NKE Options History — January 2014

In January 2014, NKE traded between $35.83 and $39.12. ATM implied volatility averaged 17.4%, placing in the 18.2% IV rank vs the trailing year. The 30-day expected move averaged 7.6%. IV traded above realized volatility by 2.8% (HV 20d: 14.6%). Max pain ranged from $40.00 to $40.00. Net GEX was positive for 19 of 21 trading days. Term structure was in contango for 17 of 21 days. Put/call ratio averaged 0.77.

Notable Days

  • 2014-01-17: Highest Volume — 35,548 contracts
  • 2014-01-24: Largest IV spike — 6.2% change
  • 2014-01-31: Highest IV Rank — 27.6%
  • 2014-01-02: Largest Expected Move — 7.9%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$37.41$35.83$39.12$39.12$36.42
Max Pain$40.00$40.00$40.00$40.00$40.00
ATM IV17.4%16.4%19.3%17.5%19.3%
Expected Move7.6%7.4%7.9%7.9%7.5%
HV 20d14.6%11.8%18.6%16.6%18.6%
HV 60d14.3%13.3%16.3%15.4%16.3%
IV Rank18.2%13.4%27.6%18.7%27.6%
IV Percentile23.8%5.6%52.0%26.2%52.0%
Term Structure1.5%-0.3%6.1%0.3%0.8%
VWIV26.6%25.7%27.6%27.4%26.2%
Skew 25d1.8%0.9%2.5%2.0%0.9%
Skew 10d4.1%2.7%6.5%4.4%3.9%
Call IV 25d16.8%15.8%19.1%16.8%19.1%
Put IV 25d18.7%17.5%20.7%18.7%20.1%
Bid-Ask Spread %5.463.728.674.405.01
Gamma HHI0.200.080.560.240.56
Net GEX5.6M-9.0M30.1M8.5M30.1M
Net DEX-111.5M-243.0M1.1M-243.0M-58.7M
Net VEX-1.6M-1.8M-1.5M-1.5M-1.8M
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.770.261.651.160.62
Total Volume18,193.0486,68635,54811,83020,972
Total OI288,234.381209,444337,398331,922271,834

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2014-01-02$39.12$40.0017.5%7.9%16.6%18.7%27.4%2.0%0.3%8.5M-243.0M-1.5M1.164.405,4766,354154,566177,356
2014-01-03$39.02$40.0016.6%7.8%16.6%14.4%27.1%2.0%0.4%-9.0M-233.3M-1.5M0.524.8612,7226,628156,922180,476
2014-01-06$38.72$40.0017.6%7.8%16.8%19.4%27.0%2.3%0.1%9.6M-207.7M-1.5M0.764.806,5444,978155,170161,802
2014-01-07$38.74$40.0017.1%7.8%16.1%17.0%26.7%2.2%0.0%9.9M-208.4M-1.5M0.263.915,2881,398157,386164,412
2014-01-08$38.55$40.0017.0%7.7%16.2%16.4%26.7%2.5%-0.0%8.1M-188.7M-1.5M0.495.247,7483,776158,954164,854
2014-01-09$38.55$40.0016.8%7.7%16.1%15.2%26.9%2.4%0.0%8.8M-191.5M-1.6M0.793.757,5525,992159,164166,896
2014-01-10$38.46$40.0016.4%7.7%11.8%13.5%27.2%2.1%0.1%9.0M-180.8M-1.6M0.785.777,2685,702160,454169,998
2014-01-13$37.59$40.0017.4%7.6%14.1%18.2%27.4%2.2%-0.2%4.4M-112.6M-1.5M1.064.6410,41011,052154,138165,024
2014-01-14$37.59$40.0016.8%7.6%14.1%15.5%27.6%1.4%-0.0%3.5M-103.7M-1.5M0.845.708,2846,996154,156168,540
2014-01-15$37.72$40.0016.4%7.6%14.2%13.4%25.7%1.7%0.2%5.9M-125.4M-1.5M0.784.097,5725,906152,902168,578
2014-01-16$37.40$40.0016.5%7.5%14.3%14.1%26.6%1.7%-0.3%6.8M-98.7M-1.5M0.777.457,6305,868155,374168,988
2014-01-17$36.70$40.0017.4%7.6%12.5%18.2%26.0%1.7%0.3%-2.7M-46.0M-1.5M0.863.7219,11016,438157,816171,882
2014-01-21$36.88$40.0016.8%7.7%12.8%15.6%26.8%1.4%5.7%3.0M-65.3M-1.5M0.688.6711,7488,028119,20690,238
2014-01-22$36.75$40.0016.6%7.6%12.4%14.6%25.7%1.4%5.7%3.0M-57.4M-1.5M1.654.674,1026,768123,54494,454
2014-01-23$36.37$40.0016.9%7.5%12.7%15.8%26.0%1.1%0.9%1.1M-27.1M-1.6M1.087.889,67810,498125,52699,042
2014-01-24$35.83$40.0017.9%7.6%12.8%21.0%26.2%2.0%0.6%334.9K1.1M-1.6M0.924.2714,59413,452130,556104,634
2014-01-27$35.95$40.0017.9%7.6%12.5%20.7%26.4%1.7%6.1%128.9K-15.3M-1.6M0.868.667,7206,616126,748106,092
2014-01-28$36.35$40.0018.1%7.6%13.6%21.6%25.8%1.7%5.4%2.0M-42.8M-1.7M0.307.5619,6265,900129,832108,330
2014-01-29$35.88$40.0019.1%7.5%13.3%26.8%27.5%1.9%4.5%4.7M-16.9M-1.7M0.705.6412,4168,674142,326111,404
2014-01-30$36.97$40.0018.6%7.4%18.1%24.5%25.9%2.4%0.4%9.4M-119.1M-1.8M0.333.9325,9728,598146,782116,566
2014-01-31$36.42$40.0019.3%7.5%18.6%27.6%26.2%0.9%0.8%30.1M-58.7M-1.8M0.625.0112,9648,008150,916120,918