NKE Options History — July 2016

In July 2016, NKE traded between $55.18 and $58.54. ATM implied volatility averaged 18.8%, placing in the 18.2% IV rank vs the trailing year. The 30-day expected move averaged 5.4%. IV traded below realized volatility by 3.2% (HV 20d: 21.9%). Max pain ranged from $55.00 to $55.00. Net GEX was positive for 19 of 20 trading days. Term structure was in contango for 13 of 20 days. Put/call ratio averaged 0.79.

Notable Days

  • 2016-07-12: Highest Volume — 39,040 contracts
  • 2016-07-08: Largest IV drop — 8.5% change
  • 2016-07-05: Highest IV Rank — 32.8%
  • 2016-07-06: Largest Expected Move — 6.3%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$56.79$55.18$58.54$55.62$55.57
Max Pain$55.00$55.00$55.00$55.00$55.00
ATM IV18.8%17.2%21.8%20.2%17.9%
Expected Move5.4%5.0%6.3%5.5%5.1%
HV 20d21.9%15.6%23.9%23.8%15.6%
HV 60d20.6%20.1%20.9%20.9%20.7%
IV Rank18.2%10.8%32.8%25.5%13.7%
IV Percentile13.4%6.3%32.5%22.6%7.1%
Term Structure0.2%-0.4%0.9%0.1%0.6%
VWIV18.9%17.0%21.8%20.1%19.2%
Skew 25d3.1%2.5%4.0%3.3%2.6%
Skew 10d6.8%4.3%11.0%8.8%6.3%
Call IV 25d17.5%16.1%19.8%18.6%16.7%
Put IV 25d20.6%19.0%23.7%21.8%19.3%
Bid-Ask Spread %13.846.4564.639.3513.37
Gamma HHI0.130.100.280.100.25
Net GEX16.4M-15.2M44.7M19.8M-15.2M
Net DEX-144.4M-468.9M87.1M-55.6M69.9M
Net VEX-3.7M-4.0M-3.6M-4.0M-3.6M
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.790.371.630.660.54
Total Volume24,340.410,45839,04033,43719,606
Total OI524,944.4385,522706,733706,733438,773

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2016-07-01$55.62$55.0020.2%5.5%23.8%25.5%20.1%3.3%0.1%19.8M-55.6M-4.0M0.669.3520,18813,249323,265383,468
2016-07-05$55.18$55.0021.8%6.2%23.4%32.8%21.6%4.0%-0.4%10.3M82.7M-3.8M0.979.6714,30213,859293,283329,044
2016-07-06$55.77$55.0021.3%6.3%23.0%30.7%20.4%3.8%-0.1%15.9M-7.7M-3.8M0.376.4528,29110,341294,459333,176
2016-07-07$55.84$55.0021.0%6.1%22.8%29.0%21.8%3.9%-0.1%26.8M-62.8M-3.8M1.128.0011,34812,683312,841333,702
2016-07-08$56.76$55.0019.2%5.4%22.9%20.5%19.8%3.7%0.2%19.5M-240.7M-3.8M0.5510.2521,15511,657310,913333,179
2016-07-11$56.83$55.0018.6%5.3%22.9%17.7%20.5%2.8%0.1%21.4M-173.5M-3.6M0.757.6912,7049,559295,137325,136
2016-07-12$58.07$55.0018.5%5.5%23.9%17.1%18.7%3.1%0.6%23.4M-404.6M-3.6M0.7413.6722,37816,662294,477324,517
2016-07-13$57.95$55.0018.3%5.4%23.1%16.0%18.7%3.2%0.6%23.1M-372.6M-3.6M0.7911.0015,54812,333295,471325,329
2016-07-14$58.54$55.0018.2%5.3%23.3%15.7%17.5%3.2%0.8%22.4M-468.9M-3.6M0.5164.6317,9299,205299,231326,431
2016-07-15$57.94$55.0017.2%5.1%22.8%10.8%17.8%2.9%0.9%44.7M-442.7M-3.6M0.6012.3020,30312,153304,670327,000
2016-07-18$57.76$55.0017.6%5.1%22.9%12.9%17.8%2.5%-0.1%16.7M-201.5M-3.6M0.6014.5613,3067,960195,724189,798
2016-07-19$57.73$55.0018.4%5.3%22.7%16.5%18.4%3.3%0.1%19.8M-203.8M-3.7M0.9813.766,6516,487204,112192,759
2016-07-20$57.79$55.0017.8%5.1%22.7%13.6%17.8%2.6%-0.3%22.2M-219.3M-3.6M0.8913.695,5484,910206,385194,527
2016-07-21$56.99$55.0018.2%5.2%23.3%15.9%18.4%3.1%0.1%16.7M-120.2M-3.6M1.6315.919,04114,716208,285195,225
2016-07-22$56.74$55.0017.6%5.0%23.0%12.1%17.0%2.8%0.5%13.2M-74.1M-3.6M0.9411.189,6969,088212,032206,193
2016-07-25$57.09$55.0017.8%5.1%20.8%13.0%18.2%2.9%-0.4%14.3M-116.2M-3.7M0.479.0811,1235,189209,866204,909
2016-07-26$56.26$55.0018.5%5.3%20.5%16.3%17.9%3.0%-0.2%9.8M-17.1M-3.7M0.9512.649,1878,738215,105206,345
2016-07-27$55.77$55.0018.6%5.3%19.7%17.0%18.4%2.6%0.2%3.6M53.6M-3.6M0.4810.3411,6705,628216,223209,657
2016-07-28$55.55$55.0018.7%5.3%15.6%17.4%18.9%2.9%0.4%400.7K87.1M-3.6M1.229.3610,09912,318217,737210,504
2016-07-29$55.57$55.0017.9%5.1%15.6%13.7%19.2%2.6%0.6%-15.2M69.9M-3.6M0.5413.3712,6996,907226,933211,840