NKE Options History — October 2011

In October 2011, NKE traded between $20.76 and $24.19. ATM implied volatility averaged 33.1%, placing in the 36.0% IV rank vs the trailing year. The 30-day expected move averaged 9.3%. IV traded below realized volatility by 2.0% (HV 20d: 35.0%). Max pain ranged from $21.25 to $22.50. Net GEX was positive for 21 of 21 trading days. Term structure was in contango for 20 of 21 days. Put/call ratio averaged 1.01.

Notable Days

  • 2011-10-03: Highest Volume — 54,392 contracts
  • 2011-10-31: Largest IV spike — 22.1% change
  • 2011-10-03: Highest IV Rank — 64.3%
  • 2011-10-03: Largest Expected Move — 13.4%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$22.90$20.76$24.19$20.76$24.09
Max Pain$21.99$21.25$22.50$21.25$22.50
ATM IV33.1%24.2%46.7%46.7%29.6%
Expected Move9.3%6.8%13.4%13.4%7.4%
HV 20d35.0%23.8%40.5%38.8%23.8%
HV 60d41.7%38.5%42.6%40.8%38.5%
IV Rank36.0%17.6%64.3%64.3%28.7%
IV Percentile81.0%62.3%98.8%98.8%74.2%
Term Structure1.0%-1.6%2.4%-1.6%0.7%
VWIV33.5%25.9%44.9%44.9%29.7%
Skew 25d7.1%4.7%9.2%9.2%5.6%
Skew 10d15.4%9.5%19.8%19.8%12.1%
Call IV 25d29.6%22.1%42.2%42.2%24.3%
Put IV 25d36.7%26.8%51.4%51.4%29.9%
Bid-Ask Spread %6.404.608.377.077.61
Gamma HHI0.150.090.390.090.12
Net GEX6.1M284.4K10.8M284.4K5.3M
Net DEX-199.4M-324.4M12.8M12.8M-228.5M
Net VEX-1.5M-1.7M-1.3M-1.7M-1.4M
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.010.392.060.532.06
Total Volume30,629.90512,05254,39254,39233,032
Total OI542,218.667396,088618,532585,660426,932

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2011-10-03$20.76$21.2546.7%13.4%38.8%64.3%44.9%9.2%-1.6%284.4K12.8M-1.7M0.537.0735,49218,900296,920288,740
2011-10-04$21.43$21.2541.8%12.0%40.5%54.3%40.7%7.8%0.0%2.1M-58.6M-1.7M0.458.1029,76413,384294,168287,404
2011-10-05$21.95$21.2538.5%11.0%39.7%47.4%39.2%6.6%0.4%4.0M-122.3M-1.7M0.396.6111,5764,520295,628285,448
2011-10-06$22.32$21.2537.8%10.2%39.7%45.9%37.1%5.7%0.7%5.5M-169.6M-1.7M0.765.927,5845,792295,960284,352
2011-10-07$22.04$21.8838.2%10.8%37.8%46.7%37.1%8.6%0.7%4.5M-130.4M-1.7M0.515.149,4884,828297,560285,508
2011-10-10$22.68$21.8839.1%10.0%38.3%48.6%34.9%8.2%0.9%7.6M-215.1M-1.6M1.314.6013,73618,008297,492285,312
2011-10-11$22.46$21.8837.3%9.8%38.2%44.8%35.3%8.0%1.2%7.0M-190.9M-1.5M1.776.118,03614,256298,980288,876
2011-10-12$22.95$21.8829.1%9.1%38.4%27.7%32.5%7.4%1.8%9.3M-250.5M-1.5M1.235.2417,02420,936300,588295,316
2011-10-13$23.05$21.8831.3%9.0%38.4%32.3%31.5%7.2%2.0%9.1M-264.4M-1.5M0.785.526,7645,288298,784303,460
2011-10-14$23.24$21.8830.3%8.7%37.9%30.2%31.6%6.9%2.0%10.8M-295.0M-1.5M0.946.1215,89614,996299,448302,540
2011-10-17$22.75$21.8832.6%9.3%38.7%35.0%33.1%7.3%1.2%7.8M-218.6M-1.4M1.415.265,5767,880291,320293,396
2011-10-18$22.87$21.8831.1%8.9%38.6%31.8%32.9%7.4%1.3%8.8M-237.3M-1.4M0.896.4416,71214,880291,616296,228
2011-10-19$22.82$21.8831.3%9.0%35.1%32.3%32.3%7.3%1.7%8.3M-232.4M-1.4M1.006.159,8369,860293,008299,532
2011-10-20$22.97$22.5032.4%9.3%34.2%34.6%33.9%7.9%1.5%9.5M-251.8M-1.4M1.955.8916,94033,056291,340303,836
2011-10-21$23.59$22.5029.5%8.5%30.5%28.6%33.1%7.1%2.4%10.2M-324.4M-1.4M0.505.7326,74013,472295,332323,200
2011-10-24$23.77$22.5028.4%8.1%30.5%26.3%28.8%6.7%1.1%3.3M-197.7M-1.3M0.546.8925,04013,644187,448208,640
2011-10-25$23.44$22.5030.5%8.7%30.8%30.6%31.2%6.9%0.7%2.8M-171.2M-1.4M1.528.2118,10427,516195,644213,672
2011-10-26$23.55$22.5028.3%8.1%29.3%26.0%31.0%6.8%0.9%2.4M-175.9M-1.4M0.806.8617,95614,288200,136225,940
2011-10-27$23.96$22.5026.6%7.6%29.5%22.4%27.6%6.0%0.6%4.8M-222.9M-1.3M1.276.5613,86817,600202,552229,084
2011-10-28$24.19$22.5024.2%6.8%26.9%17.6%25.9%4.7%1.6%5.1M-243.3M-1.3M0.478.3721,0809,880203,296231,956
2011-10-31$24.09$22.5029.6%7.4%23.8%28.7%29.7%5.6%0.7%5.3M-228.5M-1.4M2.067.6110,78022,252206,720220,212