NKE Options History — June 2012

In June 2012, NKE traded between $21.95 and $27.16. ATM implied volatility averaged 29.8%, placing in the 31.5% IV rank vs the trailing year. The 30-day expected move averaged 8.7%. IV traded above realized volatility by 2.6% (HV 20d: 27.2%). Max pain ranged from $26.25 to $27.50. Net GEX was positive for 6 of 21 trading days. Term structure was in contango for 4 of 21 days. Put/call ratio averaged 1.41.

Notable Days

  • 2012-06-29: Highest Volume — 438,968 contracts
  • 2012-06-13: Largest IV spike — 69.0% change
  • 2012-06-28: Highest IV Rank — 47.9%
  • 2012-06-28: Largest Expected Move — 10.9%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$25.45$21.95$27.16$26.15$21.95
Max Pain$26.31$26.25$27.50$27.50$26.25
ATM IV29.8%19.7%37.9%29.4%25.6%
Expected Move8.7%7.4%10.9%7.7%7.4%
HV 20d27.2%22.3%42.4%23.7%42.4%
HV 60d23.8%21.7%31.6%22.0%31.6%
IV Rank31.5%11.1%47.9%30.7%23.1%
IV Percentile66.9%24.2%89.3%67.9%52.4%
Term Structure-1.7%-6.5%3.3%3.3%-0.7%
VWIV31.1%26.2%39.0%26.6%26.2%
Skew 25d5.1%2.4%6.6%4.4%2.4%
Skew 10d10.5%4.5%15.9%7.9%4.5%
Call IV 25d28.2%24.5%37.8%25.8%25.2%
Put IV 25d33.4%27.7%41.5%30.2%27.7%
Bid-Ask Spread %9.325.6211.9010.025.62
Gamma HHI0.140.110.200.130.14
Net GEX-3.9M-11.9M3.0M-384.2K-8.3M
Net DEX62.6M-94.5M489.4M-14.3M489.4M
Net VEX-1.4M-1.5M-985.2K-1.4M-985.2K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.410.612.940.741.04
Total Volume78,143.23811,816438,96830,260438,968
Total OI434,462.286368,576604,620368,576604,620

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2012-06-01$26.15$27.5029.4%7.7%23.7%30.7%26.6%4.4%3.3%-384.2K-14.3M-1.4M0.7410.0217,39612,864177,668190,908
2012-06-04$26.18$26.2532.6%8.7%22.7%37.1%31.9%6.6%-0.3%-255.9K-17.2M-1.4M0.859.9010,1128,612178,640193,336
2012-06-05$26.38$26.2530.5%8.4%23.1%32.9%30.9%6.3%0.0%1.1M-34.8M-1.4M1.3910.328,64412,028182,240194,532
2012-06-06$26.77$26.2524.3%8.2%22.4%20.5%29.0%6.6%-0.1%2.2M-65.2M-1.3M0.998.598,6928,584184,332199,216
2012-06-07$26.84$26.2524.8%8.2%22.3%21.4%29.5%6.2%-0.3%2.0M-72.1M-1.3M1.038.575,8126,004183,380200,928
2012-06-08$27.16$26.2519.7%7.5%22.6%11.1%31.1%5.4%0.5%3.0M-94.5M-1.3M0.998.8312,81612,628183,060202,364
2012-06-11$26.86$26.2527.0%8.3%22.9%25.8%28.3%5.4%-0.4%1.9M-72.1M-1.4M0.619.2414,6528,932184,388204,084
2012-06-12$26.90$26.2520.9%7.7%22.7%13.6%29.4%5.6%0.1%2.3M-73.6M-1.4M1.419.1014,76820,848191,616205,468
2012-06-13$25.55$26.2535.3%9.4%29.2%42.7%32.8%6.6%-2.0%-2.7M52.4M-1.3M1.868.3854,312100,880187,076215,928
2012-06-14$25.00$26.2531.7%9.1%30.0%35.3%31.7%6.4%-2.0%-9.3M133.0M-1.4M1.267.8223,30029,412192,716255,244
2012-06-15$25.44$26.2530.6%8.8%29.6%33.2%30.3%5.6%-1.9%-5.2M87.2M-1.4M0.879.7430,08026,160198,164259,632
2012-06-18$25.35$26.2529.6%8.5%29.3%31.1%29.8%5.2%-2.1%-5.5M65.1M-1.3M2.8011.9018,61652,044165,976234,312
2012-06-19$25.39$26.2529.1%8.3%28.5%30.0%30.0%5.1%-1.8%-7.5M81.0M-1.4M2.638.259,21624,264172,468264,580
2012-06-20$25.30$26.2527.9%8.0%28.0%27.7%28.5%4.5%-1.2%-6.8M75.0M-1.4M1.1811.9017,59220,684175,732263,016
2012-06-21$24.66$26.2531.9%9.1%29.0%35.7%31.2%4.2%-2.3%-8.4M129.3M-1.4M1.6211.2525,40041,124180,220262,624
2012-06-22$24.85$26.2531.0%8.9%29.3%33.9%32.0%4.8%-3.4%-6.7M118.3M-1.4M1.938.2721,70441,820187,544268,456
2012-06-25$24.36$26.2534.4%9.9%29.2%40.9%34.4%3.8%-4.1%-8.2M135.5M-1.4M0.729.3133,26424,028190,572267,452
2012-06-26$24.61$26.2534.3%9.8%28.3%40.5%34.4%3.8%-4.4%-6.9M103.8M-1.4M1.729.3418,69632,208199,720269,916
2012-06-27$24.53$26.2537.1%10.6%27.7%46.3%36.7%4.8%-6.5%-7.1M115.9M-1.4M2.947.9728,45283,708207,904289,480
2012-06-28$24.22$26.2537.9%10.9%27.9%47.9%39.0%3.7%-6.4%-11.9M172.8M-1.5M1.1211.41123,528138,156217,308336,888
2012-06-29$21.95$26.2525.6%7.4%42.4%23.1%26.2%2.4%-0.7%-8.3M489.4M-985.2K1.045.62214,816224,152256,892347,728