NKE Options History — January 2017

In January 2017, NKE traded between $52.00 and $54.07. ATM implied volatility averaged 18.9%, placing in the 14.7% IV rank vs the trailing year. The 30-day expected move averaged 5.5%. IV traded below realized volatility by 0.3% (HV 20d: 19.2%). Max pain ranged from $52.50 to $54.00. Net GEX was positive for 18 of 20 trading days. Term structure was in contango for 15 of 20 days. Put/call ratio averaged 0.76.

Notable Days

  • 2017-01-06: Highest Volume — 54,324 contracts
  • 2017-01-30: Largest IV spike — 9.4% change
  • 2017-01-03: Highest IV Rank — 25.6%
  • 2017-01-09: Largest Expected Move — 6.1%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$53.16$52.00$54.07$52.00$52.82
Max Pain$52.65$52.50$54.00$54.00$52.50
ATM IV18.9%16.4%21.1%21.1%18.6%
Expected Move5.5%4.7%6.1%6.0%5.4%
HV 20d19.2%17.1%25.3%25.3%17.6%
HV 60d20.8%19.2%21.4%20.4%19.2%
IV Rank14.7%1.9%25.6%25.6%12.7%
IV Percentile16.8%1.6%36.1%36.1%13.5%
Term Structure0.2%-0.7%1.1%0.1%0.1%
VWIV19.2%16.5%21.6%21.2%19.6%
Skew 25d2.6%1.8%3.5%2.9%2.8%
Skew 10d5.7%2.6%7.8%5.4%6.8%
Call IV 25d18.0%15.6%20.1%20.1%17.9%
Put IV 25d20.6%17.7%23.0%23.0%20.7%
Bid-Ask Spread %12.806.2018.8412.3717.41
Gamma HHI0.120.100.140.140.10
Net GEX7.2M-5.2M21.1M-4.6M2.7M
Net DEX-9.1M-195.5M174.1M174.1M130.9K
Net VEX-4.0M-4.3M-3.8M-4.0M-4.3M
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.760.411.480.760.86
Total Volume29,929.4518,39454,32440,77040,941
Total OI572,798.4405,933657,790615,937469,133

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2017-01-03$52.00$54.0021.1%6.0%25.3%25.6%21.2%2.9%0.1%-4.6M174.1M-4.0M0.7612.3723,18317,587283,757332,180
2017-01-04$53.17$54.0020.4%5.7%24.3%22.2%19.9%2.5%0.0%8.6M-8.6M-4.1M0.4113.2331,40412,878286,505338,745
2017-01-05$53.01$52.5020.0%5.9%21.5%19.8%21.6%2.6%0.3%8.8M23.4M-4.1M0.718.1318,46713,075289,297342,827
2017-01-06$54.07$52.5019.9%5.7%19.3%19.5%21.3%2.6%0.2%21.1M-195.5M-4.1M0.6611.2532,67521,649294,584347,231
2017-01-09$53.42$52.5020.6%6.1%19.3%23.1%21.5%2.6%0.7%9.7M-39.7M-4.1M0.916.2014,62713,348286,333345,098
2017-01-10$53.25$52.5020.2%6.0%19.4%21.2%21.0%2.7%0.8%7.4M978.6K-4.0M0.6712.4410,9857,409288,730351,067
2017-01-11$52.74$52.5019.9%5.8%19.7%19.4%19.7%2.6%0.3%1.2M101.0M-4.0M0.598.4514,7018,676290,799352,316
2017-01-12$52.39$52.5019.5%5.6%19.1%17.3%20.5%2.5%0.4%-5.2M167.6M-3.9M0.879.7111,55510,095296,815354,006
2017-01-13$52.92$52.5018.8%5.5%19.1%14.2%18.7%2.5%0.3%3.6M69.6M-3.9M0.7212.5914,72610,627298,102356,696
2017-01-17$53.62$52.5020.2%5.8%18.8%20.9%20.0%3.0%-0.7%16.0M-55.8M-3.9M0.5012.4316,9608,424292,282352,685
2017-01-18$53.32$52.5019.6%5.6%18.8%18.0%19.4%3.2%-0.5%12.1M-141.7K-3.8M0.6214.3712,5747,815294,339355,795
2017-01-19$52.94$52.5019.6%5.6%19.1%18.0%19.8%3.5%-0.5%3.2M82.7M-3.8M0.5811.4415,8389,170296,783357,345
2017-01-20$53.18$52.5018.2%5.2%17.9%10.8%18.2%3.0%-0.4%11.6M-279.0K-3.8M0.8114.9020,59316,607300,327357,463
2017-01-23$53.14$52.5017.3%4.9%17.7%6.2%17.5%2.7%1.1%6.5M-63.3M-3.8M1.4814.1011,63417,268185,174220,759
2017-01-24$53.45$52.5016.4%4.7%17.7%2.1%16.7%2.3%0.6%8.6M-94.3M-3.9M1.1015.1015,92217,562191,361230,696
2017-01-25$53.92$52.5016.4%4.7%17.8%1.9%16.8%1.8%0.7%11.9M-155.6M-4.1M1.1215.1514,66116,381200,007242,592
2017-01-26$53.68$52.5016.9%4.8%17.1%4.2%16.5%1.9%0.8%13.3M-124.5M-4.1M0.4613.4613,3406,185205,378246,550
2017-01-27$53.07$52.5017.0%4.8%17.6%4.9%16.5%2.1%0.7%3.7M-35.6M-4.2M0.6814.4713,3889,121212,900248,980
2017-01-30$53.07$52.5018.6%5.3%17.6%13.0%18.4%3.0%-0.4%3.3M-28.6M-4.3M0.6818.8415,82510,713211,457248,874
2017-01-31$52.82$52.5018.6%5.4%17.6%12.7%19.6%2.8%0.1%2.7M130.9K-4.3M0.8617.4122,04318,898218,101251,032