NKE Options History — July 2012

In July 2012, NKE traded between $22.21 and $24.26. ATM implied volatility averaged 23.6%, placing in the 19.1% IV rank vs the trailing year. The 30-day expected move averaged 6.5%. IV traded below realized volatility by 17.0% (HV 20d: 40.6%). Max pain ranged from $22.50 to $25.00. Net GEX was positive for 14 of 21 trading days. Term structure was in contango for 19 of 21 days. Put/call ratio averaged 0.94.

Notable Days

  • 2012-07-05: Highest Volume — 74,276 contracts
  • 2012-07-30: Largest IV spike — 24.1% change
  • 2012-07-31: Highest IV Rank — 29.8%
  • 2012-07-02: Largest Expected Move — 7.3%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$23.25$22.21$24.26$22.21$23.34
Max Pain$23.24$22.50$25.00$25.00$23.75
ATM IV23.6%20.6%28.9%27.0%28.9%
Expected Move6.5%5.9%7.3%7.3%6.9%
HV 20d40.6%22.5%44.1%42.9%24.8%
HV 60d31.6%31.2%32.1%31.7%31.7%
IV Rank19.1%13.0%29.8%25.8%29.8%
IV Percentile43.0%27.8%64.3%57.1%64.3%
Term Structure1.8%-0.8%4.0%-0.8%0.0%
VWIV23.4%21.5%25.9%25.9%25.2%
Skew 25d3.2%2.6%4.7%3.3%4.7%
Skew 10d6.5%4.9%10.4%4.9%10.4%
Call IV 25d21.7%19.9%24.8%24.8%22.0%
Put IV 25d24.8%22.9%28.0%28.0%26.7%
Bid-Ask Spread %6.735.288.746.776.52
Gamma HHI0.190.120.370.120.19
Net GEX1.5M-4.2M10.1M-4.2M2.8M
Net DEX74.4M-117.0M260.2M260.2M8.9M
Net VEX-1.4M-1.5M-1.3M-1.3M-1.5M
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.940.341.690.831.69
Total Volume44,605.14314,08474,27664,27627,732
Total OI586,874.286421,928671,016624,164481,280

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2012-07-02$22.21$25.0027.0%7.3%42.9%25.8%25.9%3.3%-0.8%-4.2M260.2M-1.3M0.836.7735,14829,128314,008310,156
2012-07-03$22.62$25.0025.2%6.9%43.6%22.3%24.3%2.8%-0.4%-2.2M209.8M-1.4M0.348.7435,92412,316322,612320,176
2012-07-05$23.05$25.0025.9%6.7%43.9%23.6%24.3%2.9%0.2%-431.7K146.5M-1.5M0.896.7739,22035,056331,496321,384
2012-07-06$22.84$22.5023.8%6.7%43.7%19.3%24.0%3.1%2.3%-4.0M183.8M-1.5M0.815.8430,44824,704337,772333,244
2012-07-09$22.57$22.5027.5%7.0%43.1%26.9%24.2%2.8%2.3%-4.2M221.9M-1.4M1.105.5816,69618,448322,788325,052
2012-07-10$22.82$22.5026.2%6.8%43.7%24.2%24.6%3.0%2.0%-3.4M185.7M-1.4M0.855.6020,86817,668329,152330,812
2012-07-11$23.07$22.5022.0%6.6%44.1%15.7%23.1%2.8%2.5%-386.6K144.7M-1.4M1.087.2622,03623,844332,484330,132
2012-07-12$22.95$22.5023.5%6.7%41.0%18.9%23.9%2.8%2.3%2.9M139.2M-1.4M1.317.9719,15225,036334,296318,020
2012-07-13$23.49$22.5021.7%6.2%41.7%15.1%22.6%2.6%2.8%217.4K65.5M-1.4M0.406.7935,17214,032331,956321,512
2012-07-16$23.25$22.5023.0%6.6%41.0%17.7%22.7%2.8%2.6%3.0M107.3M-1.4M0.646.8122,25614,184327,528312,348
2012-07-17$23.19$23.1322.1%6.3%41.0%15.9%22.4%3.1%2.9%4.5M113.8M-1.4M0.806.7115,53212,496335,548316,712
2012-07-18$23.66$23.1320.8%6.0%41.9%13.4%21.8%2.9%3.4%2.0M19.1M-1.4M0.926.5827,54025,252337,900317,080
2012-07-19$23.82$23.1320.9%6.0%42.1%13.6%22.1%2.8%3.8%757.5K-9.0M-1.4M0.856.8724,25220,692338,036319,016
2012-07-20$23.27$23.1321.5%6.2%41.9%14.8%21.5%3.2%4.0%10.1M85.0M-1.4M0.445.5451,56422,576338,624326,272
2012-07-23$23.21$23.1322.9%6.6%41.7%17.7%23.3%4.0%1.0%3.1M-2.8M-1.5M1.615.2815,90425,604207,544214,384
2012-07-24$23.24$23.1323.4%6.7%41.3%18.7%25.3%3.9%0.9%3.1M-3.6M-1.5M1.666.6313,31622,140211,612223,468
2012-07-25$23.38$23.1322.6%6.5%41.2%17.0%22.4%3.6%1.2%4.3M-21.2M-1.5M0.865.589,7728,408218,564230,316
2012-07-26$24.14$23.1320.6%5.9%43.0%13.0%21.7%3.0%1.6%5.1M-109.2M-1.5M0.757.9029,13221,856220,100232,876
2012-07-27$24.26$23.1320.9%5.9%42.8%13.6%22.1%2.9%1.5%4.7M-117.0M-1.5M0.468.3039,46018,060226,516240,852
2012-07-30$23.96$23.7525.9%6.3%22.5%23.7%23.2%3.2%1.0%4.5M-66.5M-1.5M1.477.255,6968,388236,272244,460
2012-07-31$23.34$23.7528.9%6.9%24.8%29.8%25.2%4.7%0.0%2.8M8.9M-1.5M1.696.5210,31217,420236,468244,812