NKE Options History — September 2011

In September 2011, NKE traded between $20.63 and $22.64. ATM implied volatility averaged 37.5%, placing in the 45.1% IV rank vs the trailing year. The 30-day expected move averaged 10.9%. IV traded below realized volatility by 2.5% (HV 20d: 40.0%). Max pain ranged from $21.25 to $21.25. Net GEX was positive for 21 of 21 trading days. Term structure was in contango for 5 of 21 days. Put/call ratio averaged 0.85.

Notable Days

  • 2011-09-23: Highest Volume — 140,592 contracts
  • 2011-09-09: Largest IV spike — 18.1% change
  • 2011-09-22: Highest IV Rank — 59.8%
  • 2011-09-22: Largest Expected Move — 12.7%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$21.72$20.63$22.64$21.64$21.38
Max Pain$21.25$21.25$21.25$21.25$21.25
ATM IV37.5%31.1%44.5%31.1%43.1%
Expected Move10.9%8.9%12.7%8.9%12.4%
HV 20d40.0%36.0%49.2%48.8%38.8%
HV 60d41.6%38.5%43.2%41.5%40.5%
IV Rank45.1%32.0%59.8%32.0%57.0%
IV Percentile93.6%89.7%98.0%90.5%97.2%
Term Structure-1.5%-4.9%2.9%2.9%-1.0%
VWIV38.4%34.4%44.9%34.6%41.4%
Skew 25d8.1%7.1%9.9%7.9%8.9%
Skew 10d17.2%13.9%22.2%15.2%18.4%
Call IV 25d34.6%29.0%41.1%29.0%38.4%
Put IV 25d42.8%36.9%48.1%36.9%47.3%
Bid-Ask Spread %7.975.6511.5711.576.94
Gamma HHI0.130.080.550.110.10
Net GEX4.0M307.9K23.0M2.2M2.3M
Net DEX-122.8M-298.0M14.8M-117.1M-54.6M
Net VEX-1.6M-1.8M-1.5M-1.7M-1.8M
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.850.282.040.921.36
Total Volume41,234.09510,188140,59210,18822,352
Total OI549,150.286449,708596,608532,436585,028

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2011-09-01$21.64$21.2531.1%8.9%48.8%32.0%34.6%7.9%2.9%2.2M-117.1M-1.7M0.9211.575,3004,888269,080263,356
2011-09-02$21.01$21.2533.9%9.7%49.2%37.7%34.4%8.1%2.5%681.2K-32.1M-1.6M1.359.218,75611,836270,028264,676
2011-09-06$20.94$21.2538.6%11.1%44.3%47.5%40.7%9.6%-4.2%307.9K-17.4M-1.6M2.0410.6914,28829,132272,320273,340
2011-09-07$21.63$21.2533.1%10.3%43.4%36.0%39.0%8.8%-2.9%1.7M-113.6M-1.6M0.698.4715,32410,596275,328276,792
2011-09-08$21.33$21.2536.1%10.9%41.0%42.3%37.9%8.6%-3.5%1.5M-80.6M-1.6M0.318.0724,5567,628280,672279,620
2011-09-09$20.63$21.2542.6%12.1%39.5%55.9%42.6%9.9%-4.9%819.1K14.8M-1.6M0.517.9418,6729,452295,592280,740
2011-09-12$21.09$21.2541.0%12.0%40.1%52.6%41.5%9.6%-4.2%801.2K-42.5M-1.6M0.289.1512,0923,392293,348281,676
2011-09-13$21.45$21.2537.4%11.6%40.4%45.1%39.0%8.9%-3.5%2.1M-109.8M-1.6M0.347.1119,4366,624294,696279,988
2011-09-14$21.87$21.2533.2%10.9%40.0%36.3%39.1%7.9%-2.2%2.5M-189.9M-1.5M0.847.9118,91215,916299,392280,852
2011-09-15$22.01$21.2536.8%10.6%39.8%43.8%36.5%7.6%-1.6%710.3K-214.6M-1.5M1.326.0913,80018,212307,504289,104
2011-09-16$22.44$21.2534.5%9.9%37.8%39.0%34.5%7.3%-0.9%23.0M-298.0M-1.5M0.356.5629,17210,088309,084286,648
2011-09-19$22.55$21.2535.7%10.2%36.9%41.5%35.9%7.6%-1.1%5.5M-187.7M-1.5M0.615.6534,87221,424236,144213,564
2011-09-20$22.36$21.2535.8%10.3%37.3%41.6%35.6%7.1%-1.7%5.7M-177.4M-1.6M1.066.7420,03621,300251,324222,948
2011-09-21$21.43$21.2539.7%11.4%36.6%49.8%38.1%7.1%-2.5%3.6M-85.5M-1.6M0.347.2452,76818,084258,796232,664
2011-09-22$21.05$21.2544.5%12.7%36.0%59.8%44.9%7.1%-3.8%3.2M-62.6M-1.6M0.7710.2564,24449,604271,024234,824
2011-09-23$22.16$21.2538.6%11.1%39.5%47.5%38.1%7.3%-0.3%5.9M-167.8M-1.7M0.697.9383,18857,404284,588251,788
2011-09-26$22.33$21.2536.8%10.5%38.2%43.8%39.2%7.9%0.3%5.7M-171.0M-1.8M1.297.0312,52816,100286,692271,244
2011-09-27$22.64$21.2536.2%10.4%37.5%42.6%37.2%7.6%0.2%6.5M-207.8M-1.8M1.129.0416,35618,260289,712275,384
2011-09-28$22.12$21.2538.9%11.2%37.4%48.1%37.1%8.2%-0.2%4.8M-139.2M-1.8M0.667.489,8526,480289,808278,728
2011-09-29$22.00$21.2538.9%11.1%37.4%48.1%38.8%8.1%0.3%4.4M-123.7M-1.8M1.116.3615,66817,324293,256280,804
2011-09-30$21.38$21.2543.1%12.4%38.8%57.0%41.4%8.9%-1.0%2.3M-54.6M-1.8M1.366.949,48812,864297,592287,436