NKE Options History — August 2012

In August 2012, NKE traded between $23.14 and $24.72. ATM implied volatility averaged 19.3%, placing in the 13.0% IV rank vs the trailing year. The 30-day expected move averaged 5.6%. IV traded below realized volatility by 1.7% (HV 20d: 21.0%). Max pain ranged from $23.13 to $24.38. Net GEX was positive for 16 of 23 trading days. Term structure was in contango for 23 of 23 days. Put/call ratio averaged 1.60.

Notable Days

  • 2012-08-17: Highest Volume — 132,508 contracts
  • 2012-08-16: Largest IV spike — 26.6% change
  • 2012-08-01: Highest IV Rank — 30.8%
  • 2012-08-01: Largest Expected Move — 6.7%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$23.94$23.14$24.72$23.25$24.34
Max Pain$23.59$23.13$24.38$23.75$24.38
ATM IV19.3%15.1%29.4%29.4%15.8%
Expected Move5.6%4.8%6.7%6.7%5.1%
HV 20d21.0%15.7%24.3%24.1%15.7%
HV 60d31.4%30.3%31.9%31.7%30.6%
IV Rank13.0%2.9%30.8%30.8%5.0%
IV Percentile20.7%0.8%66.3%66.3%1.6%
Term Structure4.9%0.3%7.6%0.3%7.6%
VWIV20.0%17.6%23.7%23.1%18.1%
Skew 25d3.4%2.5%4.3%4.0%2.9%
Skew 10d6.9%5.9%8.6%8.1%6.1%
Call IV 25d18.3%16.0%21.9%21.8%17.3%
Put IV 25d21.7%19.1%26.3%25.8%20.1%
Bid-Ask Spread %7.514.6210.738.5210.72
Gamma HHI0.210.110.550.170.55
Net GEX247.9K-28.7M7.9M1.2M-28.7M
Net DEX-33.9M-106.9M40.7M26.9M-57.7M
Net VEX-1.4M-1.5M-1.3M-1.5M-1.5M
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.600.246.740.746.74
Total Volume38,678.43514,044132,50820,40048,824
Total OI512,274.261474,852564,800494,496564,800

Daily Data (23 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2012-08-01$23.25$23.7529.4%6.7%24.1%30.8%23.1%4.0%0.3%1.2M26.9M-1.5M0.748.5211,7248,676237,596256,900
2012-08-02$23.14$23.7524.6%6.7%23.3%21.0%23.7%4.3%0.6%823.8K40.7M-1.5M0.947.8412,55211,788237,304256,988
2012-08-03$23.64$23.7520.8%5.9%24.3%13.5%22.3%3.9%1.5%2.5M-17.9M-1.5M1.677.9214,58824,348239,920258,540
2012-08-06$23.88$23.1324.1%6.5%23.9%20.0%23.4%3.9%3.1%2.4M-47.7M-1.4M1.245.059,12811,320229,464258,532
2012-08-07$24.04$23.1324.0%6.3%23.7%19.9%22.3%3.6%3.5%2.7M-72.7M-1.4M0.925.8212,63611,600232,232262,112
2012-08-08$23.98$23.1320.6%6.2%23.6%13.4%22.3%3.7%3.8%3.3M-60.9M-1.4M1.907.567,85614,964233,204265,400
2012-08-09$23.77$23.1318.6%6.0%23.8%9.2%21.5%3.7%3.9%4.3M-25.9M-1.4M2.074.6210,78022,364233,812269,712
2012-08-10$23.63$23.1316.5%5.7%22.5%7.2%20.0%3.5%4.5%2.1M-5.9M-1.4M1.728.326,64411,424236,356276,304
2012-08-13$23.96$23.1318.9%5.7%22.7%14.6%19.3%3.6%4.7%3.4M-56.4M-1.4M0.388.5014,8005,664232,788273,988
2012-08-14$23.73$23.1316.5%5.5%23.0%7.3%18.7%3.3%5.0%4.7M-29.6M-1.4M0.985.4118,70818,300233,604272,660
2012-08-15$23.55$23.7515.1%5.3%22.0%2.9%18.2%3.3%5.7%5.2M-9.3M-1.3M1.455.9313,45219,452237,472270,596
2012-08-16$23.70$23.7519.1%5.5%22.0%15.2%19.1%3.4%5.2%7.9M-14.0M-1.3M1.345.9323,10430,892236,744268,484
2012-08-17$24.07$23.7517.9%5.1%20.9%11.6%18.7%3.8%6.1%1.6M-82.8M-1.3M3.526.6129,344103,164241,520280,004
2012-08-20$23.94$23.7518.3%5.3%21.0%12.8%18.3%3.5%5.7%-2.3M-9.2M-1.4M1.105.998,5889,440184,892289,960
2012-08-21$23.96$23.7518.1%5.2%21.0%12.1%18.3%3.4%5.8%-1.4M-13.0M-1.4M1.656.8414,24823,540189,224292,264
2012-08-22$23.94$23.7517.4%5.0%21.0%10.0%18.9%3.1%6.1%-1.5M-10.1M-1.5M1.216.846,4607,812197,396309,060
2012-08-23$23.86$23.7517.5%5.0%17.5%10.3%17.6%3.0%6.6%-486.0K122.7K-1.4M1.497.3616,31624,348197,492311,816
2012-08-24$24.21$23.7516.9%4.8%18.2%8.5%18.1%2.9%6.8%1.2M-37.2M-1.5M2.218.8919,80443,752209,480327,924
2012-08-27$24.11$23.7517.2%4.9%17.7%9.2%19.0%2.7%6.7%-3.3M-18.2M-1.5M2.159.634,4569,588209,592323,716
2012-08-28$24.72$23.7518.8%5.4%16.8%14.4%20.1%2.5%6.7%1.3M-103.0M-1.5M0.669.8241,97627,748209,836326,528
2012-08-29$24.67$23.7519.1%5.5%16.7%15.0%19.6%2.8%6.4%1.9M-106.9M-1.5M0.2410.7339,9369,476224,480330,716
2012-08-30$24.44$23.7518.8%5.4%17.1%14.3%19.1%2.8%7.0%-3.1M-70.2M-1.5M0.387.7539,01615,004218,264332,632
2012-08-31$24.34$24.3815.8%5.1%15.7%5.0%18.1%2.9%7.6%-28.7M-57.7M-1.5M6.7410.726,31242,512227,572337,228