NKE Options History — June 2020

In June 2020, NKE traded between $94.15 and $104.41. ATM implied volatility averaged 39.5%, placing in the 27.0% IV rank vs the trailing year. The 30-day expected move averaged 10.8%. IV traded above realized volatility by 2.1% (HV 20d: 37.5%). Max pain ranged from $92.50 to $95.00. Net GEX was positive for 21 of 22 trading days. Term structure was in contango for 2 of 22 days. Put/call ratio averaged 0.72.

Notable Days

  • 2020-06-26: Highest Volume — 176,335 contracts
  • 2020-06-02: Largest IV spike — 11.6% change
  • 2020-06-12: Highest IV Rank — 32.9%
  • 2020-06-24: Largest Expected Move — 12.8%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$99.51$94.15$104.41$99.45$97.70
Max Pain$94.66$92.50$95.00$92.50$95.00
ATM IV39.5%32.6%44.8%34.6%32.6%
Expected Move10.8%8.4%12.8%8.7%8.6%
HV 20d37.5%30.7%45.8%30.7%45.8%
HV 60d52.6%38.1%67.4%67.4%39.5%
IV Rank27.0%19.2%32.9%21.5%19.2%
IV Percentile82.1%67.1%88.9%77.8%67.1%
Term Structure-1.3%-5.0%1.9%-0.1%0.7%
VWIV38.2%30.6%44.5%31.8%31.9%
Skew 25d4.9%2.8%9.3%6.1%5.1%
Skew 10d8.4%1.1%14.6%1.4%10.9%
Call IV 25d37.7%29.6%43.8%33.3%29.6%
Put IV 25d42.6%34.7%47.8%39.4%34.7%
Bid-Ask Spread %8.952.7027.273.653.68
Gamma HHI0.070.050.100.090.06
Net GEX12.9M-30.5M28.5M15.2M14.0M
Net DEX-419.9M-818.3M237.0M-507.6M-190.7M
Net VEX-4.8M-5.0M-4.5M-4.6M-4.9M
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.720.361.111.060.72
Total Volume46,389.27315,893176,33517,01935,604
Total OI400,271.909331,827477,870365,332403,826

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2020-06-01$99.45$92.5034.6%8.7%30.7%21.5%31.8%6.1%-0.1%15.2M-507.6M-4.6M1.063.658,2728,747155,421209,911
2020-06-02$100.54$92.5038.7%8.6%30.7%26.0%30.7%4.6%-5.0%16.3M-571.3M-4.7M0.885.428,8737,794157,730214,876
2020-06-03$104.41$92.5037.8%8.4%32.2%25.0%30.6%9.3%-0.7%20.4M-818.3M-4.5M0.663.8421,10913,907159,297219,102
2020-06-04$101.14$95.0039.8%10.2%35.2%27.2%35.6%8.2%-2.1%16.8M-603.6M-4.7M0.7725.8419,26814,931164,420222,627
2020-06-05$102.69$95.0039.1%9.7%35.3%26.5%34.3%3.4%-3.5%28.5M-752.3M-4.6M0.7119.4116,64111,783172,094225,860
2020-06-08$103.98$95.0039.7%10.2%35.2%27.2%36.4%3.6%-2.7%21.8M-783.6M-4.5M0.954.6311,81711,186167,713219,860
2020-06-09$102.88$95.0039.2%10.4%35.7%26.6%38.9%4.0%-3.3%20.4M-705.9M-4.6M1.099.697,7748,460170,475224,665
2020-06-10$102.22$95.0040.9%10.8%33.3%28.6%37.3%2.8%-1.9%19.4M-660.8M-4.7M0.7427.2710,4107,670173,272229,351
2020-06-11$95.58$95.0042.4%12.5%40.6%30.2%42.7%4.0%1.9%3.8M-123.7M-5.0M0.615.9632,65719,797178,456234,452
2020-06-12$96.30$95.0044.8%12.5%40.5%32.9%44.0%4.0%-1.5%4.2M-195.8M-5.0M1.0220.5114,02814,376184,567237,994
2020-06-15$97.39$95.0041.7%11.8%40.6%29.5%40.6%5.1%-1.4%11.1M-318.1M-4.9M0.6810.8815,45410,579181,329234,357
2020-06-16$98.77$95.0040.3%11.4%36.7%27.8%39.5%5.0%-1.2%14.5M-441.6M-4.8M0.4511.1216,6507,503186,419240,176
2020-06-17$99.20$95.0039.9%11.4%36.7%27.4%39.8%4.7%-1.0%15.2M-480.1M-4.8M0.477.6110,7815,112188,486243,204
2020-06-18$98.34$95.0040.4%11.6%36.9%27.9%40.8%4.6%-1.5%13.9M-419.0M-4.8M0.553.8115,2428,394191,616244,823
2020-06-19$96.54$95.0040.4%11.7%37.4%28.0%41.4%5.0%-1.5%962.2K-230.4M-4.7M0.683.5124,20216,379193,780246,897
2020-06-22$99.27$95.0040.4%11.9%38.5%28.0%42.0%4.7%-0.9%11.1M-284.2M-4.8M0.443.1137,16216,534150,548181,279
2020-06-23$101.86$95.0040.0%11.5%38.0%27.5%40.4%4.5%-0.8%20.6M-483.1M-4.9M0.392.7044,47717,122166,357190,081
2020-06-24$100.31$95.0042.5%12.8%37.0%30.4%44.5%4.0%-1.2%16.9M-383.5M-5.0M0.366.2162,85222,908177,052197,586
2020-06-25$101.09$95.0041.4%12.5%37.0%29.1%44.0%3.3%-1.2%27.6M-502.9M-5.0M0.618.6591,47955,760198,305205,108
2020-06-26$94.15$95.0038.1%10.9%45.0%25.4%37.9%5.9%-0.2%-30.5M237.0M-4.8M1.115.1883,64992,686237,504240,366
2020-06-29$95.34$95.0035.0%9.8%45.0%21.9%35.7%6.1%-0.4%616.8K-17.4M-4.8M0.804.1033,60726,928180,468204,272
2020-06-30$97.70$95.0032.6%8.6%45.8%19.2%31.9%5.1%0.7%14.0M-190.7M-4.9M0.723.6820,72714,877188,448215,378