NKE Options History — September 2016

In September 2016, NKE traded between $52.29 and $58.51. ATM implied volatility averaged 25.7%, placing in the 48.7% IV rank vs the trailing year. The 30-day expected move averaged 7.0%. IV traded above realized volatility by 6.3% (HV 20d: 19.4%). Max pain ranged from $55.00 to $57.50. Net GEX was positive for 4 of 21 trading days. Term structure was in contango for 3 of 21 days. Put/call ratio averaged 1.06.

Notable Days

  • 2016-09-27: Highest Volume — 187,834 contracts
  • 2016-09-28: Largest IV drop — 28.9% change
  • 2016-09-26: Highest IV Rank — 65.9%
  • 2016-09-27: Largest Expected Move — 8.8%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$55.45$52.29$58.51$58.51$52.76
Max Pain$56.57$55.00$57.50$57.50$55.00
ATM IV25.7%19.4%29.1%25.2%19.4%
Expected Move7.0%4.7%8.8%4.9%5.6%
HV 20d19.4%14.9%22.5%20.6%21.9%
HV 60d19.4%17.1%20.2%19.5%19.7%
IV Rank48.7%16.9%65.9%46.5%16.9%
IV Percentile56.7%16.3%76.2%55.2%16.3%
Term Structure-1.0%-1.6%0.3%-1.1%0.1%
VWIV24.6%16.0%31.6%17.3%19.5%
Skew 25d3.1%2.2%3.9%3.3%2.4%
Skew 10d6.1%3.0%9.6%9.2%5.2%
Call IV 25d24.3%18.6%27.1%23.9%18.6%
Put IV 25d27.5%21.0%30.7%27.2%21.0%
Bid-Ask Spread %11.285.5017.0312.6411.98
Gamma HHI0.110.100.140.110.14
Net GEX-10.5M-53.8M16.1M16.1M-44.5M
Net DEX213.1M-213.9M794.2M-213.9M661.5M
Net VEX-3.6M-4.1M-3.5M-3.8M-3.7M
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.060.441.740.610.70
Total Volume48,288.33313,449187,83418,16562,706
Total OI523,169.762441,938719,696445,084719,696

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2016-09-01$58.51$57.5025.2%4.9%20.6%46.5%17.3%3.3%-1.1%16.1M-213.9M-3.8M0.6112.6411,2766,889229,376215,708
2016-09-02$58.07$57.5025.6%4.7%20.0%48.0%16.0%2.8%-1.2%6.9M-151.0M-3.7M0.4711.6813,7716,413230,457221,347
2016-09-06$57.43$57.5026.1%6.9%20.6%50.8%23.9%3.5%-1.1%6.6M-45.9M-3.6M0.795.5013,87410,892223,462218,476
2016-09-07$57.70$57.5026.0%6.9%20.5%50.4%24.6%2.7%-1.3%7.1M-71.7M-3.6M0.9511.0716,44715,572225,553224,394
2016-09-08$56.22$57.5026.4%7.1%22.4%52.5%24.0%2.9%-1.4%-2.8M123.2M-3.5M0.9510.2217,90016,918230,717231,846
2016-09-09$55.49$57.5027.3%7.3%20.1%56.6%24.9%3.7%-1.4%-9.2M204.9M-3.5M0.818.0712,96710,523234,580234,479
2016-09-12$56.04$57.5026.7%7.4%20.3%53.9%25.3%3.3%-0.6%-4.8M134.6M-3.5M1.3412.438,53411,458232,816235,626
2016-09-13$55.32$57.5027.7%7.6%20.7%58.7%27.1%3.9%-0.9%-8.3M219.4M-3.5M1.5417.038,00012,340235,042238,498
2016-09-14$55.09$57.5027.6%7.5%20.6%58.4%26.0%3.8%-1.3%-9.3M247.2M-3.5M1.0111.366,6876,762237,727239,728
2016-09-15$55.53$57.5027.2%7.5%20.9%56.5%28.4%3.4%-1.3%-8.4M205.9M-3.5M1.7411.6613,90124,216238,786241,351
2016-09-16$55.28$57.5026.7%7.4%20.8%53.6%25.8%3.1%-1.4%-10.0M231.6M-3.5M1.5511.4512,47719,395245,790259,751
2016-09-19$55.00$57.5026.0%7.3%17.3%50.4%25.8%3.4%-0.8%-7.8M209.6M-3.5M1.2110.088,65810,505230,795250,252
2016-09-20$54.93$57.5025.4%7.2%17.3%47.4%25.2%3.1%-1.1%-9.2M228.9M-3.5M0.4411.6826,73311,855232,386254,629
2016-09-21$55.34$55.0024.8%7.1%16.4%44.4%25.4%2.7%-0.9%-3.7M171.9M-3.6M0.9913.2315,84315,743252,125259,784
2016-09-22$55.33$55.0025.7%7.4%15.5%48.7%26.2%2.8%-1.3%-2.6M174.0M-3.8M1.458.2717,65825,535258,729270,862
2016-09-23$55.11$55.0026.7%7.8%14.9%53.7%27.3%3.4%-1.6%-11.1M225.9M-3.8M1.2915.0415,06919,398266,814286,012
2016-09-26$54.46$55.5029.1%8.8%15.2%65.9%31.0%3.5%-1.1%-12.8M311.7M-3.8M1.228.2938,05146,247263,777291,746
2016-09-27$55.44$55.0028.9%8.8%17.0%65.0%31.6%3.7%-1.0%-5.9M140.6M-4.1M1.2314.9184,252103,582287,179317,134
2016-09-28$53.09$55.0020.5%5.9%22.2%22.8%20.2%2.2%0.3%-52.7M672.1M-3.7M0.789.0092,38071,725331,374374,470
2016-09-29$52.29$55.0020.5%5.8%22.5%22.4%20.3%2.5%0.2%-53.8M794.2M-3.6M1.2511.3431,45739,446341,753371,538
2016-09-30$52.76$55.0019.4%5.6%21.9%16.9%19.5%2.4%0.1%-44.5M661.5M-3.7M0.7011.9836,94125,765348,803370,893