NKE Options History — July 2017

In July 2017, NKE traded between $57.16 and $59.98. ATM implied volatility averaged 16.9%, placing in the 12.0% IV rank vs the trailing year. The 30-day expected move averaged 4.8%. IV traded below realized volatility by 23.0% (HV 20d: 39.9%). Max pain ranged from $54.00 to $60.00. Net GEX was positive for 20 of 20 trading days. Term structure was in contango for 18 of 20 days. Put/call ratio averaged 1.09.

Notable Days

  • 2017-07-20: Highest Volume — 53,369 contracts
  • 2017-07-07: Largest IV drop — 7.6% change
  • 2017-07-03: Highest IV Rank — 25.5%
  • 2017-07-03: Largest Expected Move — 5.3%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$58.38$57.16$59.98$58.65$59.01
Max Pain$57.85$54.00$60.00$54.00$59.50
ATM IV16.9%15.6%18.8%18.8%17.0%
Expected Move4.8%4.4%5.3%5.3%4.8%
HV 20d39.9%17.7%43.7%42.6%17.7%
HV 60d27.1%26.4%27.7%26.4%27.7%
IV Rank12.0%2.7%25.5%25.5%12.7%
IV Percentile14.9%3.6%39.3%39.3%17.1%
Term Structure0.3%-0.6%1.0%-0.1%-0.6%
VWIV17.1%15.7%19.3%18.3%17.1%
Skew 25d1.6%1.2%2.1%1.2%1.9%
Skew 10d3.5%2.9%4.5%3.3%3.8%
Call IV 25d16.4%15.2%18.5%18.5%16.3%
Put IV 25d18.1%16.6%19.8%19.8%18.3%
Bid-Ask Spread %7.573.7013.3313.338.13
Gamma HHI0.190.120.810.130.14
Net GEX22.3M2.3M146.0M17.8M7.2M
Net DEX-670.7M-1.05B-384.7M-846.9M-474.5M
Net VEX-5.1M-5.4M-4.9M-5.2M-4.9M
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.090.561.760.701.04
Total Volume28,190.5513,32353,36938,03014,377
Total OI629,212.25504,730693,366683,713504,730

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2017-07-03$58.65$54.0018.8%5.3%42.6%25.5%18.3%1.2%-0.1%17.8M-846.9M-5.2M0.7013.3322,40215,628292,215391,498
2017-07-05$57.60$54.0018.3%5.2%43.1%22.2%19.3%2.0%0.4%14.4M-660.0M-5.3M1.5610.4118,08428,264292,341395,562
2017-07-06$57.16$57.5018.4%5.1%43.1%22.9%18.0%1.6%0.0%13.4M-585.0M-5.4M1.4411.1913,45719,341295,990395,486
2017-07-07$58.03$57.5017.0%5.0%43.3%12.8%17.3%1.5%0.1%36.9M-762.0M-5.2M0.645.5618,71511,965298,138395,026
2017-07-10$58.72$57.5017.6%5.1%43.3%16.8%18.3%1.7%0.3%22.4M-831.7M-5.0M0.674.9016,96311,313287,822352,468
2017-07-11$58.16$57.5017.8%5.2%43.6%18.1%18.1%1.8%0.6%22.4M-755.8M-5.1M0.869.6312,57210,830292,959356,961
2017-07-12$58.35$57.5017.1%5.0%43.5%13.6%17.2%1.5%0.3%23.5M-797.5M-5.0M1.017.2810,93911,075295,447358,615
2017-07-13$58.03$57.5016.5%4.8%43.7%9.3%16.1%1.8%0.4%22.6M-746.2M-5.1M1.769.0218,83933,231297,379359,638
2017-07-14$58.10$57.5016.0%4.8%41.6%5.6%16.8%1.6%1.0%18.3M-730.4M-5.2M1.626.6512,56320,394306,993380,525
2017-07-17$57.84$57.5016.5%4.8%38.9%9.1%16.5%2.1%0.0%16.2M-661.4M-5.2M1.224.498,80910,774302,638381,689
2017-07-18$57.68$57.5016.3%4.7%38.8%7.8%16.4%1.7%0.1%18.6M-633.0M-5.2M1.358.795,6587,665303,557380,949
2017-07-19$57.75$57.5015.9%4.6%38.4%4.6%16.2%1.5%0.1%22.2M-651.0M-5.2M1.237.1110,06412,399304,118381,849
2017-07-20$59.03$57.5016.1%4.6%38.5%6.0%16.2%1.3%0.6%11.6M-892.4M-5.1M0.937.3027,67925,690306,910386,456
2017-07-21$59.98$57.5015.6%4.4%38.5%2.7%15.7%1.4%0.4%146.0M-1.05B-4.9M0.637.1825,48916,042311,581379,251
2017-07-24$59.01$60.0016.3%4.6%39.4%7.6%16.2%1.7%0.4%8.2M-508.0M-5.0M1.223.709,06511,054231,900280,998
2017-07-25$59.32$60.0016.8%4.8%39.3%11.5%17.0%1.5%0.4%9.9M-554.9M-5.0M0.844.989,5678,042234,526283,326
2017-07-26$58.45$60.0016.4%4.7%39.8%8.1%16.6%1.6%0.5%4.7M-433.2M-5.1M0.564.4411,2346,305235,192285,740
2017-07-27$58.10$60.0016.8%4.9%40.0%11.4%18.0%1.8%0.3%2.3M-384.7M-5.1M1.378.459,93313,577235,295287,066
2017-07-28$58.71$59.5016.7%4.7%40.0%10.7%17.4%1.6%0.5%7.0M-459.6M-5.0M1.148.836,4427,371234,514286,897
2017-07-31$59.01$59.5017.0%4.8%17.7%12.7%17.1%1.9%-0.6%7.2M-474.5M-4.9M1.048.137,0357,342226,784277,946