NKE Options History — November 2011

In November 2011, NKE traded between $22.57 and $24.05. ATM implied volatility averaged 30.4%, placing in the 30.5% IV rank vs the trailing year. The 30-day expected move averaged 8.3%. IV traded above realized volatility by 4.8% (HV 20d: 25.7%). Max pain ranged from $22.50 to $23.75. Net GEX was positive for 20 of 21 trading days. Term structure was in contango for 20 of 21 days. Put/call ratio averaged 1.14.

Notable Days

  • 2011-11-30: Highest Volume — 44,088 contracts
  • 2011-11-09: Largest IV spike — 17.5% change
  • 2011-11-01: Highest IV Rank — 48.4%
  • 2011-11-25: Largest Expected Move — 9.1%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$23.46$22.57$24.05$23.47$24.05
Max Pain$23.10$22.50$23.75$22.50$23.13
ATM IV30.4%27.1%39.0%39.0%30.3%
Expected Move8.3%7.4%9.1%9.0%7.4%
HV 20d25.7%21.7%31.1%24.8%30.0%
HV 60d33.2%30.9%36.9%36.9%32.0%
IV Rank30.5%23.5%48.4%48.4%30.3%
IV Percentile73.7%65.5%93.3%93.3%72.2%
Term Structure2.8%-0.7%4.5%-0.7%4.4%
VWIV29.9%25.4%34.0%33.5%25.4%
Skew 25d6.7%5.1%8.3%8.2%5.1%
Skew 10d14.6%10.3%18.8%17.9%10.3%
Call IV 25d26.5%23.2%29.2%29.2%23.2%
Put IV 25d33.2%28.4%37.4%37.4%28.4%
Bid-Ask Spread %6.975.3210.065.327.74
Gamma HHI0.140.100.380.110.15
Net GEX4.8M-2.2M10.9M3.7M6.8M
Net DEX-158.0M-234.9M-67.7M-162.3M-197.5M
Net VEX-1.4M-1.5M-1.3M-1.5M-1.3M
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.140.322.312.260.32
Total Volume22,114.6677,62444,08829,99244,088
Total OI447,436410,908496,328428,048434,452

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2011-11-01$23.47$22.5039.0%9.0%24.8%48.4%33.5%8.2%-0.7%3.7M-162.3M-1.5M2.265.329,21220,780206,916221,132
2011-11-02$23.73$22.5034.3%8.6%23.9%38.6%31.9%6.0%0.3%5.2M-193.4M-1.5M2.316.519,44021,764211,100220,880
2011-11-03$23.92$22.5030.1%8.2%23.4%29.7%28.9%6.1%0.8%5.7M-213.0M-1.4M0.946.7710,3929,748211,844226,220
2011-11-04$23.59$23.1327.9%8.2%23.5%25.2%30.9%7.4%2.4%5.3M-177.9M-1.5M0.705.9215,17610,632215,440228,584
2011-11-07$23.45$23.1329.3%8.0%21.7%28.1%28.9%7.5%2.2%5.0M-165.2M-1.4M0.906.166,5365,888213,576230,232
2011-11-08$23.86$23.1327.1%7.7%22.0%23.5%26.7%6.7%2.9%6.9M-211.9M-1.4M2.317.204,3209,984214,844232,164
2011-11-09$23.09$23.7531.8%9.0%24.2%33.4%31.1%8.3%1.7%3.6M-124.4M-1.5M1.597.8310,29616,356216,792235,104
2011-11-10$23.48$23.7528.8%8.3%24.9%27.1%30.5%7.8%2.7%5.3M-167.2M-1.4M0.847.2312,04810,164218,936242,496
2011-11-11$24.04$23.1327.7%7.9%26.0%24.9%27.9%6.9%3.0%7.2M-234.9M-1.4M0.746.9119,67614,588222,688244,600
2011-11-14$23.94$23.1328.5%8.2%24.7%26.6%29.2%6.6%3.2%6.2M-209.8M-1.4M1.716.7910,32417,624221,584248,552
2011-11-15$23.99$23.1328.0%8.0%24.7%25.5%28.6%6.4%3.2%6.8M-223.2M-1.4M0.405.6213,5605,396227,204259,992
2011-11-16$23.43$23.1330.0%8.6%26.4%29.6%29.6%6.8%2.7%5.0M-155.4M-1.5M1.037.047,1007,336229,344259,260
2011-11-17$22.97$23.1330.7%8.8%27.3%31.0%34.0%7.7%2.8%3.8M-103.6M-1.5M1.238.2911,46014,048229,512262,172
2011-11-18$23.19$23.1328.5%8.2%25.7%26.4%29.7%6.4%3.8%10.9M-139.0M-1.4M0.456.5118,1528,088230,368265,960
2011-11-21$22.77$23.1330.5%8.7%26.2%30.7%30.9%6.8%3.3%2.3M-82.0M-1.4M1.457.887,92411,512192,976217,932
2011-11-22$22.91$23.1328.2%8.1%26.0%25.8%29.6%6.1%4.2%2.3M-91.1M-1.4M1.197.253,4804,144193,208221,508
2011-11-23$22.73$23.1330.8%8.8%26.0%31.3%30.6%5.8%3.3%1.3M-77.4M-1.4M1.016.614,1244,176194,540223,556
2011-11-25$22.57$23.1332.5%9.1%25.1%34.8%31.8%6.3%3.3%-2.2M-67.7M-1.4M1.005.394,0844,100196,320224,556
2011-11-28$23.73$23.1334.9%8.3%31.1%39.7%29.9%5.6%3.9%3.9M-159.2M-1.4M0.7410.0616,75212,400195,068223,220
2011-11-29$23.72$23.1330.5%8.0%31.1%30.6%28.3%5.5%4.5%5.1M-162.0M-1.4M0.867.409,4208,116203,356227,968
2011-11-30$24.05$23.1330.3%7.4%30.0%30.3%25.4%5.1%4.4%6.8M-197.5M-1.3M0.327.7433,28410,804204,408230,044