NKE Options History — September 2013

In September 2013, NKE traded between $32.15 and $36.82. ATM implied volatility averaged 27.2%, placing in the 62.4% IV rank vs the trailing year. The 30-day expected move averaged 7.6%. IV traded above realized volatility by 9.0% (HV 20d: 18.1%). Max pain ranged from $29.50 to $34.50. Net GEX was positive for 15 of 20 trading days. Term structure was in contango for 0 of 20 days. Put/call ratio averaged 0.90.

Notable Days

  • 2013-09-26: Highest Volume — 171,044 contracts
  • 2013-09-27: Largest IV drop — 34.9% change
  • 2013-09-26: Highest IV Rank — 78.0%
  • 2013-09-10: Largest Expected Move — 8.4%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$34.11$32.15$36.82$32.15$36.32
Max Pain$31.71$29.50$34.50$30.25$32.50
ATM IV27.2%19.9%30.6%27.5%21.3%
Expected Move7.6%7.2%8.4%7.8%7.3%
HV 20d18.1%14.8%21.7%18.7%21.7%
HV 60d18.4%16.9%19.7%18.4%19.7%
IV Rank62.4%28.7%78.0%63.7%35.4%
IV Percentile86.7%50.0%95.6%90.1%62.7%
Term Structure-2.9%-7.8%-0.2%-3.3%-0.4%
VWIV27.5%25.4%31.2%28.4%25.8%
Skew 25d2.8%1.8%3.9%3.4%2.1%
Skew 10d6.1%3.7%9.8%7.9%4.6%
Call IV 25d26.2%19.5%29.9%26.1%20.4%
Put IV 25d28.9%21.3%32.7%29.6%22.5%
Bid-Ask Spread %10.552.7929.1814.882.79
Gamma HHI0.160.110.580.120.18
Net GEX5.5M-7.4M58.7M-2.3M11.1M
Net DEX-240.3M-622.8M-64.7M-64.7M-422.2M
Net VEX-1.3M-1.4M-1.2M-1.4M-1.2M
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.900.311.761.370.62
Total Volume39,570.68,088171,04417,14034,858
Total OI355,805.7310,030495,330310,030385,976

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2013-09-03$32.15$30.2527.5%7.8%18.7%63.7%28.4%3.4%-3.3%-2.3M-64.7M-1.4M1.3714.887,2349,906133,446176,584
2013-09-04$32.56$29.5027.2%7.8%19.3%62.7%28.1%3.2%-2.7%-906.7K-106.2M-1.4M1.6213.653,5345,724137,262180,544
2013-09-05$32.69$30.2527.5%7.9%18.8%64.1%26.4%3.4%-2.7%-664.2K-114.7M-1.4M1.7614.404,0427,118137,984182,082
2013-09-06$32.49$30.5028.1%8.0%18.8%66.5%28.5%3.8%-3.2%-7.4M-97.0M-1.4M0.4515.067,0563,176140,416184,984
2013-09-09$32.70$30.5029.0%8.3%18.9%70.9%31.2%3.9%-3.8%-196.7K-111.3M-1.3M0.8614.115,8505,012137,212178,494
2013-09-10$33.41$30.5029.2%8.4%20.4%71.9%29.4%3.6%-4.1%2.1M-179.1M-1.3M0.9522.4821,85420,792139,410179,948
2013-09-11$33.80$31.0028.9%8.3%20.4%70.5%29.8%3.3%-4.0%4.4M-225.2M-1.3M0.5521.5510,5545,814149,448182,422
2013-09-12$34.04$0.0026.6%7.7%18.4%59.8%27.2%2.9%-1.9%5.2M-252.4M-1.3M1.387.0218,23425,140150,652184,910
2013-09-13$33.95$34.5026.2%7.7%17.5%58.0%28.0%2.8%-2.0%1.7M-234.4M-1.3M0.7429.187,5625,568158,254201,172
2013-09-16$34.09$0.0026.5%7.3%17.5%59.1%26.3%2.8%-2.9%2.2M-236.3M-1.3M0.756.314,6143,474154,526196,738
2013-09-17$34.16$32.5026.3%7.3%16.8%58.3%25.7%2.6%-2.9%2.6M-247.2M-1.3M0.753.876,6725,000155,348197,972
2013-09-18$34.74$32.5026.1%7.2%17.5%57.4%29.2%2.6%-3.3%4.6M-295.1M-1.2M1.006.1411,76811,760157,450200,300
2013-09-19$34.75$31.2527.9%7.3%17.0%65.6%25.4%1.9%-0.9%4.4M-291.8M-1.2M0.893.1639,77635,540157,092203,450
2013-09-20$34.69$32.5028.4%7.3%16.9%68.2%25.4%2.1%-1.1%8.9M-291.1M-1.3M0.312.9938,36011,862178,184215,474
2013-09-23$34.49$32.5028.3%7.3%16.5%67.7%28.5%2.2%-3.1%3.2M-227.5M-1.3M1.196.8011,99014,264156,640195,222
2013-09-24$34.72$32.5028.7%7.3%16.2%69.4%25.8%2.0%-3.7%4.0M-251.5M-1.3M0.803.3612,80610,278160,502200,452
2013-09-25$34.46$32.5029.2%7.3%14.8%71.8%0.0%2.1%-4.1%3.3M-232.6M-1.3M0.703.4828,25819,800167,214206,328
2013-09-26$35.17$32.5030.6%7.3%15.7%78.0%25.6%2.8%-7.8%5.8M-303.3M-1.4M0.8516.8192,60878,436182,170214,522
2013-09-27$36.82$32.5019.9%7.2%21.3%28.7%26.9%1.8%-0.2%58.7M-622.8M-1.2M0.532.9994,73250,386237,952257,378
2013-09-30$36.32$32.5021.3%7.3%21.7%35.4%25.8%2.1%-0.4%11.1M-422.2M-1.2M0.622.7921,56413,294184,054201,922