NKE Options History — December 2011

In December 2011, NKE traded between $23.34 and $24.44. ATM implied volatility averaged 24.9%, placing in the 19.1% IV rank vs the trailing year. The 30-day expected move averaged 7.6%. IV traded below realized volatility by 1.1% (HV 20d: 26.1%). Max pain ranged from $21.25 to $23.13. Net GEX was positive for 21 of 21 trading days. Term structure was in contango for 19 of 21 days. Put/call ratio averaged 0.93.

Notable Days

  • 2011-12-20: Highest Volume — 210,168 contracts
  • 2011-12-21: Largest IV drop — 30.9% change
  • 2011-12-20: Highest IV Rank — 33.6%
  • 2011-12-20: Largest Expected Move — 9.1%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$23.93$23.34$24.44$23.81$24.09
Max Pain$22.26$21.25$23.13$23.13$22.50
ATM IV24.9%18.3%31.9%26.4%18.3%
Expected Move7.6%5.7%9.1%7.3%6.0%
HV 20d26.1%20.9%30.1%30.0%21.5%
HV 60d28.6%25.1%31.4%31.4%25.1%
IV Rank19.1%5.1%33.6%22.2%5.1%
IV Percentile50.6%12.7%78.6%57.5%12.7%
Term Structure1.5%-2.1%4.6%4.6%2.0%
VWIV27.0%20.9%31.7%26.0%21.8%
Skew 25d4.1%2.1%6.0%5.2%2.3%
Skew 10d8.2%4.0%13.0%9.8%4.1%
Call IV 25d24.6%19.6%30.0%23.4%20.4%
Put IV 25d28.7%21.7%33.8%28.6%22.7%
Bid-Ask Spread %7.224.7110.026.324.71
Gamma HHI0.150.110.200.150.17
Net GEX6.3M2.3M13.3M6.8M7.5M
Net DEX-170.1M-246.5M-98.8M-152.2M-200.8M
Net VEX-1.3M-1.5M-1.3M-1.3M-1.3M
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.930.581.521.220.67
Total Volume45,93210,584210,16816,43215,768
Total OI509,902.857429,400610,852429,400546,284

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2011-12-01$23.81$23.1326.4%7.3%30.0%22.2%26.0%5.2%4.6%6.8M-152.2M-1.3M1.226.327,4009,032196,752232,648
2011-12-02$24.06$23.1324.9%7.1%30.1%18.9%25.2%5.0%4.5%5.8M-178.4M-1.3M1.526.656,5529,976200,068236,148
2011-12-05$24.15$21.2527.2%8.2%29.7%23.8%30.1%5.9%1.2%6.3M-177.6M-1.3M0.807.6525,92020,728196,420236,156
2011-12-06$24.06$21.8828.0%8.4%29.6%25.5%30.6%5.9%0.9%6.5M-166.1M-1.3M1.066.116,6967,100212,592247,348
2011-12-07$23.97$21.8826.2%8.4%29.1%21.6%31.7%5.9%1.0%6.1M-163.5M-1.3M1.005.9311,90411,940214,684250,068
2011-12-08$23.80$21.8827.0%8.8%26.5%23.2%31.4%6.0%0.4%4.6M-138.4M-1.3M0.986.4713,29612,988217,588256,720
2011-12-09$24.42$21.8821.9%8.0%27.4%12.8%28.3%5.1%1.4%5.8M-216.3M-1.3M0.587.5526,39215,380221,572263,136
2011-12-12$24.24$21.8823.8%8.2%26.4%16.8%29.5%5.1%1.4%8.4M-200.9M-1.3M0.597.558,6805,140225,996263,744
2011-12-13$23.76$21.8824.3%8.0%27.3%17.7%29.3%4.7%2.0%5.8M-147.7M-1.3M1.057.8720,44021,552228,208261,700
2011-12-14$23.60$21.8825.7%8.5%27.4%20.7%29.9%4.6%1.1%5.0M-133.0M-1.4M0.849.5012,20010,280237,340278,272
2011-12-15$23.52$21.8829.7%8.5%26.1%29.0%29.8%4.3%0.9%3.7M-119.3M-1.4M0.889.7116,10414,216239,252282,500
2011-12-16$23.42$22.5029.7%8.5%25.1%29.1%29.8%3.9%1.3%4.0M-106.1M-1.3M1.056.1631,39633,096239,672285,352
2011-12-19$23.34$22.5031.7%9.1%24.9%33.1%31.6%3.6%-1.1%2.3M-98.8M-1.4M0.8810.0238,36033,824217,444265,728
2011-12-20$23.41$22.5031.9%9.1%23.9%33.6%31.6%3.6%-2.1%2.6M-102.5M-1.5M0.999.07105,868104,300231,960280,788
2011-12-21$24.09$22.5022.1%6.3%25.8%13.0%22.9%2.8%1.3%13.3M-219.5M-1.4M0.907.4292,61683,720269,324328,872
2011-12-22$23.70$22.5021.8%6.2%26.4%12.5%21.9%2.5%2.0%4.9M-138.5M-1.4M0.818.0531,65225,704266,692343,436
2011-12-23$24.23$22.5020.0%5.7%27.0%8.8%20.9%2.2%2.3%7.0M-228.6M-1.4M0.706.7019,76413,800268,412342,440
2011-12-27$24.44$22.5021.0%6.0%20.9%10.9%21.8%2.1%1.8%9.5M-246.5M-1.3M1.176.947,8249,132243,668292,492
2011-12-28$24.11$22.5021.3%6.1%21.6%11.5%22.3%2.5%1.9%8.0M-202.3M-1.4M1.054.836,4646,784245,600296,048
2011-12-29$24.36$22.5021.0%6.0%21.3%10.8%21.6%2.5%1.8%9.3M-235.3M-1.3M0.866.445,6964,888246,144298,692
2011-12-30$24.09$22.5018.3%6.0%21.5%5.1%21.8%2.3%2.0%7.5M-200.8M-1.3M0.674.719,4286,340247,064299,220