NKE Options History — June 2014

In June 2014, NKE traded between $37.27 and $38.84. ATM implied volatility averaged 22.3%, placing in the 39.7% IV rank vs the trailing year. The 30-day expected move averaged 6.3%. IV traded above realized volatility by 7.5% (HV 20d: 14.8%). Max pain ranged from $36.25 to $37.50. Net GEX was positive for 21 of 21 trading days. Term structure was in contango for 1 of 21 days. Put/call ratio averaged 0.52.

Notable Days

2014-06-26: Highest Volume — 205,436 contracts
2014-06-27: Largest IV drop — 38.3% change
2014-06-26: Highest IV Rank — 54.4%
2014-06-05: Largest Expected Move — 6.4%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$37.94	$37.27	$38.84	$38.36	$38.77
Max Pain	$37.26	$36.25	$37.50	$37.50	$36.25
ATM IV	22.3%	14.9%	25.1%	22.4%	14.9%
Expected Move	6.3%	6.1%	6.4%	6.3%	6.1%
HV 20d	14.8%	12.3%	17.0%	15.8%	14.6%
HV 60d	18.7%	17.0%	20.2%	20.0%	17.5%
IV Rank	39.7%	1.7%	54.4%	40.3%	1.7%
IV Percentile	60.8%	0.4%	81.0%	63.5%	0.4%
Term Structure	-1.2%	-2.6%	0.1%	-1.2%	-0.1%
VWIV	22.1%	21.1%	22.6%	22.3%	21.1%
Skew 25d	1.5%	0.9%	2.2%	1.7%	1.1%
Skew 10d	3.2%	1.5%	4.9%	3.4%	2.6%
Call IV 25d	21.9%	15.0%	24.7%	22.2%	15.0%
Put IV 25d	23.4%	16.0%	26.1%	23.9%	16.0%
Bid-Ask Spread %	5.52	4.36	12.44	4.36	4.50
Gamma HHI	0.20	0.11	0.50	0.22	0.21
Net GEX	27.7M	14.5M	65.7M	26.8M	22.9M
Net DEX	-250.5M	-456.5M	-136.9M	-316.1M	-256.6M
Net VEX	-2.2M	-2.3M	-1.9M	-2.2M	-1.9M
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	0.52	0.17	1.26	1.26	0.31
Total Volume	41,778.286	6,954	205,436	11,036	32,484
Total OI	412,238.476	370,872	566,486	371,136	388,370

Daily Data (21 trading days)

Date	Price	Max Pain	ATM IV	Exp Move	HV 20d	IV Rank	VWIV	Skew 25d	Term Str	GEX	DEX	VEX	P/C	Spread %	Call Vol	Put Vol	Call OI	Put OI
2014-06-02	$38.36	$37.50	22.4%	6.3%	15.8%	40.3%	22.3%	1.7%	-1.2%	26.8M	-316.1M	-2.2M	1.26	4.36	4,892	6,144	218,496	152,640
2014-06-03	$37.77	$37.50	22.8%	6.3%	17.0%	42.1%	22.0%	1.6%	-1.4%	28.8M	-226.5M	-2.2M	0.93	4.37	8,056	7,498	220,348	156,566
2014-06-04	$38.06	$37.50	23.1%	6.4%	16.1%	43.9%	22.4%	1.8%	-1.6%	26.6M	-273.6M	-2.2M	0.19	4.60	57,328	11,168	223,162	162,142
2014-06-05	$37.94	$37.50	22.9%	6.4%	16.2%	42.8%	22.0%	2.2%	-1.7%	35.0M	-286.4M	-2.3M	0.99	5.55	4,702	4,640	259,110	167,008
2014-06-06	$38.12	$37.50	22.7%	6.3%	15.8%	41.6%	22.3%	1.4%	-1.4%	22.3M	-334.7M	-2.3M	0.32	4.53	13,788	4,460	259,212	169,362
2014-06-09	$38.34	$37.50	22.5%	6.2%	15.8%	40.8%	22.1%	1.9%	-1.7%	27.2M	-299.3M	-2.2M	0.49	4.56	10,130	4,932	235,954	156,920
2014-06-10	$38.16	$37.50	22.8%	6.2%	15.1%	42.4%	22.1%	1.6%	-2.6%	29.7M	-280.2M	-2.3M	0.34	4.50	6,510	2,210	241,666	158,340
2014-06-11	$37.57	$37.50	22.6%	6.3%	16.2%	41.1%	22.0%	1.8%	-1.7%	25.3M	-183.7M	-2.2M	0.23	4.97	24,240	5,518	241,986	158,084
2014-06-12	$37.38	$37.50	22.8%	6.3%	15.5%	42.3%	22.5%	1.3%	-1.5%	21.6M	-153.7M	-2.2M	0.64	4.73	6,644	4,252	241,644	160,852
2014-06-13	$37.31	$37.50	23.0%	6.3%	15.1%	43.3%	22.1%	1.5%	-1.9%	19.5M	-140.6M	-2.2M	0.78	5.50	11,778	9,238	242,840	162,086
2014-06-16	$37.27	$37.50	22.9%	6.3%	14.4%	43.0%	22.1%	1.6%	-0.5%	22.3M	-136.9M	-2.1M	0.49	4.64	4,664	2,290	238,030	163,348
2014-06-17	$37.55	$37.50	22.9%	6.3%	14.4%	42.8%	21.2%	1.5%	0.1%	26.0M	-182.7M	-2.1M	0.27	5.21	7,396	1,960	239,538	164,588
2014-06-18	$38.10	$37.50	23.0%	6.3%	13.8%	43.4%	21.9%	1.7%	-0.5%	29.5M	-281.0M	-2.1M	0.55	4.79	12,816	7,052	242,144	165,058
2014-06-19	$37.82	$37.50	22.8%	6.3%	13.5%	42.0%	21.9%	1.3%	-0.8%	33.0M	-236.1M	-2.1M	0.76	5.64	7,602	5,812	240,414	166,750
2014-06-20	$37.55	$37.50	22.6%	6.3%	13.5%	41.3%	22.0%	1.8%	-0.9%	65.7M	-184.7M	-2.1M	0.17	5.46	30,660	5,158	242,772	169,788
2014-06-23	$37.73	$37.50	23.3%	6.3%	12.8%	44.8%	22.4%	1.3%	-1.3%	14.5M	-170.3M	-2.0M	0.26	5.96	51,786	13,522	215,756	155,116
2014-06-24	$37.49	$37.50	23.0%	6.3%	12.3%	43.1%	22.6%	1.2%	-0.9%	21.5M	-185.0M	-2.1M	0.52	4.69	20,724	10,732	256,002	162,122
2014-06-25	$38.23	$36.25	24.8%	6.3%	14.3%	52.4%	22.2%	0.9%	-1.1%	27.6M	-314.9M	-2.1M	0.29	9.34	58,402	16,800	263,678	164,582
2014-06-26	$38.43	$36.25	25.1%	6.4%	14.4%	54.4%	22.5%	1.4%	-1.7%	31.3M	-360.6M	-2.2M	0.72	12.44	119,340	86,096	289,560	174,488
2014-06-27	$38.84	$36.25	15.5%	6.1%	14.7%	4.3%	22.2%	0.9%	-0.0%	24.9M	-456.5M	-2.0M	0.47	5.56	118,150	55,770	335,540	230,946
2014-06-30	$38.77	$36.25	14.9%	6.1%	14.6%	1.7%	21.1%	1.1%	-0.1%	22.9M	-256.6M	-1.9M	0.31	4.50	24,784	7,700	213,892	174,478