NKE Options History — January 2016

In January 2016, NKE traded between $57.62 and $62.36. ATM implied volatility averaged 26.0%, placing in the 56.9% IV rank vs the trailing year. The 30-day expected move averaged 7.3%. IV traded above realized volatility by 2.0% (HV 20d: 24.0%). Max pain ranged from $60.00 to $65.00. Net GEX was positive for 6 of 19 trading days. Term structure was in contango for 7 of 19 days. Put/call ratio averaged 1.14.

Notable Days

  • 2016-01-04: Highest Volume — 88,985 contracts
  • 2016-01-15: Largest IV spike — 13.5% change
  • 2016-01-15: Highest IV Rank — 76.5%
  • 2016-01-08: Largest Expected Move — 8.3%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$60.12$57.62$62.36$61.43$62.01
Max Pain$60.92$60.00$65.00$65.00$60.00
ATM IV26.0%22.7%30.0%24.5%22.7%
Expected Move7.3%6.4%8.3%6.7%6.4%
HV 20d24.0%21.7%27.3%22.9%27.3%
HV 60d24.5%23.5%26.1%23.8%26.1%
IV Rank56.9%40.8%76.5%49.5%40.8%
IV Percentile77.5%58.7%92.5%76.6%58.7%
Term Structure-0.3%-2.4%0.6%-0.4%-0.4%
VWIV25.7%23.3%28.7%24.3%23.3%
Skew 25d5.7%4.3%7.2%4.8%4.7%
Skew 10d12.0%8.8%15.3%10.1%9.5%
Call IV 25d23.6%20.7%27.1%22.7%20.7%
Put IV 25d29.3%25.4%33.4%27.5%25.4%
Bid-Ask Spread %12.5310.2316.9512.9110.23
Gamma HHI0.110.070.400.110.40
Net GEX-5.6M-19.5M11.0M-14.4M-19.5M
Net DEX48.0M-208.6M310.6M64.5M-208.6M
Net VEX-2.8M-3.0M-1.0M-1.0M-2.9M
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.140.372.030.940.39
Total Volume33,342.21115,70988,98588,98515,709
Total OI395,856.684271,342591,531591,531294,832

Daily Data (19 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2016-01-04$61.43$65.0024.5%6.7%22.9%49.5%24.3%4.8%-0.4%-14.4M64.5M-1.0M0.9412.9145,83343,152286,482305,049
2016-01-05$62.36$62.5023.1%6.6%21.7%42.5%23.5%4.3%0.2%-7.7M-62.9M-2.9M0.6611.5217,02411,270210,379255,189
2016-01-06$61.42$62.5025.3%7.0%22.1%53.4%24.9%5.0%-0.0%-11.8M38.8M-3.0M1.1013.1913,71215,078215,781256,340
2016-01-07$60.08$62.5027.9%7.8%23.0%65.9%26.6%6.2%0.6%-16.8M179.3M-2.9M1.8312.3316,58730,327219,770261,907
2016-01-08$58.70$62.5029.0%8.3%22.9%71.8%26.8%6.3%-0.2%-12.0M300.7M-2.9M0.6915.2832,12522,260221,947262,502
2016-01-11$59.65$62.5027.0%7.5%24.1%61.8%26.2%5.4%-0.8%-12.6M149.6M-2.9M0.7611.3615,99512,188226,184258,729
2016-01-12$59.95$60.0025.6%7.2%23.6%54.7%26.0%5.5%-0.8%-12.0M107.9M-2.9M1.0710.5112,67113,557229,446258,878
2016-01-13$58.77$60.0027.0%7.4%23.8%61.7%26.9%7.2%-0.5%-12.7M220.0M-2.8M1.0511.9810,86211,395232,424258,626
2016-01-14$58.52$60.0026.5%7.6%23.3%59.1%25.2%6.3%0.3%-13.9M269.4M-2.7M1.5711.9618,45628,913234,256260,833
2016-01-15$57.62$60.0030.0%8.1%22.1%76.5%27.5%6.4%-2.4%-11.4M310.6M-2.7M2.0311.4212,63325,661236,119264,734
2016-01-19$58.50$60.0026.3%7.5%23.3%58.2%25.4%5.5%0.1%-4.0M70.4M-2.7M0.8813.5811,2539,848142,797128,545
2016-01-20$59.02$60.0027.9%8.0%23.7%65.9%28.7%6.4%0.0%-750.5K27.6M-2.9M1.3416.9512,48116,707146,467131,484
2016-01-21$60.71$60.0026.6%7.6%26.2%59.6%26.8%6.0%-0.2%7.3M-93.3M-2.9M1.0512.6716,11816,887148,639132,126
2016-01-22$60.93$60.0024.5%7.0%25.5%49.4%24.9%5.5%0.3%6.0M-113.0M-2.9M1.4112.939,77713,828154,605139,381
2016-01-25$60.72$60.0025.6%7.4%24.9%55.0%23.7%5.9%0.4%8.4M-91.3M-2.9M0.3711.0126,89010,011146,526127,873
2016-01-26$61.03$60.0025.0%7.2%24.1%52.1%26.0%5.8%-0.4%11.0M-122.4M-2.9M1.9311.167,40814,288158,843129,699
2016-01-27$59.59$60.0025.8%7.5%24.9%56.0%25.9%5.7%-0.4%899.9K-5.1M-2.8M1.7813.787,82113,920160,265130,904
2016-01-28$61.33$60.0024.0%6.9%27.2%47.0%25.2%5.4%-0.4%8.8M-130.2M-2.9M0.8913.2211,0179,840160,648132,068
2016-01-29$62.01$60.0022.7%6.4%27.3%40.8%23.3%4.7%-0.4%-19.5M-208.6M-2.9M0.3910.2311,3314,378163,440131,392