NKE Options History — March 2018

In March 2018, NKE traded between $64.13 and $66.88. ATM implied volatility averaged 28.5%, placing in the 71.4% IV rank vs the trailing year. The 30-day expected move averaged 7.6%. IV traded above realized volatility by 3.8% (HV 20d: 24.7%). Max pain ranged from $60.00 to $67.50. Net GEX was positive for 11 of 21 trading days. Term structure was in contango for 5 of 21 days. Put/call ratio averaged 1.41.

Notable Days

  • 2018-03-22: Highest Volume — 86,217 contracts
  • 2018-03-23: Largest IV drop — 16.6% change
  • 2018-03-01: Highest IV Rank — 100.0%
  • 2018-03-22: Largest Expected Move — 9.0%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$65.79$64.13$66.88$66.33$66.19
Max Pain$62.02$60.00$67.50$67.50$62.50
ATM IV28.5%21.7%33.9%33.9%21.7%
Expected Move7.6%6.2%9.0%7.6%6.2%
HV 20d24.7%19.8%33.8%33.7%20.3%
HV 60d25.4%24.9%25.9%25.4%25.4%
IV Rank71.4%34.7%100.0%100.0%34.7%
IV Percentile86.8%56.3%100.0%100.0%56.3%
Term Structure-1.1%-3.0%2.2%-2.7%0.4%
VWIV26.9%22.1%31.2%28.2%22.1%
Skew 25d4.0%2.5%5.1%4.8%4.2%
Skew 10d8.3%5.6%10.9%10.9%8.4%
Call IV 25d26.7%20.0%32.4%32.3%20.0%
Put IV 25d30.7%24.2%37.1%37.1%24.2%
Bid-Ask Spread %9.104.3023.2623.264.98
Gamma HHI0.080.050.150.080.07
Net GEX1.1M-11.3M12.6M10.6M5.2M
Net DEX-350.3M-440.8M-179.6M-410.5M-413.8M
Net VEX-4.2M-4.3M-4.0M-4.0M-4.1M
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.410.472.421.260.61
Total Volume33,23113,41486,21746,37322,761
Total OI418,399.667372,069471,636372,069446,140

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2018-03-01$66.33$67.5033.9%7.6%33.7%100.0%28.2%4.8%-2.7%10.6M-410.5M-4.0M1.2623.2620,51225,861173,221198,848
2018-03-02$66.03$67.5032.7%6.6%33.6%93.5%25.5%4.4%-3.0%9.4M-380.8M-4.2M1.8012.3024,43643,877175,893213,827
2018-03-05$65.14$60.0031.6%8.0%33.8%87.9%27.8%3.8%-2.0%-3.1M-280.5M-4.2M1.405.8513,42118,775171,591229,194
2018-03-06$65.17$60.0031.8%8.0%31.0%89.0%27.5%3.3%-2.1%-4.0M-282.8M-4.3M1.376.437,74810,631176,505235,125
2018-03-07$64.13$60.0031.2%8.0%31.4%85.8%28.1%4.1%-2.7%-11.3M-179.6M-4.3M1.857.088,60715,896178,688237,821
2018-03-08$64.96$60.0030.0%7.8%31.6%79.1%26.9%3.7%-1.6%-7.3M-261.9M-4.3M1.685.917,04511,867180,011244,041
2018-03-09$66.24$60.0029.0%7.7%27.1%73.7%27.5%3.5%-1.7%-2.2M-381.7M-4.2M1.4411.8210,05114,463181,345247,831
2018-03-12$66.88$60.0028.6%7.6%22.7%71.7%26.1%3.6%-1.5%1.8M-438.1M-4.1M1.185.238,1369,603174,282242,097
2018-03-13$66.16$60.0029.3%8.1%22.9%75.6%26.9%3.4%-0.6%-1.1M-376.3M-4.2M1.338.577,4149,879176,304244,280
2018-03-14$66.21$60.0029.0%8.0%22.9%73.9%28.7%3.2%-1.1%351.3K-388.8M-4.2M2.425.005,91514,288178,117245,087
2018-03-15$66.39$62.5028.2%7.6%19.9%69.5%26.8%3.3%-2.0%3.3M-406.7M-4.1M1.635.885,1018,313178,514249,334
2018-03-16$66.05$62.5027.9%7.8%19.9%67.7%27.0%2.5%-0.8%12.6M-383.1M-4.1M2.0512.748,32617,093179,010249,745
2018-03-19$65.74$62.5030.3%8.5%19.8%81.0%28.8%3.9%-1.4%2.9M-355.8M-4.1M0.677.9419,98513,396166,765215,559
2018-03-20$66.77$62.5028.7%8.1%20.2%72.5%28.5%4.2%-0.8%6.7M-440.8M-4.1M1.454.5811,30016,426178,674219,202
2018-03-21$66.45$62.5028.4%8.1%20.2%70.7%29.5%4.0%-0.7%5.1M-412.2M-4.2M1.9910.3014,58429,032182,854227,220
2018-03-22$64.46$62.5031.0%9.0%22.8%84.5%31.2%4.6%-2.2%-534.4K-237.8M-4.3M2.0618.9728,16258,055188,282237,290
2018-03-23$64.67$62.5025.8%7.2%22.2%56.8%25.1%4.5%2.2%-3.0M-212.0M-4.3M1.4117.2524,39234,339202,634269,002
2018-03-26$65.95$62.5022.4%6.4%21.7%38.5%22.3%4.2%0.3%-61.3K-382.2M-4.2M0.924.3011,65610,746186,783237,146
2018-03-27$66.22$62.5023.6%6.9%20.7%45.0%23.9%5.1%0.2%1.2M-400.8M-4.2M0.477.9326,51512,555188,073238,133
2018-03-28$65.51$62.5024.1%7.1%20.3%47.7%27.3%5.1%0.1%-4.2M-330.1M-4.3M0.704.7321,57815,111201,052240,873
2018-03-29$66.19$62.5021.7%6.2%20.3%34.7%22.1%4.2%0.4%5.2M-413.8M-4.1M0.614.9814,0998,662202,880243,260