NKE Options History — September 2019

In September 2019, NKE traded between $84.63 and $93.94. ATM implied volatility averaged 27.3%, placing in the 37.9% IV rank vs the trailing year. The 30-day expected move averaged 7.6%. IV traded above realized volatility by 2.6% (HV 20d: 24.8%). Max pain ranged from $82.50 to $87.50. Net GEX was positive for 20 of 20 trading days. Term structure was in contango for 4 of 20 days. Put/call ratio averaged 0.89.

Notable Days

  • 2019-09-25: Highest Volume — 207,098 contracts
  • 2019-09-25: Largest IV drop — 30.2% change
  • 2019-09-03: Highest IV Rank — 51.8%
  • 2019-09-24: Largest Expected Move — 9.2%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$88.31$84.63$93.94$84.63$93.94
Max Pain$83.85$82.50$87.50$84.00$87.50
ATM IV27.3%21.0%31.2%31.2%21.0%
Expected Move7.6%6.0%9.2%7.2%6.0%
HV 20d24.8%19.2%28.3%27.3%22.5%
HV 60d24.0%23.2%24.9%23.8%24.5%
IV Rank37.9%14.8%51.8%51.8%14.8%
IV Percentile62.4%26.6%86.9%86.9%26.6%
Term Structure-0.9%-1.9%0.4%-1.5%0.0%
VWIV26.7%21.2%32.2%26.0%22.4%
Skew 25d4.3%2.7%5.1%4.5%4.0%
Skew 10d8.6%5.1%12.1%10.1%8.0%
Call IV 25d25.1%19.4%28.7%28.7%19.4%
Put IV 25d29.4%22.4%33.2%33.2%23.3%
Bid-Ask Spread %3.292.125.013.052.78
Gamma HHI0.100.070.260.070.17
Net GEX25.0M9.8M65.8M10.2M32.4M
Net DEX-408.5M-725.7M-181.0M-181.0M-703.9M
Net VEX-3.2M-3.4M-3.0M-3.4M-3.2M
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.890.172.652.650.82
Total Volume38,231.757,327207,09816,03444,701
Total OI320,053.5263,776404,740291,725336,653

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2019-09-03$84.63$84.0031.2%7.2%27.3%51.8%26.0%4.5%-1.5%10.2M-181.0M-3.4M2.653.054,39711,637134,324157,401
2019-09-04$86.28$84.0029.9%6.5%26.7%47.4%25.2%4.7%-1.0%17.6M-303.1M-3.4M1.444.515,5888,038136,717162,210
2019-09-05$88.48$82.5028.3%7.8%27.8%41.3%27.1%4.4%-0.8%25.1M-476.6M-3.3M0.522.9315,4318,059137,825166,621
2019-09-06$88.73$82.5028.3%7.8%27.1%41.4%27.6%4.4%-1.4%24.2M-474.9M-3.2M1.052.286,3936,728138,048170,054
2019-09-09$88.67$82.5028.9%8.1%26.8%43.6%28.5%4.4%-0.6%24.4M-448.5M-3.2M1.153.144,4415,102136,064166,929
2019-09-10$86.51$82.5030.0%8.1%28.3%47.6%29.3%4.4%-1.5%13.5M-271.5M-3.3M1.233.866,3417,777137,364169,377
2019-09-11$86.69$82.5029.0%7.8%27.6%44.1%27.3%4.3%-1.9%14.7M-285.2M-3.2M0.962.624,6014,424138,796171,574
2019-09-12$87.81$82.5027.9%7.7%26.0%40.0%26.5%4.1%-1.3%21.8M-383.9M-3.2M0.463.429,0144,120140,628173,345
2019-09-13$87.55$82.5027.5%7.7%24.9%38.5%27.5%4.1%-1.0%36.4M-363.0M-3.1M1.053.775,0425,270144,205175,008
2019-09-16$87.15$82.5028.5%8.0%25.1%42.0%28.8%4.6%-1.1%15.8M-307.9M-3.1M0.174.068,9031,528136,968171,442
2019-09-17$87.52$82.5028.4%8.1%25.0%41.8%28.4%4.7%-1.1%18.9M-351.1M-3.0M0.463.295,0242,303139,559171,867
2019-09-18$88.03$82.5028.4%8.1%24.8%41.6%28.4%4.6%-1.1%20.4M-387.1M-3.0M0.723.576,6824,825139,261172,793
2019-09-19$87.69$82.5027.4%7.9%23.9%38.2%26.4%4.0%-1.0%18.6M-361.9M-3.0M0.432.8915,6166,661140,994174,598
2019-09-20$86.91$82.5027.6%8.0%24.1%39.0%27.6%4.1%-0.9%14.1M-295.1M-3.1M0.645.0112,6698,079147,738178,753
2019-09-23$87.69$85.0029.1%8.7%19.5%44.1%28.6%4.7%-1.6%9.8M-275.7M-3.1M0.682.1234,88623,750119,383144,393
2019-09-24$87.08$85.0030.4%9.2%19.2%49.0%32.2%5.1%-1.7%10.3M-239.8M-3.3M1.004.0656,05356,016143,050158,665
2019-09-25$90.67$86.5021.2%6.1%23.4%15.6%21.2%2.7%0.1%49.8M-637.9M-3.1M0.673.31123,67983,419178,499190,585
2019-09-26$92.05$87.5022.0%6.2%23.4%18.6%22.7%3.8%0.4%55.1M-725.7M-3.3M0.962.6742,63541,084188,548206,091
2019-09-27$92.07$87.5021.8%6.2%22.3%17.9%22.5%3.7%0.2%65.8M-696.7M-3.3M0.842.4134,66629,053187,762216,978
2019-09-30$93.94$87.5021.0%6.0%22.5%14.8%22.4%4.0%0.0%32.4M-703.9M-3.2M0.822.7824,54120,160154,316182,337