NKE Options History — November 2013

In November 2013, NKE traded between $37.85 and $39.80. ATM implied volatility averaged 20.2%, placing in the 32.4% IV rank vs the trailing year. The 30-day expected move averaged 7.5%. IV traded above realized volatility by 6.8% (HV 20d: 13.4%). Max pain ranged from $37.50 to $40.00. Net GEX was positive for 20 of 20 trading days. Term structure was in contango for 10 of 20 days. Put/call ratio averaged 0.76.

Notable Days

  • 2013-11-26: Highest Volume — 29,712 contracts
  • 2013-11-18: Largest IV spike — 20.4% change
  • 2013-11-21: Highest IV Rank — 54.0%
  • 2013-11-29: Largest Expected Move — 7.8%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$38.93$37.85$39.80$38.03$39.57
Max Pain$39.63$37.50$40.00$40.00$40.00
ATM IV20.2%16.5%24.6%17.4%24.6%
Expected Move7.5%7.4%7.8%7.5%7.8%
HV 20d13.4%11.4%17.1%17.1%13.1%
HV 60d18.5%17.4%19.3%19.2%17.4%
IV Rank32.4%13.9%54.0%18.3%53.9%
IV Percentile44.5%6.7%79.4%19.4%79.4%
Term Structure2.6%-2.9%8.5%-0.2%-1.4%
VWIV26.3%25.2%28.0%26.1%26.6%
Skew 25d2.3%1.6%3.1%1.8%2.7%
Skew 10d4.8%3.2%6.2%4.3%5.7%
Call IV 25d19.5%15.3%24.0%17.0%24.0%
Put IV 25d21.8%17.2%26.8%18.7%26.8%
Bid-Ask Spread %2.562.213.652.712.63
Gamma HHI0.170.090.340.250.15
Net GEX7.9M4.0M14.9M10.6M4.8M
Net DEX-254.4M-316.2M-201.8M-250.7M-271.2M
Net VEX-1.2M-1.4M-1.1M-1.2M-1.4M
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.760.311.381.050.48
Total Volume14,885.47,38029,71218,95010,224
Total OI322,351.6300,096353,568314,124353,568

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2013-11-01$38.03$40.0017.4%7.5%17.1%18.3%26.1%1.8%-0.2%10.6M-250.7M-1.2M1.052.719,2409,710141,754172,370
2013-11-04$38.19$40.0017.8%7.4%16.3%20.4%27.4%2.2%5.4%6.0M-235.3M-1.2M1.312.843,5524,638139,456174,642
2013-11-05$38.60$40.0017.1%7.5%15.0%17.0%25.4%2.1%6.6%7.6M-264.1M-1.2M0.802.635,6644,540141,014177,124
2013-11-06$38.38$40.0017.1%7.5%15.3%16.8%28.0%1.9%6.5%8.3M-249.8M-1.2M0.912.665,1204,672141,488179,784
2013-11-07$37.85$40.0017.2%7.5%11.4%17.6%25.6%2.0%7.3%4.7M-206.6M-1.2M0.492.2310,7505,274141,900180,612
2013-11-08$38.56$40.0016.6%7.5%12.9%14.3%25.5%1.7%6.9%14.9M-264.3M-1.2M0.353.4610,8863,816146,168181,308
2013-11-11$38.58$40.0016.8%7.5%12.8%15.6%26.0%1.8%7.3%10.3M-255.9M-1.2M1.182.363,3823,998145,542170,146
2013-11-12$38.44$40.0017.0%7.5%12.7%16.6%28.0%1.7%7.0%10.5M-252.4M-1.2M0.552.435,0002,746146,982172,136
2013-11-13$38.92$40.0016.5%7.5%12.9%13.9%26.2%1.7%7.7%12.3M-288.8M-1.2M1.163.658,78010,170149,126173,960
2013-11-14$39.32$40.0017.5%7.5%13.1%18.9%25.8%1.9%8.5%9.4M-303.7M-1.1M0.662.3713,5709,016150,838180,248
2013-11-15$39.61$40.0018.5%7.5%11.9%24.0%25.5%1.6%7.2%4.0M-316.2M-1.1M0.362.3616,5645,946152,022185,034
2013-11-18$39.29$40.0022.3%7.5%12.5%42.6%26.5%2.7%-2.8%4.7M-225.7M-1.2M0.462.329,9704,594137,614162,482
2013-11-19$38.91$40.0023.1%7.5%13.1%46.7%27.8%2.9%-2.5%6.6M-201.8M-1.2M0.672.295,6063,740143,018164,874
2013-11-20$38.92$40.0023.9%7.5%12.8%50.4%27.3%2.8%-2.8%6.7M-203.4M-1.2M1.382.314,3185,980144,294166,926
2013-11-21$39.05$37.5024.6%7.5%12.8%54.0%26.3%2.8%-1.4%7.7M-214.4M-1.2M0.882.403,9443,460145,916169,016
2013-11-22$39.44$38.7523.7%7.5%13.2%49.4%25.2%2.6%-0.4%11.4M-241.9M-1.2M0.582.4517,84410,318147,736170,480
2013-11-25$39.56$38.7524.3%7.5%13.1%52.6%25.8%3.1%-2.9%5.6M-262.7M-1.2M0.312.2116,3665,080148,294166,328
2013-11-26$39.80$38.7524.4%7.7%13.1%53.0%25.8%2.9%-2.6%7.2M-301.4M-1.3M1.122.3514,03015,682160,554170,376
2013-11-27$39.66$38.7524.3%7.7%13.2%52.5%26.2%2.7%-1.1%5.3M-277.0M-1.3M0.592.476,0043,514168,746183,156
2013-11-29$39.57$40.0024.6%7.8%13.1%53.9%26.6%2.7%-1.4%4.8M-271.2M-1.4M0.482.636,9083,316170,914182,654