NKE Options History — October 2016

In October 2016, NKE traded between $50.20 and $52.76. ATM implied volatility averaged 19.6%, placing in the 18.1% IV rank vs the trailing year. The 30-day expected move averaged 5.7%. IV traded above realized volatility by 0.0% (HV 20d: 19.6%). Max pain ranged from $52.50 to $55.00. Net GEX was positive for 2 of 21 trading days. Term structure was in contango for 12 of 21 days. Put/call ratio averaged 0.86.

Notable Days

  • 2016-10-31: Highest Volume — 55,258 contracts
  • 2016-10-31: Largest IV spike — 11.9% change
  • 2016-10-31: Highest IV Rank — 26.7%
  • 2016-10-31: Largest Expected Move — 6.5%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$51.81$50.20$52.76$52.76$50.20
Max Pain$53.21$52.50$55.00$55.00$52.50
ATM IV19.6%18.5%21.3%19.4%21.3%
Expected Move5.7%5.4%6.5%5.6%6.5%
HV 20d19.6%14.6%22.0%22.0%19.0%
HV 60d19.2%18.7%20.5%19.4%20.5%
IV Rank18.1%12.5%26.7%17.3%26.7%
IV Percentile19.3%10.7%34.9%16.7%34.9%
Term Structure0.1%-1.2%1.0%0.2%0.3%
VWIV20.0%18.5%22.2%19.4%22.2%
Skew 25d2.8%2.2%3.8%3.1%3.8%
Skew 10d5.5%3.3%7.8%6.8%5.7%
Call IV 25d18.7%17.4%19.8%18.3%19.8%
Put IV 25d21.4%20.1%23.6%21.4%23.6%
Bid-Ask Spread %16.1911.2924.8811.2916.94
Gamma HHI0.160.120.380.120.19
Net GEX-23.2M-48.1M40.8M-29.8M-19.6M
Net DEX589.3M289.8M806.9M549.3M515.1M
Net VEX-3.7M-3.9M-3.4M-3.7M-3.6M
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.860.401.420.830.64
Total Volume33,368.04820,28655,25832,89055,258
Total OI614,266.095466,859696,554618,888504,739

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2016-10-03$52.76$55.0019.4%5.6%22.0%17.3%19.4%3.1%0.2%-29.8M549.3M-3.7M0.8311.2917,99514,895298,326320,562
2016-10-04$52.23$55.0020.1%5.8%21.9%20.8%20.3%2.9%0.3%-32.1M630.9M-3.7M0.7112.4126,69818,936303,714324,259
2016-10-05$52.18$55.0020.0%5.7%21.7%19.8%19.1%2.7%0.3%-36.9M672.1M-3.7M0.7812.0118,23614,168313,440340,635
2016-10-06$51.99$55.0019.5%5.6%20.2%17.7%20.3%2.4%0.6%-38.5M698.2M-3.6M0.7012.1517,68812,344316,323340,652
2016-10-07$51.82$55.0019.4%5.6%20.0%17.1%20.1%2.4%1.0%-48.1M747.8M-3.6M0.9014.8615,50113,874319,432344,580
2016-10-10$51.85$55.0019.9%5.6%19.4%19.3%19.6%2.6%-0.5%-35.4M692.0M-3.5M0.8216.3719,89916,346308,492331,656
2016-10-11$51.77$52.5020.0%5.7%19.1%19.9%20.3%3.3%-0.1%-35.2M705.7M-3.6M0.8714.7018,53816,145316,191335,990
2016-10-12$52.54$52.5020.3%5.8%20.2%21.4%20.0%3.0%-0.3%-33.9M559.5M-3.8M0.5815.6019,79111,478321,549341,660
2016-10-13$52.11$52.5020.7%5.9%19.9%23.5%20.6%3.5%-0.2%-35.3M637.4M-3.7M1.0415.2714,81515,349324,558341,744
2016-10-14$51.79$52.5019.7%5.7%19.9%18.5%21.2%2.8%-0.0%-35.0M710.6M-3.6M1.0414.3611,57412,002328,353347,039
2016-10-17$51.08$52.5020.9%6.0%20.2%24.6%20.4%2.9%-1.2%-31.7M806.9M-3.4M0.8015.1920,18416,054322,508336,531
2016-10-18$51.29$52.5019.4%5.5%20.4%16.8%19.9%2.8%0.1%-30.7M770.8M-3.5M0.8912.1612,61111,209329,267340,956
2016-10-19$51.80$52.5019.7%5.6%20.6%18.4%20.4%2.5%-0.1%-32.2M687.0M-3.7M1.1117.7220,05422,310334,484342,992
2016-10-20$51.89$52.5019.4%5.6%20.7%16.8%19.8%2.3%-0.2%-22.4M655.0M-3.7M0.9016.5315,61813,997342,456348,528
2016-10-21$51.83$52.5018.7%5.4%20.7%13.7%19.8%2.2%-0.1%-4.4M697.4M-3.7M1.4214.8813,67719,486343,258353,296
2016-10-24$51.89$52.5018.5%5.4%20.4%12.5%18.5%2.7%0.4%-8.7M325.4M-3.7M0.7821.5415,95612,377214,227252,632
2016-10-25$50.95$52.5018.9%5.6%19.7%14.4%20.0%2.3%0.3%-15.1M431.7M-3.6M0.7622.2120,17515,331223,189256,958
2016-10-26$52.09$52.5018.7%5.6%15.8%13.4%19.8%2.6%0.5%-5.3M289.8M-3.9M0.4024.8830,23812,125231,910264,717
2016-10-27$51.89$52.5018.6%5.5%14.9%12.8%19.5%2.6%0.7%1.9M303.0M-3.9M0.9920.3510,19710,089249,075267,861
2016-10-28$52.00$52.5019.1%5.7%14.6%15.3%19.5%2.9%0.3%40.8M290.2M-3.9M1.1218.5312,98014,531251,278269,571
2016-10-31$50.20$52.5021.3%6.5%19.0%26.7%22.2%3.8%0.3%-19.6M515.1M-3.6M0.6416.9433,72421,534238,675266,064