NKE Options History — September 2014

In September 2014, NKE traded between $39.41 and $44.75. ATM implied volatility averaged 21.4%, placing in the 46.3% IV rank vs the trailing year. The 30-day expected move averaged 5.8%. IV traded above realized volatility by 3.1% (HV 20d: 18.4%). Max pain ranged from $37.50 to $40.00. Net GEX was positive for 21 of 21 trading days. Term structure was in contango for 3 of 21 days. Put/call ratio averaged 0.64.

Notable Days

  • 2014-09-26: Highest Volume — 163,306 contracts
  • 2014-09-26: Largest IV drop — 23.9% change
  • 2014-09-08: Highest IV Rank — 55.6%
  • 2014-09-25: Largest Expected Move — 6.0%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$41.14$39.41$44.75$39.64$44.60
Max Pain$39.05$37.50$40.00$37.50$40.00
ATM IV21.4%16.7%23.0%21.5%17.6%
Expected Move5.8%5.7%6.0%5.8%5.9%
HV 20d18.4%11.4%43.6%11.4%43.6%
HV 60d17.5%15.2%28.3%15.2%28.3%
IV Rank46.3%18.1%55.6%46.6%24.9%
IV Percentile61.3%19.4%73.4%61.9%37.7%
Term Structure-0.9%-2.3%0.2%-1.2%0.1%
VWIV20.9%20.0%22.4%20.9%21.1%
Skew 25d2.1%0.6%3.0%2.4%0.6%
Skew 10d4.1%1.6%5.6%4.7%1.6%
Call IV 25d20.9%16.2%22.7%20.6%17.6%
Put IV 25d22.9%18.1%24.9%23.1%18.2%
Bid-Ask Spread %11.328.9320.5611.379.14
Gamma HHI0.140.080.230.210.09
Net GEX15.0M6.6M27.7M10.3M8.5M
Net DEX-302.0M-684.9M-147.3M-166.7M-507.9M
Net VEX-1.8M-1.9M-1.6M-1.8M-1.9M
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.640.181.360.900.70
Total Volume35,496.3816,942163,30614,56043,714
Total OI339,909.048290,436405,476290,436399,570

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2014-09-02$39.64$37.5021.5%5.8%11.4%46.6%20.9%2.4%-1.2%10.3M-166.7M-1.8M0.9011.377,6746,886143,380147,056
2014-09-03$39.41$37.5021.9%5.7%11.6%48.7%20.0%1.9%-1.5%9.5M-147.3M-1.8M0.3813.269,6483,636148,412151,820
2014-09-04$39.96$40.0021.6%5.8%12.4%47.2%20.3%1.7%-1.4%17.5M-205.1M-1.9M0.2612.7114,3163,774153,558153,414
2014-09-05$41.02$40.0021.4%5.7%14.3%46.2%20.2%2.0%-1.1%14.4M-316.3M-1.8M0.1811.8846,5168,400155,462154,106
2014-09-08$41.20$40.0023.0%5.8%14.2%55.6%21.1%2.9%-2.3%15.4M-321.5M-1.8M0.208.9343,8588,650158,190155,846
2014-09-09$40.92$40.0022.4%5.8%14.6%51.7%22.2%1.0%-1.1%23.7M-317.0M-1.9M0.3010.5016,7965,116180,666158,264
2014-09-10$41.23$40.0022.4%5.8%14.4%51.8%20.5%2.8%-1.8%27.7M-356.9M-1.9M0.399.459,9463,864184,896160,514
2014-09-11$40.91$38.7522.2%5.8%14.9%50.8%20.9%1.8%-1.6%27.2M-320.4M-1.9M0.5110.597,8083,968187,506161,600
2014-09-12$40.92$38.7521.9%5.9%14.9%48.8%22.4%2.4%-1.7%27.7M-318.6M-1.9M0.3110.078,9982,824189,144163,858
2014-09-15$40.80$38.7522.1%5.9%15.0%49.9%20.8%2.1%-0.2%18.7M-283.3M-1.8M0.6610.814,1882,754178,946159,824
2014-09-16$40.60$38.7522.5%5.9%14.0%52.4%21.3%2.2%-0.8%16.0M-262.2M-1.8M0.5910.334,8282,850179,534160,616
2014-09-17$40.76$38.7522.0%5.8%14.0%49.4%20.5%2.0%0.2%17.1M-278.3M-1.8M0.5212.219,9945,238180,698162,058
2014-09-18$40.98$38.7522.3%5.8%14.0%51.2%21.3%2.1%-0.1%16.4M-302.1M-1.8M0.4710.6319,2289,114181,750162,852
2014-09-19$40.91$38.7521.7%5.8%14.1%47.4%20.7%1.9%-0.1%13.8M-283.1M-1.8M0.849.9112,13410,196184,640167,180
2014-09-22$40.35$38.7522.3%5.9%15.1%51.4%20.9%3.0%-1.0%8.7M-207.1M-1.8M1.009.478,4408,482158,522157,662
2014-09-23$40.06$38.7522.8%5.9%15.0%54.0%21.2%2.0%-1.2%7.8M-181.8M-1.8M1.0111.644,6904,758163,082163,708
2014-09-24$40.42$38.7522.7%5.9%15.1%53.6%21.4%2.9%-0.7%9.2M-211.3M-1.8M1.3612.8815,76221,414165,472165,758
2014-09-25$39.88$38.7521.9%6.0%15.9%49.0%20.5%2.0%-1.0%6.6M-153.5M-1.9M1.2720.5654,82669,650173,938179,158
2014-09-26$44.75$38.7516.7%5.7%43.5%18.1%20.5%1.9%-0.2%9.2M-684.9M-1.6M0.6111.94101,30262,004196,924208,552
2014-09-29$44.56$40.0017.3%5.8%43.5%23.2%21.2%2.2%0.1%10.1M-517.1M-1.8M0.969.4929,21627,964182,126197,828
2014-09-30$44.60$40.0017.6%5.9%43.6%24.9%21.1%0.6%0.1%8.5M-507.9M-1.9M0.709.1425,76417,950187,168212,402