NKE Options History — August 2016

In August 2016, NKE traded between $54.75 and $60.22. ATM implied volatility averaged 18.7%, placing in the 12.8% IV rank vs the trailing year. The 30-day expected move averaged 4.9%. IV traded above realized volatility by 1.8% (HV 20d: 16.9%). Max pain ranged from $55.00 to $57.50. Net GEX was positive for 22 of 23 trading days. Term structure was in contango for 13 of 23 days. Put/call ratio averaged 0.81.

Notable Days

2016-08-19: Highest Volume — 71,097 contracts
2016-08-29: Largest IV spike — 11.8% change
2016-08-31: Highest IV Rank — 47.1%
2016-08-03: Largest Expected Move — 5.3%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$57.11	$54.75	$60.22	$55.44	$57.65
Max Pain	$55.65	$55.00	$57.50	$55.00	$57.50
ATM IV	18.7%	16.0%	25.4%	18.1%	25.4%
Expected Move	4.9%	4.4%	5.3%	5.1%	5.0%
HV 20d	16.9%	12.5%	20.1%	15.0%	20.1%
HV 60d	19.7%	18.9%	20.5%	20.4%	19.4%
IV Rank	12.8%	0.0%	47.1%	14.6%	47.1%
IV Percentile	13.0%	0.0%	56.0%	7.5%	56.0%
Term Structure	1.6%	-1.0%	5.3%	-0.5%	-0.9%
VWIV	17.6%	16.1%	18.7%	17.4%	17.6%
Skew 25d	2.9%	2.3%	3.5%	3.1%	2.8%
Skew 10d	6.0%	3.3%	11.1%	4.7%	5.1%
Call IV 25d	17.6%	15.3%	24.1%	17.1%	24.1%
Put IV 25d	20.5%	17.8%	26.9%	20.2%	26.9%
Bid-Ask Spread %	14.38	4.04	21.33	14.29	13.59
Gamma HHI	0.14	0.09	0.23	0.13	0.11
Net GEX	14.2M	-1.2M	30.6M	7.6M	16.0M
Net DEX	-105.5M	-460.7M	167.4M	69.2M	-98.5M
Net VEX	-3.7M	-3.8M	-3.5M	-3.5M	-3.7M
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	0.81	0.35	1.87	0.58	0.58
Total Volume	22,817.435	12,543	71,097	13,296	21,141
Total OI	443,066.87	416,719	477,434	429,712	443,770

Daily Data (23 trading days)

