NKE Options History — February 2012

In February 2012, NKE traded between $25.70 and $26.98. ATM implied volatility averaged 18.9%, placing in the 5.8% IV rank vs the trailing year. The 30-day expected move averaged 5.2%. IV traded above realized volatility by 6.9% (HV 20d: 12.0%). Max pain ranged from $24.38 to $26.25. Net GEX was positive for 20 of 20 trading days. Term structure was in contango for 20 of 20 days. Put/call ratio averaged 1.21.

Notable Days

  • 2012-02-13: Highest Volume — 59,816 contracts
  • 2012-02-29: Largest IV drop — 35.5% change
  • 2012-02-28: Highest IV Rank — 20.6%
  • 2012-02-15: Largest Expected Move — 5.8%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$26.40$25.70$26.98$25.94$26.98
Max Pain$25.69$24.38$26.25$24.38$26.25
ATM IV18.9%16.3%26.0%20.7%16.8%
Expected Move5.2%4.6%5.8%4.9%4.8%
HV 20d12.0%11.2%13.2%11.4%11.8%
HV 60d19.1%15.4%22.0%22.0%15.4%
IV Rank5.8%1.0%20.6%10.2%1.3%
IV Percentile16.1%1.2%53.6%28.6%2.4%
Term Structure4.2%2.2%5.3%2.2%5.0%
VWIV19.2%17.6%21.4%17.6%21.4%
Skew 25d2.9%1.8%3.8%2.0%2.1%
Skew 10d5.8%3.9%8.0%4.0%4.2%
Call IV 25d17.3%16.3%18.6%17.4%17.0%
Put IV 25d20.2%18.1%22.4%19.3%19.0%
Bid-Ask Spread %8.905.9013.0210.3313.02
Gamma HHI0.250.180.330.250.22
Net GEX7.1M131.3K13.0M11.0M2.9M
Net DEX-201.2M-262.9M-125.4M-206.8M-194.2M
Net VEX-1.5M-1.6M-1.3M-1.4M-1.6M
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.210.204.560.950.60
Total Volume27,370.28,70459,81617,76434,660
Total OI419,632.2378,596467,228378,596467,228

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2012-02-01$25.94$24.3820.7%4.9%11.4%10.2%17.6%2.0%2.2%11.0M-206.8M-1.4M0.9510.339,1248,640213,616164,980
2012-02-02$25.70$24.3817.4%4.6%11.4%3.3%17.7%1.8%2.2%9.6M-178.8M-1.4M0.777.128,6006,640215,888170,852
2012-02-03$25.88$25.0016.3%5.1%11.5%1.0%19.1%3.0%4.3%10.5M-195.4M-1.4M0.887.164,6364,068217,948174,120
2012-02-06$25.86$25.0018.1%5.2%11.4%4.1%19.4%3.1%4.2%10.7M-193.8M-1.4M0.2010.8712,6842,600216,856174,180
2012-02-07$26.06$25.0018.1%5.1%11.6%4.1%18.3%3.0%4.1%12.0M-216.7M-1.4M0.445.9014,4526,332216,608174,788
2012-02-08$26.48$25.0016.7%5.4%12.4%1.1%18.8%2.8%3.6%12.8M-259.6M-1.3M0.378.2722,4448,348215,436175,268
2012-02-09$26.44$25.0017.9%5.1%12.3%3.8%17.8%2.9%4.0%13.0M-262.9M-1.3M0.446.8615,2206,696220,648177,684
2012-02-10$26.35$25.0019.2%5.5%12.4%6.3%19.8%3.4%3.7%11.2M-239.3M-1.4M1.167.6910,49212,212216,292180,972
2012-02-13$26.30$26.2518.9%5.4%11.8%5.7%19.3%3.0%3.8%11.4M-233.0M-1.4M1.887.8320,80039,016216,344186,504
2012-02-14$26.66$26.2519.7%5.6%12.1%7.3%19.5%3.5%3.7%9.2M-248.0M-1.5M1.608.1210,50816,796221,044214,172
2012-02-15$26.65$26.2520.4%5.8%11.2%8.9%20.5%3.7%3.6%8.2M-238.3M-1.5M0.898.6921,33619,040218,032220,208
2012-02-16$26.54$26.2520.0%5.7%11.4%8.1%20.1%3.8%3.8%8.9M-230.5M-1.5M1.678.369,31615,520220,256229,512
2012-02-17$26.67$26.2518.4%5.3%11.4%4.8%19.6%2.9%4.5%4.3M-243.6M-1.5M0.708.1721,13614,692221,892236,240
2012-02-21$26.24$26.2518.0%5.2%13.1%3.9%19.5%3.3%5.2%1.7M-125.4M-1.5M4.568.358,37238,152187,896213,672
2012-02-22$26.43$26.2517.7%5.1%13.2%3.3%20.4%3.1%5.1%221.2K-130.1M-1.5M2.088.457,14014,816188,592235,264
2012-02-23$26.54$26.2517.0%4.9%12.9%1.7%18.7%2.8%5.1%131.3K-136.4M-1.5M0.998.8812,26412,184190,352243,052
2012-02-24$26.57$26.2518.0%4.9%12.3%3.8%19.0%2.6%5.1%906.9K-143.9M-1.6M1.5812.227,55211,924194,984249,264
2012-02-27$26.79$26.2522.3%5.3%12.4%12.9%19.8%2.5%4.8%1.6M-166.8M-1.6M1.4410.5916,12423,200196,792250,492
2012-02-28$26.86$26.2526.0%5.2%11.8%20.6%18.8%2.6%5.3%2.3M-179.8M-1.6M1.0311.149,6929,976204,348260,368
2012-02-29$26.98$26.2516.8%4.8%11.8%1.3%21.4%2.1%5.0%2.9M-194.2M-1.6M0.6013.0221,62013,040205,392261,836