NKE Options History — May 2014

In May 2014, NKE traded between $36.09 and $38.45. ATM implied volatility averaged 17.5%, placing in the 11.7% IV rank vs the trailing year. The 30-day expected move averaged 6.4%. IV traded above realized volatility by 0.8% (HV 20d: 16.7%). Max pain ranged from $37.50 to $37.50. Net GEX was positive for 18 of 21 trading days. Term structure was in contango for 10 of 21 days. Put/call ratio averaged 0.68.

Notable Days

  • 2014-05-23: Highest Volume — 59,172 contracts
  • 2014-05-27: Largest IV spike — 26.4% change
  • 2014-05-28: Highest IV Rank — 42.9%
  • 2014-05-05: Largest Expected Move — 6.5%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$37.11$36.09$38.45$36.46$38.45
Max Pain$37.50$37.50$37.50$37.50$37.50
ATM IV17.5%14.7%22.9%16.4%22.3%
Expected Move6.4%6.2%6.5%6.5%6.3%
HV 20d16.7%14.1%22.0%22.0%15.7%
HV 60d20.2%19.8%20.7%20.2%20.1%
IV Rank11.7%0.0%42.9%3.5%39.4%
IV Percentile19.7%0.0%64.7%1.2%63.1%
Term Structure1.3%-1.1%7.5%0.2%-1.1%
VWIV22.3%21.4%23.3%22.4%21.7%
Skew 25d1.5%0.7%2.1%1.5%2.0%
Skew 10d3.1%1.7%4.6%3.2%4.2%
Call IV 25d17.1%14.4%22.6%16.0%22.2%
Put IV 25d18.6%16.0%24.3%17.5%24.3%
Bid-Ask Spread %4.904.406.094.614.95
Gamma HHI0.200.100.300.100.21
Net GEX12.4M-7.0M38.3M-1.7M38.3M
Net DEX-130.6M-315.8M-24.4M-30.5M-315.8M
Net VEX-2.2M-2.3M-2.1M-2.1M-2.2M
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.680.072.471.600.31
Total Volume19,409.0488,70659,17214,51617,626
Total OI361,481.81328,150382,614336,466382,614

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2014-05-01$36.46$37.5016.4%6.5%22.0%3.5%22.4%1.5%0.2%-1.7M-30.5M-2.1M1.604.615,5848,932173,562162,904
2014-05-02$36.49$37.5016.3%6.5%21.8%2.8%22.6%1.3%0.2%-7.0M-28.7M-2.1M1.104.407,4448,170176,320167,738
2014-05-05$36.65$37.5016.9%6.5%21.2%6.6%22.2%1.9%0.2%506.6K-54.6M-2.1M0.074.5934,9682,500169,438158,712
2014-05-06$36.13$37.5018.1%6.5%19.2%12.8%22.6%0.8%-0.3%-321.3K-24.9M-2.1M0.194.6417,6323,290192,028159,674
2014-05-07$36.09$37.5017.9%6.5%16.1%12.0%22.7%1.7%-0.6%446.8K-24.4M-2.2M0.554.727,6604,212203,838161,066
2014-05-08$36.52$37.5017.6%6.5%16.4%10.2%23.3%1.7%-0.1%6.7M-83.2M-2.2M0.484.856,5663,122205,904163,264
2014-05-09$36.73$37.5016.8%6.5%15.5%6.0%22.3%1.5%0.5%10.7M-105.9M-2.2M0.994.667,0427,000205,934162,798
2014-05-12$37.31$37.5016.7%6.4%14.9%5.5%23.2%1.3%-0.4%15.6M-164.8M-2.2M0.585.0317,55210,252200,524160,040
2014-05-13$37.30$37.5016.1%6.4%14.1%2.2%22.5%0.9%-0.1%19.4M-162.5M-2.2M0.324.626,6182,088207,930164,296
2014-05-14$36.79$37.5016.1%6.4%15.1%2.0%22.9%0.7%0.3%9.2M-92.8M-2.1M2.474.473,1047,666209,320164,664
2014-05-15$36.47$37.5016.4%6.4%14.9%3.7%22.9%2.1%-0.1%1.0M-40.1M-2.1M1.485.204,8847,212207,312168,212
2014-05-16$36.97$37.5015.5%6.3%15.0%0.0%21.4%2.1%-0.2%14.7M-102.4M-2.2M0.806.098,7927,038208,712171,520
2014-05-19$37.24$37.5015.3%6.3%15.2%0.0%22.5%1.5%6.1%11.3M-124.6M-2.2M0.515.0612,0706,128189,432148,608
2014-05-20$36.63$37.5015.6%6.3%16.2%1.6%22.8%1.4%6.1%7.5M-54.4M-2.1M0.594.718,6405,140197,860153,290
2014-05-21$37.10$37.5014.7%6.3%16.9%0.0%21.7%1.7%7.5%13.5M-102.8M-2.2M0.414.876,5842,670196,742154,920
2014-05-22$37.44$37.5015.2%6.3%16.8%2.7%21.4%1.1%6.7%17.2M-152.4M-2.2M0.355.3519,1266,778197,212155,338
2014-05-23$37.92$37.5017.1%6.3%16.8%12.7%22.0%0.9%6.4%24.3M-243.5M-2.2M0.275.2446,45812,714208,860158,504
2014-05-27$38.30$37.5021.6%6.2%15.8%36.2%22.0%1.9%-0.8%26.9M-302.4M-2.2M0.274.6221,4305,816220,044154,044
2014-05-28$38.13$37.5022.9%6.2%15.8%42.9%22.1%1.3%-1.0%26.3M-268.8M-2.2M0.465.0210,5804,840218,916156,136
2014-05-29$38.19$37.5022.8%6.2%15.7%41.9%22.1%1.9%-1.1%26.0M-262.7M-2.3M0.465.1514,8806,782214,444158,444
2014-05-30$38.45$37.5022.3%6.3%15.7%39.4%21.7%2.0%-1.1%38.3M-315.8M-2.2M0.314.9513,4404,186221,124161,490