NKE Options History — June 2016

In June 2016, NKE traded between $51.90 and $55.09. ATM implied volatility averaged 29.1%, placing in the 67.5% IV rank vs the trailing year. The 30-day expected move averaged 8.4%. IV traded above realized volatility by 8.9% (HV 20d: 20.1%). Max pain ranged from $55.00 to $57.50. Net GEX was positive for 2 of 22 trading days. Term structure was in contango for 2 of 22 days. Put/call ratio averaged 1.23.

Notable Days

  • 2016-06-28: Highest Volume — 212,787 contracts
  • 2016-06-29: Largest IV drop — 29.9% change
  • 2016-06-27: Highest IV Rank — 86.9%
  • 2016-06-27: Largest Expected Move — 10.9%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$54.14$51.90$55.09$54.86$54.93
Max Pain$57.27$55.00$57.50$57.50$55.00
ATM IV29.1%21.1%33.1%29.1%21.1%
Expected Move8.4%6.2%10.9%6.2%6.2%
HV 20d20.1%17.4%24.6%21.2%24.5%
HV 60d20.6%18.7%22.3%22.3%20.7%
IV Rank67.5%29.4%86.9%67.6%29.4%
IV Percentile74.9%29.0%94.0%75.8%29.0%
Term Structure-1.2%-2.4%0.4%-1.5%0.4%
VWIV29.5%22.1%37.6%22.3%22.1%
Skew 25d4.6%3.5%5.9%4.7%3.5%
Skew 10d9.3%6.0%11.2%9.8%6.0%
Call IV 25d27.0%19.7%30.1%27.2%19.7%
Put IV 25d31.7%23.2%35.6%31.9%23.2%
Bid-Ask Spread %11.995.4143.2216.8243.22
Gamma HHI0.140.100.370.180.10
Net GEX-19.5M-41.5M12.2M-24.6M12.2M
Net DEX414.2M89.6M600.3M426.9M89.6M
Net VEX-3.6M-4.0M-3.2M-3.3M-4.0M
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.230.622.441.701.18
Total Volume53,173.95520,951212,78793,04156,251
Total OI528,696.273420,701712,139420,701712,139

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2016-06-01$54.86$57.5029.1%6.2%21.2%67.6%22.3%4.7%-1.5%-24.6M426.9M-3.3M1.7016.8234,45558,586184,998235,703
2016-06-02$54.50$57.5029.4%7.7%21.2%69.2%26.9%4.4%-1.7%-24.3M454.0M-3.4M2.079.1310,00120,661197,614261,725
2016-06-03$53.49$57.5029.7%7.9%21.3%70.5%26.9%4.1%-1.8%-26.9M585.5M-3.2M1.069.6915,59616,475199,877269,785
2016-06-06$54.34$57.5028.6%7.6%22.3%65.3%26.5%3.8%-1.3%-26.7M457.2M-3.3M1.348.3713,15817,574197,368265,831
2016-06-07$53.58$57.5029.4%8.1%22.2%69.1%27.4%3.7%-0.6%-25.7M545.0M-3.2M1.056.4211,56512,156201,593271,232
2016-06-08$54.13$57.5028.9%7.8%22.5%66.9%27.7%3.9%-1.5%-28.2M488.6M-3.4M2.449.1821,19351,705206,142277,896
2016-06-09$54.95$57.5028.5%7.8%20.0%65.1%27.4%3.8%-1.3%-29.4M360.5M-3.7M1.3310.8217,12222,731217,176296,225
2016-06-10$55.09$57.5029.3%8.1%18.8%68.7%27.9%4.6%-1.4%-41.5M309.3M-3.8M0.628.5818,03111,103224,029292,614
2016-06-13$54.90$57.5030.4%8.6%18.5%73.8%30.5%5.5%-1.0%-17.0M338.8M-3.8M0.655.4118,10711,794220,738282,878
2016-06-14$54.15$57.5030.3%8.6%19.0%73.6%31.4%5.7%-0.9%-19.2M428.5M-3.7M0.788.7211,7589,193229,671287,650
2016-06-15$54.32$57.5030.1%8.6%19.1%72.8%32.4%5.7%-1.3%-19.4M416.8M-3.7M1.3112.7714,90719,602231,535290,075
2016-06-16$53.48$57.5032.0%9.3%19.2%81.6%32.6%5.3%-1.7%-22.4M532.1M-3.7M1.858.8316,98231,333238,120302,330
2016-06-17$53.75$57.5031.1%9.1%17.6%77.3%31.8%5.1%-2.4%-21.3M515.4M-3.7M1.306.2913,10117,016242,017314,117
2016-06-20$54.37$57.5028.7%8.6%17.9%65.7%29.7%4.5%-1.4%-16.4M356.9M-3.8M0.7012.7519,88113,826220,725291,618
2016-06-21$54.83$57.5028.0%8.5%18.1%62.5%29.9%4.7%-1.0%-12.5M299.0M-3.8M0.659.1415,90310,402229,919297,614
2016-06-22$54.57$57.5028.7%8.8%17.5%65.8%33.2%5.0%-0.9%-13.0M326.8M-3.8M1.589.7110,23816,219236,051299,888
2016-06-23$54.09$57.5028.2%8.8%17.4%63.4%29.6%4.5%-1.2%-20.1M402.9M-3.7M1.0012.1218,48418,498237,613306,957
2016-06-24$52.78$57.5031.3%9.9%19.2%78.1%34.1%5.9%-1.8%-18.7M574.5M-3.6M0.9914.7629,24129,021243,674313,689
2016-06-27$51.90$57.5033.1%10.9%19.4%86.9%37.3%5.5%-1.3%-20.6M600.3M-3.5M1.3611.2821,74229,595239,896309,269
2016-06-28$53.08$57.5031.4%10.7%21.0%78.7%37.6%4.4%-1.1%-17.6M473.2M-3.7M1.1415.5099,453113,334248,123317,365
2016-06-29$54.97$55.0022.0%6.4%24.6%33.9%24.0%3.8%0.1%4.1M130.6M-3.9M0.8614.1981,65370,181302,945384,894
2016-06-30$54.93$55.0021.1%6.2%24.5%29.4%22.1%3.5%0.4%12.2M89.6M-4.0M1.1843.2225,78230,469326,524385,615