NKE Options History — December 2012

In December 2012, NKE traded between $24.23 and $26.40. ATM implied volatility averaged 23.7%, placing in the 40.1% IV rank vs the trailing year. The 30-day expected move averaged 7.3%. IV traded above realized volatility by 1.1% (HV 20d: 22.6%). Max pain ranged from $23.75 to $28.75. Net GEX was positive for 7 of 20 trading days. Term structure was in contango for 5 of 20 days. Put/call ratio averaged 1.88.

Notable Days

  • 2012-12-21: Highest Volume — 279,028 contracts
  • 2012-12-12: Largest IV spike — 89.3% change
  • 2012-12-12: Highest IV Rank — 79.9%
  • 2012-12-05: Largest Expected Move — 8.8%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$24.96$24.23$26.40$24.39$25.80
Max Pain$24.47$23.75$28.75$25.00$24.38
ATM IV23.7%17.5%33.1%23.6%24.2%
Expected Move7.3%5.3%8.8%8.4%6.1%
HV 20d22.6%15.7%28.4%24.1%27.8%
HV 60d22.1%20.4%25.0%21.8%25.0%
IV Rank40.1%14.1%79.9%39.6%42.3%
IV Percentile64.1%14.3%96.4%67.1%73.8%
Term Structure-1.9%-5.9%3.3%-4.8%0.1%
VWIV28.4%19.7%33.1%30.4%26.3%
Skew 25d5.4%3.4%7.6%5.3%7.6%
Skew 10d12.2%7.0%20.1%10.2%20.1%
Call IV 25d23.7%17.5%28.9%27.8%21.0%
Put IV 25d29.1%21.0%34.1%33.1%28.6%
Bid-Ask Spread %7.135.1111.615.426.95
Gamma HHI0.140.110.200.110.15
Net GEX-399.2K-6.6M9.0M-3.0M-1.2M
Net DEX-57.0M-482.7M55.1M187.1K-78.1M
Net VEX-1.3M-1.5M-525.2K-1.4M-1.3M
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.880.104.700.770.97
Total Volume83,898.717,006279,02898,04817,006
Total OI669,875.9252,646846,608628,272596,246

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2012-12-03$24.39$25.0023.6%8.4%24.1%39.6%30.4%5.3%-4.8%-3.0M187.1K-1.4M0.775.4255,54442,504256,496371,776
2012-12-04$24.42$25.0022.7%8.7%24.0%36.0%31.4%5.4%-5.7%21.3K-1.6M-1.5M0.946.4917,79216,684288,412395,596
2012-12-05$24.42$25.0022.8%8.8%23.8%36.3%33.1%5.0%-5.9%-1.3M3.7M-1.4M0.107.5674,8567,860293,584405,796
2012-12-06$24.61$25.0021.5%8.7%23.1%30.7%31.5%5.8%-5.6%9.0M-41.7M-1.4M2.217.0015,20033,652283,996405,276
2012-12-07$24.65$23.7519.2%7.2%19.9%21.3%25.6%5.0%-1.3%-1.3M-47.4M-1.4M1.026.9150,63651,896287,880420,516
2012-12-10$24.52$23.7521.8%7.3%20.1%32.0%27.3%4.4%-1.4%-2.3M-20.8M-1.4M4.706.9910,02047,128259,044403,504
2012-12-11$24.85$23.7517.5%6.9%20.4%14.1%25.0%4.5%-0.7%2.5M-94.8M-1.3M1.397.0318,47625,756264,160432,220
2012-12-12$24.80$23.7533.1%7.0%20.0%79.9%26.1%4.2%-0.8%3.2M-86.1M-1.3M0.917.5314,57213,228273,992443,124
2012-12-13$24.33$23.7525.4%7.3%21.1%47.5%26.3%4.4%-1.5%-806.8K13.5M-1.3M2.526.2726,66867,132274,976444,260
2012-12-14$24.23$23.7526.3%7.5%21.2%51.3%31.0%7.1%-2.3%-2.9M52.4M-1.3M2.466.6434,85685,656278,492453,952
2012-12-17$24.50$23.7527.7%7.9%20.6%56.9%30.8%6.5%-2.8%-2.8M3.7M-1.3M2.978.9822,32066,336265,424432,928
2012-12-18$24.73$23.7526.1%7.5%15.7%50.4%32.4%6.8%-2.1%-3.0M-31.0M-1.3M4.655.5325,660119,276262,128460,432
2012-12-19$24.45$24.3828.1%8.1%16.1%58.9%31.3%5.9%-3.5%-6.6M33.2M-1.3M2.826.9716,14845,604276,016511,128
2012-12-20$24.75$24.3826.9%7.7%16.6%53.5%28.6%5.3%-2.6%-3.2M-37.1M-1.3M1.068.6895,320100,852275,564518,600
2012-12-21$26.27$24.3818.4%5.3%26.3%17.9%19.7%3.4%3.3%3.1M-482.7M-957.9K0.955.11142,948136,080298,276548,332
2012-12-24$26.40$24.3819.9%5.7%26.2%24.3%28.5%4.2%0.3%3.7M-195.7M-1.2M3.735.5616,22060,440199,356346,080
2012-12-26$25.66$28.7520.6%5.9%28.4%27.1%24.3%5.0%0.3%234.8K55.1M-525.2K1.3011.6114,26618,56872,846179,800
2012-12-27$25.88$24.3820.6%5.9%27.6%27.1%26.7%6.6%0.5%-73.4K-100.1M-1.3M0.588.2018,08410,512208,312394,956
2012-12-28$25.50$24.3827.4%7.3%28.3%55.8%31.1%6.7%-1.4%-1.2M-84.0M-1.3M1.527.0916,76625,452214,436399,606
2012-12-31$25.80$24.3824.2%6.1%27.8%42.3%26.3%7.6%0.1%-1.2M-78.1M-1.3M0.976.958,6388,368201,506394,740