NKE Options History — December 2015

In December 2015, NKE traded between $62.72 and $66.66. ATM implied volatility averaged 28.3%, placing in the 68.2% IV rank vs the trailing year. The 30-day expected move averaged 8.5%. IV traded above realized volatility by 1.2% (HV 20d: 27.2%). Max pain ranged from $50.00 to $120.00. Net GEX was positive for 18 of 22 trading days. Term structure was in contango for 5 of 22 days. Put/call ratio averaged 0.73.

Notable Days

  • 2015-12-23: Highest Volume — 226,210 contracts
  • 2015-12-23: Largest IV drop — 25.1% change
  • 2015-12-11: Highest IV Rank — 92.3%
  • 2015-12-24: Largest Expected Move — 18.7%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$64.68$62.72$66.66$66.66$62.72
Max Pain$61.93$50.00$120.00$65.00$65.00
ATM IV28.3%21.5%33.2%27.8%22.9%
Expected Move8.5%6.1%18.7%6.5%6.9%
HV 20d27.2%21.0%31.9%28.5%23.5%
HV 60d27.4%23.3%29.8%28.8%23.4%
IV Rank68.2%35.0%92.3%65.8%41.8%
IV Percentile86.3%56.0%99.6%89.3%69.0%
Term Structure-1.0%-2.0%0.4%-1.4%0.1%
VWIV30.3%21.5%59.4%22.6%24.8%
Skew 25d4.6%3.2%6.0%3.7%4.5%
Skew 10d9.3%5.1%12.5%7.3%7.7%
Call IV 25d26.6%20.3%31.5%26.2%21.3%
Put IV 25d31.2%23.6%37.5%29.9%25.8%
Bid-Ask Spread %22.898.4961.6253.2627.15
Gamma HHI0.100.060.450.100.12
Net GEX8.4M-41.8M25.7M23.6M-18.3M
Net DEX-317.5M-797.3M652.5M-797.3M83.6M
Net VEX-2.9M-3.3M-1.1M-2.9M-3.0M
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.730.331.100.661.00
Total Volume73,313.90920,238226,21028,556107,326
Total OI457,063272,104647,339424,096647,339

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2015-12-01$66.66$65.0027.8%6.5%28.5%65.8%22.6%3.7%-1.4%23.6M-797.3M-2.9M0.6653.2617,18211,374220,552203,544
2015-12-02$66.27$65.0028.5%7.1%28.6%69.0%24.8%3.7%-1.7%21.9M-761.7M-3.0M0.8861.6221,24018,794229,736210,320
2015-12-03$64.58$50.0029.8%7.9%30.0%75.4%32.1%3.9%-1.7%9.9M-530.1M-3.1M0.8310.3329,68224,738237,352216,646
2015-12-04$66.17$52.5028.1%7.8%30.9%67.0%29.2%4.4%-1.7%25.7M-661.7M-3.1M0.3311.3062,67020,568226,178223,034
2015-12-07$65.80$57.5029.4%8.2%30.9%73.7%27.7%4.6%-0.5%19.1M-498.8M-2.9M0.868.4910,8689,370192,882211,100
2015-12-08$65.92$57.5029.5%8.2%30.7%74.2%29.9%4.4%-0.6%20.4M-518.5M-3.0M0.7011.3418,31612,852196,014215,554
2015-12-09$64.39$57.5031.4%8.5%31.9%83.0%31.1%5.2%-1.6%10.3M-329.8M-3.0M0.8012.7529,96224,088197,318218,728
2015-12-10$64.25$57.5031.3%8.5%31.9%82.8%33.9%5.0%-2.0%6.6M-311.3M-3.1M0.5911.1221,48812,722200,350228,984
2015-12-11$63.10$57.5033.2%9.3%30.9%92.3%32.3%5.6%-1.2%-41.8M-179.8M-3.0M1.1010.3233,12436,422202,206231,074
2015-12-14$63.85$57.5032.0%9.0%28.5%86.2%32.0%5.4%-1.0%3.1M-248.3M-3.0M0.5313.9125,04413,344182,088216,456
2015-12-15$64.36$57.5031.5%9.0%28.3%83.8%32.1%5.7%-1.2%7.9M-305.5M-3.1M0.7513.4122,17016,628187,620218,198
2015-12-16$65.50$57.5030.7%8.8%28.7%79.6%31.1%5.5%-1.8%16.1M-422.4M-3.0M0.6314.1824,15015,140190,536223,348
2015-12-17$65.26$57.5031.1%9.0%27.5%81.7%31.9%5.8%-1.9%13.3M-399.9M-3.0M0.6017.0721,70412,922195,032226,356
2015-12-18$64.48$57.5033.2%9.7%27.9%92.2%33.4%6.0%-1.3%8.2M-310.3M-3.1M0.4116.6534,81814,192197,972230,322
2015-12-21$64.86$57.5032.1%9.7%21.0%86.8%34.0%5.5%-1.3%14.1M-409.7M-3.0M0.7613.3628,10221,458185,602205,814
2015-12-22$65.79$57.5030.1%9.2%21.7%76.8%32.4%4.8%-1.2%19.9M-512.8M-3.0M0.6411.3696,25661,924198,292215,512
2015-12-23$64.52$60.0022.5%6.5%22.8%39.9%23.2%3.4%-0.3%13.9M-365.8M-2.9M0.8044.06125,570100,640253,156252,564
2015-12-24$63.18$120.0022.1%18.7%23.2%37.7%59.4%3.2%0.3%-3.3M652.5M-1.1M0.9134.1895,12486,320134,902137,202
2015-12-28$63.76$65.0022.2%6.5%23.6%38.4%23.1%3.6%0.1%5.1M-29.7M-3.0M0.7141.7455,08238,944312,407313,200
2015-12-29$64.22$65.0021.5%6.1%23.3%35.0%21.5%3.3%0.4%14.0M-128.2M-3.3M0.7038.0652,30736,540317,889315,164
2015-12-30$63.33$65.0022.1%6.4%23.4%37.7%24.8%4.2%0.2%-6.0M-400.7K-3.0M0.8328.0050,05941,682320,139316,704
2015-12-31$62.72$65.0022.9%6.9%23.5%41.8%24.8%4.5%0.1%-18.3M83.6M-3.0M1.0027.1553,68853,638322,265325,074