NKE Options History — August 2015

In August 2015, NKE traded between $52.33 and $58.40. ATM implied volatility averaged 21.7%, placing in the 43.7% IV rank vs the trailing year. The 30-day expected move averaged 6.0%. IV traded above realized volatility by 3.7% (HV 20d: 18.0%). Max pain ranged from $55.00 to $57.50. Net GEX was positive for 11 of 21 trading days. Term structure was in contango for 10 of 21 days. Put/call ratio averaged 1.98.

Notable Days

2015-08-21: Highest Volume — 108,816 contracts
2015-08-21: Largest IV spike — 28.1% change
2015-08-24: Highest IV Rank — 100.0%
2015-08-24: Largest Expected Move — 9.5%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$56.35	$52.33	$58.40	$57.41	$55.99
Max Pain	$56.71	$55.00	$57.50	$56.00	$55.00
ATM IV	21.7%	15.8%	34.8%	16.2%	28.6%
Expected Move	6.0%	4.4%	9.5%	4.5%	7.1%
HV 20d	18.0%	12.3%	29.5%	14.3%	29.5%
HV 60d	17.1%	14.9%	21.9%	15.0%	21.9%
IV Rank	43.7%	14.0%	100.0%	16.5%	69.7%
IV Percentile	58.8%	14.3%	100.0%	21.4%	98.4%
Term Structure	0.6%	-1.2%	4.7%	-0.2%	-0.4%
VWIV	21.8%	15.6%	34.6%	16.1%	27.5%
Skew 25d	4.0%	1.9%	12.0%	2.6%	6.1%
Skew 10d	8.3%	3.9%	19.4%	5.6%	15.5%
Call IV 25d	20.1%	14.9%	29.8%	15.2%	26.4%
Put IV 25d	24.1%	17.0%	41.6%	17.8%	32.5%
Bid-Ask Spread %	18.89	7.59	60.89	13.54	18.95
Gamma HHI	0.11	0.08	0.18	0.14	0.11
Net GEX	-1.6M	-21.6M	11.9M	11.9M	2.2M
Net DEX	-271.4M	-459.5M	97.0M	-416.5M	-282.3M
Net VEX	-2.0M	-2.5M	-1.7M	-1.7M	-2.5M
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	1.98	0.64	4.12	4.12	0.84
Total Volume	36,586.095	13,448	108,816	26,088	21,938
Total OI	306,966.952	255,734	363,838	255,734	340,250

Daily Data (21 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
2015-08-03	$57.41	$56.00	16.2%	4.5%	14.3%	16.5%	16.1%	2.6%	-0.2%	11.9M	-416.5M	-1.7M	4.12	13.54	5,098	20,990	126,618	129,116
2015-08-04	$57.84	$57.50	15.8%	4.4%	13.9%	14.0%	15.7%	2.3%	-0.1%	7.9M	-423.2M	-1.7M	3.09	9.63	6,014	18,576	128,228	144,910
2015-08-05	$58.40	$57.50	15.8%	4.4%	12.3%	14.1%	15.6%	1.9%	-0.1%	8.9M	-459.5M	-1.8M	1.36	7.89	11,958	16,224	128,642	147,016
2015-08-06	$57.61	$57.50	16.9%	5.0%	13.7%	21.4%	18.2%	2.4%	-0.2%	5.5M	-389.0M	-1.8M	1.63	10.38	9,262	15,058	131,944	149,784
2015-08-07	$57.23	$57.50	17.0%	5.0%	13.9%	21.6%	18.3%	2.4%	-0.1%	2.6M	-352.4M	-1.8M	1.90	12.27	10,262	19,478	132,760	153,094
2015-08-10	$57.63	$57.50	17.0%	5.0%	12.8%	21.9%	19.3%	2.1%	0.5%	2.3M	-372.2M	-1.8M	1.35	11.34	9,850	13,284	129,574	154,922
2015-08-11	$57.23	$57.50	17.6%	5.2%	13.1%	25.9%	18.3%	2.6%	0.5%	-518.3K	-331.4M	-1.9M	1.99	9.91	4,502	8,946	132,256	161,436
2015-08-12	$56.50	$57.50	18.6%	5.4%	13.9%	31.9%	19.5%	2.4%	0.0%	-5.1M	-257.3M	-1.9M	2.38	11.31	12,920	30,716	133,112	161,288
2015-08-13	$56.87	$57.50	18.0%	5.3%	14.0%	28.1%	18.8%	2.3%	0.6%	-5.9M	-303.4M	-1.9M	0.67	9.95	10,310	6,876	135,648	168,590
2015-08-14	$57.17	$57.50	17.8%	5.2%	14.0%	27.0%	18.4%	2.4%	0.3%	-1.1M	-340.1M	-1.9M	0.89	10.34	8,754	7,814	137,150	169,564
2015-08-17	$57.45	$57.50	17.6%	5.1%	14.1%	25.6%	18.2%	2.5%	4.6%	460.9K	-358.6M	-1.9M	1.07	7.59	8,314	8,926	133,436	164,690
2015-08-18	$57.40	$57.50	17.5%	5.1%	14.1%	25.3%	18.0%	2.3%	4.3%	1.5M	-360.0M	-1.9M	0.64	11.04	8,232	5,240	135,292	165,414
2015-08-19	$57.48	$57.50	17.6%	5.0%	13.7%	25.6%	18.2%	2.7%	4.7%	2.7M	-375.5M	-1.8M	3.12	12.04	7,852	24,516	136,310	166,462
2015-08-20	$56.21	$57.50	22.2%	6.2%	15.9%	55.3%	21.6%	3.0%	2.6%	-21.6M	-198.7M	-2.0M	3.93	12.48	10,202	40,096	138,172	187,164
2015-08-21	$53.50	$57.50	28.4%	8.0%	23.5%	95.6%	26.6%	5.0%	1.0%	-11.1M	97.0M	-2.2M	3.83	14.79	22,508	86,308	139,414	194,920
2015-08-24	$52.52	$55.00	34.8%	9.5%	23.9%	100.0%	34.6%	12.0%	-1.2%	-11.2M	66.1M	-2.4M	2.50	60.89	17,004	42,432	131,402	186,408
2015-08-25	$52.33	$55.00	32.6%	8.8%	22.7%	89.0%	32.2%	8.2%	-1.0%	-11.4M	69.3M	-2.4M	2.63	52.87	16,572	43,532	136,710	189,262
2015-08-26	$54.28	$55.00	30.4%	8.0%	26.3%	78.5%	29.4%	5.9%	-1.0%	-10.9M	-83.9M	-2.5M	1.31	50.29	21,950	28,666	141,996	195,428
2015-08-27	$56.19	$55.00	27.8%	7.2%	29.5%	65.7%	26.7%	6.3%	-0.8%	-4.6M	-298.9M	-2.4M	1.06	25.52	26,676	28,280	151,012	193,074
2015-08-28	$56.17	$55.00	27.5%	7.1%	29.5%	64.3%	25.8%	5.8%	-0.8%	3.0M	-328.1M	-2.4M	1.20	23.75	23,682	28,490	159,892	203,946
2015-08-31	$55.99	$55.00	28.6%	7.1%	29.5%	69.7%	27.5%	6.1%	-0.4%	2.2M	-282.3M	-2.5M	0.84	18.95	11,904	10,034	154,122	186,128