NKE Options History — March 2017

In March 2017, NKE traded between $54.03 and $58.78. ATM implied volatility averaged 23.2%, placing in the 38.8% IV rank vs the trailing year. The 30-day expected move averaged 6.1%. IV traded above realized volatility by 1.0% (HV 20d: 22.2%). Max pain ranged from $55.00 to $56.00. Net GEX was positive for 20 of 23 trading days. Term structure was in contango for 0 of 23 days. Put/call ratio averaged 0.93.

Notable Days

2017-03-22: Highest Volume — 167,972 contracts
2017-03-22: Largest IV drop — 34.2% change
2017-03-21: Highest IV Rank — 65.7%
2017-03-21: Largest Expected Move — 7.9%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$56.79	$54.03	$58.78	$57.98	$55.86
Max Pain	$55.09	$55.00	$56.00	$55.00	$55.00
ATM IV	23.2%	17.5%	28.0%	25.0%	17.5%
Expected Move	6.1%	4.7%	7.9%	5.5%	4.7%
HV 20d	22.2%	14.8%	32.6%	17.7%	31.7%
HV 60d	19.4%	16.3%	23.4%	19.8%	22.7%
IV Rank	38.8%	8.8%	65.7%	47.0%	8.8%
IV Percentile	55.4%	9.5%	90.5%	70.6%	9.5%
Term Structure	-1.0%	-2.2%	-0.0%	-1.0%	-0.2%
VWIV	21.5%	16.6%	27.8%	19.6%	16.6%
Skew 25d	1.4%	0.7%	1.9%	1.0%	1.9%
Skew 10d	2.7%	-1.1%	5.0%	2.8%	2.9%
Call IV 25d	22.8%	16.8%	27.2%	24.9%	16.8%
Put IV 25d	24.2%	18.5%	28.5%	25.9%	18.7%
Bid-Ask Spread %	14.32	6.72	44.56	14.98	8.95
Gamma HHI	0.13	0.09	0.17	0.14	0.12
Net GEX	11.2M	-30.9M	29.8M	27.4M	-8.2M
Net DEX	-296.4M	-549.0M	385.3M	-549.0M	-128.4M
Net VEX	-4.6M	-4.9M	-4.2M	-4.6M	-4.6M
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	0.93	0.64	1.65	0.65	0.94
Total Volume	44,293.522	18,979	167,972	33,709	23,089
Total OI	562,530.043	487,929	663,028	509,201	603,141

Daily Data (23 trading days)

