NKE Options History — June 2017

In June 2017, NKE traded between $51.02 and $58.96. ATM implied volatility averaged 24.8%, placing in the 55.0% IV rank vs the trailing year. The 30-day expected move averaged 6.8%. IV traded above realized volatility by 5.1% (HV 20d: 19.7%). Max pain ranged from $52.50 to $55.00. Net GEX was positive for 10 of 22 trading days. Term structure was in contango for 1 of 22 days. Put/call ratio averaged 1.11.

Notable Days

  • 2017-06-30: Highest Volume — 262,130 contracts
  • 2017-06-30: Largest IV drop — 26.4% change
  • 2017-06-29: Highest IV Rank — 87.2%
  • 2017-06-29: Largest Expected Move — 8.7%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$53.20$51.02$58.96$52.25$58.96
Max Pain$53.20$52.50$55.00$55.00$53.00
ATM IV24.8%20.1%27.8%23.5%20.1%
Expected Move6.8%4.5%8.7%4.5%5.5%
HV 20d19.7%12.9%42.5%12.9%42.5%
HV 60d18.9%15.8%26.4%20.2%26.4%
IV Rank55.0%35.1%87.2%46.5%35.1%
IV Percentile78.0%51.2%96.8%68.3%51.2%
Term Structure-1.3%-2.3%1.0%-0.7%1.0%
VWIV23.8%15.7%30.5%15.7%20.0%
Skew 25d1.6%1.1%2.1%1.3%1.8%
Skew 10d3.1%1.4%4.2%3.2%2.8%
Call IV 25d24.2%19.5%27.2%23.7%19.5%
Put IV 25d25.8%21.3%28.9%25.0%21.3%
Bid-Ask Spread %9.642.7825.178.7225.17
Gamma HHI0.140.100.190.140.14
Net GEX-2.4M-27.8M31.2M-18.2M31.2M
Net DEX949.3K-1.26B503.7M177.6M-1.26B
Net VEX-5.5M-6.0M-5.0M-5.0M-5.1M
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.110.392.491.010.63
Total Volume61,773.09122,076262,13022,939262,130
Total OI628,415.045545,024795,517545,024795,517

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2017-06-01$52.25$55.0023.5%4.5%12.9%46.5%15.7%1.3%-0.7%-18.2M177.6M-5.0M1.018.7211,38811,551259,912285,112
2017-06-02$52.96$55.0023.3%4.5%14.1%44.8%16.0%1.5%-1.8%12.4M52.2M-5.1M0.3917.4453,23720,918263,385288,905
2017-06-05$53.04$52.5023.2%6.1%13.7%44.5%21.5%1.4%-0.8%10.5M-6.6M-5.2M0.806.9412,2359,841284,610287,550
2017-06-06$52.50$52.5023.6%6.1%13.9%46.9%21.1%1.4%-1.0%1.7M99.1M-5.2M0.457.5515,2376,846287,818292,190
2017-06-07$53.29$52.5023.7%6.2%14.4%47.2%21.8%1.7%-1.4%18.2M-56.0M-5.3M0.853.3316,48613,958292,275294,051
2017-06-08$53.21$52.5024.0%6.3%14.3%48.8%22.1%1.9%-1.3%24.7M-46.6M-5.3M0.872.7813,98112,146296,521299,836
2017-06-09$53.32$52.5023.2%6.2%14.3%44.5%21.8%1.8%-1.5%29.7M-61.2M-5.3M0.5411.4520,57911,208295,926302,791
2017-06-12$53.94$52.5023.8%6.2%14.9%47.8%22.3%2.1%-1.9%2.0M-105.9M-5.3M0.884.7316,01014,032280,411300,437
2017-06-13$54.32$52.5023.5%6.3%14.8%46.3%23.5%1.8%-1.6%7.0M-162.4M-5.3M0.826.4022,62518,556283,801304,907
2017-06-14$54.64$52.5023.5%6.2%13.2%46.1%22.1%1.5%-2.0%16.6M-226.2M-5.3M1.255.4010,68213,357291,969306,400
2017-06-15$52.90$52.5025.1%6.7%17.1%55.4%23.0%1.9%-2.1%-12.2M78.6M-5.3M2.495.6923,93059,626293,987313,236
2017-06-16$51.02$55.0025.9%6.9%21.5%59.4%24.0%1.4%-2.3%-21.3M503.7M-5.2M2.117.0232,51068,453300,806350,882
2017-06-19$51.97$55.0024.1%6.8%22.6%49.4%23.8%1.6%-0.8%-25.5M249.8M-5.4M0.865.7216,45814,118259,346331,208
2017-06-20$51.45$55.0025.1%7.1%22.9%55.0%24.9%1.3%-0.8%-27.8M337.1M-5.5M1.054.5119,91420,873266,936338,604
2017-06-21$52.52$52.5026.5%7.6%23.8%62.7%26.4%1.2%-1.3%-18.1M139.2M-5.7M0.8311.4434,07528,397275,392352,041
2017-06-22$52.43$52.5027.8%8.0%23.7%70.0%27.9%1.7%-1.6%-14.4M147.9M-5.9M1.6616.7719,40132,222287,180364,797
2017-06-23$52.75$53.0027.0%7.9%23.6%65.7%27.7%1.8%-1.4%-12.8M101.3M-5.9M1.4515.9517,88525,990293,150382,118
2017-06-26$53.34$53.0027.3%8.3%23.9%67.2%28.8%1.1%-1.2%-15.3M5.9M-6.0M0.603.6242,10125,256289,016385,180
2017-06-27$53.02$53.0027.0%8.3%23.9%65.5%28.8%1.6%-1.6%-15.4M53.9M-5.9M0.8917.1921,73819,314303,557390,645
2017-06-28$53.30$53.0027.1%8.6%24.0%73.5%29.9%1.2%-1.6%-12.4M-14.4M-5.9M1.774.0932,07456,763313,811402,319
2017-06-29$53.30$53.0027.3%8.7%23.5%87.2%30.5%1.9%-1.6%-13.1M10.2M-6.0M2.1420.1151,202109,705323,670412,926
2017-06-30$58.96$53.0020.1%5.5%42.5%35.1%20.0%1.8%1.0%31.2M-1.26B-5.1M0.6325.17161,166100,964343,170452,347