	26.4%
Skew 25d	2.9%	1.1%	4.0%	1.1%	2.8%
Skew 10d	5.8%	2.4%	7.6%	3.5%	7.6%
Call IV 25d	21.4%	16.8%	25.0%	17.6%	25.0%
Put IV 25d	24.3%	18.4%	28.6%	18.7%	27.7%
Bid-Ask Spread %	7.65	5.07	9.35	5.07	6.21
Gamma HHI	0.26	0.23	0.30	0.24	0.24
Net GEX	5.3M	1.4M	8.6M	1.4M	6.3M
Net DEX	-232.2M	-338.6M	-121.1M	-121.1M	-293.7M
Net VEX	-1.3M	-1.5M	-1.2M	-1.4M	-1.3M
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	0.88	0.14	3.18	0.14	0.43
Total Volume	16,714.526	4,480	35,416	29,192	9,704
Total OI	494,100.211	439,392	522,608	486,436	459,140

Daily Data (19 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
2011-02-01	$20.89	$21.25	16.9%	4.8%	18.1%	10.5%	17.2%	1.1%	3.8%	1.4M	-121.1M	-1.4M	0.14	5.07	25,712	3,480	258,240	228,196
2011-02-02	$20.98	$21.25	16.5%	4.7%	15.9%	9.1%	16.9%	1.4%	4.1%	2.6M	-141.9M	-1.5M	0.53	7.55	3,940	2,100	269,928	229,488
2011-02-03	$20.95	$21.25	15.8%	4.5%	15.7%	6.4%	18.6%	1.6%	4.9%	2.6M	-140.3M	-1.4M	3.18	6.08	2,764	8,780	270,548	230,468
2011-02-04	$21.43	$20.00	16.8%	6.2%	17.4%	9.9%	22.4%	3.1%	-1.0%	4.6M	-208.1M	-1.4M	1.39	7.59	14,764	20,564	271,096	235,256
2011-02-07	$21.63	$20.00	17.6%	6.3%	17.5%	13.2%	22.1%	2.8%	-1.2%	5.9M	-238.4M	-1.4M	0.45	6.43	10,752	4,880	269,996	239,060
2011-02-08	$21.68	$20.00	17.3%	6.3%	17.4%	12.2%	21.4%	3.0%	-1.2%	5.7M	-241.6M	-1.4M	0.50	8.10	5,688	2,872	270,248	240,752
2011-02-09	$21.81	$20.00	17.6%	6.4%	17.4%	13.1%	21.4%	2.8%	-1.2%	6.5M	-280.6M	-1.3M	0.51	7.37	11,468	5,856	270,456	240,944
2011-02-10	$21.70	$20.00	22.4%	6.4%	17.5%	31.2%	22.7%	2.8%	-1.4%	6.3M	-251.5M	-1.3M	1.30	8.85	5,572	7,244	272,148	239,600
2011-02-11	$21.55	$20.00	22.5%	6.4%	16.8%	31.4%	22.7%	3.4%	-1.3%	5.6M	-246.3M	-1.3M	0.70	8.62	2,632	1,848	272,692	240,376
2011-02-14	$21.44	$20.00	22.9%	6.6%	15.9%	32.8%	22.7%	3.1%	-1.6%	5.4M	-216.9M	-1.3M	0.88	8.19	5,864	5,176	271,944	240,900
2011-02-15	$21.39	$20.00	22.8%	6.5%	15.9%	32.6%	22.9%	3.4%	-1.6%	5.4M	-222.6M	-1.3M	0.63	8.72	10,444	6,592	272,828	241,232
2011-02-16	$21.44	$21.25	22.8%	6.5%	15.8%	32.6%	22.4%	3.6%	-1.6%	5.7M	-237.2M	-1.3M	0.43	8.57	9,928	4,264	278,044	243,164
2011-02-17	$21.51	$21.25	22.8%	6.5%	15.5%	32.5%	23.3%	3.3%	-1.7%	5.8M	-254.5M	-1.3M	1.49	9.35	8,816	13,164	279,912	242,192
2011-02-18	$22.20	$21.25	21.7%	6.2%	18.2%	28.4%	23.0%	2.4%	-1.0%	8.6M	-338.6M	-1.2M	0.27	6.64	27,992	7,424	279,316	243,292
2011-02-22	$21.81	$21.25	25.5%	7.3%	19.8%	42.8%	25.3%	3.4%	-2.8%	6.0M	-246.6M	-1.3M	0.83	6.89	10,700	8,880	241,284	198,108
2011-02-23	$21.55	$21.25	26.0%	7.5%	20.5%	44.6%	26.1%	4.0%	-2.5%	4.8M	-228.4M	-1.3M	1.29	7.84	8,536	11,036	239,296	201,316
2011-02-24	$21.63	$21.25	26.4%	7.6%	20.1%	46.1%	26.1%	3.6%	-2.7%	5.0M	-225.6M	-1.3M	1.18	8.06	9,724	11,432	242,684	205,276
2011-02-25	$22.00	$21.25	24.1%	6.9%	19.8%	37.5%	24.9%	3.1%	-2.2%	5.8M	-277.9M	-1.3M	0.57	9.17	4,456	2,528	247,956	210,528
2011-02-28	$22.26	$21.25	25.1%	7.2%	18.7%	41.1%	26.4%	2.8%	-2.9%	6.3M	-293.7M	-1.3M	0.43	6.21	6,772	2,932	248,732	210,408