NKE Options History — May 2020

In May 2020, NKE traded between $85.36 and $99.67. ATM implied volatility averaged 34.6%, placing in the 21.4% IV rank vs the trailing year. The 30-day expected move averaged 9.5%. IV traded above realized volatility by 0.8% (HV 20d: 33.8%). Max pain ranged from $87.50 to $92.00. Net GEX was positive for 12 of 20 trading days. Term structure was in contango for 9 of 20 days. Put/call ratio averaged 0.91.

Notable Days

  • 2020-05-28: Highest Volume — 40,808 contracts
  • 2020-05-13: Largest IV spike — 13.1% change
  • 2020-05-01: Highest IV Rank — 26.0%
  • 2020-05-01: Largest Expected Move — 11.4%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$91.08$85.36$99.67$85.36$98.28
Max Pain$89.60$87.50$92.00$87.50$92.00
ATM IV34.6%30.3%38.7%38.7%35.9%
Expected Move9.5%8.4%11.4%11.4%8.8%
HV 20d33.8%30.1%41.8%41.8%31.9%
HV 60d68.1%67.7%69.1%67.8%67.7%
IV Rank21.4%16.5%26.0%26.0%22.9%
IV Percentile79.7%72.2%84.5%84.5%81.0%
Term Structure0.8%-6.7%8.5%-0.5%-6.7%
VWIV34.0%30.0%41.2%41.2%31.9%
Skew 25d6.9%3.8%10.3%9.0%4.9%
Skew 10d12.8%0.8%25.2%18.5%0.8%
Call IV 25d31.5%28.0%36.3%35.0%36.3%
Put IV 25d38.4%34.7%44.0%44.0%41.2%
Bid-Ask Spread %7.993.0028.834.895.52
Gamma HHI0.070.060.110.070.07
Net GEX2.9M-10.3M17.9M-9.6M9.5M
Net DEX-103.6M-627.3M252.7M251.5M-433.0M
Net VEX-4.7M-4.9M-4.5M-4.5M-4.8M
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.910.501.590.981.11
Total Volume23,706.1510,95940,80822,88620,941
Total OI356,613.75328,723381,129332,772374,280

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2020-05-01$85.36$87.5038.7%11.4%41.8%26.0%41.2%9.0%-0.5%-9.6M251.5M-4.5M0.984.8911,56711,319129,432203,340
2020-05-04$85.56$90.0038.1%10.9%41.1%25.4%37.5%10.2%0.1%-8.0M221.1M-4.5M0.596.449,5955,657129,168199,555
2020-05-05$87.22$90.0035.1%9.9%35.0%22.0%35.3%9.0%-0.4%-4.1M124.0M-4.6M0.825.5511,3969,300134,487202,705
2020-05-06$88.49$87.5036.4%10.0%34.9%23.5%37.7%6.5%-0.6%-293.8K42.6M-4.7M1.305.914,7596,200139,738204,211
2020-05-07$88.84$87.5033.4%9.4%34.9%20.0%33.1%6.0%0.7%1.1M18.4M-4.7M0.505.1611,9365,950141,708205,814
2020-05-08$90.48$87.5030.7%9.2%34.7%17.0%32.3%6.0%1.1%8.6M-102.0M-4.7M0.9621.907,7727,486147,185206,366
2020-05-11$91.03$90.0030.3%9.1%33.0%16.5%31.8%6.9%0.6%7.5M-121.0M-4.6M1.0128.838,5898,649143,943203,453
2020-05-12$88.23$90.0033.8%9.5%33.3%20.5%33.5%6.2%-0.5%-404.6K58.7M-4.6M1.054.6916,89617,811147,395205,174
2020-05-13$85.59$90.0038.2%10.8%33.6%25.5%35.5%3.8%-0.7%-9.2M252.7M-4.6M1.294.4815,23919,584152,378212,016
2020-05-14$86.43$90.0036.6%10.4%33.4%23.7%36.4%6.3%-0.6%-10.1M195.3M-4.7M0.715.3013,3829,509156,002216,055
2020-05-15$86.69$90.0035.7%10.2%30.5%22.7%39.1%5.9%-0.3%-10.3M179.7M-4.7M1.596.516,1719,838158,772216,837
2020-05-18$91.42$90.0031.1%8.9%35.6%17.5%30.0%7.3%8.5%4.0M-128.5M-4.7M0.595.9521,62912,675141,154195,003
2020-05-19$91.90$90.0032.9%9.5%33.6%19.5%32.5%7.5%4.5%4.9M-163.4M-4.8M0.899.8518,12616,128151,339203,084
2020-05-20$92.99$90.0032.2%9.2%30.6%18.7%32.7%6.2%4.0%5.8M-232.9M-4.8M0.783.0011,9409,280154,695211,024
2020-05-21$94.17$90.0032.7%9.1%30.1%19.3%33.1%6.0%5.8%9.1M-315.1M-4.9M0.9510.9311,16010,578158,638215,339
2020-05-22$93.73$90.0032.6%9.0%30.1%19.2%32.0%5.9%4.3%9.8M-299.7M-4.9M1.357.656,9019,309161,003220,126
2020-05-26$96.68$90.0036.8%8.4%31.7%23.9%30.9%7.2%-1.5%15.1M-434.6M-4.7M0.614.9515,4459,430153,007204,333
2020-05-27$99.67$90.0033.5%8.6%32.8%20.1%31.2%6.2%-0.8%17.9M-627.3M-4.6M0.517.9120,65010,518156,335207,471
2020-05-28$98.76$90.0036.4%8.8%32.8%23.5%31.7%10.3%-0.9%16.6M-558.9M-4.7M0.524.3726,81613,992158,422211,288
2020-05-29$98.28$92.0035.9%8.8%31.9%22.9%31.9%4.9%-6.7%9.5M-433.0M-4.8M1.115.529,91711,024158,132216,148