NKE Options History — February 2015

In February 2015, NKE traded between $45.57 and $48.55. ATM implied volatility averaged 21.2%, placing in the 48.7% IV rank vs the trailing year. The 30-day expected move averaged 6.5%. IV traded below realized volatility by 0.5% (HV 20d: 21.7%). Max pain ranged from $46.25 to $47.50. Net GEX was positive for 17 of 19 trading days. Term structure was in contango for 9 of 19 days. Put/call ratio averaged 1.10.

Notable Days

  • 2015-02-19: Highest Volume — 41,982 contracts
  • 2015-02-17: Largest IV spike — 17.2% change
  • 2015-02-18: Highest IV Rank — 70.9%
  • 2015-02-09: Largest Expected Move — 7.2%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$46.78$45.57$48.55$45.96$48.55
Max Pain$46.57$46.25$47.50$47.00$46.25
ATM IV21.2%18.7%24.6%21.3%22.1%
Expected Move6.5%5.4%7.2%6.1%6.5%
HV 20d21.7%19.9%22.9%22.4%19.9%
HV 60d18.7%17.6%19.5%17.6%19.0%
IV Rank48.7%32.8%70.9%49.4%54.6%
IV Percentile66.5%49.2%90.5%63.1%71.0%
Term Structure1.0%-1.5%5.2%0.3%-1.1%
VWIV23.6%20.7%25.8%21.7%22.6%
Skew 25d3.3%2.3%4.6%3.7%3.9%
Skew 10d6.8%4.6%10.1%8.0%6.1%
Call IV 25d20.0%17.1%23.0%19.9%21.3%
Put IV 25d23.3%19.9%26.5%23.6%25.2%
Bid-Ask Spread %15.248.6929.3515.3829.35
Gamma HHI0.140.070.330.170.10
Net GEX8.9M-5.5M25.9M9.2M14.0M
Net DEX-154.5M-302.2M-48.7M-95.0M-292.3M
Net VEX-2.2M-2.3M-2.2M-2.2M-2.3M
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.100.471.920.990.59
Total Volume28,573.57919,19441,98220,06631,612
Total OI301,448.421277,002334,084277,002317,018

Daily Data (19 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2015-02-02$45.96$47.0021.3%6.1%22.4%49.4%21.7%3.7%0.3%9.2M-95.0M-2.2M0.9915.3810,0709,996152,334124,668
2015-02-03$46.65$47.0019.3%5.4%22.3%36.8%20.7%4.6%-0.0%13.5M-158.8M-2.2M0.9518.5314,79614,104154,256128,904
2015-02-04$46.20$47.0020.0%5.7%22.5%41.1%20.7%2.3%0.3%10.5M-118.4M-2.3M1.2417.3112,39415,312157,890133,458
2015-02-05$46.65$47.5019.0%6.8%21.5%34.5%25.8%4.3%0.4%14.9M-162.0M-2.3M1.6311.749,30015,150160,828137,518
2015-02-06$45.85$47.5020.1%6.8%20.5%41.9%25.2%2.3%-0.5%4.6M-70.7M-2.3M0.9511.6215,30614,612161,676142,692
2015-02-09$45.57$47.5020.6%7.2%20.3%45.1%25.5%3.4%4.6%3.5M-48.7M-2.3M1.149.3913,61015,456155,648139,392
2015-02-10$46.43$46.2518.7%6.8%21.7%32.8%24.9%3.0%5.2%14.6M-129.0M-2.3M1.378.6911,14815,316159,384144,706
2015-02-11$45.63$46.2519.1%6.8%22.2%35.5%25.4%2.5%4.8%2.9M-52.4M-2.3M1.9212.109,47618,222160,580144,732
2015-02-12$46.10$46.2519.3%6.6%22.2%36.7%24.1%3.0%4.7%8.2M-87.5M-2.3M1.7213.6210,02417,206162,422149,870
2015-02-13$46.03$46.2519.5%6.5%22.0%38.2%24.7%2.6%5.2%-2.4M-69.0M-2.2M1.5810.589,37014,832164,022151,290
2015-02-17$45.94$46.2522.9%6.7%22.0%59.9%24.0%3.2%-0.3%-5.5M-58.0M-2.2M1.5510.217,54011,654143,840147,234
2015-02-18$46.80$46.2524.6%7.1%22.9%70.9%24.5%3.5%-1.5%1.5M-139.4M-2.2M0.709.4322,72215,960144,562148,346
2015-02-19$46.85$46.2523.9%6.9%22.9%66.8%25.5%3.5%-0.8%4.8M-164.0M-2.2M1.399.8317,58024,402154,056151,870
2015-02-20$47.47$46.2522.0%6.2%21.6%54.0%23.0%3.3%0.8%25.9M-252.7M-2.2M0.4714.1217,5908,318165,326168,758
2015-02-23$47.48$46.2522.9%6.3%21.6%60.0%23.1%3.1%-1.1%10.4M-217.3M-2.2M0.8219.1210,8248,878145,682148,858
2015-02-24$47.70$46.2522.7%6.4%21.6%58.4%23.2%3.9%-0.8%12.1M-241.4M-2.2M0.8919.5411,66810,394147,662151,990
2015-02-25$48.42$46.2521.8%6.1%21.1%52.8%21.1%2.7%-0.6%13.6M-302.2M-2.2M0.4921.8125,90212,750148,518152,834
2015-02-26$48.45$46.2522.3%6.5%20.5%56.1%22.9%3.5%-1.0%12.9M-277.3M-2.2M0.5727.2725,02414,380146,750157,946
2015-02-27$48.55$46.2522.1%6.5%19.9%54.6%22.6%3.9%-1.1%14.0M-292.3M-2.3M0.5929.3519,92011,692153,310163,708