NKE Options History — March 2015

In March 2015, NKE traded between $47.67 and $50.99. ATM implied volatility averaged 20.8%, placing in the 46.2% IV rank vs the trailing year. The 30-day expected move averaged 5.9%. IV traded above realized volatility by 2.3% (HV 20d: 18.4%). Max pain ranged from $46.25 to $50.00. Net GEX was positive for 12 of 22 trading days. Term structure was in contango for 5 of 22 days. Put/call ratio averaged 1.75.

Notable Days

  • 2015-03-20: Highest Volume — 191,916 contracts
  • 2015-03-20: Largest IV drop — 35.9% change
  • 2015-03-18: Highest IV Rank — 74.4%
  • 2015-03-04: Largest Expected Move — 7.5%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$49.18$47.67$50.99$49.37$50.20
Max Pain$47.56$46.25$50.00$46.25$50.00
ATM IV20.8%14.4%25.1%22.3%16.7%
Expected Move5.9%4.0%7.5%6.9%4.7%
HV 20d18.4%16.2%21.2%17.6%20.6%
HV 60d19.7%18.7%20.4%19.3%20.3%
IV Rank46.2%4.9%74.4%56.0%20.1%
IV Percentile60.8%1.2%96.0%73.0%26.6%
Term Structure-0.6%-1.9%0.6%-0.7%-0.1%
VWIV20.8%14.3%26.7%24.5%16.3%
Skew 25d2.2%1.4%3.6%3.6%2.0%
Skew 10d4.4%2.2%7.9%7.9%3.5%
Call IV 25d20.1%14.2%24.4%20.9%15.9%
Put IV 25d22.3%15.6%26.5%24.4%17.9%
Bid-Ask Spread %12.437.0429.4425.3511.92
Gamma HHI0.120.080.180.100.17
Net GEX5.2M-16.9M55.9M13.2M-11.4M
Net DEX-263.6M-811.7M-44.6M-343.8M-232.4M
Net VEX-2.4M-2.6M-2.1M-2.2M-2.4M
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.750.408.501.241.11
Total Volume51,741.09110,042191,91660,88024,542
Total OI424,167.909311,468581,718311,468418,792

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2015-03-02$49.37$46.2522.3%6.9%17.6%56.0%24.5%3.6%-0.7%13.2M-343.8M-2.2M1.2425.3527,20033,680150,300161,168
2015-03-03$48.99$46.2522.4%7.1%17.9%56.9%25.4%3.3%-1.2%14.8M-317.5M-2.2M2.1924.2817,28437,900155,782183,756
2015-03-04$48.75$47.5023.8%7.5%17.5%65.5%26.7%2.9%-1.7%13.4M-289.7M-2.2M1.4129.4424,72434,770159,860190,664
2015-03-05$49.21$46.2522.9%6.1%17.1%59.7%21.0%3.0%-1.6%23.5M-363.3M-2.3M2.599.1213,00033,712173,266193,432
2015-03-06$48.39$46.2523.1%6.2%18.3%61.4%22.0%2.5%-1.5%14.7M-266.2M-2.3M1.618.2913,89822,412174,936194,528
2015-03-09$48.72$46.2522.5%6.3%16.9%57.2%22.1%2.6%-0.2%21.2M-290.0M-2.2M2.2510.618,17418,396170,068195,528
2015-03-10$48.26$46.2523.0%6.3%17.2%60.5%22.5%2.2%-0.7%13.2M-216.4M-2.4M8.509.035,47046,522173,394210,772
2015-03-11$47.67$46.2524.0%6.6%16.9%67.2%23.0%1.5%-0.9%-9.5M-44.6M-2.5M0.827.0412,50210,256175,314252,960
2015-03-12$48.52$46.2524.1%6.7%16.4%68.1%23.4%2.4%-1.2%5.3M-168.9M-2.5M2.1811.5810,98823,944181,408257,746
2015-03-13$47.91$46.2524.5%6.8%17.0%70.4%23.8%2.5%-0.8%-16.9M-58.8M-2.6M1.457.1910,41815,118188,954277,056
2015-03-16$48.22$46.2524.2%6.8%17.1%68.4%24.2%2.1%-0.7%-11.7M-111.0M-2.5M0.999.8313,41413,312174,708273,806
2015-03-17$48.27$47.5024.8%7.0%17.0%72.4%24.9%2.0%-1.0%-13.1M-105.5M-2.5M0.529.0826,02213,546176,562281,194
2015-03-18$48.76$47.5025.1%7.2%16.2%74.4%25.3%1.8%-1.3%-8.9M-192.0M-2.5M1.0313.7918,67219,178186,606289,774
2015-03-19$49.16$47.5025.1%7.3%16.3%74.2%25.5%2.1%-1.9%-3.8M-282.0M-2.5M0.5710.96113,04663,882195,498296,602
2015-03-20$50.99$47.5016.1%4.6%20.0%15.9%16.4%1.7%-0.5%55.9M-811.7M-2.1M0.408.00137,36854,548253,582328,136
2015-03-23$50.73$47.5015.2%4.2%20.3%10.0%14.9%1.5%-0.4%24.4M-443.5M-2.1M1.1214.4227,16630,480180,530217,712
2015-03-24$50.33$48.7514.4%4.0%20.6%4.9%14.3%1.4%0.5%13.3M-368.7M-2.3M1.919.0714,58427,868188,466239,780
2015-03-25$49.49$50.0015.4%4.3%21.2%11.5%14.7%1.8%0.6%321.2K-174.8M-2.4M2.4511.5112,85831,470191,794257,688
2015-03-26$49.68$50.0015.9%4.4%21.2%14.5%15.9%1.6%0.3%-3.6M-183.6M-2.5M2.1113.0713,08227,632194,448274,134
2015-03-27$49.94$50.0015.8%4.3%21.2%14.4%15.4%2.2%0.4%-8.1M-258.1M-2.5M0.919.935,2684,774197,320277,490
2015-03-30$50.45$50.0015.7%4.3%20.8%13.5%15.3%1.4%0.3%-11.4M-275.6M-2.4M1.0510.0112,31812,906162,326253,854
2015-03-31$50.20$50.0016.7%4.7%20.6%20.1%16.3%2.0%-0.1%-11.4M-232.4M-2.4M1.1111.9211,65012,892163,658255,134