NKE Options History — December 2016

In December 2016, NKE traded between $50.45 and $52.32. ATM implied volatility averaged 24.3%, placing in the 41.8% IV rank vs the trailing year. The 30-day expected move averaged 6.5%. IV traded above realized volatility by 1.4% (HV 20d: 22.9%). Max pain ranged from $52.00 to $55.00. Net GEX was positive for 4 of 21 trading days. Term structure was in contango for 7 of 21 days. Put/call ratio averaged 0.88.

Notable Days

  • 2016-12-20: Highest Volume — 143,995 contracts
  • 2016-12-21: Largest IV drop — 30.8% change
  • 2016-12-14: Highest IV Rank — 57.6%
  • 2016-12-20: Largest Expected Move — 7.8%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$51.42$50.45$52.32$50.56$50.79
Max Pain$54.64$52.00$55.00$52.00$54.00
ATM IV24.3%19.0%27.4%26.0%20.6%
Expected Move6.5%5.4%7.8%5.7%5.8%
HV 20d22.9%16.0%24.6%16.1%23.9%
HV 60d20.7%18.6%22.1%19.3%19.8%
IV Rank41.8%14.8%57.6%50.4%23.1%
IV Percentile53.3%14.7%74.6%64.7%31.0%
Term Structure-0.8%-1.9%0.5%-1.3%0.5%
VWIV22.8%19.1%27.1%19.9%20.4%
Skew 25d2.4%1.8%3.0%2.9%2.6%
Skew 10d4.8%2.4%8.5%3.0%4.0%
Call IV 25d23.4%18.2%26.4%25.1%19.8%
Put IV 25d25.8%20.2%29.2%28.0%22.4%
Bid-Ask Spread %12.397.6837.1219.4912.02
Gamma HHI0.150.110.290.150.15
Net GEX-10.3M-49.6M3.3M-13.4M-22.8M
Net DEX306.6M135.9M449.0M437.9M388.7M
Net VEX-4.0M-4.2M-3.8M-3.8M-4.0M
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.880.541.721.000.85
Total Volume44,569.8119,855143,99524,05130,712
Total OI613,169.619549,124666,526582,828637,074

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2016-12-01$50.56$52.0026.0%5.7%16.1%50.4%19.9%2.9%-1.3%-13.4M437.9M-3.8M1.0019.4912,00012,051283,615299,213
2016-12-02$50.45$52.0025.9%5.6%16.0%49.9%20.5%2.6%-1.5%-17.1M441.0M-3.8M0.9511.1712,14311,492284,452296,353
2016-12-05$51.97$55.0025.9%6.6%19.0%49.7%22.7%2.5%-1.1%-583.8K221.8M-4.0M0.5911.2733,95620,050281,720294,159
2016-12-06$50.46$55.0026.0%6.9%20.9%50.4%23.7%2.7%-0.8%-14.0M449.0M-3.8M1.1410.5915,99518,252285,796300,294
2016-12-07$52.18$55.0026.1%6.8%24.1%50.6%23.7%2.2%-1.1%3.3M181.6M-4.1M0.547.6822,29112,099290,546303,523
2016-12-08$51.54$55.0026.8%6.9%24.5%54.5%23.9%2.0%-1.4%-2.8M282.2M-4.0M0.788.8714,58311,350292,183307,972
2016-12-09$51.63$55.0026.4%6.9%23.9%52.3%24.5%2.5%-1.3%-1.0M272.6M-4.0M0.629.2112,2287,627294,561309,826
2016-12-12$51.48$55.0027.1%7.1%23.8%56.0%25.0%2.2%-1.9%-5.5M303.4M-3.9M1.148.4816,59818,915291,506306,973
2016-12-13$52.31$55.0026.9%7.3%24.0%55.0%25.7%2.6%-1.6%3.2M177.2M-4.1M0.889.6228,42325,041296,668317,151
2016-12-14$51.82$55.0027.4%7.3%24.3%57.6%26.4%2.8%-1.9%-1.9M287.7M-4.1M1.0310.9115,86916,321301,706327,376
2016-12-15$51.14$55.0027.2%7.5%24.6%56.2%25.7%2.8%-0.9%-14.4M401.5M-4.0M0.709.3416,98111,875306,682332,129
2016-12-16$50.92$55.0026.1%7.2%23.6%51.0%24.9%2.0%-1.4%-49.6M432.9M-3.9M0.849.5817,93415,118312,699336,117
2016-12-19$50.82$55.0026.0%7.3%23.3%50.1%25.9%1.9%-0.7%-18.9M404.0M-4.0M0.9013.7231,69128,543239,322309,802
2016-12-20$51.84$55.0027.4%7.8%24.4%57.4%27.1%2.0%-1.6%-11.9M256.6M-4.2M0.7537.1282,05961,936257,249323,491
2016-12-21$52.32$55.0019.0%5.4%24.3%14.8%19.3%1.8%0.3%2.7M135.9M-4.1M0.6714.0467,49145,104297,041346,896
2016-12-22$52.17$55.0019.5%5.6%24.2%17.3%19.6%2.1%0.2%3.1M161.7M-4.2M0.6712.2324,71816,676309,446350,658
2016-12-23$51.99$55.0019.0%5.4%24.2%15.0%19.1%2.0%0.4%-4.9M194.7M-4.2M1.7214.3022,43638,479314,133352,393
2016-12-27$51.30$55.0020.2%5.8%24.4%21.1%20.3%2.5%0.2%-12.6M314.8M-4.0M0.9311.1816,72215,523285,365336,794
2016-12-28$51.05$55.0020.5%5.8%24.3%22.6%20.2%2.6%0.2%-17.9M347.0M-4.1M0.7511.4016,47012,307288,291340,608
2016-12-29$51.05$54.5020.5%5.8%24.0%22.4%19.6%3.0%0.2%-19.1M346.2M-4.0M1.038.0712,73213,175291,100343,679
2016-12-30$50.79$54.0020.6%5.8%23.9%23.1%20.4%2.6%0.5%-22.8M388.7M-4.0M0.8512.0216,57814,134293,300343,774