NKE Options History — February 2013

In February 2013, NKE traded between $26.83 and $27.61. ATM implied volatility averaged 18.8%, placing in the 19.8% IV rank vs the trailing year. The 30-day expected move averaged 5.1%. IV traded above realized volatility by 2.9% (HV 20d: 15.9%). Max pain ranged from $26.25 to $27.50. Net GEX was positive for 11 of 19 trading days. Term structure was in contango for 19 of 19 days. Put/call ratio averaged 0.91.

Notable Days

2013-02-04: Highest Volume — 33,094 contracts
2013-02-25: Largest IV spike — 32.1% change
2013-02-04: Highest IV Rank — 48.8%
2013-02-04: Largest Expected Move — 6.0%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$27.20	$26.83	$27.61	$26.85	$27.23
Max Pain	$26.45	$26.25	$27.50	$27.50	$27.50
ATM IV	18.8%	16.5%	25.7%	21.4%	16.7%
Expected Move	5.1%	4.7%	6.0%	5.6%	4.8%
HV 20d	15.9%	10.5%	17.8%	17.3%	10.5%
HV 60d	21.2%	19.5%	23.1%	23.1%	19.5%
IV Rank	19.8%	10.1%	48.8%	30.7%	10.8%
IV Percentile	29.6%	7.1%	79.4%	56.0%	8.7%
Term Structure	3.1%	1.2%	4.5%	1.5%	4.5%
VWIV	20.6%	17.1%	28.5%	27.4%	17.1%
Skew 25d	4.4%	3.2%	6.0%	5.4%	3.2%
Skew 10d	10.6%	7.5%	13.9%	13.2%	8.0%
Call IV 25d	17.1%	16.3%	18.5%	17.2%	16.4%
Put IV 25d	21.4%	19.6%	24.1%	22.7%	19.6%
Bid-Ask Spread %	9.37	5.90	13.71	8.15	9.61
Gamma HHI	0.15	0.12	0.35	0.13	0.15
Net GEX	-65.8K	-4.4M	2.8M	-3.9M	2.8M
Net DEX	-81.8M	-135.5M	-27.1M	-32.0M	-74.2M
Net VEX	-1.1M	-1.2M	-1.1M	-1.2M	-1.1M
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	0.91	0.07	2.15	1.61	0.22
Total Volume	15,153.895	5,166	33,094	27,804	15,302
Total OI	354,568	296,842	399,158	366,560	304,144

Daily Data (19 trading days)

Date	Price	Max Pain	ATM IV	Exp Move	HV 20d	IV Rank	VWIV	Skew 25d	Term Str	GEX	DEX	VEX	P/C	Spread %	Call Vol	Put Vol	Call OI	Put OI
2013-02-01	$26.85	$27.50	21.4%	5.6%	17.3%	30.7%	27.4%	5.4%	1.5%	-3.9M	-32.0M	-1.2M	1.61	8.15	10,634	17,170	136,172	230,388
2013-02-04	$26.83	$27.50	25.7%	6.0%	17.0%	48.8%	23.6%	6.0%	1.2%	-4.2M	-27.1M	-1.2M	1.42	7.98	13,672	19,422	127,478	242,140
2013-02-05	$26.95	$26.25	22.2%	5.2%	17.0%	34.0%	22.2%	5.4%	2.3%	-2.8M	-49.3M	-1.2M	0.99	9.79	6,302	6,242	136,846	251,546
2013-02-06	$27.08	$26.25	16.9%	5.2%	16.5%	11.8%	21.8%	5.3%	2.4%	-1.6M	-67.4M	-1.2M	0.49	9.59	3,460	1,706	139,494	252,856
2013-02-07	$27.34	$26.25	18.1%	5.2%	16.8%	16.6%	18.7%	4.3%	2.3%	245.5K	-104.2M	-1.2M	0.57	8.76	9,770	5,524	138,530	252,974
2013-02-08	$27.30	$26.25	17.6%	5.1%	16.8%	14.8%	20.4%	4.7%	2.7%	990.5K	-102.2M	-1.2M	1.17	8.41	7,312	8,580	145,084	254,074
2013-02-11	$27.61	$26.25	18.2%	5.2%	16.9%	17.3%	19.6%	3.7%	2.4%	2.3M	-135.5M	-1.2M	0.45	10.40	11,628	5,190	141,524	253,462
2013-02-12	$27.55	$26.25	17.7%	5.1%	17.0%	15.1%	19.4%	3.7%	2.9%	-151.7K	-122.7M	-1.1M	1.67	5.90	2,018	3,374	139,192	255,796
2013-02-13	$27.28	$26.25	17.2%	4.9%	17.2%	12.7%	18.3%	4.4%	3.2%	-1.3M	-87.3M	-1.1M	0.95	8.40	6,798	6,454	138,976	256,498
2013-02-14	$27.31	$26.25	17.0%	4.9%	17.2%	12.2%	19.9%	4.3%	3.4%	-936.9K	-85.8M	-1.1M	2.15	7.16	2,716	5,840	139,680	257,468
2013-02-15	$27.48	$26.25	16.9%	4.8%	17.2%	11.7%	17.2%	3.5%	3.6%	-4.4M	-110.1M	-1.1M	0.88	8.92	16,242	14,214	139,776	258,984
2013-02-19	$27.23	$26.25	16.6%	4.7%	17.5%	10.2%	17.3%	4.0%	3.4%	2.0M	-90.5M	-1.1M	0.70	6.10	7,838	5,526	127,022	169,820
2013-02-20	$27.01	$26.25	16.5%	4.7%	17.8%	10.1%	18.4%	4.4%	3.8%	1.3M	-69.7M	-1.1M	0.98	8.70	4,180	4,112	130,100	173,046
2013-02-21	$27.27	$26.25	17.3%	5.0%	17.8%	13.2%	21.1%	4.0%	3.7%	2.6M	-88.5M	-1.1M	0.83	11.02	7,580	6,316	130,738	173,556
2013-02-22	$27.23	$26.25	17.7%	4.9%	17.1%	14.8%	18.5%	3.7%	3.8%	1.6M	-84.7M	-1.1M	0.68	9.94	6,150	4,178	133,322	176,404
2013-02-25	$27.02	$26.25	23.3%	5.3%	13.1%	38.7%	22.7%	4.5%	3.5%	1.4M	-73.9M	-1.1M	0.53	13.71	7,716	4,058	132,566	177,508
2013-02-26	$27.14	$26.25	20.3%	5.1%	11.4%	25.8%	20.0%	4.4%	4.0%	1.2M	-73.1M	-1.1M	0.95	12.00	4,494	4,290	130,460	179,012
2013-02-27	$27.17	$26.25	20.4%	4.9%	10.7%	26.3%	28.5%	3.8%	4.2%	1.7M	-76.6M	-1.1M	0.07	13.57	20,532	1,384	131,124	179,032
2013-02-28	$27.23	$27.50	16.7%	4.8%	10.5%	10.8%	17.1%	3.2%	4.5%	2.8M	-74.2M	-1.1M	0.22	9.61	12,514	2,788	124,702	179,442