NKE Options History — April 2011

In April 2011, NKE traded between $19.13 and $20.64. ATM implied volatility averaged 18.8%, placing in the 14.0% IV rank vs the trailing year. The 30-day expected move averaged 5.4%. IV traded below realized volatility by 8.1% (HV 20d: 26.9%). Max pain ranged from $18.75 to $20.00. Net GEX was positive for 17 of 20 trading days. Term structure was in contango for 20 of 20 days. Put/call ratio averaged 0.79.

Notable Days

  • 2011-04-18: Highest Volume — 89,744 contracts
  • 2011-04-11: Largest IV spike — 13.5% change
  • 2011-04-11: Highest IV Rank — 30.8%
  • 2011-04-06: Largest Expected Move — 6.0%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$19.80$19.13$20.64$19.13$20.58
Max Pain$18.88$18.75$20.00$20.00$19.38
ATM IV18.8%16.2%22.3%19.6%16.2%
Expected Move5.4%4.6%6.0%5.6%4.6%
HV 20d26.9%14.7%38.7%36.5%14.9%
HV 60d26.6%26.3%26.9%26.4%26.6%
IV Rank14.0%1.4%30.8%20.6%1.4%
IV Percentile20.3%0.4%54.0%27.4%0.4%
Term Structure2.3%0.8%4.1%0.8%1.8%
VWIV19.1%16.8%21.5%20.6%16.8%
Skew 25d2.3%1.7%3.3%1.7%2.1%
Skew 10d5.8%4.2%7.6%6.7%6.0%
Call IV 25d17.9%15.5%19.9%19.1%15.8%
Put IV 25d20.2%17.8%22.4%20.8%17.9%
Bid-Ask Spread %7.035.689.767.536.27
Gamma HHI0.200.160.280.230.16
Net GEX4.3M-3.4M9.7M-3.4M9.1M
Net DEX-26.2M-171.9M115.1M115.1M-158.0M
Net VEX-1.4M-1.5M-1.4M-1.4M-1.5M
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.790.102.991.680.60
Total Volume28,733.28,21689,74415,23621,568
Total OI575,204413,736694,480662,032472,268

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2011-04-01$19.13$20.0019.6%5.6%36.5%20.6%20.6%1.7%0.8%-3.4M115.1M-1.4M1.687.535,6769,560350,584311,448
2011-04-04$19.35$18.7520.8%5.9%37.2%25.3%19.7%2.5%2.3%-1.6M89.1M-1.4M0.786.277,5765,896351,360313,852
2011-04-05$19.48$18.7519.9%5.5%37.3%21.7%19.8%2.3%2.9%311.4K66.8M-1.4M0.257.0834,1728,612352,692313,364
2011-04-06$19.67$18.7520.9%6.0%37.7%25.6%21.5%2.4%2.4%3.1M18.4M-1.5M0.295.7849,47614,448354,936312,692
2011-04-07$19.52$18.7520.1%5.9%37.7%22.6%20.8%2.4%2.8%1.7M22.4M-1.5M0.647.0916,96810,852369,228314,412
2011-04-08$19.35$18.7519.7%5.9%37.7%20.9%20.2%2.5%2.6%-221.5K59.2M-1.4M1.206.978,37210,084366,012317,420
2011-04-11$19.53$18.7522.3%6.0%38.0%30.8%20.6%2.6%2.6%1.4M48.1M-1.4M0.576.675,2442,972367,704319,972
2011-04-12$19.55$18.7520.6%5.9%38.0%24.2%20.5%2.5%2.7%2.8M32.4M-1.4M0.676.709,6126,468368,660320,880
2011-04-13$19.85$18.7520.1%5.6%38.6%17.1%20.2%2.3%3.5%6.0M-31.4M-1.4M0.469.7616,5287,536368,560321,408
2011-04-14$20.02$18.7519.0%5.4%38.7%12.7%19.5%2.2%4.1%8.8M-78.4M-1.5M0.497.8426,51212,952369,792322,352
2011-04-15$19.68$18.7519.3%5.5%18.4%14.1%19.1%2.5%3.4%3.6M28.2M-1.4M0.848.1019,49216,404370,252324,228
2011-04-18$19.64$18.7518.9%5.4%18.0%12.3%18.8%3.3%1.5%3.4M-28.8M-1.4M0.107.6681,3608,384238,048187,220
2011-04-19$19.68$18.7518.3%5.3%16.5%10.1%18.0%2.8%1.7%3.7M-39.6M-1.4M0.337.4415,7565,268224,840188,896
2011-04-20$20.02$18.7516.8%4.8%15.6%4.0%17.6%2.4%1.8%6.3M-80.2M-1.4M0.215.9336,4887,664239,812190,768
2011-04-21$20.05$18.7516.2%4.6%15.3%1.7%17.6%2.3%2.1%7.6M-97.0M-1.4M0.805.685,2804,232254,100194,180
2011-04-25$20.03$18.7516.9%4.9%15.3%4.5%17.5%2.3%1.7%7.7M-96.1M-1.4M1.056.978,2288,632255,872194,340
2011-04-26$19.99$18.7516.6%4.8%14.7%3.2%17.2%1.8%1.6%7.8M-96.1M-1.4M1.055.985,5565,832258,380197,740
2011-04-27$20.28$18.7517.1%4.9%15.2%5.2%18.7%2.4%1.4%8.9M-127.0M-1.4M2.997.146,72020,080260,932199,872
2011-04-28$20.64$19.3816.5%4.7%16.1%2.7%17.6%1.7%1.7%9.7M-171.9M-1.4M0.847.6315,30812,896262,740202,264
2011-04-29$20.58$19.3816.2%4.6%14.9%1.4%16.8%2.1%1.8%9.1M-158.0M-1.5M0.606.2713,4528,116264,344207,924