NKE Options History — March 2016

In March 2016, NKE traded between $58.28 and $65.07. ATM implied volatility averaged 28.9%, placing in the 67.5% IV rank vs the trailing year. The 30-day expected move averaged 8.2%. IV traded below realized volatility by 0.2% (HV 20d: 29.1%). Max pain ranged from $57.50 to $60.00. Net GEX was positive for 22 of 22 trading days. Term structure was in contango for 6 of 22 days. Put/call ratio averaged 0.82.

Notable Days

  • 2016-03-23: Highest Volume — 167,236 contracts
  • 2016-03-23: Largest IV drop — 35.5% change
  • 2016-03-09: Highest IV Rank — 96.8%
  • 2016-03-22: Largest Expected Move — 10.5%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$61.53$58.28$65.07$62.75$61.54
Max Pain$58.36$57.50$60.00$60.00$60.00
ATM IV28.9%20.1%35.2%28.7%20.2%
Expected Move8.2%5.7%10.5%7.7%5.7%
HV 20d29.1%24.8%36.4%36.2%29.5%
HV 60d29.8%28.4%31.0%29.2%30.6%
IV Rank67.5%26.5%96.8%66.8%27.1%
IV Percentile76.8%36.5%99.2%80.6%36.9%
Term Structure-0.9%-2.7%0.3%-1.5%0.3%
VWIV29.0%19.8%37.7%26.4%20.0%
Skew 25d4.5%3.0%5.6%4.4%3.2%
Skew 10d8.6%5.4%13.3%9.3%7.2%
Call IV 25d27.0%18.8%33.6%26.3%19.0%
Put IV 25d31.5%21.9%38.8%30.7%22.2%
Bid-Ask Spread %12.227.1018.8215.5211.58
Gamma HHI0.110.080.200.090.10
Net GEX13.8M231.4K32.7M12.4M10.5M
Net DEX-202.3M-603.6M45.3M-250.1M-126.0M
Net VEX-3.2M-3.4M-2.9M-2.9M-3.3M
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.820.192.931.550.25
Total Volume50,389.31817,269167,23620,23254,114
Total OI382,860.364281,641526,891281,641447,264

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2016-03-01$62.75$60.0028.7%7.7%36.2%66.8%26.4%4.4%-1.5%12.4M-250.1M-2.9M1.5515.527,94012,292142,952138,689
2016-03-02$62.20$60.0028.1%7.6%36.1%63.7%26.5%4.9%-0.6%10.3M-194.9M-2.9M1.7116.067,87213,479144,926148,556
2016-03-03$61.43$57.5029.5%7.8%36.4%70.4%32.1%4.7%-1.4%7.2M-139.1M-3.0M2.9311.107,07020,724145,604151,972
2016-03-04$61.24$57.5029.8%8.3%33.8%71.6%29.8%5.0%-1.1%7.5M-127.6M-3.0M0.5310.8222,31811,915148,697158,947
2016-03-07$59.16$57.5034.0%9.2%30.1%91.5%32.5%5.5%-1.4%2.9M4.9M-3.0M0.6912.2824,52816,951157,882159,188
2016-03-08$59.77$57.5034.9%9.6%26.4%95.7%33.3%5.1%-1.3%6.8M-65.7M-3.2M0.4516.8327,37812,420169,465168,985
2016-03-09$58.28$57.5035.2%10.1%28.1%96.8%34.5%5.3%0.2%231.4K45.3M-3.1M0.6012.3933,01119,794181,734171,498
2016-03-10$58.78$57.5034.3%9.4%26.1%92.8%33.5%5.5%-2.7%6.1M-15.4M-3.2M1.7513.9112,95322,693199,250182,177
2016-03-11$60.12$57.5032.6%9.1%25.6%84.6%31.4%5.6%-1.7%16.0M-123.2M-3.3M0.538.9918,8669,927198,943189,162
2016-03-14$60.58$57.5032.6%9.3%25.7%84.9%32.2%5.3%-1.7%18.7M-171.7M-3.2M0.957.908,8628,407192,301178,647
2016-03-15$61.37$57.5030.9%8.8%24.8%76.8%31.6%5.3%-0.5%25.0M-250.1M-3.2M0.718.4711,1057,902193,618179,956
2016-03-16$61.78$57.5030.1%8.6%24.8%73.3%30.8%4.9%-1.0%32.7M-298.0M-3.1M0.1912.8831,2565,933193,860180,003
2016-03-17$63.04$57.5029.7%8.6%25.5%71.2%30.9%4.7%-1.4%27.8M-434.3M-3.1M0.3610.3437,42113,577192,341180,744
2016-03-18$62.96$57.5029.9%8.7%25.4%72.3%29.9%3.8%-1.1%18.2M-448.9M-3.2M0.5311.2631,42816,664208,108194,125
2016-03-21$64.93$57.5032.4%9.9%26.9%83.9%34.8%4.0%-2.1%19.9M-521.0M-3.2M0.3518.8267,65223,729190,485171,110
2016-03-22$65.07$57.5034.2%10.5%26.9%92.4%37.7%4.7%-1.7%28.4M-603.6M-3.4M0.4712.77112,00752,265231,629189,978
2016-03-23$62.28$59.0022.1%6.3%31.7%35.9%23.0%3.2%0.2%13.8M-212.3M-3.2M0.9515.9785,75781,479272,604222,575
2016-03-24$61.63$60.0022.5%6.3%30.2%37.7%22.2%3.0%0.3%6.2M-114.5M-3.4M0.8714.3034,52130,058284,863242,028
2016-03-28$61.26$60.0022.2%6.4%30.2%36.4%23.1%3.9%-0.2%6.0M-97.8M-3.4M0.7710.0920,21215,572217,539214,252
2016-03-29$61.42$60.0021.6%6.1%29.8%33.5%21.5%3.4%0.3%9.2M-119.0M-3.4M0.559.4816,1758,862222,927217,830
2016-03-30$62.04$60.0020.1%5.7%29.5%26.5%19.8%3.1%0.0%17.7M-186.8M-3.3M0.437.1022,0309,446225,456220,058
2016-03-31$61.54$60.0020.2%5.7%29.5%27.1%20.0%3.2%0.3%10.5M-126.0M-3.3M0.2511.5843,25710,857226,240221,024