NKE Options History — August 2013

In August 2013, NKE traded between $31.41 and $33.27. ATM implied volatility averaged 19.6%, placing in the 27.4% IV rank vs the trailing year. The 30-day expected move averaged 5.6%. IV traded below realized volatility by 0.7% (HV 20d: 20.3%). Max pain ranged from $31.50 to $32.50. Net GEX was positive for 7 of 22 trading days. Term structure was in contango for 10 of 22 days. Put/call ratio averaged 1.75.

Notable Days

  • 2013-08-28: Highest Volume — 50,538 contracts
  • 2013-08-26: Largest IV spike — 30.0% change
  • 2013-08-30: Highest IV Rank — 65.2%
  • 2013-08-30: Largest Expected Move — 8.1%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$32.41$31.41$33.27$32.98$31.41
Max Pain$32.29$31.50$32.50$32.50$32.50
ATM IV19.6%16.5%27.8%17.4%27.8%
Expected Move5.6%4.7%8.1%5.1%8.1%
HV 20d20.3%16.2%23.9%18.8%16.3%
HV 60d18.3%17.7%18.8%18.8%17.9%
IV Rank27.4%12.9%65.2%17.3%65.2%
IV Percentile38.4%7.5%91.7%20.2%91.7%
Term Structure0.9%-3.7%9.5%0.3%-1.7%
VWIV20.4%17.0%29.4%18.6%29.0%
Skew 25d2.6%0.5%3.7%1.2%3.7%
Skew 10d5.7%3.5%8.0%4.4%7.6%
Call IV 25d18.9%15.8%27.1%17.7%27.1%
Put IV 25d21.5%18.2%30.8%18.9%30.8%
Bid-Ask Spread %13.594.6027.4026.739.08
Gamma HHI0.190.100.450.200.13
Net GEX-2.8M-15.8M2.2M1.4M-3.5M
Net DEX-84.4M-189.1M58.0M-172.2M58.0M
Net VEX-1.1M-1.4M-1.1M-1.1M-1.4M
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.750.348.550.921.17
Total Volume16,418.1824,63050,53835,7946,544
Total OI271,945243,820331,434243,820331,434

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2013-08-01$32.98$32.5017.4%5.1%18.8%17.3%18.6%1.2%0.3%1.4M-172.2M-1.1M0.9226.7318,67617,118116,502127,318
2013-08-02$33.15$32.5017.2%5.0%18.4%16.3%18.1%0.5%-1.5%963.2K-176.9M-1.2M1.3820.377,79810,790122,456140,416
2013-08-05$33.20$32.0016.9%4.7%18.4%14.7%17.7%3.1%0.2%1.4M-178.4M-1.2M0.8410.224,0083,350123,654143,936
2013-08-06$33.27$32.0017.1%4.9%18.4%15.8%18.7%2.9%-0.1%1.5M-189.1M-1.1M0.3624.734,5081,632125,052145,564
2013-08-07$32.81$32.0018.3%5.3%19.1%21.4%17.5%3.0%-0.5%-699.1K-149.8M-1.1M1.6426.062,8964,762125,906145,402
2013-08-08$33.02$32.0018.0%5.2%19.2%20.2%21.3%3.1%-0.5%762.6K-168.5M-1.1M1.1727.403,0803,618126,334146,594
2013-08-09$33.16$32.0016.7%4.8%19.2%13.7%17.6%2.5%-0.3%2.2M-177.1M-1.1M0.5016.366,4963,244127,696148,370
2013-08-12$33.26$32.0016.5%4.7%19.0%12.9%19.4%2.8%0.2%1.5M-187.0M-1.1M0.5612.172,9621,668125,548144,716
2013-08-13$32.91$32.0017.5%5.0%19.0%17.9%17.7%2.9%-0.1%-1.0M-161.3M-1.1M8.5522.633,03225,914126,452145,662
2013-08-14$32.17$32.5017.2%4.9%20.7%16.3%17.7%2.3%-0.1%-15.8M-33.3M-1.1M4.3312.066,77629,312126,762168,720
2013-08-15$31.75$0.0017.8%5.1%21.3%19.2%18.1%2.4%0.7%-5.8M22.4M-1.1M1.156.566,7247,738127,118162,408
2013-08-16$31.82$32.5017.5%5.0%21.3%17.8%17.4%2.1%0.7%-4.4M-9.8M-1.1M0.3411.127,8182,660129,322157,208
2013-08-19$32.35$32.5017.2%4.9%22.1%16.4%17.2%2.4%5.5%-4.5M-78.4M-1.1M0.396.655,8762,296112,842134,988
2013-08-20$32.31$32.5017.4%5.0%22.1%17.2%17.6%2.4%5.5%-4.4M-75.7M-1.1M1.307.453,1784,138116,386136,352
2013-08-21$32.06$32.5017.6%5.1%22.0%18.3%17.7%2.3%5.4%-5.0M-48.3M-1.1M2.746.122,8387,772117,152138,978
2013-08-22$32.43$32.5017.3%5.0%22.3%16.8%17.2%1.8%8.3%-6.9M-81.3M-1.1M2.054.602,1304,374118,338141,872
2013-08-23$32.10$32.5018.9%4.8%22.7%24.3%17.0%2.0%9.5%-4.9M-44.6M-1.1M1.724.834,7208,106119,224144,168
2013-08-26$31.96$32.5024.6%7.8%22.8%50.5%29.4%3.5%-3.7%-5.7M-30.8M-1.1M2.269.483,6848,336116,696143,752
2013-08-27$31.41$32.5027.1%8.1%23.7%62.0%28.6%3.7%-3.5%-2.7M15.0M-1.1M0.6910.676,0724,190118,336145,738
2013-08-28$31.68$31.5027.5%7.9%23.9%64.0%27.1%3.6%-3.3%-2.7M-3.0M-1.1M1.3113.2221,87028,668120,422146,962
2013-08-29$31.74$32.5027.5%8.0%16.2%64.0%29.2%3.6%-1.5%-3.4M13.4M-1.3M3.0810.5012,22437,604129,984170,050
2013-08-30$31.41$32.5027.8%8.1%16.3%65.2%29.0%3.7%-1.7%-3.5M58.0M-1.4M1.179.083,0223,522137,454193,980