NKE Options History — October 2015

In October 2015, NKE traded between $61.03 and $66.56. ATM implied volatility averaged 20.8%, placing in the 31.6% IV rank vs the trailing year. The 30-day expected move averaged 6.0%. IV traded below realized volatility by 12.3% (HV 20d: 33.2%). Max pain ranged from $55.00 to $62.50. Net GEX was positive for 22 of 22 trading days. Term structure was in contango for 8 of 22 days. Put/call ratio averaged 2.27.

Notable Days

  • 2015-10-09: Highest Volume — 87,602 contracts
  • 2015-10-16: Largest IV drop — 6.8% change
  • 2015-10-01: Highest IV Rank — 50.3%
  • 2015-10-01: Largest Expected Move — 7.3%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$64.07$61.03$66.56$61.03$65.64
Max Pain$61.82$55.00$62.50$55.00$62.50
ATM IV20.8%18.5%24.7%24.7%19.0%
Expected Move6.0%5.4%7.3%7.3%5.6%
HV 20d33.2%17.8%38.1%37.1%17.8%
HV 60d29.9%29.0%30.3%29.0%30.0%
IV Rank31.6%20.2%50.3%50.3%22.8%
IV Percentile59.1%45.6%86.1%86.1%46.8%
Term Structure-0.1%-0.8%0.9%-0.1%-0.2%
VWIV21.4%18.9%25.6%25.6%20.6%
Skew 25d3.6%2.5%4.6%4.6%2.5%
Skew 10d7.9%6.3%11.3%9.2%7.0%
Call IV 25d19.3%17.1%22.5%22.5%17.9%
Put IV 25d22.9%20.4%27.1%27.1%20.4%
Bid-Ask Spread %17.019.6157.3154.8212.48
Gamma HHI0.110.070.170.110.09
Net GEX18.0M8.3M37.2M15.4M21.6M
Net DEX-720.0M-1.02B-568.4M-718.6M-675.8M
Net VEX-2.5M-2.8M-2.2M-2.5M-2.6M
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio2.270.983.461.752.21
Total Volume56,651.27328,80687,60228,80635,852
Total OI480,661.455397,254545,412478,790463,820

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2015-10-01$61.03$55.0024.7%7.3%37.1%50.3%25.6%4.6%-0.1%15.4M-718.6M-2.5M1.7554.8210,48618,320208,434270,356
2015-10-02$62.51$55.0023.7%6.6%37.7%45.4%23.9%4.4%-0.2%18.9M-899.0M-2.4M1.6857.3131,60253,156213,692277,048
2015-10-05$62.13$62.5022.4%6.3%37.6%39.1%21.7%4.1%0.0%18.4M-717.2M-2.5M1.2510.1913,92217,428196,650282,868
2015-10-06$61.59$62.5023.3%6.4%37.7%43.7%22.5%3.9%-0.1%14.6M-631.2M-2.6M2.9111.8113,45839,178201,342292,676
2015-10-07$61.04$62.5022.7%6.7%37.1%40.9%22.6%3.8%-0.1%11.7M-568.4M-2.6M0.9814.1315,63615,252203,052299,460
2015-10-08$62.43$62.5021.7%6.1%37.6%35.9%22.9%3.4%-0.4%19.2M-728.2M-2.5M1.1613.5226,85031,066206,060302,214
2015-10-09$62.18$62.5021.1%5.9%37.7%32.7%21.7%3.4%0.1%18.6M-692.6M-2.6M3.1713.0321,00866,594217,368319,264
2015-10-12$63.16$62.5021.4%6.0%37.9%34.2%20.9%4.2%-0.3%16.6M-743.6M-2.5M2.3110.0423,15253,558210,074321,982
2015-10-13$62.91$62.5020.2%5.9%37.7%28.5%21.1%3.8%0.4%18.2M-733.4M-2.5M2.3311.2417,94441,812214,896310,642
2015-10-14$62.89$62.5020.9%6.0%37.5%32.0%21.2%3.8%0.3%19.7M-728.3M-2.6M2.7515.6917,40647,890216,564312,388
2015-10-15$64.34$62.5019.9%5.5%38.0%26.9%20.5%3.8%-0.4%31.0M-903.6M-2.4M1.459.6132,78447,688218,676316,348
2015-10-16$65.20$62.5018.5%5.4%37.9%20.2%18.9%3.3%0.2%37.2M-1.02B-2.3M1.1910.8336,34443,378223,378322,034
2015-10-19$66.56$62.5019.2%5.5%38.1%23.7%19.4%4.0%-0.6%14.2M-739.0M-2.2M1.4313.5630,97444,398161,100236,154
2015-10-20$66.09$62.5019.9%5.7%37.8%26.8%20.5%3.3%-0.6%15.1M-705.7M-2.4M2.5014.4617,85244,688171,502243,708
2015-10-21$66.17$62.5020.0%5.7%37.8%27.5%19.5%3.4%-0.8%15.8M-723.3M-2.5M2.7714.7914,84841,070179,888252,542
2015-10-22$66.16$62.5019.9%5.7%37.6%26.8%20.6%3.4%-0.8%17.7M-733.2M-2.4M3.4614.5716,81658,100185,208255,948
2015-10-23$65.17$62.5020.5%5.9%25.0%29.9%21.0%3.5%-0.7%8.3M-621.2M-2.7M2.9914.7915,59046,566190,976271,284
2015-10-26$65.72$62.5020.3%6.0%23.5%29.1%21.4%3.8%0.9%15.6M-652.4M-2.6M2.6714.0111,01629,376184,096256,440
2015-10-27$65.39$62.5020.1%6.0%21.6%27.7%22.2%3.1%-0.1%14.6M-615.9M-2.7M3.3413.718,34427,880187,350261,402
2015-10-28$65.58$62.5019.8%5.9%19.7%26.4%21.2%3.7%0.2%15.8M-636.3M-2.7M2.7416.879,17225,092189,778264,966
2015-10-29$65.56$62.5019.3%5.8%19.3%24.3%20.9%2.8%0.3%18.1M-651.3M-2.8M2.9212.808,37224,410193,490267,434
2015-10-30$65.64$62.5019.0%5.6%17.8%22.8%20.6%2.5%-0.2%21.6M-675.8M-2.6M2.2112.4811,17024,682194,708269,112