NKE Options History — January 2015

In January 2015, NKE traded between $46.12 and $48.48. ATM implied volatility averaged 18.7%, placing in the 33.1% IV rank vs the trailing year. The 30-day expected move averaged 5.4%. IV traded below realized volatility by 0.7% (HV 20d: 19.4%). Max pain ranged from $47.50 to $48.75. Net GEX was positive for 15 of 20 trading days. Term structure was in contango for 14 of 20 days. Put/call ratio averaged 0.93.

Notable Days

  • 2015-01-30: Highest Volume — 47,216 contracts
  • 2015-01-27: Largest IV spike — 10.3% change
  • 2015-01-30: Highest IV Rank — 44.6%
  • 2015-01-30: Largest Expected Move — 6.1%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$47.25$46.12$48.48$47.56$46.12
Max Pain$47.56$47.50$48.75$48.75$47.50
ATM IV18.7%16.3%20.5%18.2%20.5%
Expected Move5.4%4.6%6.1%5.3%6.1%
HV 20d19.4%16.7%22.6%17.3%22.6%
HV 60d16.1%15.5%17.7%15.9%17.7%
IV Rank33.1%17.0%44.6%29.7%44.6%
IV Percentile49.2%19.8%61.1%51.6%61.1%
Term Structure0.2%-0.7%1.2%0.1%0.1%
VWIV18.9%15.5%20.6%18.4%20.6%
Skew 25d2.7%1.2%4.6%3.2%1.8%
Skew 10d5.4%2.6%8.1%6.4%2.6%
Call IV 25d17.9%15.3%19.8%16.6%19.8%
Put IV 25d20.6%17.6%22.2%19.9%21.7%
Bid-Ask Spread %13.048.7018.629.2814.45
Gamma HHI0.110.080.140.140.13
Net GEX5.3M-3.7M15.5M12.6M-3.7M
Net DEX-218.4M-391.4M-66.5M-289.3M-66.5M
Net VEX-2.0M-2.2M-2.0M-2.0M-2.2M
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.930.273.450.760.32
Total Volume23,504.510,67447,21628,13847,216
Total OI301,296.2227,670353,366335,922261,168

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2015-01-02$47.56$48.7518.2%5.3%17.3%29.7%18.4%3.2%0.1%12.6M-289.3M-2.0M0.769.2815,94812,190165,040170,882
2015-01-05$46.75$47.5020.1%5.7%17.9%41.5%19.4%3.3%-0.5%7.1M-226.3M-2.0M0.6812.0210,8887,398163,120170,730
2015-01-06$46.48$47.5019.9%5.8%17.8%40.3%20.1%3.0%0.0%5.2M-200.8M-2.0M0.8910.0510,1809,022163,836172,786
2015-01-07$47.44$47.5019.3%5.6%19.0%36.5%19.7%2.1%0.1%11.2M-292.2M-2.1M0.5713.058,0424,570166,814176,252
2015-01-08$48.48$47.5018.8%5.4%20.6%33.6%19.6%2.7%-0.1%15.5M-391.4M-2.0M0.5013.3721,88610,914167,748177,986
2015-01-09$48.01$47.5019.0%5.6%20.8%34.8%19.5%2.3%1.1%14.8M-360.8M-2.0M0.6812.0615,77810,650170,958178,608
2015-01-12$47.97$47.5019.2%5.7%20.7%36.3%19.9%2.9%0.5%13.3M-347.9M-2.0M0.9711.1410,1249,866169,496177,246
2015-01-13$47.47$47.5019.0%5.3%20.9%35.0%18.7%2.6%-0.1%10.1M-297.9M-2.0M0.6614.9420,70813,710169,058178,202
2015-01-14$46.86$47.5019.6%5.8%21.2%38.7%19.7%3.1%0.6%3.7M-220.9M-2.0M0.9112.1013,99212,684169,934182,872
2015-01-15$46.41$47.5020.3%5.8%19.9%43.5%20.1%2.5%-0.2%408.4K-184.4M-2.0M1.1510.029,63011,066170,536180,326
2015-01-16$46.49$47.5019.3%5.5%19.2%36.9%19.1%3.1%-0.4%-2.5M-185.0M-2.0M0.788.7011,4608,886171,676181,690
2015-01-20$46.80$47.5018.8%5.4%17.8%33.7%18.5%2.6%0.7%1.1M-124.7M-2.0M1.4912.326,0028,922118,566109,104
2015-01-21$46.76$47.5018.3%5.3%16.7%30.5%18.5%2.4%0.0%-586.3K-119.5M-2.0M0.8613.565,7444,930121,516115,282
2015-01-22$47.90$47.5016.5%4.7%18.6%18.7%17.3%2.5%1.2%5.2M-212.2M-2.0M0.8514.7915,53413,184124,076118,422
2015-01-23$48.08$47.5016.3%4.6%18.6%17.0%17.1%2.3%0.5%6.4M-232.4M-2.0M0.6718.6221,70614,566129,616124,942
2015-01-26$48.17$47.5016.4%4.6%18.6%18.1%15.5%2.6%0.3%7.0M-213.7M-2.1M0.2713.748,4382,238128,810120,464
2015-01-27$47.25$47.5018.1%5.1%19.6%29.2%18.3%2.7%0.3%-620.4K-145.6M-2.1M3.4517.624,78816,508128,248121,066
2015-01-28$46.66$47.5018.2%5.4%19.9%29.5%18.6%1.2%1.2%-2.0M-101.2M-2.1M1.1714.9810,32612,060128,876123,316
2015-01-29$47.37$47.5018.8%5.3%20.7%33.7%19.8%4.6%-0.7%2.2M-155.7M-2.2M0.9014.029,6608,676131,256125,400
2015-01-30$46.12$47.5020.5%6.1%22.6%44.6%20.6%1.8%0.1%-3.7M-66.5M-2.2M0.3214.4535,76011,456132,858128,310