NKE Options History — August 2011

In August 2011, NKE traded between $19.64 and $22.34. ATM implied volatility averaged 39.5%, placing in the 57.7% IV rank vs the trailing year. The 30-day expected move averaged 10.8%. IV traded below realized volatility by 5.6% (HV 20d: 45.2%). Max pain ranged from $21.25 to $21.88. Net GEX was positive for 14 of 23 trading days. Term structure was in contango for 8 of 23 days. Put/call ratio averaged 1.08.

Notable Days

2011-08-04: Highest Volume — 70,964 contracts
2011-08-08: Largest IV spike — 66.3% change
2011-08-04: Highest IV Rank — 100.0%
2011-08-08: Largest Expected Move — 14.0%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$20.93	$19.64	$22.34	$22.34	$21.66
Max Pain	$21.66	$21.25	$21.88	$21.25	$21.25
ATM IV	39.5%	25.4%	63.8%	25.4%	31.9%
Expected Move	10.8%	7.3%	14.0%	7.3%	9.1%
HV 20d	45.2%	16.1%	57.2%	16.1%	54.6%
HV 60d	38.0%	29.1%	42.1%	29.1%	41.8%
IV Rank	57.7%	33.5%	100.0%	44.7%	33.5%
IV Percentile	96.1%	84.9%	100.0%	84.9%	91.7%
Term Structure	-1.0%	-5.2%	2.7%	-0.4%	2.7%
VWIV	37.8%	26.8%	48.3%	26.8%	33.8%
Skew 25d	7.7%	4.4%	11.3%	4.4%	7.8%
Skew 10d	12.1%	6.9%	19.5%	10.1%	15.2%
Call IV 25d	34.2%	24.3%	44.7%	24.3%	29.8%
Put IV 25d	42.0%	28.7%	50.3%	28.7%	37.6%
Bid-Ask Spread %	8.70	6.51	13.13	10.44	11.30
Gamma HHI	0.10	0.07	0.13	0.13	0.10
Net GEX	609.5K	-2.2M	4.7M	4.7M	2.1M
Net DEX	6.9M	-189.0M	238.5M	-189.0M	-112.2M
Net VEX	-1.7M	-1.8M	-1.5M	-1.7M	-1.7M
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	1.08	0.21	3.80	0.78	0.68
Total Volume	38,238.609	13,392	70,964	33,872	17,756
Total OI	575,833.739	459,596	671,568	553,976	529,396

Daily Data (23 trading days)

