NKE Options History — June 2013

In June 2013, NKE traded between $29.98 and $31.84. ATM implied volatility averaged 27.4%, placing in the 56.6% IV rank vs the trailing year. The 30-day expected move averaged 7.9%. IV traded above realized volatility by 9.4% (HV 20d: 17.9%). Max pain ranged from $30.00 to $31.25. Net GEX was positive for 18 of 20 trading days. Term structure was in contango for 5 of 20 days. Put/call ratio averaged 1.16.

Notable Days

  • 2013-06-27: Highest Volume — 154,698 contracts
  • 2013-06-28: Largest IV drop — 39.7% change
  • 2013-06-27: Highest IV Rank — 83.5%
  • 2013-06-27: Largest Expected Move — 9.7%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$30.95$29.98$31.84$31.52$31.84
Max Pain$30.25$30.00$31.25$31.25$30.00
ATM IV27.4%20.5%33.9%24.7%20.5%
Expected Move7.9%5.9%9.7%6.2%5.9%
HV 20d17.9%15.9%19.9%18.7%19.4%
HV 60d23.0%16.7%28.4%28.2%17.7%
IV Rank56.6%28.0%83.5%45.3%28.0%
IV Percentile83.7%50.4%97.6%78.6%50.4%
Term Structure-1.6%-6.9%6.0%5.4%0.4%
VWIV28.1%21.2%34.5%21.2%21.3%
Skew 25d4.0%2.4%4.5%3.5%2.4%
Skew 10d8.1%6.5%10.2%7.3%6.7%
Call IV 25d26.3%19.4%32.2%20.4%19.4%
Put IV 25d30.3%21.8%36.6%23.9%21.8%
Bid-Ask Spread %7.223.2314.355.943.23
Gamma HHI0.190.120.360.150.20
Net GEX1.7M-3.1M5.4M2.8M5.4M
Net DEX-102.7M-214.9M-54.2M-131.5M-214.9M
Net VEX-1.2M-1.3M-1.2M-1.3M-1.2M
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.160.332.291.170.69
Total Volume22,308.23,004154,69811,25487,524
Total OI295,950.3272,526388,194284,224388,194

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2013-06-03$31.52$31.2524.7%6.2%18.7%45.3%21.2%3.5%5.4%2.8M-131.5M-1.3M1.175.945,1786,076136,946147,278
2013-06-04$31.39$31.2525.0%6.2%18.5%46.6%22.5%3.1%5.4%2.5M-120.4M-1.3M1.055.402,8462,992137,532148,790
2013-06-05$30.88$31.2527.3%6.3%19.3%56.1%22.6%3.2%5.7%1.6M-87.7M-1.3M2.104.532,2584,740137,718148,524
2013-06-06$31.08$31.2523.1%6.3%19.6%38.9%22.8%3.1%6.0%2.3M-99.7M-1.3M1.945.311,6043,116137,698149,594
2013-06-07$31.38$30.0021.1%7.8%19.9%30.7%28.0%4.3%-2.0%3.4M-125.7M-1.3M0.336.506,0281,996137,852149,162
2013-06-10$31.52$30.0023.9%7.9%19.1%42.1%27.6%4.2%-2.4%2.4M-133.6M-1.3M0.368.302,212792137,972148,596
2013-06-11$31.07$30.0025.7%8.1%19.6%49.7%28.2%4.5%-2.7%1.4M-102.9M-1.3M1.927.082,1264,072138,572148,652
2013-06-12$30.70$30.0021.5%8.1%18.2%32.2%28.1%4.4%-2.6%58.0K-75.3M-1.3M1.136.212,6923,046138,352150,718
2013-06-13$30.88$30.0028.2%8.1%18.5%59.9%30.1%4.3%-2.9%363.1K-85.4M-1.3M2.298.193,6028,240138,432150,974
2013-06-14$30.95$30.0028.1%8.1%17.3%59.6%29.1%4.2%-2.7%825.8K-92.9M-1.2M1.358.251,7302,336139,786154,176
2013-06-17$30.97$30.0028.6%8.2%16.3%61.8%29.7%4.4%-3.2%1.3M-95.6M-1.2M1.628.172,2923,718139,550153,492
2013-06-18$31.07$30.0028.0%8.0%16.4%59.0%28.8%4.2%-2.8%2.3M-102.5M-1.2M2.256.314,0048,996139,810153,752
2013-06-19$30.88$30.0027.8%8.0%16.5%58.4%27.8%4.1%-2.7%1.4M-90.0M-1.2M0.587.365,4703,184140,036154,736
2013-06-20$30.39$30.0031.0%8.9%16.8%71.3%30.5%3.9%-4.4%-3.1M-54.2M-1.2M0.636.7110,3506,540138,532154,386
2013-06-21$30.29$30.0030.6%8.8%15.9%69.9%30.2%4.2%-4.2%-2.7M-54.7M-1.2M0.476.8810,4764,952142,230155,984
2013-06-24$29.98$30.0033.7%9.7%16.0%82.8%34.1%4.4%-5.5%1.6M-56.0M-1.2M0.9112.3819,23017,488132,194140,332
2013-06-25$30.20$30.0032.9%9.4%16.0%79.1%33.0%4.3%-5.2%2.4M-71.9M-1.2M0.799.345,8584,618144,036151,182
2013-06-26$30.93$30.0032.2%9.2%18.4%76.3%32.5%4.5%-5.7%3.8M-116.6M-1.2M0.634.0517,85611,228146,552154,084
2013-06-27$31.16$30.0033.9%9.7%18.4%83.5%34.5%4.0%-6.9%4.8M-141.6M-1.2M0.9914.3577,55077,148154,288158,312
2013-06-28$31.84$30.0020.5%5.9%19.4%28.0%21.3%2.4%0.4%5.4M-214.9M-1.2M0.693.2351,75635,768188,546199,648