NKE Options History — September 2017

In September 2017, NKE traded between $51.81 and $53.77. ATM implied volatility averaged 26.6%, placing in the 80.6% IV rank vs the trailing year. The 30-day expected move averaged 7.1%. IV traded above realized volatility by 8.9% (HV 20d: 17.8%). Max pain ranged from $55.00 to $55.00. Net GEX was positive for 1 of 20 trading days. Term structure was in contango for 2 of 20 days. Put/call ratio averaged 0.91.

Notable Days

  • 2017-09-26: Highest Volume — 168,998 contracts
  • 2017-09-27: Largest IV drop — 37.2% change
  • 2017-09-21: Highest IV Rank — 100.0%
  • 2017-09-26: Largest Expected Move — 9.8%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$53.09$51.81$53.77$53.36$51.81
Max Pain$55.00$55.00$55.00$55.00$55.00
ATM IV26.6%19.5%31.7%25.3%19.5%
Expected Move7.1%4.4%9.8%4.4%4.8%
HV 20d17.8%12.3%23.4%23.0%13.7%
HV 60d26.6%18.2%30.1%30.0%18.5%
IV Rank80.6%26.0%100.0%72.6%26.0%
IV Percentile87.5%47.6%100.0%77.8%47.6%
Term Structure-1.2%-3.5%0.4%-0.2%-0.2%
VWIV24.7%15.1%34.2%15.1%16.9%
Skew 25d2.2%0.7%3.2%0.7%1.6%
Skew 10d4.8%2.4%6.4%5.2%3.7%
Call IV 25d25.6%19.1%29.3%25.4%19.1%
Put IV 25d27.8%20.7%31.2%26.1%20.7%
Bid-Ask Spread %8.331.5931.9810.396.38
Gamma HHI0.110.090.130.110.13
Net GEX-9.2M-30.4M6.6M-6.5M-27.3M
Net DEX162.3M3.9M485.7M149.1M485.7M
Net VEX-5.3M-5.6M-5.2M-5.3M-5.3M
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.910.411.960.421.06
Total Volume49,539.220,630168,99837,52945,502
Total OI633,931.3578,992749,112598,224749,112

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2017-09-01$53.36$55.0025.3%4.4%23.0%72.6%15.1%0.7%-0.2%-6.5M149.1M-5.3M0.4210.3926,38211,147286,132312,092
2017-09-05$52.98$55.0028.7%7.4%22.9%97.2%26.4%3.2%-2.1%-4.8M164.9M-5.3M1.144.9818,23620,733282,626305,660
2017-09-06$52.77$55.0028.9%7.3%22.9%98.3%25.8%3.0%-2.1%-9.5M201.2M-5.3M0.581.9017,84110,362284,421313,665
2017-09-07$52.36$55.0028.2%7.1%22.3%93.9%24.4%2.9%-2.4%-14.3M268.2M-5.2M0.674.6618,92112,585286,487316,759
2017-09-08$52.21$55.0028.1%7.1%22.3%92.6%24.5%2.9%-1.8%-14.4M288.5M-5.2M0.464.8018,7088,593289,254319,531
2017-09-11$52.96$55.0026.8%7.1%23.4%83.0%24.6%2.4%-1.6%-9.0M163.2M-5.2M0.411.5923,7959,755288,192319,230
2017-09-12$53.31$55.0026.7%7.2%22.9%82.8%24.3%2.3%-1.4%-5.4M101.1M-5.3M0.441.9118,0017,853292,298323,511
2017-09-13$53.51$55.0027.0%7.3%22.2%84.8%25.4%2.5%-1.4%-1.2M61.9M-5.3M0.482.6616,0887,708294,235324,793
2017-09-14$53.72$55.0027.2%7.3%22.3%86.1%25.3%2.3%-1.8%6.6M10.0M-5.4M0.753.8111,7698,861304,025328,359
2017-09-15$53.77$55.0026.0%6.9%21.8%77.9%24.4%1.7%-3.5%-1.1M3.9M-5.3M0.837.9318,68815,501306,479331,454
2017-09-18$53.50$55.0026.3%7.4%15.8%79.7%25.9%2.1%-0.1%-2.9M66.4M-5.3M0.866.3121,56318,595270,859308,133
2017-09-19$53.26$55.0027.9%7.9%12.8%91.5%27.4%2.7%-0.2%-5.9M109.0M-5.3M0.796.1029,44223,210272,280317,283
2017-09-20$53.59$55.0028.2%8.1%12.5%93.8%27.9%2.7%0.1%-4.4M68.4M-5.4M1.243.1817,55221,727282,245331,024
2017-09-21$53.23$55.0029.1%8.4%12.4%100.0%29.2%2.8%-0.5%-8.5M141.7M-5.5M1.4731.9814,74721,721287,420342,979
2017-09-22$53.23$55.0028.4%8.2%12.3%94.5%28.3%1.9%-0.3%-7.1M158.7M-5.4M0.9917.2127,32627,040293,713351,177
2017-09-25$53.25$55.0029.2%8.5%12.3%100.0%29.7%2.3%-2.7%-6.5M127.0M-5.5M1.0720.0925,68627,443290,571353,338
2017-09-26$53.75$55.0031.7%9.8%12.8%100.0%34.2%1.9%-2.2%-3.4M50.1M-5.6M1.1716.0078,04390,955292,559354,356
2017-09-27$52.65$55.0019.9%5.1%12.7%28.3%18.3%1.3%0.4%-30.4M343.0M-5.3M1.3511.3662,85284,869327,474402,064
2017-09-28$52.68$55.0019.9%4.8%12.6%28.1%16.7%1.2%-0.2%-28.9M283.4M-5.4M1.963.2717,21933,765338,042404,794
2017-09-29$51.81$55.0019.5%4.8%13.7%26.0%16.9%1.6%-0.2%-27.3M485.7M-5.3M1.066.3822,04123,461339,763409,349