NKE Options History — May 2012

In May 2012, NKE traded between $26.09 and $28.60. ATM implied volatility averaged 23.0%, placing in the 17.8% IV rank vs the trailing year. The 30-day expected move averaged 6.2%. IV traded above realized volatility by 0.1% (HV 20d: 22.9%). Max pain ranged from $27.50 to $27.50. Net GEX was positive for 19 of 22 trading days. Term structure was in contango for 22 of 22 days. Put/call ratio averaged 0.79.

Notable Days

  • 2012-05-17: Highest Volume — 85,084 contracts
  • 2012-05-29: Largest IV spike — 29.6% change
  • 2012-05-08: Highest IV Rank — 25.6%
  • 2012-05-18: Largest Expected Move — 7.6%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$27.21$26.09$28.60$27.82$27.05
Max Pain$27.50$27.50$27.50$27.50$27.50
ATM IV23.0%18.6%26.9%21.3%23.2%
Expected Move6.2%5.1%7.6%5.1%6.3%
HV 20d22.9%21.1%25.5%22.5%21.1%
HV 60d19.6%17.6%21.2%17.6%20.9%
IV Rank17.8%9.0%25.6%14.3%18.1%
IV Percentile45.7%21.4%58.3%42.9%45.6%
Term Structure2.8%0.2%4.7%0.3%4.7%
VWIV22.1%17.6%28.6%17.6%23.7%
Skew 25d3.5%1.6%4.5%2.9%3.8%
Skew 10d7.4%4.9%9.4%6.2%8.2%
Call IV 25d20.9%17.0%25.2%17.0%22.2%
Put IV 25d24.4%19.8%29.5%19.8%26.0%
Bid-Ask Spread %9.357.0313.307.1711.38
Gamma HHI0.180.130.280.200.14
Net GEX2.4M-4.7M8.8M5.0M2.7M
Net DEX-92.3M-228.0M24.5M-149.2M-81.1M
Net VEX-1.4M-1.5M-1.4M-1.4M-1.4M
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.790.221.480.600.63
Total Volume22,176.90910,88485,08413,64812,128
Total OI385,192.727356,648429,372382,492366,188

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2012-05-01$27.82$27.5021.3%5.1%22.5%14.3%17.6%2.9%0.3%5.0M-149.2M-1.4M0.607.178,5525,096189,260193,232
2012-05-02$28.57$27.5022.2%5.2%24.1%16.2%19.0%1.6%0.2%8.5M-223.4M-1.4M0.487.0334,28416,308190,268194,740
2012-05-03$28.60$27.5018.6%5.2%24.1%9.0%19.3%1.7%0.4%8.8M-228.0M-1.4M0.908.928,4447,572193,480197,608
2012-05-04$27.95$27.5020.5%5.7%25.5%12.8%19.6%2.8%2.9%4.8M-159.0M-1.4M0.847.298,4927,172193,280199,240
2012-05-07$27.86$27.5024.1%5.8%25.5%20.1%20.0%3.1%2.5%4.4M-148.4M-1.4M0.989.065,8245,732191,780198,328
2012-05-08$27.18$27.5026.9%6.1%23.0%25.6%21.7%3.2%2.6%1.7M-82.5M-1.4M0.677.5023,16015,588193,020199,220
2012-05-09$27.04$27.5022.2%6.2%22.3%16.2%21.9%3.7%2.5%1.0M-67.7M-1.4M0.488.819,9404,768193,948201,700
2012-05-10$26.89$27.5020.7%5.9%22.3%13.2%21.0%4.0%3.1%626.2K-54.4M-1.4M0.499.1110,9245,300195,984202,356
2012-05-11$27.07$27.5020.8%6.0%22.5%13.5%21.5%3.8%3.2%1.4M-72.7M-1.4M0.808.846,0364,848198,380203,256
2012-05-14$26.87$27.5023.9%6.9%22.5%19.7%22.5%4.2%2.0%524.6K-53.0M-1.4M0.229.2513,1122,824195,728202,676
2012-05-15$26.80$27.5023.9%6.9%22.4%19.7%22.8%4.0%2.7%316.0K-48.8M-1.4M1.0310.079,98010,232199,512203,620
2012-05-16$26.75$27.5024.2%6.9%22.2%20.2%23.0%3.7%2.6%-825.6K-36.5M-1.4M0.388.8915,9966,144197,308207,400
2012-05-17$26.09$27.5025.2%7.2%23.7%22.3%28.6%4.4%2.3%-3.3M24.5M-1.4M1.488.6734,34450,740198,124207,732
2012-05-18$26.36$27.5026.6%7.6%23.7%25.1%26.9%4.3%2.1%-4.7M-20.7M-1.5M0.818.0018,39214,864208,900220,472
2012-05-21$26.81$27.5024.0%6.9%24.5%19.9%23.8%4.3%2.8%2.4M-71.4M-1.4M1.278.895,9007,480172,996183,652
2012-05-22$27.11$27.5020.9%6.0%22.7%13.6%21.6%3.0%3.9%3.3M-95.4M-1.4M0.8013.307,6566,088175,068186,008
2012-05-23$26.88$27.5021.3%6.1%21.6%14.4%22.7%4.5%3.9%2.7M-75.2M-1.4M1.0411.297,9848,336176,696187,108
2012-05-24$26.87$27.5023.5%6.7%21.1%18.8%22.3%4.2%4.0%2.4M-72.8M-1.4M0.9310.187,6567,108176,816188,264
2012-05-25$27.20$27.5020.0%6.0%21.6%11.7%21.9%3.5%4.6%3.0M-98.5M-1.4M0.6510.666,6684,320179,020189,864
2012-05-29$27.73$27.5025.9%6.0%22.4%23.6%21.4%3.4%4.4%4.7M-130.1M-1.4M1.3010.308,78011,400173,260185,608
2012-05-30$27.15$27.5026.2%6.3%23.5%24.3%23.3%3.4%4.4%3.0M-86.9M-1.4M0.6511.1813,1328,588175,588187,552
2012-05-31$27.05$27.5023.2%6.3%21.1%18.1%23.7%3.8%4.7%2.7M-81.1M-1.4M0.6311.387,4564,672176,256189,932