NKE Options History — July 2014

In July 2014, NKE traded between $38.27 and $39.80. ATM implied volatility averaged 15.5%, placing in the 5.9% IV rank vs the trailing year. The 30-day expected move averaged 6.2%. IV traded above realized volatility by 0.5% (HV 20d: 15.0%). Max pain ranged from $36.25 to $37.50. Net GEX was positive for 22 of 22 trading days. Term structure was in contango for 12 of 22 days. Put/call ratio averaged 0.53.

Notable Days

2014-07-18: Highest Volume — 44,610 contracts
2014-07-31: Largest IV spike — 14.3% change
2014-07-31: Highest IV Rank — 20.9%
2014-07-31: Largest Expected Move — 6.5%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$38.90	$38.27	$39.80	$39.00	$38.56
Max Pain	$37.10	$36.25	$37.50	$36.25	$37.50
ATM IV	15.5%	14.5%	17.9%	14.9%	17.9%
Expected Move	6.2%	6.1%	6.5%	6.1%	6.5%
HV 20d	15.0%	13.3%	20.1%	13.5%	20.1%
HV 60d	15.2%	14.5%	17.2%	17.2%	16.6%
IV Rank	5.9%	0.0%	20.9%	1.7%	20.9%
IV Percentile	5.8%	0.0%	44.0%	0.8%	44.0%
Term Structure	0.1%	-0.7%	0.7%	-0.2%	-0.7%
VWIV	22.1%	21.2%	23.6%	21.2%	23.6%
Skew 25d	1.2%	0.8%	1.7%	1.1%	1.6%
Skew 10d	2.9%	0.9%	4.2%	1.5%	2.5%
Call IV 25d	15.2%	14.2%	17.1%	14.7%	17.1%
Put IV 25d	16.4%	15.3%	18.7%	15.8%	18.7%
Bid-Ask Spread %	5.74	4.98	7.69	5.35	5.81
Gamma HHI	0.23	0.14	0.72	0.20	0.14
Net GEX	25.1M	11.8M	118.1M	28.9M	11.8M
Net DEX	-234.9M	-310.2M	-143.8M	-286.0M	-146.7M
Net VEX	-1.9M	-1.9M	-1.8M	-1.9M	-1.9M
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	0.53	0.14	2.20	0.41	0.53
Total Volume	20,218.636	6,202	44,610	24,784	28,554
Total OI	338,107.545	279,068	382,752	375,276	296,234

Daily Data (22 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
2014-07-01	$39.00	$36.25	14.9%	6.1%	13.5%	1.7%	21.2%	1.1%	-0.2%	28.9M	-286.0M	-1.9M	0.41	5.35	17,624	7,160	209,292	165,984
2014-07-02	$38.90	$36.25	14.5%	6.1%	13.3%	0.0%	22.1%	0.9%	0.2%	28.1M	-265.2M	-1.9M	0.42	5.13	11,210	4,674	208,704	169,386
2014-07-03	$39.23	$36.25	14.8%	6.1%	13.5%	1.8%	22.6%	0.8%	-0.1%	26.4M	-310.2M	-1.8M	0.62	5.07	8,366	5,164	210,160	171,000
2014-07-07	$39.33	$36.25	15.3%	6.2%	13.4%	4.7%	22.1%	1.1%	0.5%	25.3M	-290.0M	-1.9M	0.36	5.18	8,000	2,886	197,454	161,760
2014-07-08	$38.84	$36.25	15.7%	6.2%	14.2%	7.4%	21.6%	1.2%	-0.0%	18.5M	-237.0M	-1.9M	0.57	4.98	7,790	4,404	197,960	162,476
2014-07-09	$39.34	$36.25	15.0%	6.2%	14.7%	3.1%	22.0%	1.4%	0.5%	26.6M	-296.5M	-1.8M	0.19	5.11	11,772	2,224	199,082	164,790
2014-07-10	$38.75	$36.25	15.7%	6.2%	14.7%	7.2%	22.3%	1.2%	0.3%	16.7M	-221.3M	-1.8M	0.43	5.13	9,332	4,030	198,660	165,708
2014-07-11	$38.65	$37.50	16.1%	6.2%	14.6%	9.6%	21.4%	1.1%	-0.2%	16.5M	-218.9M	-1.8M	0.31	5.64	22,982	7,020	200,950	166,956
2014-07-14	$38.98	$37.50	15.8%	6.2%	14.7%	7.9%	22.2%	1.2%	-0.0%	24.3M	-274.2M	-1.8M	0.24	5.96	11,848	2,806	202,832	160,660
2014-07-15	$39.02	$37.50	16.2%	6.2%	14.7%	10.3%	22.4%	0.9%	-0.1%	25.2M	-287.2M	-1.8M	0.15	5.79	24,028	3,640	205,950	161,870
2014-07-16	$38.46	$37.50	15.4%	6.1%	15.7%	5.2%	21.2%	1.4%	0.4%	27.4M	-222.5M	-1.9M	0.26	5.28	22,082	5,822	220,006	162,746
2014-07-17	$38.27	$37.50	15.6%	6.2%	15.0%	6.5%	21.7%	1.5%	0.3%	20.9M	-196.6M	-1.9M	0.71	5.27	9,798	6,930	216,350	162,374
2014-07-18	$38.76	$37.50	16.0%	6.2%	15.3%	9.1%	23.0%	1.3%	0.1%	118.1M	-271.9M	-1.9M	0.47	6.69	30,358	14,252	216,798	162,098
2014-07-21	$38.41	$37.50	15.5%	6.2%	15.5%	6.2%	21.4%	1.4%	0.2%	14.5M	-143.8M	-1.9M	2.20	6.84	4,752	10,470	156,050	123,018
2014-07-22	$38.52	$37.50	15.3%	6.2%	15.4%	4.8%	22.0%	1.3%	0.2%	13.5M	-150.1M	-1.9M	0.40	6.12	11,154	4,510	158,674	127,268
2014-07-23	$38.69	$37.50	15.2%	6.2%	15.2%	4.2%	22.4%	1.3%	0.5%	17.2M	-176.8M	-1.9M	0.99	7.69	12,128	12,060	165,750	129,390
2014-07-24	$39.30	$37.50	14.6%	6.3%	14.6%	0.2%	21.7%	1.6%	0.7%	21.6M	-265.8M	-1.8M	0.14	6.63	33,258	4,570	169,902	129,172
2014-07-25	$38.86	$37.50	14.7%	6.2%	15.2%	1.2%	21.8%	0.9%	0.3%	17.9M	-204.3M	-1.9M	0.59	5.48	10,672	6,306	167,892	130,058
2014-07-28	$39.20	$37.50	15.4%	6.3%	15.1%	5.4%	22.6%	1.5%	-0.3%	16.3M	-212.4M	-1.9M	0.33	5.56	8,376	2,792	157,288	126,178
2014-07-29	$39.05	$37.50	15.4%	6.3%	15.1%	5.5%	22.8%	0.9%	-0.2%	17.2M	-206.4M	-1.8M	0.87	5.02	3,312	2,890	161,334	127,850
2014-07-30	$39.80	$37.50	15.7%	6.3%	16.5%	6.9%	22.5%	1.7%	-0.3%	19.3M	-283.1M	-1.9M	0.44	6.51	15,826	6,978	161,550	128,752
2014-07-31	$38.56	$37.50	17.9%	6.5%	20.1%	20.9%	23.6%	1.6%	-0.7%	11.8M	-146.7M	-1.9M	0.53	5.81	18,648	9,906	166,962	129,272