NKE Options History — July 2013

In July 2013, NKE traded between $31.16 and $31.96. ATM implied volatility averaged 18.3%, placing in the 20.9% IV rank vs the trailing year. The 30-day expected move averaged 5.1%. IV traded above realized volatility by 1.9% (HV 20d: 16.3%). Max pain ranged from $30.00 to $32.50. Net GEX was positive for 19 of 22 trading days. Term structure was in contango for 19 of 22 days. Put/call ratio averaged 1.01.

Notable Days

  • 2013-07-25: Highest Volume — 27,204 contracts
  • 2013-07-08: Largest IV spike — 18.6% change
  • 2013-07-08: Highest IV Rank — 46.1%
  • 2013-07-01: Largest Expected Move — 5.7%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$31.56$31.16$31.96$31.16$31.46
Max Pain$31.76$30.00$32.50$30.00$32.50
ATM IV18.3%15.7%23.7%20.0%17.2%
Expected Move5.1%4.5%5.7%5.7%4.9%
HV 20d16.3%8.5%19.5%19.4%8.5%
HV 60d17.2%16.0%18.3%18.3%16.0%
IV Rank20.9%9.5%46.1%26.3%16.2%
IV Percentile28.3%3.6%75.4%46.8%17.5%
Term Structure2.1%-0.5%4.8%0.4%-0.2%
VWIV18.0%15.5%22.5%20.6%17.1%
Skew 25d2.7%1.8%3.5%2.5%1.8%
Skew 10d5.8%3.7%8.0%5.4%4.0%
Call IV 25d16.9%15.0%19.6%19.6%16.5%
Put IV 25d19.6%17.1%22.1%22.1%18.4%
Bid-Ask Spread %10.264.4931.247.0630.45
Gamma HHI0.210.150.290.190.29
Net GEX2.8M-2.0M6.6M3.6M-1.4M
Net DEX-110.5M-182.6M-42.4M-113.0M-55.4M
Net VEX-1.1M-1.2M-1.0M-1.2M-1.1M
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.010.246.150.550.82
Total Volume10,080.5453,40427,20424,1785,508
Total OI289,267.091207,816334,502326,740242,082

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2013-07-01$31.16$30.0020.0%5.7%19.4%26.3%20.6%2.5%0.4%3.6M-113.0M-1.2M0.557.0615,6168,562156,160170,580
2013-07-02$31.31$30.0018.4%5.6%19.5%19.4%22.5%3.3%0.6%3.6M-122.6M-1.2M1.299.206,6848,594155,420170,874
2013-07-03$31.43$30.0019.5%5.5%18.5%27.0%19.2%3.0%0.7%4.3M-133.8M-1.2M0.308.594,4941,356154,106168,682
2013-07-05$31.82$31.2520.0%5.6%18.9%29.0%19.4%3.3%3.4%4.5M-162.6M-1.2M0.465.848,2623,828154,226169,172
2013-07-08$31.86$31.2523.7%5.7%18.6%46.1%19.4%3.0%3.3%5.8M-163.7M-1.1M1.066.193,9364,190148,712163,638
2013-07-09$31.96$31.2520.6%5.3%18.6%32.2%19.3%3.2%3.6%6.6M-182.6M-1.1M0.286.463,354948149,388165,444
2013-07-10$31.80$31.2519.7%5.5%17.9%27.8%19.5%3.1%3.4%6.0M-161.2M-1.1M0.575.502,1721,232150,230165,496
2013-07-11$31.86$31.2519.0%5.5%17.2%24.8%18.1%3.0%3.2%6.5M-169.5M-1.1M4.905.884,04619,832151,022165,674
2013-07-12$31.84$32.5018.8%5.4%17.2%23.6%19.4%3.0%3.5%3.1M-143.2M-1.2M0.355.295,7022,016151,872181,498
2013-07-15$31.68$32.5018.5%5.3%17.3%22.2%18.2%2.7%3.8%2.9M-123.9M-1.1M0.474.494,1501,944150,254180,846
2013-07-16$31.35$32.5018.1%5.2%17.8%20.3%18.1%2.9%4.1%2.0M-93.7M-1.1M0.407.367,3122,918151,308180,954
2013-07-17$31.66$32.5018.0%5.2%18.1%20.0%17.4%2.6%4.3%3.0M-127.4M-1.1M0.288.295,0161,416153,340181,162
2013-07-18$31.66$32.5017.6%5.0%17.9%18.0%16.7%2.7%4.5%2.2M-125.6M-1.1M0.338.584,6021,518151,644178,200
2013-07-19$31.68$32.5016.8%4.8%16.7%14.3%16.6%2.2%4.8%1.1M-135.8M-1.0M0.246.3411,7462,784152,380178,088
2013-07-22$31.64$32.5016.4%4.7%16.6%12.4%16.3%2.4%0.7%1.4M-77.9M-1.0M0.705.436,0284,250101,208106,608
2013-07-23$31.59$32.5015.9%4.6%16.0%10.4%15.7%2.1%0.9%1.7M-78.1M-1.1M0.334.803,3741,098105,016109,366
2013-07-24$31.32$32.5015.7%4.5%16.4%9.5%15.5%2.2%0.9%1.8M-60.4M-1.1M0.904.552,9342,626106,982109,830
2013-07-25$31.25$0.0016.9%4.8%14.2%15.0%16.3%2.1%0.5%2.1M-57.7M-1.1M6.158.613,80423,400108,198111,378
2013-07-26$31.27$30.7516.6%4.7%14.0%13.6%16.1%2.0%0.8%3.7M-42.4M-1.1M0.7316.875,5024,006110,856123,676
2013-07-29$31.36$32.5017.3%5.0%11.6%16.7%18.4%3.5%-0.5%-2.0M-45.7M-1.1M0.4131.244,6701,892112,692124,834
2013-07-30$31.43$32.5017.1%4.9%8.6%15.9%16.8%3.0%-0.1%-1.5M-55.3M-1.1M0.6528.622,7001,750114,632126,148
2013-07-31$31.46$32.5017.2%4.9%8.5%16.2%17.1%1.8%-0.2%-1.4M-55.4M-1.1M0.8230.453,0262,482115,524126,558