NKE Options History — February 2020

In February 2020, NKE traded between $87.33 and $103.35. ATM implied volatility averaged 27.3%, placing in the 57.9% IV rank vs the trailing year. The 30-day expected move averaged 8.1%. IV traded above realized volatility by 2.1% (HV 20d: 25.2%). Max pain ranged from $95.00 to $105.00. Net GEX was positive for 6 of 19 trading days. Term structure was in contango for 9 of 19 days. Put/call ratio averaged 1.02.

Notable Days

  • 2020-02-27: Highest Volume — 62,909 contracts
  • 2020-02-27: Largest IV spike — 25.2% change
  • 2020-02-25: Highest IV Rank — 100.0%
  • 2020-02-28: Largest Expected Move — 14.8%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$98.77$87.33$103.35$99.62$87.33
Max Pain$100.37$95.00$105.00$105.00$95.00
ATM IV27.3%20.9%51.5%22.5%51.5%
Expected Move8.1%6.0%14.8%6.4%14.8%
HV 20d25.2%20.8%31.4%20.8%31.4%
HV 60d17.9%16.1%22.0%16.1%22.0%
IV Rank57.9%31.1%100.0%40.6%100.0%
IV Percentile65.7%41.3%100.0%52.0%100.0%
Term Structure0.7%-2.9%4.3%-0.6%3.9%
VWIV28.3%21.7%53.7%22.3%53.7%
Skew 25d4.0%1.4%18.9%3.4%18.9%
Skew 10d7.0%2.7%24.3%5.4%24.3%
Call IV 25d25.8%19.4%48.5%21.0%48.5%
Put IV 25d29.8%22.0%67.3%24.4%67.3%
Bid-Ask Spread %23.792.4945.123.6215.26
Gamma HHI0.090.050.280.070.07
Net GEX-3.2M-31.7M17.2M-2.4M-12.5M
Net DEX623.4K-329.4M603.5M-39.4M603.5M
Net VEX-4.1M-4.6M-3.9M-3.9M-4.6M
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.020.431.740.431.17
Total Volume30,813.68416,48562,90934,02646,423
Total OI337,417.316291,483368,554301,077368,554

Daily Data (19 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2020-02-03$99.62$105.0022.5%6.4%20.8%40.6%22.3%3.4%-0.6%-2.4M-39.4M-3.9M0.433.6223,87210,154146,647154,430
2020-02-04$101.74$104.0021.8%6.1%22.2%36.5%21.7%3.1%-0.2%12.6M-212.4M-4.0M0.693.0420,51614,059151,825157,438
2020-02-05$100.67$104.0022.1%6.0%22.5%38.5%21.9%3.0%-0.3%3.1M-105.8M-4.0M0.942.4918,80817,687155,545166,854
2020-02-06$100.40$100.0022.1%7.2%22.5%38.6%24.7%2.9%-0.1%-553.8K-82.8M-4.0M0.6045.1214,0898,431158,717180,606
2020-02-07$99.40$100.0022.5%7.4%22.7%40.6%25.8%2.8%-0.2%-11.7M8.9M-4.0M1.4140.8112,56017,688161,038184,224
2020-02-10$99.73$100.0022.4%7.6%22.7%40.2%26.3%2.9%4.2%-8.1M-17.6M-4.1M0.7838.779,2737,212153,970187,481
2020-02-11$99.87$100.0022.2%7.3%22.2%38.8%25.3%3.0%3.5%-8.2M-24.1M-4.1M0.8937.598,7897,863156,260190,679
2020-02-12$102.81$100.0020.9%6.7%24.4%31.1%25.0%2.5%2.6%14.2M-291.0M-4.1M0.6844.9117,37211,857158,364193,451
2020-02-13$103.33$100.0021.7%7.0%24.5%35.7%25.2%2.6%3.2%17.2M-329.4M-4.1M0.7538.4417,00412,706160,332197,228
2020-02-14$103.35$100.0021.8%7.0%24.3%36.7%24.7%2.7%4.3%10.1M-322.7M-4.0M1.0241.9710,12310,278160,888200,768
2020-02-18$101.99$100.0024.2%7.1%24.4%50.9%24.5%1.4%0.2%-2.6M-159.8M-3.9M1.3612.549,30512,669146,392193,690
2020-02-19$102.73$100.0023.5%6.7%24.6%46.7%23.2%1.4%1.2%1.8M-209.6M-3.9M0.6421.9511,0977,053148,713199,159
2020-02-20$102.49$100.0025.3%7.2%24.6%56.9%25.0%2.3%-0.4%-2.4M-179.5M-4.0M1.2434.199,41811,640153,636203,033
2020-02-21$100.10$100.0028.5%8.3%25.5%76.1%28.5%3.0%-1.2%-31.7M27.3M-4.1M1.7438.5211,39919,796155,386206,872
2020-02-24$96.38$100.0031.6%9.2%28.5%94.2%30.6%4.3%-1.3%-11.9M170.6M-4.1M1.0315.0616,69317,247110,918180,565
2020-02-25$93.19$100.0035.1%10.5%30.0%100.0%36.7%5.1%-1.9%-13.0M329.0M-4.2M1.296.6914,08918,240119,211187,380
2020-02-26$92.15$100.0034.8%9.1%29.9%98.5%31.0%4.8%0.0%-11.7M374.0M-4.1M1.075.8522,80824,333126,410187,199
2020-02-27$89.34$99.0043.6%11.9%31.3%100.0%41.7%5.6%-2.9%-3.1M472.9M-4.4M1.735.2023,07439,835145,999201,067
2020-02-28$87.33$95.0051.5%14.8%31.4%100.0%53.7%18.9%3.9%-12.5M603.5M-4.6M1.1715.2621,43524,988153,771214,783