NKE Options History — March 2011

In March 2011, NKE traded between $18.86 and $22.47. ATM implied volatility averaged 25.2%, placing in the 41.6% IV rank vs the trailing year. The 30-day expected move averaged 7.0%. IV traded below realized volatility by 2.2% (HV 20d: 27.5%). Max pain ranged from $20.00 to $21.25. Net GEX was positive for 14 of 23 trading days. Term structure was in contango for 5 of 23 days. Put/call ratio averaged 0.85.

Notable Days

  • 2011-03-02: Highest Volume — 240,536 contracts
  • 2011-03-18: Largest IV drop — 25.7% change
  • 2011-03-09: Highest IV Rank — 60.4%
  • 2011-03-16: Largest Expected Move — 8.7%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$20.71$18.86$22.47$21.93$18.93
Max Pain$20.27$20.00$21.25$21.25$20.00
ATM IV25.2%20.1%30.3%26.3%20.1%
Expected Move7.0%5.8%8.7%7.5%5.8%
HV 20d27.5%19.0%39.6%19.6%36.0%
HV 60d23.7%21.1%28.6%21.1%26.3%
IV Rank41.6%22.4%60.4%45.8%22.4%
IV Percentile68.8%35.7%88.5%79.4%35.7%
Term Structure-1.2%-3.6%2.2%-3.6%0.5%
VWIV25.0%20.6%30.4%27.1%20.6%
Skew 25d3.2%2.1%4.4%3.2%2.1%
Skew 10d7.4%5.2%10.3%6.2%6.3%
Call IV 25d23.5%19.5%28.7%26.6%20.0%
Put IV 25d26.7%21.5%33.1%29.8%22.1%
Bid-Ask Spread %6.875.289.798.196.22
Gamma HHI0.210.170.240.230.23
Net GEX1.4M-6.7M6.5M5.6M-5.1M
Net DEX-35.3M-282.7M212.4M-259.3M137.1M
Net VEX-1.3M-1.5M-1.1M-1.3M-1.4M
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.850.031.540.770.89
Total Volume54,795.8269,728240,53622,7449,728
Total OI513,807.478414,836660,696458,912659,052

Daily Data (23 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2011-03-01$21.93$21.2526.3%7.5%19.6%45.8%27.1%3.2%-3.6%5.6M-259.3M-1.3M0.778.1912,8369,908247,524211,388
2011-03-02$22.08$21.2526.4%7.6%19.4%46.2%27.6%3.3%-3.4%5.7M-282.7M-1.3M0.036.68233,0487,488250,600215,736
2011-03-03$22.46$21.2525.9%7.4%20.0%44.3%27.0%3.2%-3.2%6.5M-203.4M-1.2M1.265.2812,87616,248197,104217,732
2011-03-04$22.47$20.0026.5%6.6%20.0%46.5%23.9%2.9%-0.2%5.8M-197.9M-1.2M1.547.016,91210,652197,036225,772
2011-03-07$22.23$20.0029.1%6.9%19.2%56.3%25.4%3.7%-0.9%5.0M-160.4M-1.3M0.755.659,9247,420199,952224,056
2011-03-08$22.30$20.0028.9%6.9%19.0%55.5%26.4%3.6%-0.8%5.4M-169.4M-1.2M1.545.454,4526,872201,372224,596
2011-03-09$22.24$20.0030.3%6.9%19.1%60.4%25.7%3.6%-1.0%5.2M-163.5M-1.3M1.045.499,1769,540202,244224,852
2011-03-10$22.05$20.0025.2%7.2%19.3%41.6%26.3%3.9%-1.4%5.1M-148.4M-1.3M0.846.916,9925,868207,424228,360
2011-03-11$21.79$20.0027.5%7.9%19.7%49.9%28.0%3.3%-2.3%4.5M-115.3M-1.3M0.728.8819,67214,212209,144228,860
2011-03-14$21.55$20.0027.7%7.9%19.9%50.7%27.0%3.7%-2.3%3.9M-98.6M-1.2M0.218.0924,6285,192212,272233,204
2011-03-15$21.33$20.0028.1%8.1%20.2%52.5%28.5%4.1%-2.8%3.3M-70.6M-1.3M0.816.4613,05210,608222,160234,016
2011-03-16$21.20$20.0030.2%8.7%20.3%60.3%30.4%4.4%-3.4%3.0M-64.2M-1.3M0.526.5739,93620,856224,840236,724
2011-03-17$21.35$21.2529.3%8.4%20.4%57.0%30.2%3.9%-2.8%4.2M-78.2M-1.3M1.029.7956,19257,328241,896243,404
2011-03-18$19.40$21.2521.8%6.2%39.6%28.8%24.6%3.8%2.2%-6.7M212.4M-1.1M0.926.91110,012101,696259,316271,104
2011-03-21$19.21$20.0023.5%6.7%37.1%35.1%23.1%3.5%-0.3%-2.5M104.5M-1.2M1.348.2327,12436,436261,188243,788
2011-03-22$18.86$20.0022.4%6.4%37.1%31.1%23.0%2.7%-0.4%-3.8M136.1M-1.2M0.487.2478,34837,736269,336257,552
2011-03-23$19.30$20.0023.1%6.6%38.6%33.6%22.5%2.8%-0.6%48.1K66.0M-1.4M0.447.0672,13631,732317,960279,688
2011-03-24$19.18$20.0022.9%6.6%38.4%33.1%22.3%3.3%-0.6%-1.1M89.7M-1.5M0.926.1816,38415,020344,356292,212
2011-03-25$19.16$20.0021.8%6.3%37.6%29.0%21.5%2.9%-0.1%-1.9M102.5M-1.5M1.176.4414,85217,352345,524296,140
2011-03-28$18.97$20.0021.3%6.1%36.9%26.9%21.8%2.2%0.0%-3.9M129.2M-1.4M0.876.4010,1208,840346,408300,784
2011-03-29$19.09$20.0020.8%6.0%37.1%25.2%21.9%2.3%0.3%-3.4M117.4M-1.4M0.696.9015,05610,436346,064304,136
2011-03-30$19.19$20.0020.6%5.9%37.0%24.3%21.0%2.1%0.4%-2.3M105.1M-1.4M0.785.898,6646,744352,472308,224
2011-03-31$18.93$20.0020.1%5.8%36.0%22.4%20.6%2.1%0.5%-5.1M137.1M-1.4M0.896.225,1604,568349,948309,104