Date	Price	Max Pain	ATM IV	Exp Move	HV 20d	IV Rank	VWIV	Skew 25d	Term Str	GEX	DEX	VEX	P/C	Spread %	Call Vol	Put Vol	Call OI	Put OI
2017-03-01	$57.98	$55.00	25.0%	5.5%	17.7%	47.0%	19.6%	1.0%	-1.0%	27.4M	-549.0M	-4.6M	0.65	14.98	20,397	13,312	257,041	252,160
2017-03-02	$57.74	$55.50	25.8%	5.4%	18.0%	51.3%	19.7%	1.2%	-1.2%	20.7M	-475.9M	-4.6M	0.64	15.19	19,647	12,540	246,552	258,662
2017-03-03	$56.65	$55.50	26.9%	5.4%	19.5%	57.0%	18.9%	1.1%	-1.7%	4.2M	-318.9M	-4.8M	1.65	18.41	16,260	26,898	256,856	266,908
2017-03-06	$56.81	$55.00	26.3%	6.9%	19.0%	53.8%	24.1%	1.1%	-1.0%	14.2M	-346.9M	-4.7M	0.76	9.32	14,047	10,628	256,309	273,057
2017-03-07	$56.48	$55.00	25.9%	6.7%	19.2%	51.5%	23.6%	1.3%	-1.2%	12.8M	-306.0M	-4.7M	0.75	9.46	14,654	11,026	261,765	275,908
2017-03-08	$56.48	$55.00	25.9%	6.7%	19.2%	51.8%	23.7%	1.4%	-1.2%	14.7M	-312.3M	-4.7M	0.79	6.72	10,769	8,554	265,688	276,954
2017-03-09	$56.42	$55.00	27.0%	6.9%	18.1%	57.1%	24.4%	1.5%	-1.2%	13.5M	-288.8M	-4.7M	0.68	9.39	11,741	7,976	267,631	279,508
2017-03-10	$56.48	$55.00	26.2%	6.6%	15.8%	55.5%	23.3%	1.4%	-1.5%	18.7M	-283.0M	-4.6M	0.99	10.49	12,748	12,596	264,426	282,039
2017-03-13	$56.66	$55.00	25.5%	6.6%	14.8%	51.9%	23.4%	1.6%	-2.1%	15.4M	-315.5M	-4.5M	0.71	8.18	11,789	8,387	260,822	280,378
2017-03-14	$57.36	$55.00	25.7%	6.8%	15.3%	53.1%	24.2%	1.9%	-2.0%	24.9M	-436.8M	-4.5M	1.43	10.05	16,820	24,122	263,882	281,528
2017-03-15	$57.77	$55.00	25.8%	6.8%	15.3%	53.4%	23.5%	1.1%	-2.2%	24.2M	-468.8M	-4.5M	0.70	11.34	25,410	17,706	264,566	292,714
2017-03-16	$57.64	$55.00	24.5%	6.7%	15.3%	46.4%	23.4%	0.7%	-1.7%	29.8M	-453.9M	-4.4M	0.83	8.65	10,369	8,610	264,258	298,449
2017-03-17	$57.70	$55.00	23.9%	6.6%	15.1%	43.0%	23.1%	1.3%	-1.5%	28.1M	-468.1M	-4.4M	0.66	9.80	13,947	9,267	266,044	300,290
2017-03-20	$58.78	$55.00	26.6%	7.5%	16.3%	58.0%	27.4%	1.2%	-0.5%	17.6M	-535.6M	-4.4M	1.58	44.56	44,937	71,177	239,857	248,072
2017-03-21	$58.26	$55.00	28.0%	7.9%	16.0%	65.7%	27.8%	1.4%	-1.9%	10.9M	-442.0M	-4.7M	1.08	19.11	54,648	58,993	257,844	288,018
2017-03-22	$54.03	$56.00	18.4%	5.3%	30.6%	13.1%	18.4%	1.5%	-0.2%	-30.9M	385.3M	-4.2M	1.25	15.83	74,757	93,215	292,359	315,669
2017-03-23	$55.34	$55.00	18.2%	5.2%	31.8%	12.9%	18.6%	1.9%	-0.1%	-16.7M	48.5M	-4.7M	0.91	11.77	34,969	31,759	314,276	334,350
2017-03-24	$56.39	$55.00	18.6%	5.3%	32.5%	15.2%	18.9%	1.8%	-0.0%	4.5M	-194.2M	-4.9M	1.27	34.57	25,829	32,751	322,766	340,262
2017-03-27	$56.04	$55.00	18.5%	5.3%	32.6%	14.7%	18.4%	1.8%	-0.1%	4.8M	-176.9M	-4.8M	0.68	14.70	13,791	9,400	281,931	302,677
2017-03-28	$56.57	$55.00	18.2%	5.1%	32.6%	12.6%	18.1%	1.8%	-0.3%	12.1M	-283.3M	-4.7M	0.89	12.75	14,678	13,016	283,991	304,431
2017-03-29	$56.66	$55.00	17.8%	5.0%	32.1%	10.6%	17.6%	1.8%	-0.1%	14.3M	-301.2M	-4.7M	0.66	13.46	14,062	9,294	287,666	308,050
2017-03-30	$56.01	$55.00	17.6%	4.9%	32.3%	9.0%	17.0%	1.5%	-0.3%	798.5K	-166.1M	-4.7M	0.94	11.73	14,489	13,677	289,193	309,243
2017-03-31	$55.86	$55.00	17.5%	4.7%	31.7%	8.8%	16.6%	1.9%	-0.2%	-8.2M	-128.4M	-4.6M	0.94	8.95	11,894	11,195	290,387	312,754