NKE Options History — June 2015

In June 2015, NKE traded between $50.66 and $54.77. ATM implied volatility averaged 22.0%, placing in the 54.1% IV rank vs the trailing year. The 30-day expected move averaged 6.0%. IV traded above realized volatility by 10.0% (HV 20d: 12.0%). Max pain ranged from $48.75 to $50.00. Net GEX was positive for 22 of 22 trading days. Term structure was in contango for 2 of 22 days. Put/call ratio averaged 0.92.

Notable Days

  • 2015-06-26: Highest Volume — 173,020 contracts
  • 2015-06-26: Largest IV drop — 30.8% change
  • 2015-06-16: Highest IV Rank — 65.4%
  • 2015-06-25: Largest Expected Move — 6.9%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$52.29$50.66$54.77$50.88$54.11
Max Pain$49.26$48.75$50.00$50.00$50.00
ATM IV22.0%15.4%23.7%22.5%17.3%
Expected Move6.0%4.4%6.9%4.5%5.1%
HV 20d12.0%9.4%19.5%10.9%19.5%
HV 60d13.7%11.9%15.4%15.4%15.0%
IV Rank54.1%11.7%65.4%57.6%24.1%
IV Percentile75.5%11.1%91.7%78.2%41.3%
Term Structure-0.8%-1.6%0.9%-1.0%0.0%
VWIV21.3%15.8%24.1%15.8%17.8%
Skew 25d2.3%1.6%3.3%1.9%2.1%
Skew 10d4.4%2.2%6.2%4.9%3.9%
Call IV 25d21.2%15.3%22.8%22.1%16.3%
Put IV 25d23.5%16.9%25.8%24.0%18.5%
Bid-Ask Spread %13.199.9221.2114.249.92
Gamma HHI0.190.130.310.170.13
Net GEX22.2M10.1M38.1M10.1M35.1M
Net DEX-401.4M-801.9M-239.6M-247.5M-551.5M
Net VEX-2.1M-2.2M-2.0M-2.2M-2.1M
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.920.352.960.560.82
Total Volume38,872.9096,904173,02017,25620,132
Total OI334,701.364293,070461,380293,070381,520

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2015-06-01$50.88$50.0022.5%4.5%10.9%57.6%15.8%1.9%-1.0%10.1M-247.5M-2.2M0.5614.2411,0766,180147,734145,336
2015-06-02$51.05$50.0022.9%4.6%11.0%60.0%16.0%2.0%-1.3%12.5M-266.9M-2.2M0.8614.093,7063,198151,110145,694
2015-06-03$51.25$50.0022.5%4.5%10.9%57.6%16.0%2.6%-1.4%14.5M-287.2M-2.2M0.8513.657,3166,236153,222146,620
2015-06-04$50.95$48.7523.2%6.4%11.0%61.7%22.3%2.7%-1.2%12.6M-263.9M-2.2M0.6514.4512,7848,368155,130147,398
2015-06-05$51.01$48.7523.2%6.5%10.0%61.7%22.8%3.3%-1.0%15.9M-272.7M-2.2M1.569.986,0229,374159,474149,266
2015-06-08$50.75$48.7523.4%6.4%9.5%62.9%24.0%3.0%-0.7%12.4M-257.1M-2.2M2.9610.524,71213,966156,766146,502
2015-06-09$50.66$48.7523.2%6.5%9.4%62.0%22.4%2.9%-0.6%10.9M-239.6M-2.2M2.2913.295,01411,462156,886150,052
2015-06-10$51.69$48.7522.9%6.2%11.8%59.9%22.5%1.9%-1.2%18.1M-345.7M-2.1M0.5014.6221,40410,802157,258152,494
2015-06-11$51.89$48.7522.1%6.1%11.8%54.8%22.2%2.3%-0.6%30.4M-383.6M-2.2M0.7610.8313,47810,286168,344154,378
2015-06-12$51.94$48.7522.7%6.3%11.0%59.0%21.9%2.5%-1.2%37.5M-376.1M-2.1M0.6611.2213,9089,204168,234157,964
2015-06-15$51.70$48.7523.5%6.6%9.6%63.8%22.7%2.2%-0.2%19.3M-350.9M-2.2M0.7014.0712,2608,536166,402156,508
2015-06-16$52.30$48.7523.7%6.8%10.6%65.4%23.5%2.3%-0.8%23.6M-418.0M-2.1M0.8810.1713,45011,798173,042159,174
2015-06-17$52.37$48.7523.5%6.7%10.6%64.0%24.1%1.9%-1.3%27.2M-432.5M-2.1M1.1213.839,80211,022177,708161,344
2015-06-18$52.97$48.7522.9%6.6%11.3%60.2%23.7%2.2%-1.3%26.3M-495.6M-2.1M0.4111.1135,03614,324178,482163,106
2015-06-19$53.37$48.7522.0%6.4%11.6%54.0%22.0%2.1%-0.9%21.3M-536.7M-2.0M0.4910.5928,85414,030183,280165,952
2015-06-22$53.48$48.7522.2%6.7%11.5%55.5%23.5%2.1%-0.6%21.4M-466.4M-2.1M0.6116.6318,47811,318175,156150,400
2015-06-23$53.59$50.0022.2%6.7%10.7%55.5%23.5%2.5%-1.1%23.4M-488.4M-2.1M0.6514.3323,08415,098182,906154,640
2015-06-24$53.14$50.0022.5%6.8%11.1%57.5%23.8%1.6%-1.6%24.0M-452.0M-2.1M1.2721.2113,80417,552196,212161,814
2015-06-25$52.56$50.0022.3%6.9%11.7%56.1%24.1%2.2%-0.8%19.8M-379.3M-2.2M0.6417.9897,61262,634201,570170,096
2015-06-26$54.77$50.0015.4%4.4%18.1%11.7%16.2%1.6%0.9%38.1M-801.9M-2.0M0.3510.66127,82845,192255,168206,212
2015-06-29$53.86$50.0017.6%5.2%19.5%26.0%18.4%2.1%-0.1%34.8M-516.9M-2.1M0.6012.7334,27020,594198,524174,352
2015-06-30$54.11$50.0017.3%5.1%19.5%24.1%17.8%2.1%0.0%35.1M-551.5M-2.1M0.829.9211,0769,056203,666177,854