NKE Options History — March 2013

In March 2013, NKE traded between $26.75 and $29.78. ATM implied volatility averaged 19.2%, placing in the 22.5% IV rank vs the trailing year. The 30-day expected move averaged 6.0%. IV traded below realized volatility by 0.7% (HV 20d: 19.9%). Max pain ranged from $26.25 to $27.50. Net GEX was positive for 20 of 20 trading days. Term structure was in contango for 5 of 20 days. Put/call ratio averaged 0.90.

Notable Days

  • 2013-03-22: Highest Volume — 187,106 contracts
  • 2013-03-12: Largest IV spike — 53.8% change
  • 2013-03-21: Highest IV Rank — 63.9%
  • 2013-03-21: Largest Expected Move — 8.4%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$27.86$26.75$29.78$27.41$29.50
Max Pain$26.63$26.25$27.50$27.50$26.25
ATM IV19.2%13.7%29.2%16.0%15.9%
Expected Move6.0%4.6%8.4%4.6%4.6%
HV 20d19.9%10.0%42.0%10.4%42.0%
HV 60d21.4%16.8%27.3%19.5%26.5%
IV Rank22.5%0.0%63.9%7.6%9.1%
IV Percentile33.5%0.0%91.7%4.4%4.4%
Term Structure-0.6%-3.9%5.2%5.2%0.8%
VWIV21.7%16.2%28.4%16.2%17.5%
Skew 25d3.3%2.5%4.5%4.0%3.0%
Skew 10d7.4%5.6%11.0%11.0%7.4%
Call IV 25d20.0%15.4%27.1%15.4%16.0%
Put IV 25d23.3%18.9%30.1%19.4%19.0%
Bid-Ask Spread %10.004.9547.1411.497.39
Gamma HHI0.180.130.270.170.19
Net GEX4.4M658.4K8.6M4.0M7.9M
Net DEX-151.1M-418.2M-40.3M-99.3M-301.9M
Net VEX-1.1M-1.2M-1.0M-1.1M-1.2M
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.900.283.640.680.41
Total Volume33,272.34,260187,1064,2609,748
Total OI335,706.8305,442401,310310,700379,060

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2013-03-01$27.41$27.5016.0%4.6%10.4%7.6%16.2%4.0%5.2%4.0M-99.3M-1.1M0.6811.492,5381,722129,618181,082
2013-03-04$27.36$26.2518.0%6.0%10.0%16.3%22.5%4.5%-0.0%2.8M-96.8M-1.1M0.288.818,8722,456127,272178,874
2013-03-05$27.45$26.2518.0%6.0%10.1%16.1%21.9%4.0%-0.2%2.6M-104.4M-1.0M0.308.749,1622,750126,080179,778
2013-03-06$27.65$26.2515.3%6.1%10.2%4.9%22.6%3.7%-0.4%3.5M-125.5M-1.0M1.0210.617,4627,608131,876180,710
2013-03-07$27.61$26.2514.9%6.0%10.2%3.2%22.3%3.6%-0.2%4.2M-123.8M-1.1M1.827.621,7183,132133,514181,614
2013-03-08$27.34$26.2513.7%5.8%10.3%0.0%21.6%3.8%-0.2%2.5M-94.0M-1.0M0.384.958,4783,208133,610182,448
2013-03-11$27.27$26.2515.9%5.9%10.3%9.2%20.9%4.1%-0.7%3.0M-81.5M-1.0M0.317.257,0002,164132,682183,236
2013-03-12$26.75$26.2524.5%6.5%11.5%44.5%21.6%3.6%-1.4%658.4K-40.3M-1.0M0.588.2326,00415,184133,382183,416
2013-03-13$27.43$26.2516.6%6.1%14.9%12.0%21.7%3.0%-0.8%5.8M-124.3M-1.1M0.537.307,9284,216149,018190,206
2013-03-14$27.34$26.2521.4%6.2%14.5%32.1%21.8%3.3%-1.0%6.6M-106.2M-1.1M0.438.219,3463,974147,508187,690
2013-03-15$27.39$26.2522.1%6.3%14.5%34.7%23.6%3.2%-1.4%7.4M-100.2M-1.1M1.427.8919,54827,696151,168189,918
2013-03-18$27.08$26.2523.6%6.8%14.9%41.0%24.5%2.9%-2.5%2.4M-79.9M-1.1M3.647.736,22022,654143,712161,730
2013-03-19$26.91$27.5024.2%6.9%14.7%43.2%24.4%2.8%-2.6%1.1M-59.1M-1.1M0.828.1515,96813,036146,360170,660
2013-03-20$27.41$27.5024.2%6.9%15.9%43.5%24.8%3.0%-2.9%2.1M-102.8M-1.2M0.6810.0219,97613,528150,390180,350
2013-03-21$26.80$27.5029.2%8.4%17.5%63.9%28.4%3.0%-3.9%876.2K-52.6M-1.2M0.6647.1476,86050,982162,992185,452
2013-03-22$29.77$27.5019.2%5.5%41.4%22.6%21.4%2.6%-0.3%6.7M-418.2M-1.0M0.777.76105,41681,690196,914204,396
2013-03-25$29.78$27.5018.1%5.2%41.2%18.4%20.2%2.8%0.2%7.5M-325.5M-1.1M1.347.0616,28221,846175,874191,528
2013-03-26$29.73$26.2516.3%4.7%41.3%11.0%18.2%2.5%0.8%8.6M-312.7M-1.2M0.756.958,2946,256183,204190,178
2013-03-27$29.23$26.2517.7%5.1%42.0%16.7%18.3%3.3%0.5%7.8M-273.6M-1.2M1.186.626,6767,848184,610192,026
2013-03-28$29.50$26.2515.9%4.6%42.0%9.1%17.5%3.0%0.8%7.9M-301.9M-1.2M0.417.396,9182,830186,078192,982