Date	Price	Max Pain	ATM IV	Exp Move	HV 20d	IV Rank	VWIV	Skew 25d	Term Str	GEX	DEX	VEX	P/C	Spread %	Call Vol	Put Vol	Call OI	Put OI
2016-08-01	$55.44	$55.00	18.1%	5.1%	15.0%	14.6%	17.4%	3.1%	-0.5%	7.6M	69.2M	-3.5M	0.58	14.29	8,437	4,859	224,355	205,357
2016-08-02	$54.93	$55.00	18.7%	5.2%	15.1%	14.6%	18.5%	3.2%	-0.4%	2.3M	132.1M	-3.5M	0.68	12.63	9,598	6,532	224,014	205,728
2016-08-03	$54.75	$55.00	19.2%	5.3%	14.6%	16.9%	18.5%	3.5%	-0.5%	452.5K	158.0M	-3.5M	1.87	14.22	8,040	15,009	228,198	207,267
2016-08-04	$54.80	$55.00	18.4%	5.2%	14.6%	12.9%	18.6%	3.1%	-0.2%	-1.2M	167.4M	-3.6M	1.59	16.07	7,224	11,456	227,317	215,125
2016-08-05	$55.85	$55.00	17.2%	5.2%	15.0%	1.3%	18.1%	2.9%	-0.3%	13.9M	38.9M	-3.7M	0.82	18.30	12,768	10,503	229,030	219,278
2016-08-08	$55.91	$55.00	17.5%	5.3%	15.0%	2.6%	18.3%	2.8%	1.0%	12.0M	10.8M	-3.7M	0.89	14.81	8,691	7,734	229,357	213,227
2016-08-09	$55.72	$55.00	17.2%	5.1%	12.5%	1.0%	17.3%	2.7%	0.6%	10.7M	38.6M	-3.7M	1.47	16.22	5,071	7,472	233,004	215,255
2016-08-10	$55.11	$55.00	17.4%	5.0%	12.9%	1.1%	17.7%	2.9%	0.0%	2.9M	133.5M	-3.5M	1.08	14.76	7,453	8,081	234,075	217,155
2016-08-11	$56.79	$55.00	16.2%	4.6%	16.8%	0.0%	17.4%	2.3%	-0.1%	22.8M	-101.9M	-3.7M	0.74	15.98	18,182	13,465	234,228	219,399
2016-08-12	$56.44	$55.00	16.5%	4.7%	16.6%	1.6%	17.4%	2.4%	-0.3%	17.7M	-47.7M	-3.7M	0.82	14.63	8,369	6,867	236,289	221,402
2016-08-15	$56.78	$55.00	16.3%	4.7%	16.8%	0.6%	17.4%	2.6%	3.4%	20.1M	-93.0M	-3.6M	0.47	18.33	13,568	6,425	233,848	218,357
2016-08-16	$56.89	$55.00	16.0%	4.6%	16.8%	0.0%	17.1%	2.3%	1.9%	27.0M	-123.4M	-3.6M	0.39	14.55	13,647	5,368	237,452	219,699
2016-08-17	$56.86	$55.00	16.8%	4.8%	16.8%	3.8%	18.2%	2.9%	4.8%	24.6M	-123.2M	-3.6M	0.54	21.33	16,532	8,984	234,545	217,038
2016-08-18	$57.21	$55.00	17.2%	4.8%	16.2%	5.9%	17.5%	2.6%	3.0%	30.6M	-204.2M	-3.7M	0.64	17.01	19,314	12,368	246,135	222,447
2016-08-19	$58.90	$55.00	16.4%	4.4%	19.1%	1.8%	16.1%	3.0%	3.1%	20.1M	-460.7M	-3.8M	0.35	13.35	52,846	18,251	249,111	228,323
2016-08-22	$58.67	$55.00	18.3%	4.8%	19.1%	11.2%	17.3%	3.2%	4.1%	16.0M	-252.2M	-3.7M	0.61	10.94	16,077	9,779	216,377	200,342
2016-08-23	$59.58	$55.00	18.2%	4.7%	18.7%	10.9%	17.2%	3.2%	5.0%	17.2M	-339.5M	-3.8M	0.72	4.04	13,708	9,886	217,342	206,273
2016-08-24	$60.22	$57.50	18.8%	4.9%	18.4%	14.2%	16.9%	3.0%	5.3%	19.6M	-436.9M	-3.8M	0.71	14.40	14,456	10,204	220,387	204,110
2016-08-25	$59.28	$57.50	20.6%	5.0%	19.5%	22.9%	17.9%	3.2%	4.6%	13.6M	-287.0M	-3.8M	0.84	10.70	8,490	7,119	222,830	211,325
2016-08-26	$59.06	$57.50	21.4%	5.0%	19.6%	27.2%	18.7%	3.1%	5.1%	1.6M	-266.2M	-3.8M	1.15	13.30	10,639	12,229	223,935	212,416
2016-08-29	$58.60	$57.50	23.9%	5.0%	19.9%	40.0%	17.1%	3.0%	-1.0%	15.5M	-205.6M	-3.7M	0.54	12.83	9,289	5,041	221,140	210,147
2016-08-30	$58.02	$57.50	24.6%	4.9%	20.0%	43.1%	17.5%	3.0%	-0.9%	14.5M	-133.7M	-3.6M	0.64	14.35	14,427	9,202	223,750	210,379
2016-08-31	$57.65	$57.50	25.4%	5.0%	20.1%	47.1%	17.6%	2.8%	-0.9%	16.0M	-98.5M	-3.7M	0.58	13.59	13,385	7,756	229,463	214,307