NKE Options History — November 2012

In November 2012, NKE traded between $22.65 and $24.78. ATM implied volatility averaged 22.5%, placing in the 35.0% IV rank vs the trailing year. The 30-day expected move averaged 7.0%. IV traded below realized volatility by 3.1% (HV 20d: 25.6%). Max pain ranged from $23.75 to $25.00. Net GEX was positive for 7 of 21 trading days. Term structure was in contango for 2 of 21 days. Put/call ratio averaged 1.57.

Notable Days

  • 2012-11-16: Highest Volume — 143,520 contracts
  • 2012-11-14: Largest IV spike — 32.8% change
  • 2012-11-15: Highest IV Rank — 51.8%
  • 2012-11-30: Largest Expected Move — 7.8%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$23.72$22.65$24.78$23.84$24.37
Max Pain$24.41$23.75$25.00$25.00$25.00
ATM IV22.5%17.2%26.5%19.8%18.6%
Expected Move7.0%5.6%7.8%5.6%7.8%
HV 20d25.6%22.3%29.3%23.7%24.4%
HV 60d20.4%18.9%21.8%18.9%21.8%
IV Rank35.0%12.6%51.8%22.7%18.8%
IV Percentile57.2%10.7%81.3%38.5%27.0%
Term Structure-1.7%-11.4%4.8%4.8%-3.6%
VWIV24.8%20.8%28.2%20.8%28.2%
Skew 25d5.1%2.8%6.5%2.8%5.0%
Skew 10d10.3%5.7%12.9%5.7%10.4%
Call IV 25d22.4%19.2%25.6%19.2%25.6%
Put IV 25d27.5%22.0%30.6%22.0%30.6%
Bid-Ask Spread %12.914.44138.289.706.94
Gamma HHI0.210.110.690.140.12
Net GEX-7.5M-33.9M6.4M-3.4M-7.0M
Net DEX72.7M-96.0M263.1M44.1M-10.7M
Net VEX-1.2M-1.4M-1.1M-1.3M-1.4M
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.570.453.230.721.33
Total Volume59,901.71415,712143,520102,92490,156
Total OI565,364.19494,296651,832520,816651,832

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2012-11-01$23.84$25.0019.8%5.6%23.7%22.7%20.8%2.8%4.8%-3.4M44.1M-1.3M0.729.7059,83643,088207,616313,200
2012-11-02$23.64$25.0020.9%5.8%23.5%27.3%25.0%4.1%3.5%-3.4M68.5M-1.3M1.889.3036,34068,496228,696327,728
2012-11-05$23.82$23.7522.0%6.9%22.3%33.2%22.7%5.0%-1.4%-3.3M66.4M-1.3M1.475.3812,53218,472224,576325,212
2012-11-06$24.03$23.7524.2%6.8%22.4%42.2%23.4%4.9%-1.4%-450.7K33.6M-1.3M1.256.3713,06816,296230,728332,084
2012-11-07$23.66$23.7519.7%6.9%23.1%23.4%25.2%4.8%-1.4%-3.0M82.8M-1.3M2.577.034,39611,316234,912337,128
2012-11-08$22.96$23.7521.0%7.2%25.3%28.9%26.4%4.8%-1.8%-18.6M224.4M-1.2M0.747.2421,14815,724234,580344,388
2012-11-09$23.08$23.7520.3%7.2%25.4%25.9%25.5%5.3%-1.2%-33.2M215.0M-1.2M1.434.4427,55639,436233,280346,328
2012-11-12$23.07$23.7520.0%7.1%25.2%24.6%23.9%5.1%-1.2%-14.0M188.6M-1.2M0.845.109,4207,892236,384336,380
2012-11-13$22.87$23.7517.2%6.9%25.3%12.6%21.3%5.3%-1.2%-16.3M223.1M-1.1M1.665.1714,45224,048238,452336,840
2012-11-14$22.65$24.3822.8%7.5%24.9%36.3%25.3%5.6%-1.8%-19.1M263.1M-1.1M1.237.4210,84813,332239,464341,936
2012-11-15$22.71$24.3826.5%7.6%23.9%51.8%24.0%5.2%-1.8%-17.1M231.3M-1.1M0.975.5526,41625,584237,880333,540
2012-11-16$23.15$25.0025.2%7.2%25.1%46.4%25.4%5.3%-1.7%-33.9M143.5M-1.1M3.235.8233,936109,584244,760340,324
2012-11-19$24.08$25.0022.7%6.5%29.3%36.0%24.8%6.0%-1.1%1.6M-10.9M-1.2M1.348.0934,78846,544199,380294,916
2012-11-20$23.90$25.0024.2%6.9%29.1%42.1%24.6%6.2%-1.7%3.1M11.0M-1.2M1.065.7413,88414,700208,664311,244
2012-11-21$23.90$25.0023.9%6.9%28.1%41.0%24.7%6.0%-1.7%1.5M16.3M-1.2M1.135.9419,52022,016210,912320,468
2012-11-23$24.19$24.3823.1%6.6%27.5%37.7%27.3%6.5%-1.7%818.9K-23.0M-1.3M3.076.1411,80036,272217,968330,232
2012-11-26$24.41$24.3824.4%7.0%27.6%43.3%26.4%5.3%-2.5%1.6M-36.8M-1.3M2.846.4226,24474,416212,920304,024
2012-11-27$24.25$24.3824.9%7.1%26.9%45.2%26.2%4.5%-2.8%-10.9K-15.8M-1.3M2.767.4717,92449,516228,104350,124
2012-11-28$24.78$25.0024.7%7.1%27.6%44.5%25.4%4.6%-2.3%934.4K-91.1M-1.4M0.457.4940,39218,296235,624367,380
2012-11-29$24.74$0.0026.3%7.5%27.7%51.1%0.0%5.1%-11.4%6.4M-96.0M-1.4M1.00138.2839,11639,136249,336373,104
2012-11-30$24.37$25.0018.6%7.8%24.4%18.8%28.2%5.0%-3.6%-7.0M-10.7M-1.4M1.336.9438,70051,456257,920393,912