NKE Options History — April 2016

In April 2016, NKE traded between $57.93 and $61.65. ATM implied volatility averaged 21.2%, placing in the 31.7% IV rank vs the trailing year. The 30-day expected move averaged 6.1%. IV traded below realized volatility by 3.0% (HV 20d: 24.2%). Max pain ranged from $57.50 to $60.00. Net GEX was positive for 5 of 21 trading days. Term structure was in contango for 13 of 21 days. Put/call ratio averaged 0.72.

Notable Days

  • 2016-04-04: Highest Volume — 93,581 contracts
  • 2016-04-04: Largest IV spike — 12.3% change
  • 2016-04-11: Highest IV Rank — 42.7%
  • 2016-04-07: Largest Expected Move — 6.8%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$59.53$57.93$61.65$61.65$58.94
Max Pain$59.52$57.50$60.00$60.00$60.00
ATM IV21.2%19.7%23.6%19.9%20.5%
Expected Move6.1%5.4%6.8%5.4%6.0%
HV 20d24.2%17.8%30.8%29.1%18.6%
HV 60d29.8%28.4%30.8%30.5%28.5%
IV Rank31.7%24.6%42.7%25.7%28.6%
IV Percentile38.9%26.2%56.3%34.9%33.3%
Term Structure0.0%-0.7%0.9%0.4%0.5%
VWIV21.5%18.6%23.7%18.6%22.0%
Skew 25d3.3%2.9%4.2%3.0%3.2%
Skew 10d6.8%5.2%10.0%6.1%10.0%
Call IV 25d20.0%18.5%22.1%18.5%19.6%
Put IV 25d23.3%21.5%25.8%21.5%22.8%
Bid-Ask Spread %9.244.9815.5311.0011.04
Gamma HHI0.110.080.250.130.11
Net GEX-3.9M-22.1M16.5M16.5M-3.0M
Net DEX9.1M-188.4M248.2M-188.4M83.4M
Net VEX-3.6M-3.7M-3.3M-3.5M-3.6M
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.720.222.130.621.13
Total Volume33,501.52413,86793,58123,03619,779
Total OI446,370379,099526,394478,221408,706

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2016-04-01$61.65$60.0019.9%5.4%29.1%25.7%18.6%3.0%0.4%16.5M-188.4M-3.5M0.6211.0014,2008,836255,224222,997
2016-04-04$59.95$60.0022.3%6.4%30.8%37.0%22.6%3.5%-0.1%-2.0M11.7M-3.4M0.4810.5563,31330,268229,272207,832
2016-04-05$59.62$57.5023.5%6.7%28.2%42.6%23.4%4.1%0.0%-6.0M22.2M-3.6M0.694.9812,5018,592250,435225,122
2016-04-06$60.37$60.0022.8%6.6%28.3%39.3%22.2%3.0%0.1%3.4M-85.9M-3.7M0.2211.5133,4697,369253,182227,601
2016-04-07$60.30$60.0023.2%6.8%26.7%41.2%23.6%3.4%0.1%4.3M-84.3M-3.7M0.496.8415,0377,427255,819228,190
2016-04-08$59.41$60.0022.5%6.5%27.2%37.6%22.9%4.2%0.4%-7.3M51.0M-3.6M0.987.1215,69115,451257,630229,216
2016-04-11$57.93$57.5023.6%6.8%27.3%42.7%23.7%3.6%0.4%-20.2M248.2M-3.3M0.426.5749,67720,705249,079224,521
2016-04-12$58.55$57.5022.6%6.7%27.5%38.2%23.4%3.6%0.9%-16.5M159.3M-3.5M0.668.5426,38917,374268,337235,347
2016-04-13$59.59$57.5021.0%5.9%27.9%30.7%21.2%3.4%-0.7%-3.4M-34.1M-3.7M0.399.4229,13911,474278,435237,917
2016-04-14$59.47$60.0020.3%5.8%27.7%27.4%20.6%3.5%0.4%-1.0M-7.8M-3.6M0.886.0713,76012,165283,078241,077
2016-04-15$59.55$60.0020.6%5.8%26.5%28.8%20.4%3.0%-0.6%-11.2M28.9M-3.6M1.0510.4417,12817,959283,327243,067
2016-04-18$59.57$60.0020.3%5.8%26.5%27.7%20.5%3.1%0.0%-4.1M-26.2M-3.5M0.596.5314,6988,685196,631182,468
2016-04-19$59.51$60.0020.7%5.9%23.4%29.3%20.9%3.1%-0.6%-5.0M-23.3M-3.6M0.977.4714,01913,646202,248186,707
2016-04-20$59.70$60.0020.5%5.9%23.4%28.3%20.3%3.0%0.0%-613.2K-58.5M-3.6M0.359.3820,1947,099207,488190,919
2016-04-21$60.02$60.0020.1%5.8%18.4%26.5%20.4%3.0%-0.5%6.1M-97.9M-3.6M0.558.3617,1809,521211,370191,408
2016-04-22$59.53$60.0020.4%5.8%18.3%27.9%20.2%3.1%0.3%-22.1M-51.3M-3.5M2.1314.5818,69439,875214,377191,835
2016-04-25$59.17$60.0020.8%6.0%18.3%29.8%21.5%3.0%-0.3%-1.7M54.7M-3.6M0.377.4115,8165,920201,699192,580
2016-04-26$59.47$60.0019.9%5.8%18.4%25.8%20.4%3.5%-0.1%1.4M15.6M-3.6M0.638.6212,2107,637204,031194,355
2016-04-27$59.31$60.0019.7%5.7%17.8%24.6%20.5%2.9%0.2%-283.3K38.3M-3.6M0.5715.538,8565,011207,515196,581
2016-04-28$58.47$60.0020.2%5.9%18.2%27.0%21.2%3.6%-0.2%-9.6M135.1M-3.5M0.8612.158,9967,772207,987198,160
2016-04-29$58.94$60.0020.5%6.0%18.6%28.6%22.0%3.2%0.5%-3.0M83.4M-3.6M1.1311.049,28610,493209,558199,148