NKE Options History — May 2016

In May 2016, NKE traded between $55.28 and $59.62. ATM implied volatility averaged 23.0%, placing in the 39.3% IV rank vs the trailing year. The 30-day expected move averaged 6.3%. IV traded above realized volatility by 4.3% (HV 20d: 18.6%). Max pain ranged from $57.50 to $60.00. Net GEX was positive for 3 of 21 trading days. Term structure was in contango for 14 of 21 days. Put/call ratio averaged 1.36.

Notable Days

  • 2016-05-06: Highest Volume — 49,804 contracts
  • 2016-05-31: Largest IV spike — 10.6% change
  • 2016-05-31: Highest IV Rank — 55.9%
  • 2016-05-18: Largest Expected Move — 7.1%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$57.36$55.28$59.62$59.62$55.28
Max Pain$57.98$57.50$60.00$60.00$57.50
ATM IV23.0%20.3%26.6%20.3%26.6%
Expected Move6.3%5.6%7.1%5.9%5.9%
HV 20d18.6%13.3%21.7%16.5%21.2%
HV 60d23.8%22.9%27.6%27.6%23.3%
IV Rank39.3%27.3%55.9%27.3%55.9%
IV Percentile48.4%30.6%65.1%30.6%65.1%
Term Structure1.1%-1.5%3.5%-0.0%-1.5%
VWIV22.5%19.4%24.8%21.5%20.0%
Skew 25d3.9%3.4%4.3%4.1%4.1%
Skew 10d7.3%4.6%9.9%8.7%7.0%
Call IV 25d21.3%18.5%25.3%18.5%25.3%
Put IV 25d25.2%22.6%29.4%22.6%29.4%
Bid-Ask Spread %13.068.3620.2710.3814.75
Gamma HHI0.140.100.210.110.16
Net GEX-15.3M-29.7M2.2M1.9M-21.8M
Net DEX239.0M6.7M418.2M6.7M381.1M
Net VEX-3.5M-3.7M-3.2M-3.6M-3.2M
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.360.443.890.881.54
Total Volume28,234.57112,46849,80418,75538,424
Total OI422,917.286370,284470,686393,083405,791

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2016-05-02$59.62$60.0020.3%5.9%16.5%27.3%21.5%4.1%-0.0%1.9M6.7M-3.6M0.8810.389,9948,761200,975192,108
2016-05-03$59.52$60.0020.8%6.2%16.4%29.7%21.9%4.2%0.1%2.2M14.8M-3.6M0.4410.0311,2884,996205,022196,601
2016-05-04$59.15$60.0021.4%6.4%15.8%32.7%23.1%3.5%0.5%330.2K54.1M-3.6M1.2311.776,6668,195208,852198,531
2016-05-05$58.13$60.0022.5%6.6%16.8%37.9%24.2%3.8%-0.1%-7.9M165.0M-3.5M1.069.009,2159,813209,988200,594
2016-05-06$58.37$57.5022.3%6.6%16.2%36.9%24.5%4.0%0.0%-9.8M150.1M-3.6M3.8917.4510,18439,620211,122204,427
2016-05-09$58.79$57.5021.8%6.0%13.7%34.7%21.4%3.9%-0.7%-10.4M126.7M-3.7M0.888.369,6788,469207,555221,329
2016-05-10$59.15$57.5021.1%5.9%13.3%31.3%21.7%4.2%-0.0%-7.0M80.3M-3.7M1.0412.069,3929,763210,680222,079
2016-05-11$57.01$57.5023.1%6.4%17.4%40.4%22.7%3.8%-0.3%-19.3M312.4M-3.5M1.1814.3720,78924,431211,810222,029
2016-05-12$58.00$57.5022.7%6.5%18.7%38.7%23.3%4.0%-0.3%-16.0M206.3M-3.6M0.919.1112,27311,110216,734226,759
2016-05-13$57.37$57.5022.2%6.4%19.0%36.3%24.2%4.1%0.5%-19.7M283.9M-3.5M1.8820.279,28517,411217,681226,448
2016-05-16$57.13$57.5022.4%6.4%19.0%37.4%22.7%3.8%1.9%-21.4M306.2M-3.4M0.8610.8410,5559,082212,209227,188
2016-05-17$56.86$57.5022.4%6.4%19.0%37.2%24.8%4.1%3.5%-21.4M337.1M-3.4M1.0712.866,0236,445214,501228,680
2016-05-18$56.04$57.5024.6%7.1%19.4%46.7%24.4%4.0%1.5%-20.9M418.2M-3.3M1.3514.8214,46619,565220,434230,718
2016-05-19$57.15$57.5023.3%6.6%20.8%40.3%23.5%3.8%2.1%-21.7M283.4M-3.5M1.3718.3917,14423,476224,061239,777
2016-05-20$56.41$57.5023.1%6.2%21.1%38.9%22.8%4.3%3.3%-11.2M410.1M-3.4M2.7514.6212,58934,648227,434243,252
2016-05-23$55.98$57.5024.3%6.4%21.1%44.9%22.8%3.4%2.8%-20.3M302.9M-3.3M1.089.7516,77418,183162,879207,405
2016-05-24$56.62$57.5024.2%6.0%21.6%44.4%20.8%4.1%1.9%-17.5M243.6M-3.4M1.3412.7113,41117,971170,958220,251
2016-05-25$56.03$57.5024.6%6.2%21.7%46.4%21.8%3.8%2.2%-21.2M298.9M-3.3M1.8813.3112,94024,273177,752223,572
2016-05-26$55.77$57.5024.3%6.0%21.3%44.6%21.2%3.7%2.3%-29.7M345.5M-3.4M0.9214.0911,31010,409181,228232,136
2016-05-27$56.18$57.5024.1%5.6%21.3%43.6%19.4%3.7%2.6%-28.4M292.7M-3.4M0.9415.4212,31711,588184,710235,003
2016-05-31$55.28$57.5026.6%5.9%21.2%55.9%20.0%4.1%-1.5%-21.8M381.1M-3.2M1.5414.7515,11923,305181,138224,653