NKE Options History — December 2014

In December 2014, NKE traded between $46.70 and $49.62. ATM implied volatility averaged 22.1%, placing in the 54.7% IV rank vs the trailing year. The 30-day expected move averaged 6.0%. IV traded above realized volatility by 7.3% (HV 20d: 14.8%). Max pain ranged from $42.50 to $48.75. Net GEX was positive for 22 of 22 trading days. Term structure was in contango for 7 of 22 days. Put/call ratio averaged 0.79.

Notable Days

2014-12-19: Highest Volume — 95,296 contracts
2014-12-19: Largest IV drop — 36.0% change
2014-12-15: Highest IV Rank — 100.0%
2014-12-16: Largest Expected Move — 7.2%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$48.38	$46.70	$49.62	$48.88	$48.08
Max Pain	$44.52	$42.50	$48.75	$42.50	$48.75
ATM IV	22.1%	16.8%	29.1%	23.1%	17.6%
Expected Move	6.0%	5.1%	7.2%	6.0%	5.4%
HV 20d	14.8%	11.6%	18.7%	11.8%	17.1%
HV 60d	24.4%	15.9%	28.8%	27.9%	15.9%
IV Rank	54.7%	20.7%	100.0%	59.8%	26.1%
IV Percentile	68.4%	27.8%	100.0%	82.1%	42.5%
Term Structure	-0.4%	-2.2%	1.0%	-1.0%	0.4%
VWIV	21.5%	17.8%	25.7%	21.9%	18.5%
Skew 25d	2.3%	1.4%	3.1%	2.1%	1.7%
Skew 10d	5.0%	2.6%	7.3%	2.6%	3.3%
Call IV 25d	21.4%	16.1%	27.7%	22.3%	17.2%
Put IV 25d	23.7%	17.8%	30.4%	24.4%	18.9%
Bid-Ask Spread %	12.72	9.22	15.50	12.80	9.49
Gamma HHI	0.16	0.12	0.22	0.18	0.12
Net GEX	12.6M	5.7M	19.2M	12.2M	13.9M
Net DEX	-383.3M	-534.3M	-216.3M	-471.0M	-346.4M
Net VEX	-1.9M	-2.0M	-1.7M	-1.7M	-2.0M
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	0.79	0.29	1.37	1.24	0.37
Total Volume	30,646.091	7,254	95,296	16,346	10,768
Total OI	327,437.273	307,048	386,928	314,504	334,142

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
2014-12-01	$48.88	$42.50	23.1%	6.0%	11.8%	59.8%	21.9%	2.1%	-1.0%	12.2M	-471.0M	-1.7M	1.24	12.80	7,300	9,046	165,474	149,030
2014-12-02	$48.98	$42.50	22.7%	6.0%	11.7%	57.6%	21.5%	2.6%	-0.1%	12.1M	-476.9M	-1.8M	1.31	13.02	6,348	8,286	166,902	150,836
2014-12-03	$49.27	$42.50	22.9%	6.0%	11.7%	58.5%	21.5%	2.8%	-0.6%	12.7M	-499.6M	-1.8M	1.24	12.60	6,264	7,766	168,382	152,436
2014-12-04	$49.52	$42.50	23.4%	5.9%	11.6%	62.0%	21.6%	2.6%	-0.8%	14.5M	-522.1M	-1.7M	0.51	11.86	4,816	2,438	170,172	153,716
2014-12-05	$49.62	$42.50	22.6%	5.9%	11.6%	56.5%	20.7%	2.5%	-0.6%	16.6M	-534.3M	-1.7M	1.13	14.05	8,224	9,260	171,654	154,712
2014-12-08	$48.80	$42.50	23.3%	6.1%	12.8%	61.4%	22.5%	2.4%	-0.9%	11.6M	-457.6M	-1.8M	0.65	9.82	12,886	8,412	167,960	152,696
2014-12-09	$48.55	$42.50	23.5%	6.2%	12.3%	62.7%	22.0%	3.0%	-1.0%	10.8M	-433.8M	-1.9M	0.88	10.85	13,804	12,202	169,216	155,460
2014-12-10	$48.77	$42.50	24.6%	6.4%	12.3%	69.3%	23.4%	2.7%	-0.2%	10.3M	-424.8M	-1.8M	0.29	11.32	35,550	10,214	164,022	159,594
2014-12-11	$48.45	$42.50	25.1%	6.4%	12.2%	72.8%	24.0%	1.7%	-1.1%	8.2M	-318.3M	-1.8M	0.88	12.21	15,178	13,400	146,214	160,834
2014-12-12	$48.13	$43.75	26.7%	6.8%	12.5%	89.6%	24.1%	1.5%	-2.2%	6.6M	-295.7M	-1.9M	0.58	12.22	15,918	9,166	148,738	164,788
2014-12-15	$47.80	$43.75	28.2%	7.0%	12.6%	100.0%	24.5%	3.0%	-1.6%	7.8M	-277.6M	-1.9M	0.56	11.92	21,306	11,850	150,640	163,956
2014-12-16	$46.70	$43.75	29.1%	7.2%	14.9%	100.0%	25.7%	2.7%	-1.0%	5.7M	-216.3M	-1.9M	0.50	9.22	21,762	10,930	156,336	168,030
2014-12-17	$47.34	$43.75	27.7%	7.0%	15.6%	91.1%	25.0%	2.8%	0.2%	8.1M	-262.2M	-1.9M	0.54	14.93	25,246	13,578	161,766	171,126
2014-12-18	$48.30	$43.75	26.5%	6.9%	17.2%	83.3%	24.8%	2.5%	-0.3%	11.8M	-343.1M	-1.9M	0.56	14.97	57,686	32,430	167,672	175,394
2014-12-19	$47.42	$43.75	17.0%	6.1%	18.3%	21.7%	21.9%	2.1%	0.7%	10.9M	-264.5M	-1.9M	0.57	15.03	60,864	34,432	195,630	191,298
2014-12-22	$47.90	$0.00	16.8%	5.2%	18.7%	20.8%	18.6%	3.1%	0.3%	16.0M	-348.4M	-2.0M	0.75	12.93	18,166	13,714	161,986	159,244
2014-12-23	$48.04	$47.50	16.8%	5.2%	18.6%	20.7%	17.8%	1.4%	0.4%	18.0M	-361.6M	-1.9M	0.66	10.89	18,804	12,412	163,778	161,774
2014-12-24	$48.15	$47.50	16.9%	5.1%	18.5%	21.1%	18.3%	1.6%	0.5%	19.2M	-381.4M	-1.9M	1.26	13.64	14,284	18,056	168,034	163,490
2014-12-26	$48.44	$48.75	16.9%	5.1%	18.6%	21.5%	18.1%	2.1%	-0.2%	18.4M	-400.2M	-2.0M	1.37	15.21	11,886	16,232	170,014	171,054
2014-12-29	$48.69	$48.75	17.2%	5.1%	17.8%	22.8%	18.1%	2.2%	1.0%	16.1M	-409.8M	-2.0M	0.74	15.50	12,490	9,224	160,792	164,786
2014-12-30	$48.44	$48.75	17.4%	5.1%	17.0%	24.7%	18.0%	2.3%	-0.0%	16.1M	-387.7M	-2.0M	0.82	15.39	6,396	5,220	163,490	166,352
2014-12-31	$48.08	$48.75	17.6%	5.4%	17.1%	26.1%	18.5%	1.7%	0.4%	13.9M	-346.4M	-2.0M	0.37	9.49	7,856	2,912	164,650	169,492