NKE Options History — October 2012

In October 2012, NKE traded between $22.79 and $24.39. ATM implied volatility averaged 18.9%, placing in the 18.1% IV rank vs the trailing year. The 30-day expected move averaged 5.6%. IV traded above realized volatility by 2.1% (HV 20d: 16.8%). Max pain ranged from $24.38 to $26.25. Net GEX was positive for 5 of 21 trading days. Term structure was in contango for 21 of 21 days. Put/call ratio averaged 1.61.

Notable Days

  • 2012-10-22: Highest Volume — 135,240 contracts
  • 2012-10-31: Largest IV drop — 18.1% change
  • 2012-10-26: Highest IV Rank — 29.1%
  • 2012-10-01: Largest Expected Move — 6.1%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$23.65$22.79$24.39$23.89$22.84
Max Pain$25.48$24.38$26.25$24.38$25.00
ATM IV18.9%15.6%22.2%22.2%17.5%
Expected Move5.6%5.0%6.1%6.1%5.4%
HV 20d16.8%13.9%18.3%17.4%17.7%
HV 60d18.4%16.9%19.6%19.2%16.9%
IV Rank18.1%5.6%29.1%24.8%13.5%
IV Percentile25.8%1.6%51.2%48.8%14.3%
Term Structure3.4%0.6%5.5%0.6%5.5%
VWIV20.1%18.4%22.8%20.9%21.7%
Skew 25d3.7%2.9%5.3%3.8%5.3%
Skew 10d7.1%5.1%11.7%6.9%9.8%
Call IV 25d18.2%16.2%19.7%19.7%17.9%
Put IV 25d21.9%20.4%23.6%23.5%23.2%
Bid-Ask Spread %6.093.9811.216.4811.21
Gamma HHI0.240.160.390.180.21
Net GEX-2.1M-22.5M20.3M-494.3K-10.4M
Net DEX138.8M-23.8M231.5M115.1M191.8M
Net VEX-1.4M-1.6M-1.1M-1.6M-1.2M
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.610.346.890.860.46
Total Volume61,16418,632135,24047,13623,488
Total OI703,855.238473,748827,804775,768514,652

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2012-10-01$23.89$24.3822.2%6.1%17.4%24.8%20.9%3.8%0.6%-494.3K115.1M-1.6M0.866.4825,39221,744324,580451,188
2012-10-02$23.74$24.3821.5%6.0%17.5%22.5%22.3%4.0%0.8%-2.7M150.0M-1.6M2.095.8423,46049,084327,056454,768
2012-10-03$23.45$24.3821.6%5.8%17.9%26.9%20.8%3.6%1.2%-11.4M231.5M-1.6M1.505.7618,01627,028326,872463,880
2012-10-04$23.97$24.3818.0%5.6%18.0%15.5%19.1%3.0%1.4%-261.6K78.6M-1.6M2.107.4332,91269,080329,236466,216
2012-10-05$23.80$26.2515.6%5.8%18.1%5.6%20.1%3.4%3.0%20.3M134.0M-1.5M0.486.1256,47627,184343,068484,736
2012-10-08$23.75$26.2517.9%5.9%17.7%15.1%19.7%3.5%2.7%-1.7M162.6M-1.5M1.285.4410,13612,932329,116459,708
2012-10-09$23.62$26.2516.6%5.8%17.8%9.9%19.9%3.3%3.0%-2.8M201.1M-1.4M0.647.8311,3567,276332,908460,552
2012-10-10$23.55$26.2516.8%5.7%16.9%10.4%20.4%3.1%3.2%-4.9M219.5M-1.4M1.805.3414,15225,488333,516461,144
2012-10-11$23.73$26.2519.3%5.5%16.6%20.7%19.2%3.5%3.5%16.4M150.2M-1.4M2.015.4219,06038,364336,584449,136
2012-10-12$23.61$26.2519.3%5.5%14.1%20.8%20.2%3.7%3.4%-10.9M215.9M-1.3M0.885.0133,57629,528340,760454,248
2012-10-15$23.90$26.2519.6%5.6%13.9%21.7%19.2%3.8%3.3%-647.0K130.6M-1.3M2.883.9815,25243,936314,632452,252
2012-10-16$24.31$26.2518.0%5.2%15.3%15.6%19.6%3.9%4.2%6.2M16.9M-1.3M1.226.8020,18824,696318,148460,820
2012-10-17$24.39$26.2517.8%5.1%15.4%14.5%19.7%4.2%4.4%4.4M627.3K-1.3M1.116.0111,42812,740314,912467,712
2012-10-18$24.39$26.2517.7%5.1%14.9%14.3%19.4%4.2%4.2%2.8M-23.8M-1.2M1.256.1843,83254,744308,560437,364
2012-10-19$24.11$25.0017.3%5.0%15.5%12.7%18.4%3.8%4.6%-1.6M58.5M-1.3M0.347.3161,38020,628319,760444,992
2012-10-22$23.62$25.0019.4%5.6%16.6%21.1%19.4%3.8%4.5%-2.8M131.6M-1.3M2.474.2738,97296,268197,324276,424
2012-10-23$23.20$25.0020.8%5.9%17.7%26.5%20.1%3.7%4.2%-6.4M170.6M-1.2M0.654.4715,84410,304203,816286,836
2012-10-24$23.22$25.0018.7%5.4%17.6%18.2%18.8%3.1%5.4%-7.1M167.2M-1.2M6.895.8111,83681,556205,864287,500
2012-10-25$22.83$25.0019.2%5.5%18.3%20.3%19.3%2.9%5.3%-22.5M209.7M-1.1M0.805.2327,63222,148209,156305,796
2012-10-26$22.79$25.0021.4%6.1%18.0%29.1%22.8%5.0%4.2%-6.9M203.2M-1.1M2.165.8530,13265,196211,868313,300
2012-10-31$22.84$25.0017.5%5.4%17.7%13.5%21.7%5.3%5.5%-10.4M191.8M-1.2M0.4611.2116,0607,428202,884311,768