NKE Options History — March 2014

In March 2014, NKE traded between $36.61 and $39.82. ATM implied volatility averaged 23.2%, placing in the 42.2% IV rank vs the trailing year. The 30-day expected move averaged 6.8%. IV traded above realized volatility by 5.3% (HV 20d: 17.8%). Max pain ranged from $37.50 to $38.75. Net GEX was positive for 14 of 21 trading days. Term structure was in contango for 6 of 21 days. Put/call ratio averaged 0.62.

Notable Days

  • 2014-03-21: Highest Volume — 134,968 contracts
  • 2014-03-21: Largest IV drop — 31.3% change
  • 2014-03-07: Highest IV Rank — 62.6%
  • 2014-03-19: Largest Expected Move — 7.0%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$38.56$36.61$39.82$38.70$36.93
Max Pain$38.45$37.50$38.75$37.50$38.75
ATM IV23.2%17.4%27.0%25.9%17.4%
Expected Move6.8%6.6%7.0%6.9%6.6%
HV 20d17.8%13.6%24.1%17.3%23.3%
HV 60d18.4%16.7%20.1%17.7%20.1%
IV Rank42.2%9.3%62.6%60.3%9.3%
IV Percentile63.9%20.6%84.9%81.7%20.6%
Term Structure-0.7%-2.3%0.9%-1.4%-0.0%
VWIV24.0%23.5%24.8%23.7%23.9%
Skew 25d2.0%0.7%3.6%3.6%1.1%
Skew 10d4.0%2.0%7.0%7.0%2.0%
Call IV 25d22.5%17.3%26.5%24.3%17.3%
Put IV 25d24.6%18.4%29.2%27.9%18.4%
Bid-Ask Spread %4.042.447.883.223.46
Gamma HHI0.190.090.300.150.09
Net GEX14.0M-4.5M26.5M15.9M-1.6M
Net DEX-229.9M-395.2M29.9M-247.7M-12.2M
Net VEX-2.0M-2.1M-1.8M-1.9M-2.0M
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.620.111.301.070.39
Total Volume37,972.8577,476134,96817,24613,996
Total OI360,999.333316,880455,012318,792334,738

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2014-03-03$38.70$37.5025.9%6.9%17.3%60.3%23.7%3.6%-1.4%15.9M-247.7M-1.9M1.073.228,3348,912184,380134,412
2014-03-04$39.31$37.5024.7%6.8%13.6%54.5%23.8%2.7%-1.0%19.3M-322.0M-1.9M0.442.9713,9466,158186,756136,418
2014-03-05$38.71$37.5025.1%6.8%15.0%56.7%23.7%3.0%-0.8%17.4M-249.0M-1.9M0.452.4412,1545,526189,502139,444
2014-03-06$39.11$37.5025.1%6.8%15.1%56.3%23.6%2.8%-1.2%21.4M-312.6M-1.9M1.303.088,94211,606197,714142,152
2014-03-07$39.73$37.5026.4%6.8%15.3%62.6%23.6%2.3%-1.3%22.0M-395.2M-2.0M0.112.9786,2069,062201,070149,710
2014-03-10$39.49$38.7526.2%6.8%15.2%61.7%24.2%2.2%-2.2%25.3M-369.4M-2.0M0.303.3321,2306,368227,290139,374
2014-03-11$39.40$38.7525.7%6.8%15.3%54.7%23.7%2.4%-1.9%26.2M-368.9M-2.1M0.423.458,2803,462234,762141,346
2014-03-12$39.48$38.7525.8%6.9%14.4%55.4%24.4%2.2%-2.3%26.5M-373.4M-2.0M0.403.475,3462,130235,444142,628
2014-03-13$39.27$38.7526.3%6.9%14.8%58.1%24.8%2.4%-1.5%26.0M-353.4M-2.0M0.363.0616,7126,058236,376143,750
2014-03-14$39.16$38.7527.0%6.9%14.6%61.8%24.4%2.7%-1.9%20.9M-335.2M-2.0M0.483.418,8424,268231,222146,408
2014-03-17$39.49$38.7526.1%6.9%14.8%56.8%23.5%2.4%-0.4%22.1M-345.7M-1.9M1.143.317,6208,652218,988136,968
2014-03-18$39.82$38.7526.3%6.9%14.9%58.1%23.5%2.5%-0.4%22.8M-384.6M-1.9M0.474.8541,03019,432222,668142,036
2014-03-19$39.58$38.7526.1%7.0%15.0%57.0%24.5%1.7%-0.4%24.2M-378.7M-2.0M0.335.2353,73617,488242,758155,544
2014-03-20$39.63$38.7525.4%6.9%14.8%53.5%24.2%1.7%-0.2%24.2M-375.4M-2.0M0.597.7069,71641,140245,782164,318
2014-03-21$37.60$38.7517.5%6.8%24.1%9.6%24.2%1.1%0.9%-3.4M-47.4M-1.8M0.677.8880,70654,262269,776185,236
2014-03-24$37.43$38.7517.8%6.8%23.1%11.1%24.5%1.5%0.2%-855.6K-43.8M-1.9M0.643.2323,06614,672175,308141,572
2014-03-25$36.83$38.7518.1%6.8%23.5%13.0%23.7%1.4%0.0%-4.1M15.7M-1.9M0.953.5718,80417,784181,880148,990
2014-03-26$36.61$38.7518.1%6.8%23.4%13.2%24.5%0.7%0.3%-4.5M29.9M-1.9M0.553.6717,4349,554190,714158,500
2014-03-27$36.66$38.7518.0%6.8%23.5%12.6%24.0%1.4%0.2%-3.2M25.0M-2.0M0.814.427,2005,858197,268163,316
2014-03-28$36.77$38.7517.7%6.7%23.4%10.8%24.0%1.1%0.1%-3.6M16.7M-2.0M1.226.049,79411,944199,556164,912
2014-03-31$36.93$38.7517.4%6.6%23.3%9.3%23.9%1.1%-0.0%-1.6M-12.2M-2.0M0.393.4610,0643,932178,710156,028