NKE Options History — July 2011

In July 2011, NKE traded between $22.18 and $23.41. ATM implied volatility averaged 21.3%, placing in the 25.5% IV rank vs the trailing year. The 30-day expected move averaged 6.3%. IV traded below realized volatility by 15.0% (HV 20d: 36.3%). Max pain ranged from $20.63 to $21.25. Net GEX was positive for 20 of 20 trading days. Term structure was in contango for 18 of 20 days. Put/call ratio averaged 1.12.

Notable Days

  • 2011-07-15: Highest Volume — 63,344 contracts
  • 2011-07-14: Largest IV spike — 21.0% change
  • 2011-07-29: Highest IV Rank — 45.4%
  • 2011-07-29: Largest Expected Move — 7.3%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$22.84$22.18$23.41$22.95$22.54
Max Pain$21.13$20.63$21.25$20.63$21.25
ATM IV21.3%18.2%25.5%18.2%25.5%
Expected Move6.3%5.2%7.3%5.2%7.3%
HV 20d36.3%15.9%42.4%42.4%17.5%
HV 60d28.8%28.6%29.1%28.8%29.0%
IV Rank25.5%11.4%45.4%11.4%45.4%
IV Percentile54.1%14.7%85.7%14.7%85.7%
Term Structure1.5%-0.7%4.0%2.2%-0.7%
VWIV23.1%20.6%27.0%21.3%27.0%
Skew 25d3.9%3.5%4.5%4.3%4.3%
Skew 10d8.4%7.0%10.8%10.8%8.5%
Call IV 25d20.4%17.6%24.1%17.6%24.1%
Put IV 25d24.3%21.9%28.3%21.9%28.3%
Bid-Ask Spread %7.915.299.677.258.46
Gamma HHI0.180.110.280.250.12
Net GEX12.9M4.5M22.9M20.3M5.5M
Net DEX-437.3M-708.7M-175.1M-600.4M-223.4M
Net VEX-1.6M-1.8M-1.5M-1.8M-1.7M
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.120.423.930.931.18
Total Volume28,454.810,64463,34449,87623,328
Total OI685,361.4469,468871,124833,456548,504

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2011-07-01$22.95$20.6318.2%5.2%42.4%11.4%21.3%4.3%2.2%20.3M-600.4M-1.8M0.937.2525,87224,004433,820399,636
2011-07-05$22.93$20.6319.8%6.0%42.2%18.6%23.1%4.1%2.4%20.6M-595.9M-1.7M0.976.1913,65213,176434,752406,180
2011-07-06$23.09$20.6319.4%6.0%41.5%17.0%22.1%4.0%2.2%20.4M-640.1M-1.7M0.599.2121,76812,952435,100404,424
2011-07-07$23.41$20.6320.3%6.2%40.2%20.9%22.4%4.0%2.0%18.3M-708.7M-1.5M1.028.5021,67622,064435,932406,668
2011-07-08$23.31$21.2518.3%6.1%40.5%11.7%21.9%4.0%2.4%18.9M-694.4M-1.6M0.869.4414,69212,664441,616415,040
2011-07-11$22.86$21.2521.7%6.4%41.0%27.6%24.2%4.5%2.3%20.5M-584.6M-1.7M2.007.0512,22024,460440,376412,888
2011-07-12$22.81$21.2523.0%6.7%41.1%33.6%23.9%4.3%2.0%22.5M-589.5M-1.7M0.586.2916,0409,352441,668416,548
2011-07-13$23.01$21.2518.7%6.4%40.7%13.4%24.0%3.8%2.6%22.5M-655.0M-1.6M0.815.299,7247,864443,032416,980
2011-07-14$22.99$21.2522.6%6.5%39.4%31.7%23.6%3.8%3.1%22.9M-657.9M-1.6M0.456.4427,86012,572443,284418,456
2011-07-15$22.93$21.2521.3%6.1%39.5%25.8%23.5%3.5%4.0%15.0M-652.6M-1.6M0.837.6034,57228,772450,172420,952
2011-07-18$22.66$21.2522.1%6.3%40.0%29.6%22.3%3.7%1.2%5.1M-229.2M-1.6M0.987.8012,03211,816241,384228,084
2011-07-19$22.68$21.2521.6%6.2%39.3%26.9%23.2%4.0%0.9%5.7M-236.4M-1.6M3.939.675,20020,420248,256233,932
2011-07-20$22.65$21.2521.1%6.0%39.1%24.8%21.3%3.9%0.9%5.2M-231.3M-1.6M1.119.1313,52415,016251,612244,232
2011-07-21$22.96$21.2520.1%5.8%37.1%20.1%21.2%3.5%1.0%5.5M-271.9M-1.6M0.428.2217,8847,424259,756256,048
2011-07-22$22.93$21.2519.8%5.7%37.1%18.6%20.6%3.5%1.1%6.5M-278.1M-1.7M0.987.165,3845,260268,464258,772
2011-07-25$22.73$21.2522.0%6.3%36.9%28.8%23.1%3.9%0.4%6.1M-245.0M-1.7M0.998.097,7127,640270,060258,960
2011-07-26$22.58$21.2521.8%6.3%37.2%28.2%23.8%3.9%0.6%6.1M-234.6M-1.7M1.938.085,86811,332274,944261,600
2011-07-27$22.18$21.2524.0%6.9%15.9%38.4%24.4%3.8%-0.2%4.5M-175.1M-1.7M1.229.136,1207,480276,420264,692
2011-07-28$22.62$21.2523.9%6.9%17.5%38.0%24.6%3.9%0.1%5.8M-241.9M-1.7M0.689.1511,7327,968277,260266,724
2011-07-29$22.54$21.2525.5%7.3%17.5%45.4%27.0%4.3%-0.7%5.5M-223.4M-1.7M1.188.4610,68412,644280,092268,412