NKE Options History — January 2012

In January 2012, NKE traded between $24.20 and $26.00. ATM implied volatility averaged 19.7%, placing in the 8.1% IV rank vs the trailing year. The 30-day expected move averaged 5.6%. IV traded above realized volatility by 2.3% (HV 20d: 17.4%). Max pain ranged from $22.50 to $24.38. Net GEX was positive for 20 of 20 trading days. Term structure was in contango for 20 of 20 days. Put/call ratio averaged 0.56.

Notable Days

  • 2012-01-18: Highest Volume — 49,728 contracts
  • 2012-01-11: Largest IV drop — 17.0% change
  • 2012-01-04: Highest IV Rank — 15.6%
  • 2012-01-03: Largest Expected Move — 6.1%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$25.07$24.20$26.00$24.20$26.00
Max Pain$23.75$22.50$24.38$22.50$24.38
ATM IV19.7%17.1%23.3%22.4%20.7%
Expected Move5.6%4.9%6.1%6.1%5.2%
HV 20d17.4%11.2%21.8%21.2%11.2%
HV 60d23.4%22.0%24.9%24.9%22.0%
IV Rank8.1%2.7%15.6%13.7%10.2%
IV Percentile22.9%4.8%46.4%41.7%29.0%
Term Structure3.0%1.2%5.7%1.6%1.7%
VWIV19.7%18.1%22.0%22.0%19.2%
Skew 25d2.5%1.4%3.8%2.6%1.7%
Skew 10d5.4%3.2%8.0%4.1%4.0%
Call IV 25d18.5%16.6%20.5%20.5%18.3%
Put IV 25d21.0%19.0%23.2%23.1%20.1%
Bid-Ask Spread %6.734.279.727.487.98
Gamma HHI0.270.170.500.180.24
Net GEX12.7M7.8M20.2M9.6M10.9M
Net DEX-263.0M-415.0M-159.5M-215.5M-215.2M
Net VEX-1.3M-1.4M-1.2M-1.3M-1.4M
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.560.191.290.781.29
Total Volume27,4827,32849,72838,78442,372
Total OI496,448.8311,100618,780540,576364,708

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2012-01-03$24.20$22.5022.4%6.1%21.2%13.7%22.0%2.6%1.6%9.6M-215.5M-1.3M0.787.4821,81216,972244,668295,908
2012-01-04$24.55$22.5023.3%5.9%21.8%15.6%20.5%1.8%2.0%12.6M-275.8M-1.3M0.327.5622,8127,264257,296304,968
2012-01-05$24.54$22.5019.8%5.6%21.7%8.3%19.7%1.8%2.5%12.9M-273.8M-1.3M0.817.738,2566,684258,148304,436
2012-01-06$24.50$23.7519.0%6.1%21.7%6.7%21.4%3.8%3.8%12.2M-258.4M-1.3M0.219.7216,7643,576259,884307,028
2012-01-09$24.59$23.7521.0%6.1%21.4%10.9%21.1%3.5%3.5%15.3M-272.0M-1.2M0.804.947,4846,024258,700304,984
2012-01-10$24.62$23.7521.0%5.9%19.4%10.9%19.6%3.2%3.5%16.2M-276.0M-1.2M0.286.8826,7047,524260,620305,640
2012-01-11$24.54$23.7517.4%6.0%19.3%3.4%20.6%3.2%3.5%14.9M-264.9M-1.3M0.554.566,9683,840267,496307,304
2012-01-12$24.77$23.7519.6%5.6%17.9%8.0%19.6%3.0%4.0%17.3M-312.1M-1.2M0.246.3423,2485,604269,392308,816
2012-01-13$24.57$23.7520.3%5.8%18.0%9.4%19.2%3.1%4.5%15.5M-278.7M-1.3M0.194.2726,4245,108282,968311,424
2012-01-17$24.81$23.7519.6%5.6%18.1%8.0%20.6%2.6%4.5%20.2M-324.6M-1.2M0.204.6327,0125,448285,396309,812
2012-01-18$25.21$23.7519.8%5.7%18.5%8.3%20.8%2.9%4.6%19.0M-390.1M-1.2M0.326.4537,57612,152293,352311,716
2012-01-19$25.39$23.7519.4%5.6%18.3%7.4%19.2%2.6%5.0%13.3M-408.1M-1.3M0.576.4916,5809,480304,408312,952
2012-01-20$25.44$23.7518.0%5.2%18.3%4.5%18.4%2.4%5.7%8.6M-415.0M-1.2M0.284.6926,8607,468305,228313,552
2012-01-23$25.39$23.7518.5%5.3%16.0%5.7%18.1%2.1%1.9%7.8M-159.5M-1.3M0.716.9118,34413,088177,700133,400
2012-01-24$25.55$24.3819.2%5.5%14.4%7.0%20.1%2.6%1.7%8.7M-172.1M-1.3M1.147.147,0327,996186,452140,232
2012-01-25$25.80$24.3817.1%4.9%13.0%2.7%18.1%2.3%1.9%9.7M-193.8M-1.3M0.727.144,2683,060189,588143,660
2012-01-26$25.57$24.3818.9%5.4%13.5%6.4%18.2%1.8%1.5%8.8M-174.6M-1.3M0.537.0622,02811,620191,188144,796
2012-01-27$25.53$24.3818.2%5.3%12.2%5.0%18.1%1.7%1.8%9.7M-176.1M-1.4M0.749.2914,60010,788202,996151,400
2012-01-30$25.85$24.3820.8%5.2%12.4%10.3%18.7%1.4%1.2%11.4M-204.1M-1.4M0.507.2919,2369,564205,756151,004
2012-01-31$26.00$24.3820.7%5.2%11.2%10.2%19.2%1.7%1.7%10.9M-215.2M-1.4M1.297.9818,50423,868208,828155,880