NKE Options History — February 2017

In February 2017, NKE traded between $52.34 and $58.30. ATM implied volatility averaged 19.6%, placing in the 18.4% IV rank vs the trailing year. The 30-day expected move averaged 5.1%. IV traded above realized volatility by 4.1% (HV 20d: 15.5%). Max pain ranged from $52.50 to $55.00. Net GEX was positive for 16 of 19 trading days. Term structure was in contango for 11 of 19 days. Put/call ratio averaged 0.97.

Notable Days

  • 2017-02-17: Highest Volume — 76,335 contracts
  • 2017-02-21: Largest IV spike — 21.3% change
  • 2017-02-28: Highest IV Rank — 50.1%
  • 2017-02-28: Largest Expected Move — 5.9%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$55.61$52.34$58.30$53.11$57.11
Max Pain$53.95$52.50$55.00$52.50$55.00
ATM IV19.6%16.4%25.6%18.9%25.6%
Expected Move5.1%4.6%5.9%5.2%5.9%
HV 20d15.5%11.5%17.9%15.7%17.5%
HV 60d19.5%18.9%19.9%19.2%19.7%
IV Rank18.4%1.8%50.1%14.6%50.1%
IV Percentile26.2%1.2%73.8%18.3%73.8%
Term Structure0.9%-1.3%4.9%-0.4%-0.9%
VWIV18.4%16.8%20.7%19.0%20.7%
Skew 25d2.0%1.2%2.7%2.7%1.9%
Skew 10d3.4%-5.6%7.4%3.9%3.9%
Call IV 25d18.8%15.6%25.0%17.6%25.0%
Put IV 25d20.8%17.9%26.9%20.3%26.9%
Bid-Ask Spread %15.339.7828.4422.5516.77
Gamma HHI0.150.110.560.110.13
Net GEX9.0M-81.8M24.8M8.3M20.1M
Net DEX-359.9M-598.1M64.0M-61.0M-417.7M
Net VEX-4.4M-4.7M-4.2M-4.4M-4.7M
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.970.212.170.540.73
Total Volume32,722.15815,19676,33519,01028,120
Total OI507,001.684468,896552,396491,385502,575

Daily Data (19 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2017-02-01$53.11$52.5018.9%5.2%15.7%14.6%19.0%2.7%-0.4%8.3M-61.0M-4.4M0.5422.5512,3746,636229,349262,036
2017-02-02$52.78$52.5018.2%5.3%13.7%11.1%18.5%2.6%-0.2%6.2M-10.6M-4.4M0.8413.6310,4688,808234,284265,292
2017-02-03$52.34$52.5017.6%5.0%14.0%8.2%17.9%2.6%-0.1%-4.4M64.0M-4.3M0.9314.1310,0109,259235,038265,550
2017-02-06$52.72$52.5017.8%5.1%12.2%8.9%17.6%2.6%-0.2%2.7M5.3M-4.3M0.7315.9415,34411,220228,703260,798
2017-02-07$52.75$52.5017.3%5.0%11.5%6.5%17.3%2.4%0.1%6.2M-3.5M-4.3M1.6813.197,99413,397234,036265,891
2017-02-08$53.89$52.5016.4%4.6%13.8%1.8%17.4%2.3%-0.4%18.4M-206.7M-4.3M0.7115.1012,6958,958235,169267,889
2017-02-09$55.31$52.5016.8%4.9%15.9%3.7%17.5%1.9%0.5%23.2M-443.0M-4.2M0.6513.8431,12920,156236,294269,429
2017-02-10$56.19$52.5017.5%5.2%16.2%7.3%18.7%1.7%1.2%21.7M-559.1M-4.2M1.139.7828,62232,340239,426273,847
2017-02-13$56.03$55.0017.8%5.2%16.2%9.1%18.0%2.4%2.3%19.6M-480.9M-4.3M0.7610.2010,8688,231237,618283,538
2017-02-14$56.46$55.0017.1%4.9%15.9%5.4%18.2%1.9%3.6%20.8M-538.9M-4.3M1.7311.9611,40519,697239,510285,252
2017-02-15$56.65$55.0016.4%4.7%15.6%2.2%17.1%1.7%4.2%12.3M-552.9M-4.4M2.1712.2110,27522,249241,376294,191
2017-02-16$56.32$55.0017.2%4.7%15.4%6.2%17.3%1.9%3.9%-3.1M-490.0M-4.4M1.5312.0210,14215,559243,525306,959
2017-02-17$56.50$55.0017.9%4.7%15.4%9.6%16.8%1.2%4.9%-81.8M-537.6M-4.4M0.2112.8763,06613,269244,763307,633
2017-02-21$57.34$55.0021.7%5.0%15.9%29.5%18.1%1.4%0.8%23.1M-497.2M-4.5M0.4820.9323,64411,355235,610233,286
2017-02-22$58.30$55.0023.2%5.4%16.5%37.5%19.2%1.5%0.3%23.5M-598.1M-4.5M0.6819.6728,29919,326235,422236,303
2017-02-23$57.41$55.0025.4%5.5%17.9%48.8%19.8%2.0%-1.3%24.8M-500.5M-4.6M1.1328.4417,71519,957249,843242,383
2017-02-24$57.79$55.0024.2%5.6%17.7%42.7%19.6%1.9%0.2%5.0M-512.2M-4.7M0.5717.0121,56112,377256,379254,917
2017-02-27$57.66$55.0025.1%5.7%16.9%47.2%20.1%1.8%-0.9%24.6M-497.8M-4.7M1.2010.956,9208,276254,359244,559
2017-02-28$57.11$55.0025.6%5.9%17.5%50.1%20.7%1.9%-0.9%20.1M-417.7M-4.7M0.7316.7716,24011,880254,956247,619