NKE Options History — March 2020

In March 2020, NKE traded between $62.00 and $93.19. ATM implied volatility averaged 67.4%, placing in the 77.7% IV rank vs the trailing year. The 30-day expected move averaged 19.1%. IV traded above realized volatility by 2.4% (HV 20d: 65.0%). Max pain ranged from $87.50 to $95.00. Net GEX was positive for 0 of 22 trading days. Term structure was in contango for 3 of 22 days. Put/call ratio averaged 1.73.

Notable Days

  • 2020-03-25: Highest Volume — 85,664 contracts
  • 2020-03-12: Largest IV spike — 36.6% change
  • 2020-03-06: Highest IV Rank — 100.0%
  • 2020-03-18: Largest Expected Move — 29.9%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$79.78$62.00$93.19$91.98$83.41
Max Pain$92.73$87.50$95.00$94.00$87.50
ATM IV67.4%37.8%104.2%40.1%54.8%
Expected Move19.1%10.0%29.9%11.5%17.0%
HV 20d65.0%34.0%106.4%37.1%104.8%
HV 60d41.7%24.1%63.7%24.4%63.7%
IV Rank77.7%43.8%100.0%68.0%44.2%
IV Percentile98.3%93.7%100.0%99.2%93.7%
Term Structure-3.3%-9.9%1.8%0.8%-6.3%
VWIV69.5%36.2%114.0%45.0%60.7%
Skew 25d21.1%7.7%35.1%13.8%9.0%
Skew 10d40.5%11.0%71.1%33.1%71.1%
Call IV 25d57.2%33.1%90.5%35.6%51.5%
Put IV 25d78.3%44.6%121.8%49.4%60.4%
Bid-Ask Spread %16.255.8030.626.2427.41
Gamma HHI0.060.050.080.060.06
Net GEX-7.6M-12.2M-3.3M-9.2M-5.5M
Net DEX496.3M179.4M793.0M271.2M271.9M
Net VEX-4.4M-5.1M-2.7M-4.8M-4.8M
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.730.813.672.391.53
Total Volume33,689.72715,24485,66424,44315,244
Total OI361,738.182311,067404,525341,441373,814

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2020-03-02$91.98$94.0040.1%11.5%37.1%68.0%45.0%13.8%0.8%-9.2M271.2M-4.8M2.396.247,21017,233133,544207,897
2020-03-03$91.56$93.0042.4%11.9%34.3%74.5%41.3%13.5%-0.3%-9.3M290.2M-4.9M0.886.5314,97413,222135,183208,653
2020-03-04$93.19$93.0037.8%10.0%34.0%61.7%36.2%11.5%-3.0%-5.6M202.4M-4.8M0.987.929,8289,681140,955210,537
2020-03-05$90.43$95.0046.9%12.5%35.1%87.1%43.1%8.1%1.8%-9.5M349.6M-4.9M1.016.4415,70415,904146,222213,091
2020-03-06$87.46$95.0054.9%14.1%36.5%100.0%52.0%22.6%-0.3%-12.2M494.8M-5.0M1.186.6214,53917,224154,551217,751
2020-03-09$85.07$95.0064.2%16.8%37.2%100.0%58.8%23.2%-5.2%-9.1M536.8M-5.0M2.295.808,60919,688149,182211,944
2020-03-10$87.67$95.0056.5%15.3%39.4%84.0%51.0%18.5%-3.3%-8.0M439.6M-5.1M1.297.397,92410,192151,737211,458
2020-03-11$84.04$95.0060.9%16.8%41.3%93.2%58.3%17.0%-2.2%-9.9M570.7M-4.9M1.639.0011,02117,923153,671212,609
2020-03-12$74.47$95.0083.2%22.1%55.1%100.0%75.2%28.8%-9.9%-9.3M776.6M-4.3M3.2211.979,28729,947157,620214,934
2020-03-13$74.40$95.0079.0%22.2%54.9%93.7%80.1%35.1%1.5%-9.0M793.0M-4.0M3.6726.297,36127,049160,971212,337
2020-03-16$67.83$95.0093.6%26.6%60.7%100.0%92.3%28.9%-4.3%-7.6M772.9M-3.6M2.0014.757,66015,334151,282202,071
2020-03-17$70.19$95.0090.0%25.7%63.7%95.4%96.3%25.5%-2.6%-8.1M746.2M-3.7M1.789.149,43416,759152,570204,528
2020-03-18$67.20$95.00104.2%29.9%63.6%100.0%114.0%31.3%-9.3%-7.0M742.8M-3.7M2.2126.869,14720,195155,588209,164
2020-03-19$71.26$92.5088.6%25.4%69.4%82.4%97.7%28.9%-1.0%-7.8M709.6M-3.9M1.9824.057,01913,869159,363214,335
2020-03-20$68.28$92.5084.4%24.3%69.9%77.7%86.8%27.3%-3.2%-8.1M764.3M-3.5M1.3125.109,62012,631158,132213,738
2020-03-23$62.00$92.5083.3%24.1%74.9%76.4%88.3%7.7%-5.8%-7.1M731.1M-2.7M1.2330.6217,91321,998119,478191,589
2020-03-24$71.67$92.5071.9%22.7%95.3%63.5%96.9%30.9%-2.8%-8.0M575.9M-3.6M2.1420.0923,52850,333127,793196,151
2020-03-25$80.62$90.0066.1%17.7%106.0%56.9%63.4%21.6%-7.3%-5.7M306.0M-4.4M0.8120.4847,38638,278138,327230,118
2020-03-26$83.16$87.5061.0%18.3%106.4%51.2%63.7%19.8%-3.8%-3.8M211.4M-4.7M1.0922.0823,99526,174151,005239,624
2020-03-27$84.03$87.5065.4%18.5%106.3%56.2%66.7%26.2%-5.0%-3.7M182.4M-4.8M1.2221.4719,78124,117156,234248,291
2020-03-30$85.28$87.5054.4%16.7%104.6%43.8%62.1%15.2%-0.3%-3.3M179.4M-4.8M2.3021.277,94718,292146,543213,655
2020-03-31$83.41$87.5054.8%17.0%104.8%44.2%60.7%9.0%-6.3%-5.5M271.9M-4.8M1.5327.416,0299,215149,557224,257