NKE Options History — December 2017

In December 2017, NKE traded between $59.74 and $64.93. ATM implied volatility averaged 25.7%, placing in the 63.9% IV rank vs the trailing year. The 30-day expected move averaged 6.8%. IV traded above realized volatility by 8.6% (HV 20d: 17.1%). Max pain ranged from $55.00 to $57.50. Net GEX was positive for 20 of 20 trading days. Term structure was in contango for 4 of 20 days. Put/call ratio averaged 1.04.

Notable Days

  • 2017-12-21: Highest Volume — 133,028 contracts
  • 2017-12-22: Largest IV drop — 39.4% change
  • 2017-12-20: Highest IV Rank — 90.0%
  • 2017-12-20: Largest Expected Move — 8.6%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$62.64$59.74$64.93$59.93$62.58
Max Pain$56.38$55.00$57.50$57.50$57.50
ATM IV25.7%17.8%30.0%28.5%18.4%
Expected Move6.8%5.1%8.6%5.3%5.3%
HV 20d17.1%14.6%20.4%16.2%20.2%
HV 60d17.8%16.7%18.9%16.9%18.6%
IV Rank63.9%15.4%90.0%80.7%19.0%
IV Percentile78.5%27.8%99.6%98.0%35.7%
Term Structure-1.3%-2.6%0.4%-1.8%0.1%
VWIV24.3%18.3%30.7%19.1%19.0%
Skew 25d2.6%1.2%4.2%1.2%2.4%
Skew 10d6.1%3.6%14.8%14.8%4.7%
Call IV 25d24.5%17.1%28.7%28.7%17.4%
Put IV 25d27.1%19.1%31.4%29.9%19.8%
Bid-Ask Spread %9.813.6618.6010.876.37
Gamma HHI0.100.060.130.130.08
Net GEX11.9M767.1K19.6M12.9M6.3M
Net DEX-800.2M-1.13B-530.9M-576.2M-711.4M
Net VEX-4.1M-4.5M-3.8M-4.5M-3.9M
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.040.212.061.271.27
Total Volume43,686.517,453133,02817,45325,413
Total OI633,928.15548,887768,245552,102718,417

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2017-12-01$59.93$57.5028.5%5.3%16.2%80.7%19.1%1.2%-1.8%12.9M-576.2M-4.5M1.2710.877,6799,774233,309318,793
2017-12-04$60.12$55.0028.5%7.1%16.1%81.1%25.0%3.1%-1.6%12.8M-590.4M-4.4M1.133.669,00210,204231,909316,978
2017-12-05$60.40$55.0029.2%7.1%16.1%85.0%25.1%3.4%-2.4%13.3M-616.6M-4.4M1.2011.0210,06312,055235,394321,315
2017-12-06$59.74$55.0029.5%7.3%15.3%86.9%25.7%2.5%-2.2%11.7M-530.9M-4.5M2.064.277,33215,068239,425325,052
2017-12-07$60.61$55.0028.7%7.1%15.6%82.0%25.3%2.1%-2.4%15.1M-646.1M-4.4M1.266.6410,79913,625241,168331,787
2017-12-08$61.26$55.0025.6%7.1%15.6%62.9%25.6%2.2%-0.1%19.6M-748.3M-4.1M0.6310.0427,93317,650242,315332,457
2017-12-11$61.88$55.0029.2%7.5%15.6%85.1%26.0%2.6%-2.1%17.9M-801.1M-4.2M1.1010.8726,65629,319249,154334,237
2017-12-12$62.20$55.0028.1%7.4%15.1%78.6%25.9%2.6%-2.3%19.3M-846.4M-4.1M0.9912.2014,47414,313263,377351,402
2017-12-13$64.25$55.0028.4%7.4%17.9%79.9%26.5%3.2%-2.6%15.8M-1.07B-3.8M0.7113.1326,08518,466267,091352,103
2017-12-14$64.57$55.0027.0%7.4%17.8%71.6%25.2%2.9%-1.3%18.6M-1.13B-3.8M1.4512.0415,44722,330273,780359,948
2017-12-15$64.72$57.5026.5%7.2%17.8%68.7%24.5%2.4%-2.1%12.8M-1.10B-3.8M1.3912.9313,97019,359281,745375,578
2017-12-18$64.80$57.5027.3%7.7%14.6%73.6%26.8%2.9%-1.0%10.5M-939.5M-3.9M1.0411.0821,68722,607260,915360,454
2017-12-19$64.31$57.5027.7%7.9%15.2%76.1%28.6%2.9%-1.1%7.8M-862.2M-4.1M0.459.8221,3729,511269,231374,707
2017-12-20$63.65$57.5030.0%8.6%16.0%90.0%29.7%3.6%-2.3%8.9M-789.5M-4.3M0.4410.1941,88618,313282,835376,629
2017-12-21$64.93$57.5029.6%8.6%16.8%87.5%30.7%4.2%-2.0%19.2M-995.1M-4.1M1.2518.6059,19073,838310,011385,160
2017-12-22$63.33$57.5017.9%5.1%19.8%16.5%18.3%2.2%0.1%7.4M-743.6M-3.9M1.306.2850,02165,081341,607426,638
2017-12-26$63.65$57.5018.4%5.3%19.8%18.9%19.1%2.0%0.4%4.2M-832.1M-3.8M0.838.9514,45511,946291,134394,911
2017-12-27$62.93$57.5017.8%5.3%20.4%15.4%20.4%2.0%0.3%767.1K-713.5M-3.9M0.216.6056,26411,792295,249398,303
2017-12-28$62.93$57.5018.1%5.2%20.0%17.6%18.8%2.0%-0.1%3.2M-760.7M-3.9M0.9010.699,8448,907316,471397,574
2017-12-29$62.58$57.5018.4%5.3%20.2%19.0%19.0%2.4%0.1%6.3M-711.4M-3.9M1.276.3711,21714,196319,479398,938