NKE Options History — January 2013

In January 2013, NKE traded between $25.92 and $27.77. ATM implied volatility averaged 18.3%, placing in the 17.6% IV rank vs the trailing year. The 30-day expected move averaged 4.9%. IV traded below realized volatility by 5.5% (HV 20d: 23.8%). Max pain ranged from $24.38 to $27.50. Net GEX was positive for 15 of 21 trading days. Term structure was in contango for 21 of 21 days. Put/call ratio averaged 1.52.

Notable Days

  • 2013-01-15: Highest Volume — 53,472 contracts
  • 2013-01-31: Largest IV drop — 37.9% change
  • 2013-01-30: Highest IV Rank — 58.7%
  • 2013-01-30: Largest Expected Move — 5.7%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$26.67$25.92$27.77$25.92$27.02
Max Pain$26.96$24.38$27.50$24.38$27.50
ATM IV18.3%14.1%28.1%22.5%17.4%
Expected Move4.9%4.1%5.7%5.3%4.8%
HV 20d23.8%15.8%28.4%27.8%17.3%
HV 60d24.2%23.1%24.8%24.8%23.1%
IV Rank17.6%0.0%58.7%35.3%13.9%
IV Percentile24.2%0.0%90.5%62.3%16.7%
Term Structure2.1%0.2%4.0%1.0%0.9%
VWIV19.3%16.1%25.1%25.1%18.4%
Skew 25d3.8%2.9%5.3%5.3%4.2%
Skew 10d9.9%6.7%15.7%14.7%15.5%
Call IV 25d16.0%13.7%18.6%18.6%15.8%
Put IV 25d19.8%17.4%23.9%23.9%20.0%
Bid-Ask Spread %8.715.5412.8210.2012.82
Gamma HHI0.220.110.440.160.24
Net GEX1.5M-2.2M5.8M271.4K2.6M
Net DEX-140.1M-226.8M-32.5M-109.9M-58.5M
Net VEX-1.1M-1.2M-990.7K-1.2M-1.2M
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.520.346.591.321.78
Total Volume25,696.6674,44253,47234,15616,324
Total OI515,684.381294,236661,974600,214360,046

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2013-01-02$25.92$24.3822.5%5.3%27.8%35.3%25.1%5.3%1.0%271.4K-109.9M-1.2M1.3210.2014,69619,460204,126396,088
2013-01-03$26.18$24.3818.5%4.9%27.9%18.1%19.0%4.5%1.9%3.0M-156.6M-1.2M0.809.589,5087,604209,708398,538
2013-01-04$26.44$27.5016.6%5.2%27.9%10.4%17.8%3.4%3.1%4.5M-204.3M-1.1M0.348.5921,1127,148211,932399,802
2013-01-07$26.48$27.5019.9%5.3%27.9%24.0%20.2%3.5%2.8%5.0M-199.5M-1.1M1.636.9112,20019,896208,360398,972
2013-01-08$26.20$27.5019.5%5.1%28.4%22.5%22.3%3.6%3.2%5.7M-178.3M-1.1M2.127.295,98212,652215,314408,102
2013-01-09$26.23$27.5015.6%5.0%28.2%6.1%19.2%3.0%3.3%5.8M-173.2M-1.1M0.996.6715,31215,088217,290415,902
2013-01-10$26.27$26.2517.5%5.0%28.0%14.1%18.3%3.4%3.2%4.8M-174.0M-1.1M2.419.757,28017,548214,370418,558
2013-01-11$26.55$26.2517.5%5.0%28.0%14.2%21.4%3.1%3.2%1.5M-208.6M-1.0M1.615.5417,37828,030214,764423,230
2013-01-14$26.59$26.2517.6%5.0%26.8%14.5%23.3%3.4%3.2%1.1M-198.8M-1.0M1.218.089,64211,634214,172435,172
2013-01-15$26.82$26.2517.7%5.1%26.6%15.0%17.2%3.5%3.1%1.5M-220.9M-1.0M2.188.6416,80436,668214,444442,092
2013-01-16$26.86$27.5017.4%5.0%26.5%13.9%19.2%3.7%3.2%2.7M-226.8M-1.1M1.268.3210,84013,688216,604441,640
2013-01-17$26.74$27.5017.0%4.9%26.7%12.0%17.5%3.5%3.3%1.8M-198.0M-1.0M0.6310.008,9665,614210,968447,734
2013-01-18$26.64$27.5015.5%4.5%26.2%5.8%18.8%4.1%4.0%752.9K-190.5M-1.0M1.138.8818,41420,810213,624448,350
2013-01-22$26.74$27.5015.9%4.6%26.0%7.3%19.5%5.0%1.2%-2.1M-45.2M-1.0M6.596.902,35815,530113,052181,184
2013-01-23$26.55$27.5015.2%4.4%15.8%4.6%16.1%3.7%1.1%-978.5K-44.4M-990.7K1.719.011,6402,802114,160191,302
2013-01-24$26.93$27.5014.1%4.1%16.5%0.0%16.4%2.9%1.0%-2.1M-60.6M-1.0M0.839.827,9306,606114,660191,912
2013-01-25$27.77$27.5016.4%4.4%15.9%9.7%17.9%4.3%0.9%133.2K-133.5M-1.0M1.0512.2017,74218,644117,538195,362
2013-01-28$27.25$27.5019.7%4.7%17.8%23.5%18.2%4.1%0.5%-1.8M-75.5M-1.1M0.585.9512,7167,402117,610206,390
2013-01-29$26.96$27.5025.0%4.8%17.3%45.8%19.7%3.8%0.7%-2.2M-53.1M-1.1M0.598.2818,31810,730122,256209,924
2013-01-30$26.80$27.5028.1%5.7%17.2%58.7%18.9%4.5%0.2%-859.6K-32.5M-1.2M1.119.408,0208,894134,820219,300
2013-01-31$27.02$27.5017.4%4.8%17.3%13.9%18.4%4.2%0.9%2.6M-58.5M-1.2M1.7812.825,86410,460137,800222,246