NKE Options History — July 2015

In July 2015, NKE traded between $54.65 and $57.61. ATM implied volatility averaged 16.1%, placing in the 16.0% IV rank vs the trailing year. The 30-day expected move averaged 4.6%. IV traded below realized volatility by 2.6% (HV 20d: 18.7%). Max pain ranged from $50.00 to $56.00. Net GEX was positive for 22 of 22 trading days. Term structure was in contango for 15 of 22 days. Put/call ratio averaged 1.14.

Notable Days

2015-07-06: Highest Volume — 34,910 contracts
2015-07-08: Largest IV spike — 9.2% change
2015-07-08: Highest IV Rank — 32.0%
2015-07-09: Largest Expected Move — 5.3%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$56.13	$54.65	$57.61	$54.65	$57.61
Max Pain	$54.23	$50.00	$56.00	$50.00	$56.00
ATM IV	16.1%	14.9%	18.6%	16.9%	15.1%
Expected Move	4.6%	4.2%	5.3%	4.8%	4.2%
HV 20d	18.7%	13.9%	20.7%	19.7%	14.2%
HV 60d	15.2%	15.0%	15.8%	15.1%	15.1%
IV Rank	16.0%	8.3%	32.0%	21.4%	9.3%
IV Percentile	20.2%	4.8%	50.4%	34.5%	6.0%
Term Structure	0.2%	-0.8%	0.9%	-0.1%	0.3%
VWIV	16.4%	14.9%	18.9%	16.9%	14.9%
Skew 25d	2.1%	1.7%	3.0%	2.5%	2.1%
Skew 10d	4.5%	3.2%	6.7%	5.0%	4.0%
Call IV 25d	15.4%	14.0%	17.8%	16.1%	14.0%
Put IV 25d	17.5%	16.1%	20.2%	18.6%	16.1%
Bid-Ask Spread %	10.61	6.56	14.62	10.14	11.00
Gamma HHI	0.19	0.10	0.41	0.18	0.28
Net GEX	19.9M	6.5M	43.8M	32.7M	18.8M
Net DEX	-525.0M	-689.0M	-323.6M	-651.1M	-477.1M
Net VEX	-1.8M	-2.0M	-1.6M	-2.0M	-1.7M
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	1.14	0.58	2.06	0.83	0.99
Total Volume	22,330.364	14,748	34,910	17,962	18,208
Total OI	312,981	246,606	382,634	381,942	270,236

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
2015-07-01	$54.65	$50.00	16.9%	4.8%	19.7%	21.4%	16.9%	2.5%	-0.1%	32.7M	-651.1M	-2.0M	0.83	10.14	9,818	8,144	205,118	176,824
2015-07-02	$54.98	$50.00	16.6%	4.8%	19.4%	19.3%	17.3%	1.8%	0.2%	43.8M	-689.0M	-2.0M	0.87	9.52	11,834	10,332	205,276	177,358
2015-07-06	$54.91	$52.50	17.5%	5.0%	19.4%	25.1%	17.6%	2.2%	-0.2%	24.2M	-549.2M	-1.9M	0.58	6.56	22,162	12,748	173,660	166,458
2015-07-07	$55.58	$52.50	17.0%	5.0%	19.4%	21.9%	18.2%	1.8%	0.0%	32.3M	-638.4M	-1.8M	0.83	9.28	17,712	14,654	183,518	171,368
2015-07-08	$54.67	$52.50	18.6%	5.3%	20.7%	32.0%	18.7%	2.4%	-0.1%	24.2M	-510.3M	-2.0M	1.29	12.54	9,012	11,582	182,810	173,758
2015-07-09	$54.85	$52.50	18.2%	5.3%	19.8%	29.7%	18.9%	2.3%	-0.1%	25.9M	-527.9M	-2.0M	0.91	8.36	11,698	10,682	183,428	174,596
2015-07-10	$55.30	$55.00	17.2%	5.1%	19.9%	22.9%	17.6%	2.4%	0.4%	23.6M	-588.3M	-1.8M	1.12	10.45	9,598	10,738	183,146	177,712
2015-07-13	$56.26	$55.00	16.3%	4.4%	20.5%	17.2%	16.3%	3.0%	-0.4%	21.1M	-662.4M	-1.6M	0.75	10.61	16,456	12,394	171,112	168,680
2015-07-14	$56.18	$55.00	15.8%	4.7%	20.3%	14.2%	15.7%	2.3%	0.3%	23.2M	-645.9M	-1.7M	0.71	7.73	15,532	11,022	174,920	170,996
2015-07-15	$55.95	$55.00	15.6%	4.7%	20.3%	13.0%	16.7%	1.9%	0.9%	22.8M	-633.0M	-1.7M	1.16	10.38	6,940	8,052	179,304	173,124
2015-07-16	$56.13	$55.00	15.4%	4.5%	20.3%	11.2%	15.7%	2.0%	0.5%	21.4M	-628.7M	-1.8M	1.39	11.13	9,300	12,908	175,636	174,084
2015-07-17	$56.46	$55.00	14.9%	4.2%	20.1%	8.5%	15.2%	1.9%	-0.8%	16.0M	-660.7M	-1.7M	1.15	11.42	15,126	17,404	177,310	181,172
2015-07-20	$56.59	$55.00	15.0%	4.3%	20.0%	8.9%	15.0%	1.7%	0.3%	11.2M	-405.3M	-1.7M	2.06	11.05	7,118	14,654	121,610	124,996
2015-07-21	$56.52	$55.00	15.1%	4.3%	20.1%	9.7%	15.3%	1.9%	0.5%	10.7M	-396.9M	-1.7M	1.92	10.32	7,480	14,388	123,036	127,958
2015-07-22	$57.02	$55.00	14.9%	4.3%	20.2%	8.3%	15.2%	2.0%	0.4%	11.5M	-427.6M	-1.7M	1.77	12.33	6,490	11,520	125,662	134,018
2015-07-23	$56.99	$55.00	15.4%	4.4%	19.8%	11.8%	15.6%	2.1%	-0.6%	12.0M	-427.9M	-1.7M	0.95	12.05	12,462	11,778	127,156	134,640
2015-07-24	$56.54	$55.00	15.8%	4.5%	19.5%	13.9%	16.0%	2.0%	0.4%	11.5M	-390.8M	-1.8M	1.30	11.58	9,102	11,834	129,700	135,932
2015-07-27	$55.83	$55.00	16.5%	4.7%	14.5%	18.8%	16.8%	2.5%	0.1%	6.5M	-323.6M	-1.8M	0.99	12.61	10,950	10,810	126,192	131,288
2015-07-28	$56.75	$55.50	15.8%	4.5%	13.9%	14.2%	16.0%	2.1%	0.9%	12.8M	-393.9M	-1.7M	1.18	10.00	6,752	7,996	128,724	132,914
2015-07-29	$57.52	$55.50	15.3%	4.3%	14.4%	10.6%	15.2%	2.4%	0.4%	16.2M	-453.6M	-1.8M	1.27	14.62	8,010	10,212	130,434	132,222
2015-07-30	$57.58	$56.00	15.2%	4.3%	14.2%	10.3%	15.9%	1.9%	0.8%	15.7M	-469.1M	-1.7M	1.11	9.77	7,410	8,246	132,204	135,292
2015-07-31	$57.61	$56.00	15.1%	4.2%	14.2%	9.3%	14.9%	2.1%	0.3%	18.8M	-477.1M	-1.7M	0.99	11.00	9,168	9,040	133,280	136,956