NKE Options History — August 2014

In August 2014, NKE traded between $38.17 and $40.01. ATM implied volatility averaged 17.1%, placing in the 17.9% IV rank vs the trailing year. The 30-day expected move averaged 6.2%. IV traded below realized volatility by 0.3% (HV 20d: 17.5%). 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 11 of 21 days. Put/call ratio averaged 0.86.

Notable Days

2014-08-05: Highest Volume — 33,896 contracts
2014-08-25: Largest IV spike — 26.6% change
2014-08-28: Highest IV Rank — 47.0%
2014-08-08: Largest Expected Move — 6.8%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$38.99	$38.17	$40.01	$38.39	$39.27
Max Pain	$36.31	$36.25	$37.50	$37.50	$36.25
ATM IV	17.1%	13.6%	21.6%	17.9%	21.4%
Expected Move	6.2%	5.8%	6.8%	6.5%	5.9%
HV 20d	17.5%	11.1%	20.0%	19.9%	11.1%
HV 60d	15.7%	15.0%	16.6%	16.6%	15.1%
IV Rank	17.9%	0.0%	47.0%	20.8%	45.9%
IV Percentile	28.7%	0.0%	61.5%	43.7%	61.5%
Term Structure	1.3%	-1.3%	6.8%	-0.2%	-1.2%
VWIV	22.5%	19.7%	24.8%	22.8%	21.8%
Skew 25d	1.8%	1.4%	2.5%	1.9%	1.7%
Skew 10d	3.8%	2.6%	5.8%	4.4%	3.4%
Call IV 25d	16.8%	12.9%	21.7%	17.6%	21.7%
Put IV 25d	18.6%	14.5%	23.4%	19.6%	23.4%
Bid-Ask Spread %	7.69	3.91	12.52	6.15	12.47
Gamma HHI	0.18	0.13	0.24	0.13	0.20
Net GEX	11.8M	4.5M	18.1M	4.5M	7.3M
Net DEX	-156.6M	-221.9M	-111.9M	-113.1M	-129.7M
Net VEX	-1.8M	-1.9M	-1.8M	-1.9M	-1.8M
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	0.86	0.09	5.44	0.66	1.74
Total Volume	14,383.905	7,622	33,896	24,428	7,858
Total OI	297,126.667	264,710	317,708	297,410	293,338

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
2014-08-01	$38.39	$37.50	17.9%	6.5%	19.9%	20.8%	22.8%	1.9%	-0.2%	4.5M	-113.1M	-1.9M	0.66	6.15	14,744	9,684	164,676	132,734
2014-08-04	$38.58	$36.25	17.8%	6.5%	20.0%	20.1%	23.4%	1.7%	-0.1%	6.7M	-133.3M	-1.9M	1.22	5.46	5,452	6,644	152,022	130,114
2014-08-05	$38.46	$36.25	18.1%	6.6%	19.5%	21.9%	23.1%	2.4%	0.0%	5.0M	-117.5M	-1.9M	0.15	5.44	29,578	4,318	152,182	133,240
2014-08-06	$38.57	$36.25	18.0%	6.7%	18.9%	21.8%	24.2%	2.3%	-0.1%	16.5M	-154.0M	-1.9M	0.45	5.18	5,510	2,486	178,292	135,232
2014-08-07	$38.17	$36.25	18.4%	6.7%	18.5%	24.0%	24.4%	2.5%	-0.3%	11.4M	-111.9M	-1.9M	0.27	5.30	7,442	2,032	180,046	135,702
2014-08-08	$38.53	$36.25	17.4%	6.8%	18.8%	17.8%	24.7%	2.2%	0.1%	15.7M	-146.6M	-1.9M	0.62	5.24	6,306	3,908	180,958	136,750
2014-08-11	$38.53	$36.25	17.1%	6.7%	18.5%	15.8%	23.9%	1.4%	0.0%	18.1M	-143.8M	-1.9M	0.45	4.59	5,274	2,348	176,716	132,352
2014-08-12	$38.37	$36.25	16.5%	6.6%	18.6%	12.2%	23.0%	1.5%	0.4%	14.2M	-119.6M	-1.9M	0.09	5.23	11,140	1,040	177,440	133,632
2014-08-13	$38.63	$36.25	15.5%	6.6%	18.0%	5.8%	24.6%	1.5%	0.6%	14.3M	-140.8M	-1.8M	0.44	5.03	5,992	2,640	171,686	133,968
2014-08-14	$38.65	$36.25	14.8%	6.5%	17.9%	1.5%	24.8%	1.8%	-0.1%	15.1M	-138.4M	-1.8M	5.44	5.70	2,740	14,918	170,410	133,042
2014-08-15	$38.56	$36.25	14.6%	6.5%	17.3%	0.7%	23.3%	1.5%	0.0%	12.5M	-114.7M	-1.8M	0.64	6.02	6,724	4,334	170,448	143,758
2014-08-18	$39.27	$0.00	14.5%	6.0%	18.2%	0.0%	21.6%	1.5%	5.7%	7.0M	-168.2M	-1.8M	0.56	5.30	17,030	9,524	134,078	130,632
2014-08-19	$39.26	$36.25	13.8%	5.9%	18.2%	0.0%	21.9%	1.4%	5.6%	9.2M	-173.6M	-1.8M	0.57	3.91	6,270	3,552	143,734	135,656
2014-08-20	$39.45	$36.25	14.0%	5.8%	18.2%	1.5%	20.3%	1.4%	6.1%	11.5M	-195.7M	-1.8M	0.70	12.52	10,184	7,110	146,208	137,512
2014-08-21	$39.47	$36.25	13.6%	5.8%	17.3%	0.0%	22.0%	1.5%	6.8%	14.2M	-200.1M	-1.8M	0.77	10.98	6,004	4,634	151,094	142,340
2014-08-22	$39.65	$36.25	14.9%	5.8%	16.9%	7.8%	21.6%	1.6%	6.8%	14.3M	-220.3M	-1.8M	0.42	11.15	14,236	5,938	152,094	145,374
2014-08-25	$40.01	$36.25	18.9%	5.8%	16.9%	31.3%	20.1%	2.1%	-0.6%	12.3M	-221.9M	-1.8M	0.33	11.43	14,820	4,820	147,526	141,662
2014-08-26	$39.74	$36.25	19.9%	5.8%	17.0%	37.1%	20.3%	2.2%	-0.8%	14.4M	-193.8M	-1.8M	0.63	11.06	5,950	3,732	152,376	143,764
2014-08-27	$39.86	$36.25	20.9%	5.8%	15.6%	43.3%	19.7%	2.1%	-0.9%	15.3M	-206.8M	-1.8M	0.40	11.78	11,456	4,638	153,038	145,086
2014-08-28	$39.41	$36.25	21.6%	5.8%	11.2%	47.0%	20.8%	2.0%	-1.3%	7.4M	-144.5M	-1.8M	1.44	11.51	3,712	5,340	143,668	145,080
2014-08-29	$39.27	$36.25	21.4%	5.9%	11.1%	45.9%	21.8%	1.7%	-1.2%	7.3M	-129.7M	-1.8M	1.74	12.47	2,864	4,994	145,168	148,170