NKE Options History — November 2016

In November 2016, NKE traded between $49.54 and $51.73. ATM implied volatility averaged 22.5%, placing in the 32.6% IV rank vs the trailing year. The 30-day expected move averaged 5.9%. IV traded above realized volatility by 2.3% (HV 20d: 20.2%). Max pain ranged from $52.00 to $52.50. Net GEX was positive for 5 of 21 trading days. Term structure was in contango for 11 of 21 days. Put/call ratio averaged 0.98.

Notable Days

  • 2016-11-17: Highest Volume — 55,489 contracts
  • 2016-11-07: Largest IV drop — 6.6% change
  • 2016-11-30: Highest IV Rank — 47.6%
  • 2016-11-01: Largest Expected Move — 6.9%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$50.68$49.54$51.73$49.54$50.11
Max Pain$52.48$52.00$52.50$52.50$52.00
ATM IV22.5%20.2%25.5%22.8%25.5%
Expected Move5.9%5.1%6.9%6.9%5.4%
HV 20d20.2%15.9%22.2%19.2%15.9%
HV 60d19.7%19.1%20.7%20.6%19.2%
IV Rank32.6%20.8%47.6%34.3%47.6%
IV Percentile42.2%22.6%61.5%46.0%61.5%
Term Structure1.1%-1.1%6.1%-0.1%-0.9%
VWIV20.6%17.8%24.3%24.1%18.5%
Skew 25d3.2%2.1%4.0%4.0%2.8%
Skew 10d6.4%2.1%10.2%7.1%2.1%
Call IV 25d21.3%18.3%24.4%21.1%24.4%
Put IV 25d24.6%21.0%27.2%25.1%27.2%
Bid-Ask Spread %15.928.5828.6020.6218.89
Gamma HHI0.180.120.390.210.19
Net GEX-9.1M-32.8M38.1M-19.8M-19.5M
Net DEX423.0M253.0M584.1M576.8M499.0M
Net VEX-3.8M-4.1M-3.5M-3.5M-3.6M
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.980.552.100.821.50
Total Volume27,307.66714,72255,48940,42536,274
Total OI560,118.857531,128613,021531,128568,978

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2016-11-01$49.54$52.5022.8%6.9%19.2%34.3%24.1%4.0%-0.1%-19.8M576.8M-3.5M0.8220.6222,21218,213257,608273,520
2016-11-02$49.85$52.5022.4%6.8%19.5%32.0%23.7%3.7%-0.1%-19.2M552.0M-3.7M1.2428.6011,78214,646269,345280,926
2016-11-03$49.64$52.5022.9%6.5%19.5%34.4%23.1%3.6%-0.1%-20.7M584.1M-3.7M1.7915.148,52415,233271,170285,801
2016-11-04$49.87$52.5023.1%6.6%19.6%35.4%24.3%3.0%0.4%-32.8M563.7M-3.8M2.108.5810,66022,360273,792288,899
2016-11-07$50.84$52.5021.5%6.4%21.0%27.8%22.3%4.0%0.8%-15.3M438.3M-4.0M0.7312.0310,9207,962258,184282,966
2016-11-08$51.14$52.5021.3%6.3%21.1%26.7%20.8%3.9%0.9%-11.8M396.3M-4.0M0.6511.0710,8887,063261,209282,145
2016-11-09$51.10$52.5020.9%6.2%20.3%24.7%20.9%3.8%0.9%-11.5M396.4M-3.9M0.7814.0410,5868,204265,166283,531
2016-11-10$50.39$52.5020.9%6.1%20.7%24.8%20.8%3.7%0.5%-14.0M473.7M-3.8M1.4013.588,10111,324266,942284,929
2016-11-11$50.81$52.5020.2%6.0%20.9%20.8%21.2%3.8%1.3%-10.0M425.5M-3.9M0.8618.099,6178,270268,313285,330
2016-11-14$50.24$52.5020.7%6.0%20.7%23.6%19.9%3.6%3.5%-16.3M484.1M-3.7M1.0814.608,5709,226265,124280,481
2016-11-15$50.12$52.5020.8%6.0%20.7%24.3%20.9%2.8%3.9%-17.3M500.7M-3.7M0.6416.5629,78919,182268,166283,065
2016-11-16$50.64$52.5021.4%6.1%20.7%27.2%21.0%3.8%6.1%-8.5M414.1M-3.9M1.2523.6016,66620,907284,959291,733
2016-11-17$51.61$52.5021.8%6.0%21.9%29.3%21.2%2.8%5.3%1.2M253.2M-4.1M0.5516.1335,83419,655292,473303,931
2016-11-18$51.05$52.5021.7%5.7%22.2%28.7%19.7%2.6%5.2%38.1M326.2M-3.9M0.9113.0520,02318,249305,805307,216
2016-11-21$51.20$52.5022.7%5.2%22.2%33.4%17.8%2.1%-0.9%-2.1M331.6M-3.9M0.5812.5312,8857,434271,472280,993
2016-11-22$51.73$52.5023.7%5.1%21.5%38.5%17.9%3.2%-0.9%4.4M253.0M-4.0M0.7515.8611,0378,266275,796283,973
2016-11-23$51.34$52.5024.1%5.1%20.2%40.9%18.2%3.2%-0.8%2.3M313.6M-3.9M0.8220.758,1056,617279,180287,280
2016-11-25$51.52$52.5023.9%5.1%20.2%39.6%18.4%3.0%-0.3%1.2M286.6M-3.9M0.5513.2911,9016,516281,217288,664
2016-11-28$50.96$52.5024.8%5.4%20.5%44.4%19.1%2.7%-1.0%-6.2M381.5M-3.8M1.0211.889,2359,429273,846284,069
2016-11-29$50.58$52.5025.2%5.5%16.3%46.4%19.1%2.1%-1.1%-12.4M432.2M-3.7M0.6115.3319,25411,842276,687287,612
2016-11-30$50.11$52.0025.5%5.4%15.9%47.6%18.5%2.8%-0.9%-19.5M499.0M-3.6M1.5018.8914,51621,758277,636291,342