NKE Options History — June 2011

In June 2011, NKE traded between $19.91 and $22.50. ATM implied volatility averaged 26.7%, placing in the 60.3% IV rank vs the trailing year. The 30-day expected move averaged 7.9%. IV traded below realized volatility by 0.0% (HV 20d: 26.7%). Max pain ranged from $20.00 to $20.63. Net GEX was positive for 22 of 22 trading days. Term structure was in contango for 5 of 22 days. Put/call ratio averaged 0.98.

Notable Days

  • 2011-06-28: Highest Volume — 365,744 contracts
  • 2011-06-28: Largest IV drop — 37.3% change
  • 2011-06-24: Highest IV Rank — 100.0%
  • 2011-06-27: Largest Expected Move — 10.7%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$20.62$19.91$22.50$20.54$22.50
Max Pain$20.45$20.00$20.63$20.00$20.63
ATM IV26.7%19.3%37.2%20.0%19.3%
Expected Move7.9%5.5%10.7%5.7%5.5%
HV 20d26.7%21.1%44.3%21.3%42.4%
HV 60d24.2%19.3%28.6%26.6%28.6%
IV Rank60.3%16.1%100.0%19.4%16.1%
IV Percentile79.0%27.0%100.0%40.5%27.0%
Term Structure-2.2%-7.9%3.5%3.5%2.3%
VWIV27.6%21.2%37.9%22.9%21.2%
Skew 25d5.1%3.4%6.6%3.4%3.7%
Skew 10d10.7%6.9%13.5%7.3%9.7%
Call IV 25d25.2%18.4%34.9%19.5%18.4%
Put IV 25d30.3%22.2%39.3%22.9%22.2%
Bid-Ask Spread %6.404.2211.817.596.87
Gamma HHI0.140.100.270.130.27
Net GEX5.9M503.3K20.5M3.9M20.5M
Net DEX-108.5M-497.9M15.6M-67.4M-497.9M
Net VEX-1.6M-1.9M-1.5M-1.5M-1.9M
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.980.332.721.071.41
Total Volume61,388.54515,696365,74433,58077,864
Total OI584,805.455496,952814,600496,952814,600

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2011-06-01$20.54$20.0020.0%5.7%21.3%19.4%22.9%3.4%3.5%3.9M-67.4M-1.5M1.077.5916,20017,380267,068229,884
2011-06-02$20.29$20.0021.9%6.3%21.1%28.5%21.3%3.4%3.4%2.7M-39.8M-1.5M2.726.995,80415,784266,052235,272
2011-06-03$20.09$20.0020.7%7.1%21.4%23.0%23.6%4.8%-0.8%1.4M-8.0M-1.5M0.365.5916,5725,952266,576237,724
2011-06-06$19.94$20.0022.0%7.3%21.4%29.1%25.2%4.8%-1.2%1.5M5.1M-1.5M0.914.958,4727,676277,520238,560
2011-06-07$20.48$20.0020.9%7.2%23.2%26.8%25.4%4.6%-1.3%4.7M-73.8M-1.5M0.916.0115,66814,260280,784235,888
2011-06-08$20.02$20.0023.0%7.8%24.2%39.3%25.8%4.9%-2.6%2.8M-13.1M-1.5M0.645.5550,89632,504286,944237,336
2011-06-09$20.17$20.6326.8%7.7%24.2%62.9%26.3%4.7%-2.5%1.9M-18.0M-1.5M0.995.347,8687,828285,380256,388
2011-06-10$19.91$20.6327.5%7.9%22.7%66.7%27.6%4.3%-2.9%1.8M15.6M-1.5M1.246.438,78010,872288,080257,572
2011-06-13$20.13$20.6328.7%8.2%21.8%73.5%28.3%4.8%-3.5%2.1M-13.1M-1.5M0.695.5516,36011,356288,440259,756
2011-06-14$20.56$20.6327.2%7.8%23.2%68.4%26.7%4.8%-2.8%4.1M-88.9M-1.5M0.345.9430,13210,176292,724263,456
2011-06-15$20.10$20.6329.9%8.6%24.4%84.6%28.7%5.0%-4.1%2.5M-13.5M-1.5M1.106.7510,20011,184307,724264,244
2011-06-16$20.07$20.6331.6%9.0%24.4%94.2%31.5%5.5%-4.8%503.3K-7.2M-1.5M0.976.0317,73617,124300,360267,940
2011-06-17$20.28$20.6330.8%8.8%23.9%89.7%28.6%6.0%-4.3%1.6M-48.6M-1.5M0.385.7619,9647,628311,360273,988
2011-06-20$20.81$20.6330.6%8.8%25.7%88.3%29.3%6.6%-3.5%4.3M-89.8M-1.6M0.334.2283,73627,704261,940244,316
2011-06-21$21.13$20.6328.4%8.1%25.6%75.4%29.4%6.4%-3.0%9.9M-183.1M-1.8M0.796.5320,03615,852322,756263,784
2011-06-22$20.49$20.6330.4%8.7%27.7%87.1%31.0%6.2%-4.3%6.9M-79.8M-1.7M0.704.7416,37611,516330,712266,316
2011-06-23$20.55$20.6331.4%9.0%27.4%93.8%31.6%6.4%-4.8%7.6M-92.7M-1.8M0.546.3217,2649,388339,296272,120
2011-06-24$20.30$20.6335.2%10.1%27.3%100.0%34.7%6.4%-6.5%6.0M-53.0M-1.7M1.1211.8124,74027,752337,304274,364
2011-06-27$20.41$20.6337.2%10.7%27.3%100.0%37.9%4.4%-7.9%7.0M-78.9M-1.8M1.858.6254,456100,888352,620286,188
2011-06-28$22.48$20.6323.3%6.7%44.3%35.1%26.5%5.4%0.6%17.3M-466.8M-1.7M1.195.24167,288198,456371,872343,592
2011-06-29$22.45$20.6320.9%6.0%42.9%24.1%23.6%5.7%1.7%18.8M-475.0M-1.9M1.397.9643,08459,772422,112384,808
2011-06-30$22.50$20.6319.3%5.5%42.4%16.1%21.2%3.7%2.3%20.5M-497.9M-1.9M1.416.8732,33645,528428,164386,436