NKE Options History — December 2013

In December 2013, NKE traded between $38.12 and $39.93. ATM implied volatility averaged 23.7%, placing in the 49.7% IV rank vs the trailing year. The 30-day expected move averaged 8.0%. IV traded above realized volatility by 9.3% (HV 20d: 14.4%). Max pain ranged from $40.00 to $40.00. Net GEX was positive for 20 of 21 trading days. Term structure was in contango for 7 of 21 days. Put/call ratio averaged 0.67.

Notable Days

  • 2013-12-19: Highest Volume — 97,822 contracts
  • 2013-12-20: Largest IV drop — 33.8% change
  • 2013-12-11: Highest IV Rank — 77.9%
  • 2013-12-16: Largest Expected Move — 8.2%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$39.05$38.12$39.93$39.55$39.32
Max Pain$40.00$40.00$40.00$40.00$40.00
ATM IV23.7%16.8%29.4%24.9%17.1%
Expected Move8.0%7.8%8.2%7.8%7.9%
HV 20d14.4%10.0%16.5%13.1%16.5%
HV 60d17.1%15.5%18.6%17.3%15.5%
IV Rank49.7%15.3%77.9%55.4%16.7%
IV Percentile65.0%11.1%96.8%81.0%15.9%
Term Structure-1.4%-3.7%1.1%-2.2%0.9%
VWIV28.0%26.4%30.7%27.4%30.7%
Skew 25d2.5%1.8%3.3%2.5%2.2%
Skew 10d5.5%3.1%7.8%5.7%5.1%
Call IV 25d22.9%16.2%28.8%23.6%16.6%
Put IV 25d25.3%18.0%31.3%26.0%18.7%
Bid-Ask Spread %4.172.226.232.224.87
Gamma HHI0.190.120.400.160.27
Net GEX6.3M-949.5K17.4M3.1M11.1M
Net DEX-239.8M-368.4M-120.2M-314.7M-264.9M
Net VEX-1.5M-1.6M-1.3M-1.3M-1.6M
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.670.341.130.610.93
Total Volume28,828.9525,67297,82213,7809,646
Total OI347,698.667321,316441,044325,962330,282

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2013-12-02$39.55$40.0024.9%7.8%13.1%55.4%27.4%2.5%-2.2%3.1M-314.7M-1.3M0.612.228,5585,222160,646165,316
2013-12-03$39.56$40.0024.9%7.8%13.1%55.6%26.4%2.6%-2.3%3.1M-310.2M-1.4M0.344.769,4103,198163,798167,646
2013-12-04$39.41$40.0025.2%7.9%12.8%56.8%26.8%2.8%-2.3%546.3K-306.3M-1.3M0.964.082,8962,776166,320168,842
2013-12-05$39.48$40.0025.6%8.0%12.5%59.1%27.4%2.6%-2.4%-949.5K-317.4M-1.3M0.873.225,3424,632167,176170,142
2013-12-06$39.93$40.0026.4%7.9%11.6%62.8%28.4%2.9%-2.7%16.8M-368.4M-1.3M0.813.309,6907,864170,380172,586
2013-12-09$39.89$40.0027.3%7.9%10.0%67.3%29.8%2.5%-3.2%9.9M-349.7M-1.3M0.623.098,2545,148163,912157,404
2013-12-10$39.61$40.0027.7%8.0%10.5%69.3%27.6%2.5%-3.7%9.5M-341.4M-1.3M0.453.358,0423,580168,318159,612
2013-12-11$38.42$40.0029.4%8.1%15.4%77.9%27.7%2.5%-3.6%6.7M-221.6M-1.4M0.344.2369,35223,582165,956161,624
2013-12-12$38.12$40.0028.2%8.2%14.9%71.6%27.8%2.9%-1.5%4.3M-120.2M-1.5M1.132.3415,73417,824154,020180,678
2013-12-13$38.20$40.0027.6%8.1%14.3%69.0%29.5%3.3%-2.4%3.7M-126.7M-1.6M0.782.5217,86213,926156,196187,668
2013-12-16$38.22$40.0027.7%8.2%14.0%69.4%28.0%3.0%-2.3%3.5M-134.3M-1.6M0.813.7813,29210,742161,222194,636
2013-12-17$38.38$40.0027.2%8.2%13.9%67.0%28.7%2.6%-2.1%4.1M-153.0M-1.6M0.714.8814,29810,170168,496201,660
2013-12-18$39.27$40.0026.7%8.1%15.9%64.3%28.3%2.6%-2.1%8.2M-247.4M-1.6M0.616.2327,50816,728173,954206,122
2013-12-19$39.13$40.0028.0%8.1%16.0%70.8%27.5%2.5%-1.3%8.6M-236.6M-1.6M0.474.2766,58031,242182,092213,870
2013-12-20$38.67$40.0018.6%7.9%16.5%24.1%27.0%2.5%0.6%17.4M-152.0M-1.6M0.625.8852,28232,510211,014230,030
2013-12-23$38.55$40.0017.7%7.9%16.1%19.8%27.9%1.9%0.4%128.0K-150.3M-1.6M0.454.7817,3167,804152,786181,744
2013-12-24$38.83$40.0017.3%7.9%16.3%18.1%28.6%1.8%1.0%3.4M-189.3M-1.6M0.954.613,6483,464160,060184,934
2013-12-26$39.09$40.0017.1%7.8%16.3%16.9%27.1%1.8%0.5%6.7M-225.1M-1.6M0.445.129,4464,174160,912184,984
2013-12-27$39.08$40.0016.8%7.8%16.3%15.3%27.5%1.8%0.5%1.6M-240.6M-1.6M0.405.1213,6565,394163,094185,576
2013-12-30$39.37$40.0016.9%7.8%16.5%15.9%27.8%1.8%1.1%10.9M-265.4M-1.6M0.724.957,3425,274152,464173,500
2013-12-31$39.32$40.0017.1%7.9%16.5%16.7%30.7%2.2%0.9%11.1M-264.9M-1.6M0.934.875,0024,644154,560175,722