NKE Options History — March 2012

In March 2012, NKE traded between $26.81 and $28.03. ATM implied volatility averaged 19.7%, placing in the 9.8% IV rank vs the trailing year. The 30-day expected move averaged 6.3%. IV traded above realized volatility by 5.7% (HV 20d: 14.1%). Max pain ranged from $25.00 to $26.25. Net GEX was positive for 22 of 22 trading days. Term structure was in contango for 12 of 22 days. Put/call ratio averaged 0.97.

Notable Days

  • 2012-03-23: Highest Volume — 295,996 contracts
  • 2012-03-15: Largest IV spike — 72.5% change
  • 2012-03-22: Highest IV Rank — 26.9%
  • 2012-03-22: Largest Expected Move — 7.9%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$27.32$26.81$28.03$27.14$27.11
Max Pain$25.91$25.00$26.25$26.25$26.25
ATM IV19.7%14.2%27.5%16.2%17.0%
Expected Move6.3%4.5%7.9%4.6%4.9%
HV 20d14.1%10.9%18.1%11.8%18.1%
HV 60d14.5%12.7%15.8%15.3%13.8%
IV Rank9.8%0.0%26.9%0.2%5.7%
IV Percentile23.0%0.0%61.5%0.8%7.1%
Term Structure0.1%-4.1%6.3%5.7%1.3%
VWIV23.0%16.6%27.9%17.9%17.7%
Skew 25d3.2%1.3%5.2%1.6%1.3%
Skew 10d7.4%4.1%11.8%5.6%4.1%
Call IV 25d21.2%16.6%27.3%16.7%17.6%
Put IV 25d24.4%18.0%29.0%18.3%18.8%
Bid-Ask Spread %7.385.159.697.926.55
Gamma HHI0.230.170.410.230.24
Net GEX6.1M730.2K14.5M3.9M7.9M
Net DEX-203.8M-304.2M-63.5M-190.7M-180.2M
Net VEX-1.6M-1.8M-1.5M-1.6M-1.6M
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.970.532.311.240.53
Total Volume65,606.90921,592295,99631,59625,548
Total OI542,268.909461,624705,880461,624628,808

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2012-03-01$27.14$26.2516.2%4.6%11.8%0.2%17.9%1.6%5.7%3.9M-190.7M-1.6M1.247.9214,08417,512197,288264,336
2012-03-02$27.18$26.2516.1%4.5%11.0%0.0%16.6%1.4%6.3%4.0M-201.1M-1.6M0.986.6012,80012,532200,792266,380
2012-03-05$27.31$25.0019.3%6.7%10.9%6.8%25.7%4.3%0.3%5.1M-214.7M-1.6M1.148.2010,08811,504202,324261,636
2012-03-06$26.84$25.0024.6%7.4%13.0%17.8%26.1%4.8%-0.1%2.8M-163.6M-1.6M2.296.5410,92825,040203,708264,276
2012-03-07$26.89$25.0017.6%6.7%12.9%3.2%25.8%5.0%0.2%3.2M-164.8M-1.6M1.307.7411,45614,852204,652267,980
2012-03-08$26.98$25.0017.3%6.7%11.7%2.6%25.1%5.2%0.1%3.2M-169.9M-1.6M0.728.6113,7049,836207,872273,648
2012-03-09$27.50$25.0016.9%6.7%13.3%1.7%25.2%5.1%0.1%7.8M-233.6M-1.6M1.076.5118,90820,196212,984276,228
2012-03-12$27.36$25.0017.5%6.9%13.4%3.1%26.5%5.1%-0.4%5.9M-224.1M-1.6M2.318.259,22421,340214,956284,236
2012-03-13$27.69$26.2515.0%6.7%13.8%0.0%24.7%4.3%-0.4%8.0M-271.4M-1.5M0.547.9731,99617,256218,336291,352
2012-03-14$27.57$26.2514.2%7.0%13.3%0.0%25.2%4.1%-0.9%14.4M-274.5M-1.6M0.576.5620,20411,584232,664292,896
2012-03-15$27.68$26.2524.4%7.0%13.3%20.7%25.4%3.8%-1.0%14.5M-289.3M-1.6M0.906.5029,89226,880233,516295,708
2012-03-16$27.80$26.2524.3%7.0%13.2%20.4%24.7%3.6%-1.0%8.0M-304.2M-1.6M0.629.6923,50414,508250,640311,396
2012-03-19$28.03$26.2525.7%7.4%13.3%23.3%25.8%2.7%-2.9%6.9M-272.9M-1.6M0.606.9962,74037,436224,280268,572
2012-03-20$27.93$26.2526.9%7.7%11.6%25.6%27.3%3.1%-3.8%8.0M-263.7M-1.7M1.027.8544,29645,028254,744286,188
2012-03-21$27.61$26.2527.4%7.8%12.6%26.6%27.5%2.5%-4.1%5.6M-222.0M-1.8M0.717.2345,91632,692267,184308,044
2012-03-22$27.75$26.2527.5%7.9%12.6%26.9%27.9%1.7%-3.3%7.1M-250.0M-1.8M0.728.06154,900110,784289,668322,192
2012-03-23$26.86$26.2517.9%5.1%17.7%7.5%17.7%2.2%1.3%730.2K-63.5M-1.6M0.625.15182,884113,112351,000354,880
2012-03-26$27.14$26.2516.4%4.7%17.8%4.5%17.5%2.1%1.1%7.9M-165.1M-1.7M0.745.6432,72024,060302,732304,120
2012-03-27$26.97$26.2516.9%4.8%18.0%5.4%18.6%1.9%1.2%4.0M-134.6M-1.6M0.947.1320,13218,912300,460307,380
2012-03-28$26.81$26.2518.1%5.2%18.0%7.9%18.1%2.8%1.7%991.8K-103.9M-1.6M0.947.9920,48819,240301,256311,536
2012-03-29$26.96$26.2517.2%4.9%18.0%6.2%18.9%2.8%1.3%3.8M-125.6M-1.7M0.928.7422,19220,444303,780313,288
2012-03-30$27.11$26.2517.0%4.9%18.1%5.7%17.7%1.3%1.3%7.9M-180.2M-1.6M0.536.5516,6808,868309,644319,164