NKE Options History — October 2013

In October 2013, NKE traded between $35.14 and $38.06. ATM implied volatility averaged 19.7%, placing in the 29.4% IV rank vs the trailing year. The 30-day expected move averaged 7.4%. IV traded below realized volatility by 2.6% (HV 20d: 22.3%). Max pain ranged from $32.50 to $40.00. Net GEX was positive for 23 of 23 trading days. Term structure was in contango for 14 of 23 days. Put/call ratio averaged 0.82.

Notable Days

  • 2013-10-10: Highest Volume — 50,018 contracts
  • 2013-10-10: Largest IV drop — 11.5% change
  • 2013-10-08: Highest IV Rank — 49.8%
  • 2013-10-31: Largest Expected Move — 7.6%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$37.01$35.14$38.06$36.21$37.88
Max Pain$35.82$32.50$40.00$32.50$40.00
ATM IV19.7%17.2%23.8%20.8%17.6%
Expected Move7.4%7.2%7.6%7.3%7.6%
HV 20d22.3%17.1%25.2%21.1%17.2%
HV 60d20.5%19.2%21.5%19.7%19.2%
IV Rank29.4%17.6%49.8%32.9%19.6%
IV Percentile44.5%17.5%74.6%59.1%27.4%
Term Structure1.7%-1.4%5.9%-0.3%-0.2%
VWIV26.5%24.8%31.0%26.3%26.8%
Skew 25d2.2%1.7%2.8%2.1%1.8%
Skew 10d4.9%3.5%6.7%4.4%4.2%
Call IV 25d19.0%16.6%23.0%20.1%17.1%
Put IV 25d21.2%18.4%25.7%22.1%18.9%
Bid-Ask Spread %4.172.3927.822.952.83
Gamma HHI0.190.110.450.180.17
Net GEX9.5M3.0M32.8M10.4M4.5M
Net DEX-342.7M-500.7M-238.5M-387.8M-239.8M
Net VEX-1.2M-1.3M-1.1M-1.2M-1.3M
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.820.312.530.661.29
Total Volume20,508.5226,92250,01835,26413,314
Total OI361,964.261266,456436,142404,108308,332

Daily Data (23 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2013-10-01$36.21$32.5020.8%7.3%21.1%32.9%26.3%2.1%-0.3%10.4M-387.8M-1.2M0.662.9521,20614,058194,052210,056
2013-10-02$35.95$32.5020.8%7.2%21.4%35.4%24.8%2.1%-0.4%10.6M-366.4M-1.3M1.062.429,81810,392199,948212,208
2013-10-03$35.82$32.5022.6%7.4%21.6%43.8%28.4%1.7%-1.0%9.1M-351.4M-1.3M0.467.2424,23211,128203,248216,174
2013-10-04$36.07$32.5021.9%7.3%21.3%40.7%26.7%2.1%-0.8%6.5M-386.0M-1.3M0.463.2918,7968,728209,320220,704
2013-10-07$35.67$32.5023.3%7.4%22.0%47.5%26.6%2.2%-1.4%9.3M-304.1M-1.3M1.293.946,1867,980195,388206,920
2013-10-08$35.14$33.7523.8%7.5%22.1%49.8%25.0%2.7%-0.7%6.6M-242.5M-1.3M0.414.1116,9306,882197,312210,214
2013-10-09$35.45$33.7523.7%7.4%21.9%49.6%28.4%2.3%-0.7%7.5M-269.1M-1.3M0.5727.8227,92415,822196,242211,332
2013-10-10$36.72$33.7521.0%7.3%24.8%36.1%25.5%2.3%0.2%18.1M-457.1M-1.2M0.693.6329,51420,504208,402220,748
2013-10-11$36.73$33.7520.2%7.3%24.8%32.0%28.8%2.2%0.2%32.8M-446.0M-1.2M0.313.0614,0204,372208,642227,500
2013-10-14$37.03$33.7520.3%7.3%24.8%32.5%25.6%2.8%3.0%11.9M-428.0M-1.2M0.612.777,3564,476189,030204,954
2013-10-15$36.85$35.0020.8%7.3%25.0%35.0%31.0%2.8%2.9%11.6M-410.9M-1.2M0.632.877,6844,858189,676205,500
2013-10-16$37.26$35.0018.9%7.3%24.7%25.7%26.4%2.8%3.8%13.4M-447.0M-1.1M0.532.557,5103,978190,264206,718
2013-10-17$37.27$35.0017.9%7.2%24.7%20.9%24.9%2.5%0.4%13.7M-437.3M-1.1M0.592.669,5725,678185,538203,814
2013-10-18$37.97$35.0017.8%7.2%25.2%20.3%24.9%2.3%-0.0%8.2M-500.7M-1.1M0.362.4422,6328,144188,626205,160
2013-10-21$38.05$38.7517.8%7.2%24.9%20.5%27.1%1.9%5.6%8.1M-303.6M-1.1M0.892.559,0648,030128,776137,680
2013-10-22$37.98$37.5017.9%7.4%25.0%20.9%25.2%1.9%5.4%7.8M-301.6M-1.1M0.542.399,0624,932131,304141,216
2013-10-23$37.78$37.5017.8%7.5%24.9%20.3%25.8%2.2%5.5%7.5M-289.5M-1.1M2.532.504,88612,378133,742143,348
2013-10-24$37.76$38.7517.5%7.5%24.2%18.8%25.7%2.3%0.5%4.4M-275.5M-1.2M0.762.754,1343,138136,164154,040
2013-10-25$37.85$40.0017.2%7.5%18.3%17.6%25.8%1.8%0.3%3.7M-290.8M-1.2M1.223.0410,54012,844137,824155,664
2013-10-28$37.76$40.0017.5%7.5%17.5%18.7%26.1%1.9%5.7%3.0M-238.5M-1.2M1.332.654,8286,442134,088159,878
2013-10-29$37.95$40.0017.5%7.5%17.5%18.9%26.6%2.1%5.6%4.1M-248.5M-1.2M0.672.624,1382,784136,352164,786
2013-10-30$38.06$40.0017.6%7.5%17.1%19.6%27.0%1.9%5.9%5.5M-260.1M-1.2M1.002.725,4125,390138,518165,776
2013-10-31$37.88$40.0017.6%7.6%17.2%19.6%26.8%1.8%-0.2%4.5M-239.8M-1.3M1.292.835,8247,490140,054168,278