Date	Price	Max Pain	ATM IV	Exp Move	HV 20d	IV Rank	VWIV	Skew 25d	Term Str	GEX	DEX	VEX	P/C	Spread %	Call Vol	Put Vol	Call OI	Put OI
2011-08-01	$22.34	$21.25	25.4%	7.3%	16.1%	44.7%	26.8%	4.4%	-0.4%	4.7M	-189.0M	-1.7M	0.78	10.44	18,992	14,880	281,332	272,644
2011-08-02	$21.28	$21.88	29.3%	8.4%	23.2%	63.2%	29.7%	4.6%	-1.1%	866.5K	-25.2M	-1.7M	3.80	11.66	10,756	40,884	285,520	274,048
2011-08-03	$21.77	$21.88	27.0%	7.7%	24.8%	52.6%	28.3%	4.7%	0.2%	614.2K	-80.4M	-1.7M	0.89	9.17	16,952	15,068	282,284	292,176
2011-08-04	$20.39	$21.88	39.5%	11.3%	32.5%	100.0%	39.0%	5.5%	-3.3%	-1.8M	109.2M	-1.7M	1.64	9.36	26,916	44,048	285,036	289,188
2011-08-05	$20.97	$21.88	38.4%	10.2%	34.8%	95.1%	36.6%	6.9%	0.0%	-1.8M	41.1M	-1.8M	1.21	6.74	27,504	33,364	289,128	301,824
2011-08-08	$19.80	$21.88	63.8%	14.0%	39.2%	100.0%	48.3%	5.6%	-4.8%	-1.0M	137.3M	-1.7M	0.93	6.53	36,680	34,080	297,280	301,784
2011-08-09	$20.63	$21.88	56.9%	12.9%	42.7%	85.6%	43.4%	8.6%	-4.0%	-749.9K	68.7M	-1.8M	0.75	8.24	31,256	23,596	310,560	314,432
2011-08-10	$19.83	$21.88	62.0%	14.0%	44.0%	96.2%	46.1%	6.4%	-5.2%	-277.5K	134.8M	-1.7M	0.74	9.77	27,676	20,496	319,872	302,556
2011-08-11	$20.81	$21.88	45.2%	13.0%	48.3%	61.3%	45.5%	9.2%	-3.6%	1.1M	19.7M	-1.8M	0.71	6.51	18,476	13,160	322,104	303,996
2011-08-12	$21.06	$21.88	38.0%	10.9%	48.6%	46.3%	38.9%	9.7%	-0.4%	1.6M	-15.6M	-1.8M	0.77	8.08	19,576	15,088	328,760	304,000
2011-08-15	$21.28	$21.88	34.3%	9.8%	48.8%	38.5%	34.9%	8.8%	0.6%	2.1M	-43.1M	-1.7M	0.84	7.50	10,364	8,680	333,440	305,012
2011-08-16	$20.80	$21.88	36.7%	10.5%	49.3%	43.6%	35.4%	8.2%	-0.4%	66.8K	41.7M	-1.7M	2.88	8.67	6,468	18,660	336,116	307,064
2011-08-17	$20.64	$21.88	35.1%	10.1%	49.3%	40.3%	33.3%	7.5%	-0.2%	-2.2M	101.1M	-1.6M	0.88	7.90	14,344	12,568	336,100	318,536
2011-08-18	$19.98	$21.88	43.4%	12.4%	49.7%	57.5%	41.6%	6.9%	-3.1%	-1.6M	191.2M	-1.6M	1.08	7.62	17,276	18,720	341,592	319,736
2011-08-19	$19.64	$21.88	44.6%	12.8%	49.8%	60.0%	41.9%	5.2%	-1.9%	-1.7M	238.5M	-1.5M	1.69	13.13	12,216	20,672	345,264	326,304
2011-08-22	$19.81	$21.88	40.8%	11.7%	50.1%	52.1%	38.7%	11.3%	-0.7%	-398.9K	67.9M	-1.5M	0.21	7.50	27,176	5,628	233,376	226,220
2011-08-23	$20.90	$21.25	36.9%	10.6%	54.5%	44.0%	36.8%	10.1%	0.3%	865.8K	-19.5M	-1.6M	0.58	7.85	17,828	10,332	240,092	227,356
2011-08-24	$21.45	$21.25	38.0%	10.9%	55.2%	46.2%	39.1%	9.7%	-0.1%	2.0M	-84.4M	-1.7M	0.65	7.32	40,544	26,464	247,000	232,076
2011-08-25	$20.94	$21.25	40.0%	11.5%	55.2%	50.5%	40.2%	10.8%	-1.1%	1.8M	-44.1M	-1.7M	0.92	9.98	20,520	18,856	263,344	244,672
2011-08-26	$21.57	$21.25	35.2%	10.1%	56.4%	40.4%	37.6%	9.5%	1.2%	2.2M	-102.4M	-1.8M	0.79	8.99	7,488	5,904	266,012	257,888
2011-08-29	$22.14	$21.25	34.5%	9.9%	57.2%	39.0%	36.9%	8.6%	1.1%	3.2M	-170.4M	-1.7M	0.86	8.25	7,304	6,284	266,236	257,016
2011-08-30	$21.59	$21.25	32.9%	9.4%	55.2%	35.6%	36.0%	8.1%	2.1%	2.3M	-105.9M	-1.7M	0.56	7.59	24,316	13,672	267,508	258,296
2011-08-31	$21.66	$21.25	31.9%	9.1%	54.6%	33.5%	33.8%	7.8%	2.7%	2.1M	-112.2M	-1.7M	0.68	11.30	10,580	7,176	267,592	261,804