NKE Options History — September 2015

In September 2015, NKE traded between $54.30 and $62.50. ATM implied volatility averaged 28.2%, placing in the 67.5% IV rank vs the trailing year. The 30-day expected move averaged 8.1%. IV traded below realized volatility by 3.8% (HV 20d: 32.0%). Max pain ranged from $55.00 to $55.00. Net GEX was positive for 17 of 21 trading days. Term structure was in contango for 2 of 21 days. Put/call ratio averaged 1.38.

Notable Days

  • 2015-09-25: Highest Volume — 205,552 contracts
  • 2015-09-25: Largest IV drop — 23.9% change
  • 2015-09-01: Highest IV Rank — 89.6%
  • 2015-09-24: Largest Expected Move — 9.5%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$57.29$54.30$62.50$54.30$61.48
Max Pain$55.00$55.00$55.00$55.00$55.00
ATM IV28.2%22.5%32.7%32.7%24.2%
Expected Move8.1%6.6%9.5%8.6%7.1%
HV 20d32.0%23.6%38.3%31.0%37.0%
HV 60d24.1%22.1%29.2%22.8%29.2%
IV Rank67.5%39.7%89.6%89.6%47.9%
IV Percentile93.2%71.4%99.6%99.6%84.1%
Term Structure-0.7%-1.9%1.5%-0.1%-0.6%
VWIV29.2%24.5%34.0%34.0%25.2%
Skew 25d5.5%3.5%7.5%6.5%4.3%
Skew 10d12.2%8.5%16.5%16.4%10.2%
Call IV 25d26.0%21.8%30.0%30.0%22.1%
Put IV 25d31.6%25.3%36.6%36.5%26.4%
Bid-Ask Spread %26.0612.9758.4825.8558.48
Gamma HHI0.130.070.310.100.08
Net GEX7.6M-4.5M28.4M-2.1M13.8M
Net DEX-426.8M-1.39B-141.0M-141.0M-791.3M
Net VEX-2.6M-2.9M-2.3M-2.6M-2.5M
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.380.323.060.950.98
Total Volume51,761.71417,426205,55231,59239,470
Total OI403,252.095343,916557,000343,916473,160

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2015-09-01$54.30$55.0032.7%8.6%31.0%89.6%34.0%6.5%-0.1%-2.1M-141.0M-2.6M0.9525.8516,21415,378155,792188,124
2015-09-02$55.20$55.0030.8%7.7%31.5%80.1%28.9%6.8%-0.6%-991.2K-209.6M-2.7M1.5828.2015,61824,602158,872193,262
2015-09-03$55.50$55.0029.7%8.3%31.3%75.0%28.5%6.8%-0.8%935.0K-241.3M-2.7M1.4318.0410,63015,184160,740196,820
2015-09-04$54.98$55.0031.4%8.6%31.4%83.3%31.9%7.5%-1.2%669.5K-192.1M-2.8M1.8413.7813,31824,504162,312200,476
2015-09-08$55.88$55.0029.4%8.4%31.9%73.5%29.8%6.0%-0.4%1.1M-274.8M-2.7M2.3917.845,52213,202161,170201,090
2015-09-09$54.88$55.0030.5%8.5%32.4%78.9%29.2%5.7%-0.8%-3.5M-192.7M-2.7M1.8214.057,32013,304164,104204,788
2015-09-10$55.11$55.0030.5%8.5%32.2%78.8%29.7%6.1%-1.1%-4.5M-209.6M-2.7M1.3714.547,80010,648165,352206,026
2015-09-11$55.78$55.0029.2%8.3%32.5%72.6%29.4%5.7%-0.3%3.3M-286.5M-2.6M1.0412.978,5628,864167,458207,136
2015-09-14$55.83$55.0030.6%8.7%32.4%79.3%32.6%6.1%-1.9%2.3M-275.3M-2.6M3.0615.5417,02652,102160,636199,748
2015-09-15$56.92$55.0027.5%7.8%33.1%64.3%30.0%6.1%-0.4%11.0M-388.2M-2.7M1.0317.1411,95012,292170,618219,100
2015-09-16$57.77$55.0027.4%7.9%33.6%63.7%28.7%5.9%-1.5%13.9M-473.8M-2.6M1.8918.1417,64033,268174,178224,790
2015-09-17$57.58$55.0026.7%7.7%33.6%60.4%27.7%4.8%-1.6%15.4M-483.8M-2.5M0.6723.2420,13413,498178,242235,698
2015-09-18$57.30$55.0025.9%7.5%32.6%56.6%27.2%4.8%-0.7%18.0M-432.4M-2.5M1.2419.2116,55220,444174,866238,326
2015-09-21$58.26$55.0025.4%7.6%27.0%54.1%27.3%4.8%-0.5%6.6M-453.7M-2.6M1.0217.4824,35624,838158,142212,104
2015-09-22$57.56$55.0028.0%8.5%26.4%66.5%30.0%4.3%-1.2%5.6M-397.2M-2.7M1.5727.0410,81016,952171,160223,402
2015-09-23$57.78$55.0028.8%8.8%26.2%70.7%31.1%4.6%-1.3%4.6M-406.0M-2.7M0.3225.9079,72625,902175,480230,878
2015-09-24$57.45$55.0029.5%9.5%23.6%74.2%33.8%6.0%1.5%16.9M-422.3M-2.9M1.2535.6058,35273,194235,558241,072
2015-09-25$62.50$55.0022.5%6.6%35.9%39.7%24.5%3.5%0.0%28.4M-1.39B-2.3M0.7135.49120,00285,550268,556288,444
2015-09-28$61.15$55.0025.3%7.6%37.1%53.5%26.5%4.4%-0.5%13.3M-723.3M-2.6M1.7254.2122,65838,928199,088254,698
2015-09-29$59.77$55.0025.8%7.7%38.3%55.6%27.9%5.4%-0.2%15.1M-579.9M-2.8M1.1554.5118,94621,736204,538262,290
2015-09-30$61.48$55.0024.2%7.1%37.0%47.9%25.2%4.3%-0.6%13.8M-791.3M-2.5M0.9858.4819,97419,496208,548264,612