NKE Options History — November 2014

In November 2014, NKE traded between $46.73 and $49.65. ATM implied volatility averaged 18.7%, placing in the 31.9% IV rank vs the trailing year. The 30-day expected move averaged 5.9%. IV traded above realized volatility by 6.3% (HV 20d: 12.4%). Max pain ranged from $41.25 to $42.50. Net GEX was positive for 19 of 19 trading days. Term structure was in contango for 11 of 19 days. Put/call ratio averaged 0.66.

Notable Days

2014-11-21: Highest Volume — 45,600 contracts
2014-11-17: Largest IV spike — 15.4% change
2014-11-28: Highest IV Rank — 53.7%
2014-11-03: Largest Expected Move — 6.0%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$48.01	$46.73	$49.65	$46.73	$49.65
Max Pain	$41.58	$41.25	$42.50	$41.25	$42.50
ATM IV	18.7%	15.6%	22.1%	16.1%	22.1%
Expected Move	5.9%	5.8%	6.0%	6.0%	5.8%
HV 20d	12.4%	9.2%	18.4%	18.4%	9.7%
HV 60d	28.2%	28.0%	28.4%	28.3%	28.1%
IV Rank	31.9%	12.6%	53.7%	15.8%	53.7%
IV Percentile	40.5%	11.1%	70.2%	15.9%	70.2%
Term Structure	1.2%	-1.2%	5.8%	0.6%	-1.0%
VWIV	21.1%	20.3%	22.1%	21.1%	21.1%
Skew 25d	2.2%	1.4%	2.9%	2.2%	2.5%
Skew 10d	5.0%	3.4%	6.8%	4.7%	5.4%
Call IV 25d	18.1%	15.1%	21.8%	15.1%	21.6%
Put IV 25d	20.3%	16.9%	24.2%	17.4%	24.2%
Bid-Ask Spread %	10.39	8.08	13.64	10.67	13.64
Gamma HHI	0.16	0.13	0.21	0.13	0.18
Net GEX	18.3M	13.9M	27.2M	13.9M	14.1M
Net DEX	-549.8M	-607.5M	-480.0M	-480.6M	-565.8M
Net VEX	-1.7M	-1.9M	-1.6M	-1.7M	-1.7M
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	0.66	0.24	1.66	0.93	0.60
Total Volume	19,526.526	5,542	45,600	19,290	10,464
Total OI	326,683.263	305,372	345,170	311,180	324,430

Daily Data (19 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
2014-11-03	$46.73	$41.25	16.1%	6.0%	18.4%	15.8%	21.1%	2.2%	0.6%	13.9M	-480.6M	-1.7M	0.93	10.67	9,972	9,318	162,266	148,914
2014-11-04	$46.97	$41.25	16.1%	5.9%	17.5%	15.3%	22.1%	2.1%	0.4%	15.4M	-504.3M	-1.8M	0.45	10.74	19,854	8,842	166,584	150,760
2014-11-05	$47.35	$41.25	15.9%	5.9%	17.4%	14.6%	21.4%	2.3%	0.0%	20.2M	-563.4M	-1.8M	0.82	8.08	12,552	10,342	178,482	152,692
2014-11-06	$47.34	$41.25	16.2%	5.9%	15.2%	16.2%	21.5%	1.9%	0.8%	21.1M	-572.8M	-1.8M	0.63	8.85	11,574	7,300	181,450	154,962
2014-11-07	$46.91	$41.25	16.2%	5.9%	15.8%	16.1%	21.5%	1.4%	0.6%	16.4M	-511.2M	-1.9M	0.68	10.86	10,966	7,426	181,090	155,594
2014-11-10	$47.53	$41.25	15.8%	5.9%	13.2%	13.9%	20.8%	2.2%	4.9%	19.1M	-543.4M	-1.7M	0.81	8.61	8,240	6,690	173,276	152,390
2014-11-11	$47.45	$41.25	15.7%	5.8%	13.3%	13.0%	21.7%	1.8%	5.3%	18.7M	-538.3M	-1.8M	0.54	9.38	11,312	6,060	173,066	151,928
2014-11-12	$47.91	$41.25	15.6%	5.9%	13.1%	12.6%	20.8%	2.0%	5.8%	18.1M	-576.7M	-1.7M	0.63	9.93	9,836	6,194	174,792	153,330
2014-11-13	$48.01	$41.25	17.0%	5.9%	12.0%	21.1%	21.2%	1.9%	5.6%	17.7M	-589.0M	-1.7M	0.79	10.18	7,828	6,190	176,522	154,142
2014-11-14	$47.75	$41.25	17.7%	5.9%	12.5%	26.0%	21.0%	1.8%	5.6%	17.7M	-558.7M	-1.7M	0.26	10.38	9,838	2,564	177,406	155,646
2014-11-17	$47.98	$41.25	20.5%	5.9%	11.2%	43.3%	20.9%	2.3%	-1.0%	18.0M	-558.3M	-1.7M	0.87	9.76	6,218	5,438	174,360	154,016
2014-11-18	$48.26	$41.25	20.7%	5.8%	10.1%	44.7%	21.0%	2.1%	-0.5%	17.2M	-584.8M	-1.6M	0.60	8.96	11,100	6,626	174,658	155,008
2014-11-19	$48.48	$41.25	21.2%	5.8%	9.4%	47.8%	20.3%	2.3%	-0.4%	16.9M	-599.2M	-1.7M	0.24	10.38	17,828	4,258	177,636	156,062
2014-11-20	$48.60	$41.25	22.0%	5.9%	9.4%	53.2%	21.1%	2.4%	-0.5%	14.1M	-593.4M	-1.6M	0.30	11.46	27,404	8,280	176,110	156,734
2014-11-21	$48.72	$42.50	21.5%	5.8%	9.3%	49.6%	21.6%	2.6%	0.1%	27.2M	-607.5M	-1.8M	0.39	12.10	32,816	12,784	187,172	157,998
2014-11-24	$48.98	$42.50	21.3%	5.8%	9.2%	48.6%	20.7%	2.9%	-0.9%	21.1M	-516.0M	-1.7M	0.58	9.82	9,288	5,362	166,824	138,548
2014-11-25	$48.64	$42.50	21.6%	5.8%	9.6%	50.3%	20.6%	2.2%	-0.9%	20.2M	-480.0M	-1.7M	1.66	11.84	9,298	15,400	167,954	142,344
2014-11-26	$48.90	$42.50	21.5%	5.8%	9.2%	50.0%	20.6%	2.7%	-1.2%	21.4M	-501.9M	-1.8M	0.68	11.68	3,298	2,244	171,184	150,652
2014-11-28	$49.65	$42.50	22.1%	5.8%	9.7%	53.7%	21.1%	2.5%	-1.0%	14.1M	-565.8M	-1.7M	0.60	13.64	6,520	3,944	172,652	151,778