NKE Options History — May 2011

In May 2011, NKE traded between $20.41 and $21.57. ATM implied volatility averaged 18.3%, placing in the 10.6% IV rank vs the trailing year. The 30-day expected move averaged 5.4%. IV traded above realized volatility by 1.4% (HV 20d: 16.9%). Max pain ranged from $19.38 to $20.00. Net GEX was positive for 21 of 21 trading days. Term structure was in contango for 21 of 21 days. Put/call ratio averaged 0.90.

Notable Days

  • 2011-05-12: Highest Volume — 63,240 contracts
  • 2011-05-23: Largest IV spike — 11.5% change
  • 2011-05-23: Highest IV Rank — 23.3%
  • 2011-05-23: Largest Expected Move — 6.0%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$20.97$20.41$21.57$20.56$21.11
Max Pain$19.82$19.38$20.00$19.38$20.00
ATM IV18.3%16.9%20.8%17.3%18.2%
Expected Move5.4%5.0%6.0%5.0%5.2%
HV 20d16.9%14.8%19.4%14.8%18.8%
HV 60d26.4%26.1%27.2%26.6%26.1%
IV Rank10.6%4.5%23.3%6.0%11.0%
IV Percentile16.3%4.8%49.6%6.7%14.3%
Term Structure3.0%1.3%4.4%1.3%3.9%
VWIV19.8%18.3%21.7%21.3%20.1%
Skew 25d3.1%1.7%3.9%2.1%3.2%
Skew 10d7.1%5.4%8.6%6.1%6.9%
Call IV 25d17.9%16.8%19.1%17.0%17.7%
Put IV 25d20.9%18.8%22.7%19.1%21.0%
Bid-Ask Spread %7.314.6510.436.626.57
Gamma HHI0.170.130.400.160.15
Net GEX9.7M5.6M21.4M9.5M6.8M
Net DEX-195.4M-303.6M-104.8M-164.7M-142.7M
Net VEX-1.5M-1.6M-1.5M-1.5M-1.5M
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.900.141.990.141.99
Total Volume24,257.3339,82463,24057,31243,984
Total OI499,220.762437,644537,776480,252494,532

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2011-05-02$20.56$19.3817.3%5.0%14.8%6.0%21.3%2.1%1.3%9.5M-164.7M-1.5M0.146.6250,0847,228270,992209,260
2011-05-03$20.41$19.3817.3%5.0%15.0%6.1%18.3%2.6%1.6%9.9M-154.4M-1.5M1.054.656,1646,484279,960209,540
2011-05-04$20.70$19.3817.6%5.0%15.4%7.2%18.7%1.7%1.7%10.6M-190.6M-1.5M0.758.229,7127,276278,372213,992
2011-05-05$20.65$19.3817.8%5.1%15.4%7.9%18.3%1.9%2.0%10.4M-182.7M-1.5M0.897.187,2726,448279,304216,320
2011-05-06$20.50$19.3817.5%5.7%15.3%6.9%20.8%2.9%2.9%9.7M-158.3M-1.5M1.285.3911,52414,764279,404218,992
2011-05-09$20.73$19.3817.4%5.6%15.0%6.4%20.5%3.1%2.9%10.5M-190.4M-1.5M1.595.344,8567,720283,332222,488
2011-05-10$20.88$20.0017.4%5.6%14.9%6.4%20.8%2.8%2.9%11.0M-214.4M-1.5M0.386.0512,5164,744285,500226,404
2011-05-11$20.66$20.0016.9%5.5%15.6%4.5%19.8%3.3%3.0%10.9M-189.9M-1.5M1.478.194,0645,960288,036227,580
2011-05-12$21.14$20.0018.0%5.2%16.6%8.9%19.0%3.3%3.1%10.8M-248.1M-1.5M0.239.5351,50411,736283,852229,372
2011-05-13$21.57$20.0018.3%5.3%17.5%10.1%19.7%3.2%3.1%10.6M-303.6M-1.6M0.899.1918,26416,200297,864232,536
2011-05-16$21.32$20.0019.9%5.7%16.8%16.4%19.5%3.6%2.9%10.2M-273.9M-1.5M0.469.0517,5928,036299,064237,648
2011-05-17$21.22$20.0019.8%5.7%16.9%15.8%21.0%3.6%3.3%10.3M-256.5M-1.5M1.056.926,6887,012292,892238,356
2011-05-18$21.21$20.0019.1%5.5%17.0%13.4%20.1%3.5%3.4%9.9M-253.2M-1.5M1.019.724,8884,936293,124239,364
2011-05-19$21.53$20.0018.7%5.4%16.8%11.7%19.3%3.1%3.3%10.0M-294.6M-1.5M0.886.509,6608,516291,852237,916
2011-05-20$21.26$20.0018.6%5.3%17.7%12.6%19.0%3.2%3.5%21.4M-260.9M-1.5M0.586.7513,4767,812293,136244,640
2011-05-23$20.91$20.0020.8%6.0%19.1%23.3%21.7%3.9%2.9%5.6M-114.6M-1.5M0.5710.4319,60411,192238,888198,756
2011-05-24$21.08$20.0018.8%5.4%19.1%14.1%19.5%3.7%3.7%6.6M-133.4M-1.5M0.338.359,2843,028246,996203,496
2011-05-25$20.80$20.0019.6%5.6%19.4%17.6%19.9%3.4%3.7%5.7M-104.8M-1.5M1.587.2611,61618,296251,888205,152
2011-05-26$21.02$20.0017.5%5.0%18.8%8.1%19.2%3.3%4.2%6.4M-126.8M-1.5M1.595.876,1449,756255,568212,876
2011-05-27$21.16$20.0017.3%5.0%18.8%7.1%18.6%3.0%4.4%7.2M-144.9M-1.6M0.215.6719,3883,976258,092216,300
2011-05-31$21.11$20.0018.2%5.2%18.8%11.0%20.1%3.2%3.9%6.8M-142.7M-1.5M1.996.5714,69629,288265,864228,668