NKE Options History — February 2016

In February 2016, NKE traded between $54.92 and $63.16. ATM implied volatility averaged 30.5%, placing in the 76.3% IV rank vs the trailing year. The 30-day expected move averaged 8.9%. IV traded below realized volatility by 4.5% (HV 20d: 35.0%). Max pain ranged from $59.50 to $60.00. Net GEX was positive for 12 of 20 trading days. Term structure was in contango for 11 of 20 days. Put/call ratio averaged 1.39.

Notable Days

2016-02-05: Highest Volume — 51,034 contracts
2016-02-08: Largest IV spike — 16.6% change
2016-02-08: Highest IV Rank — 100.0%
2016-02-11: Largest Expected Move — 11.2%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$59.36	$54.92	$63.16	$63.16	$61.77
Max Pain	$59.95	$59.50	$60.00	$60.00	$60.00
ATM IV	30.5%	22.5%	35.9%	22.5%	29.1%
Expected Move	8.9%	6.5%	11.2%	6.5%	8.0%
HV 20d	35.0%	26.5%	38.3%	27.9%	36.3%
HV 60d	29.0%	26.3%	30.7%	26.4%	29.0%
IV Rank	76.3%	39.6%	100.0%	39.6%	68.7%
IV Percentile	88.1%	56.0%	100.0%	56.0%	81.7%
Term Structure	0.6%	-1.9%	4.2%	0.1%	-0.5%
VWIV	31.5%	23.9%	38.7%	23.9%	27.8%
Skew 25d	6.1%	4.7%	7.5%	4.7%	5.1%
Skew 10d	12.4%	3.5%	16.7%	14.2%	9.8%
Call IV 25d	27.9%	20.8%	32.4%	20.8%	27.1%
Put IV 25d	34.0%	25.4%	39.1%	25.4%	32.3%
Bid-Ask Spread %	14.17	10.12	18.50	10.74	15.68
Gamma HHI	0.08	0.05	0.15	0.15	0.07
Net GEX	4.1M	-7.6M	19.6M	19.6M	8.7M
Net DEX	-56.1M	-286.0M	200.1M	-286.0M	-187.4M
Net VEX	-2.8M	-3.0M	-2.6M	-2.9M	-3.0M
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	1.39	0.81	4.02	0.91	2.11
Total Volume	25,250.5	15,097	51,034	22,964	19,139
Total OI	289,426	254,788	324,603	264,244	281,140

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
2016-02-01	$63.16	$60.00	22.5%	6.5%	27.9%	39.6%	23.9%	4.7%	0.1%	19.6M	-286.0M	-2.9M	0.91	10.74	12,009	10,955	147,473	116,771
2016-02-02	$62.55	$60.00	23.9%	7.0%	27.0%	46.4%	25.8%	5.3%	0.3%	17.1M	-236.7M	-3.0M	1.51	10.70	7,214	10,881	150,939	122,208
2016-02-03	$62.47	$60.00	23.6%	7.1%	26.5%	45.3%	26.9%	4.7%	0.7%	16.1M	-219.5M	-3.0M	1.77	15.23	6,075	10,766	151,661	124,656
2016-02-04	$60.18	$60.00	27.4%	8.5%	29.2%	63.7%	29.6%	6.1%	-0.0%	7.1M	-53.2M	-2.9M	1.73	18.40	10,191	17,648	152,861	126,308
2016-02-05	$57.01	$60.00	30.3%	9.4%	34.1%	77.7%	32.0%	6.3%	0.9%	-3.5M	128.7M	-2.7M	1.83	18.50	18,058	32,976	155,302	132,165
2016-02-08	$54.92	$60.00	35.3%	11.0%	35.6%	100.0%	38.0%	6.1%	3.1%	-5.5M	200.1M	-2.6M	1.45	13.17	14,779	21,406	152,737	137,776
2016-02-09	$55.68	$60.00	34.0%	10.8%	35.4%	94.0%	36.8%	7.5%	4.2%	-3.3M	151.2M	-2.7M	1.41	13.40	16,972	24,003	157,238	135,910
2016-02-10	$57.43	$60.00	32.8%	10.3%	37.4%	88.2%	35.8%	7.1%	3.5%	-2.5M	53.9M	-2.8M	1.25	13.42	12,070	15,051	160,369	138,437
2016-02-11	$56.17	$60.00	35.9%	11.2%	37.5%	100.0%	37.3%	7.2%	3.6%	-7.6M	131.3M	-2.7M	4.02	14.15	7,400	29,733	163,856	143,531
2016-02-12	$56.36	$60.00	33.1%	10.1%	37.6%	87.4%	36.9%	6.9%	3.7%	-5.7M	121.4M	-2.7M	1.08	14.58	9,025	9,770	165,213	147,895
2016-02-16	$57.72	$60.00	33.9%	9.8%	38.3%	90.8%	33.1%	6.6%	0.3%	-4.3M	41.6M	-2.7M	0.82	12.31	8,904	7,327	163,195	144,045
2016-02-17	$58.09	$60.00	34.9%	10.0%	37.9%	95.7%	38.7%	7.4%	-1.2%	-2.4M	8.6M	-2.8M	0.99	14.75	13,350	13,228	166,346	144,707
2016-02-18	$58.62	$60.00	33.9%	9.8%	38.0%	90.8%	33.9%	6.8%	-1.9%	1.2M	-32.6M	-2.8M	1.07	10.12	7,300	7,797	171,873	150,431
2016-02-19	$59.24	$60.00	31.0%	8.8%	36.7%	77.3%	32.6%	6.0%	1.1%	4.1M	-69.8M	-2.8M	0.81	11.95	10,924	8,866	173,099	151,504
2016-02-22	$60.19	$60.00	30.0%	8.2%	37.2%	72.6%	28.4%	6.0%	-1.1%	4.8M	-113.6M	-2.8M	0.91	18.27	13,123	11,966	131,490	123,298
2016-02-23	$60.25	$60.00	30.3%	8.0%	37.1%	74.4%	29.3%	5.9%	-1.0%	5.8M	-120.7M	-2.8M	1.01	11.98	9,923	10,007	136,789	127,801
2016-02-24	$60.52	$59.50	30.2%	7.9%	37.1%	73.6%	28.7%	5.7%	-1.5%	5.9M	-129.8M	-2.9M	1.33	12.14	6,636	8,854	139,888	134,297
2016-02-25	$62.34	$59.50	29.6%	7.7%	37.5%	70.9%	27.3%	4.9%	-1.3%	10.4M	-237.8M	-2.9M	0.92	17.68	13,999	12,823	140,891	136,648
2016-02-26	$62.61	$60.00	29.3%	7.8%	36.2%	69.3%	27.1%	6.1%	-0.9%	15.9M	-271.4M	-2.9M	0.95	16.20	12,206	11,656	145,033	142,739
2016-02-29	$61.77	$60.00	29.1%	8.0%	36.3%	68.7%	27.8%	5.1%	-0.5%	8.7M	-187.4M	-3.0M	2.11	15.68	6,160	12,979	141,523	139,617