NKE Options History — April 2012

In April 2012, NKE traded between $26.61 and $27.97. ATM implied volatility averaged 18.9%, placing in the 9.5% IV rank vs the trailing year. The 30-day expected move averaged 5.2%. IV traded below realized volatility by 1.5% (HV 20d: 20.4%). Max pain ranged from $26.25 to $27.50. Net GEX was positive for 19 of 20 trading days. Term structure was in contango for 20 of 20 days. Put/call ratio averaged 0.77.

Notable Days

  • 2012-04-20: Highest Volume — 63,920 contracts
  • 2012-04-10: Largest IV spike — 40.0% change
  • 2012-04-10: Highest IV Rank — 27.4%
  • 2012-04-10: Largest Expected Move — 6.2%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$27.38$26.61$27.97$27.25$27.97
Max Pain$27.25$26.25$27.50$26.25$27.50
ATM IV18.9%15.2%27.7%18.9%21.8%
Expected Move5.2%4.6%6.2%4.8%5.4%
HV 20d20.4%16.1%22.4%18.2%22.4%
HV 60d15.9%13.8%17.6%13.8%17.6%
IV Rank9.5%2.1%27.4%9.7%15.4%
IV Percentile23.0%0.8%62.3%24.6%45.2%
Term Structure1.7%0.0%4.2%1.1%0.0%
VWIV18.8%16.6%21.5%17.4%19.0%
Skew 25d2.6%1.3%3.9%1.3%2.8%
Skew 10d6.5%4.1%8.6%4.1%5.5%
Call IV 25d17.8%15.9%20.6%17.3%17.5%
Put IV 25d20.4%18.1%23.8%18.6%20.3%
Bid-Ask Spread %7.925.4211.138.028.68
Gamma HHI0.280.150.580.260.21
Net GEX9.0M-689.8K22.1M9.7M5.5M
Net DEX-189.7M-282.3M-48.9M-216.6M-160.6M
Net VEX-1.5M-1.6M-1.4M-1.6M-1.4M
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.770.271.461.320.60
Total Volume31,73115,15263,92040,31617,700
Total OI540,388.4358,140620,688599,968376,568

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2012-04-02$27.25$26.2518.9%4.8%18.2%9.7%17.4%1.3%1.1%9.7M-216.6M-1.6M1.328.0217,41222,904293,820306,148
2012-04-03$27.47$26.2517.4%4.6%17.1%6.6%16.6%1.6%1.6%10.6M-230.3M-1.6M0.517.5515,0047,644296,176318,360
2012-04-04$27.37$26.2518.6%4.8%17.2%9.0%18.3%1.4%1.5%9.3M-211.4M-1.6M1.146.8512,36414,084295,324320,228
2012-04-05$27.60$26.2515.2%4.7%17.4%2.1%16.9%1.5%1.7%12.1M-263.6M-1.6M0.547.8519,52810,504299,784320,904
2012-04-09$27.67$27.5019.8%5.4%16.1%11.4%19.4%2.3%1.9%13.1M-273.2M-1.6M1.4611.1312,03217,564298,836319,900
2012-04-10$26.61$27.5027.7%6.2%21.3%27.4%21.5%3.2%1.2%-689.8K-93.7M-1.6M1.137.6829,84033,584297,156317,428
2012-04-11$27.06$27.5020.1%5.7%21.7%11.9%20.5%2.9%2.0%6.0M-171.0M-1.6M0.8210.9416,84013,868299,560317,504
2012-04-12$27.16$27.5019.4%5.6%21.7%10.5%20.2%3.6%2.2%8.3M-184.0M-1.6M0.547.9510,3725,580300,316318,128
2012-04-13$27.20$27.5019.9%5.7%21.7%11.7%20.5%3.3%2.0%10.9M-215.4M-1.5M0.527.5914,2247,452300,692316,340
2012-04-16$27.35$27.5019.8%5.7%21.7%11.3%20.3%3.0%2.1%12.8M-231.1M-1.5M0.378.2015,3485,728296,528312,720
2012-04-17$27.46$27.5018.8%5.4%21.5%9.3%20.2%2.7%2.6%16.2M-241.6M-1.5M0.277.5717,2444,608293,728312,944
2012-04-18$27.64$27.5018.3%5.3%21.7%8.4%18.6%2.8%3.2%18.4M-282.3M-1.4M0.607.0014,3608,636288,968311,840
2012-04-19$27.40$27.5017.2%4.9%21.5%6.2%18.8%2.6%4.0%22.1M-224.9M-1.4M0.838.6530,86425,636285,936310,976
2012-04-20$27.69$27.5016.4%4.7%21.8%4.6%17.1%2.4%4.2%11.8M-267.5M-1.4M0.348.3347,73616,184292,744320,660
2012-04-23$27.44$27.5017.1%4.9%18.5%6.0%17.6%2.8%0.9%3.6M-111.4M-1.4M0.805.4212,0969,652178,788179,352
2012-04-24$26.69$27.5019.7%5.7%20.7%11.2%18.8%3.9%0.2%1.0M-48.9M-1.4M1.308.0122,81229,700181,780182,508
2012-04-25$27.26$27.5017.6%5.0%22.0%6.9%19.0%2.7%0.6%2.4M-98.5M-1.5M1.255.9711,64814,600186,872194,204
2012-04-26$27.59$27.5016.9%4.9%22.2%5.6%17.2%2.7%1.1%4.0M-132.3M-1.4M0.517.1810,0285,124187,308194,980
2012-04-27$27.66$27.5016.9%5.0%22.2%5.5%17.9%2.8%0.8%3.7M-135.5M-1.4M0.497.9222,90811,208185,924195,836
2012-04-30$27.97$27.5021.8%5.4%22.4%15.4%19.0%2.8%0.0%5.5M-160.6M-1.4M0.608.6811,0926,608184,952191,616