NKE Options History — November 2015

In November 2015, NKE traded between $60.97 and $67.17. ATM implied volatility averaged 24.8%, placing in the 51.2% IV rank vs the trailing year. The 30-day expected move averaged 7.4%. IV traded above realized volatility by 4.3% (HV 20d: 20.6%). Max pain ranged from $62.50 to $65.00. Net GEX was positive for 16 of 20 trading days. Term structure was in contango for 11 of 20 days. Put/call ratio averaged 1.04.

Notable Days

2015-11-20: Highest Volume — 109,610 contracts
2015-11-13: Largest IV spike — 19.9% change
2015-11-18: Highest IV Rank — 75.3%
2015-11-13: Largest Expected Move — 9.3%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$64.77	$60.97	$67.17	$65.51	$66.14
Max Pain	$63.88	$62.50	$65.00	$62.50	$65.00
ATM IV	24.8%	19.0%	29.8%	19.1%	28.3%
Expected Move	7.4%	5.6%	9.3%	5.7%	6.6%
HV 20d	20.6%	15.5%	28.4%	17.6%	28.4%
HV 60d	29.6%	28.6%	31.1%	30.0%	28.9%
IV Rank	51.2%	22.5%	75.3%	23.2%	68.1%
IV Percentile	75.7%	45.2%	96.4%	47.2%	91.3%
Term Structure	1.0%	-1.3%	5.8%	0.4%	-1.3%
VWIV	26.1%	19.8%	31.9%	19.8%	23.6%
Skew 25d	4.2%	3.0%	5.5%	3.0%	3.7%
Skew 10d	8.5%	5.9%	12.7%	7.5%	8.5%
Call IV 25d	23.2%	17.6%	28.9%	18.3%	26.4%
Put IV 25d	27.4%	20.9%	34.3%	21.3%	30.1%
Bid-Ask Spread %	51.44	7.48	69.67	9.84	62.93
Gamma HHI	0.11	0.06	0.47	0.10	0.09
Net GEX	14.0M	-10.5M	56.4M	21.7M	20.6M
Net DEX	-577.3M	-895.4M	-123.7M	-640.1M	-739.5M
Net VEX	-2.8M	-2.9M	-2.5M	-2.5M	-2.9M
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	1.04	0.45	2.76	0.82	0.70
Total Volume	36,274	17,118	109,610	19,102	24,118
Total OI	453,901.9	402,100	494,640	447,972	414,950

Daily Data (20 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
2015-11-02	$65.51	$62.50	19.1%	5.7%	17.6%	23.2%	19.8%	3.0%	0.4%	21.7M	-640.1M	-2.5M	0.82	9.84	10,498	8,604	187,924	260,048
2015-11-03	$65.61	$62.50	19.0%	5.6%	17.0%	22.5%	19.8%	3.4%	0.5%	23.0M	-639.1M	-2.6M	1.57	7.48	6,760	10,610	188,860	262,112
2015-11-04	$65.11	$62.50	19.5%	5.8%	16.9%	25.1%	20.6%	3.2%	-0.0%	19.9M	-596.3M	-2.6M	1.36	10.71	7,568	10,274	191,966	266,134
2015-11-05	$66.00	$65.00	19.6%	7.1%	15.8%	25.4%	24.9%	3.5%	0.0%	24.9M	-690.4M	-2.7M	1.06	59.89	16,352	17,314	194,220	268,514
2015-11-06	$65.89	$65.00	19.3%	7.2%	15.7%	24.2%	24.7%	3.2%	0.2%	56.4M	-689.4M	-2.7M	0.45	66.88	29,260	13,174	199,476	268,612
2015-11-09	$65.24	$65.00	21.0%	7.4%	15.6%	32.4%	26.4%	3.3%	4.9%	11.5M	-581.4M	-2.7M	0.97	68.31	8,686	8,432	194,224	253,824
2015-11-10	$65.09	$65.00	21.5%	7.5%	15.5%	34.7%	26.5%	4.3%	4.4%	10.1M	-561.6M	-2.7M	1.71	67.75	9,592	16,412	196,616	255,614
2015-11-11	$64.83	$65.00	21.1%	7.5%	15.6%	33.0%	26.9%	4.8%	5.2%	7.6M	-537.7M	-2.7M	2.76	69.67	5,926	16,344	196,550	258,692
2015-11-12	$63.04	$65.00	23.8%	8.0%	16.8%	46.0%	28.8%	3.8%	5.1%	-5.6M	-343.6M	-2.8M	1.27	54.85	14,540	18,464	196,740	261,992
2015-11-13	$60.97	$65.00	28.5%	9.3%	19.5%	69.2%	31.8%	4.8%	5.8%	-10.2M	-123.7M	-2.8M	1.40	55.75	28,514	39,850	199,906	267,794
2015-11-16	$61.73	$65.00	29.7%	8.8%	18.3%	75.1%	31.9%	5.5%	0.2%	-9.9M	-227.4M	-2.8M	0.66	61.94	28,256	18,578	200,588	256,322
2015-11-17	$61.38	$62.50	29.2%	8.5%	18.3%	72.4%	31.6%	5.2%	0.7%	-10.5M	-206.2M	-2.9M	1.28	61.76	13,728	17,512	215,396	263,270
2015-11-18	$62.97	$62.50	29.8%	8.5%	21.0%	75.3%	30.1%	5.5%	-0.3%	4.0M	-422.2M	-2.8M	0.88	25.17	24,376	21,428	217,188	259,316
2015-11-19	$62.94	$62.50	29.2%	8.4%	21.0%	72.7%	27.7%	5.4%	-0.4%	4.3M	-438.8M	-2.8M	0.92	63.70	18,672	17,160	222,814	264,532
2015-11-20	$66.22	$62.50	28.0%	8.2%	27.7%	66.8%	28.5%	4.4%	-1.2%	16.2M	-861.4M	-2.7M	0.55	54.17	70,702	38,908	226,840	267,800
2015-11-23	$66.23	$62.50	27.2%	7.8%	27.6%	62.5%	28.7%	4.2%	-0.5%	17.6M	-746.9M	-2.8M	0.60	43.42	21,648	12,992	203,204	198,896
2015-11-24	$66.25	$62.50	27.5%	6.6%	27.5%	64.1%	24.1%	4.4%	-0.7%	19.0M	-753.0M	-2.9M	0.66	64.61	18,498	12,150	212,568	205,628
2015-11-25	$67.03	$65.00	28.1%	6.8%	27.8%	67.2%	24.5%	4.1%	-1.3%	24.6M	-851.2M	-2.9M	0.56	51.53	25,084	13,924	222,684	210,916
2015-11-27	$67.17	$65.00	27.4%	6.0%	27.8%	63.7%	21.5%	3.4%	-1.3%	34.6M	-895.4M	-2.9M	0.73	68.42	17,668	12,904	230,474	214,834
2015-11-30	$66.14	$65.00	28.3%	6.6%	28.4%	68.1%	23.6%	3.7%	-1.3%	20.6M	-739.5M	-2.9M	0.70	62.93	14,184	9,934	215,976	198,974