NKE Options History — July 2020

In July 2020, NKE traded between $95.81 and $99.91. ATM implied volatility averaged 29.8%, placing in the 16.0% IV rank vs the trailing year. The 30-day expected move averaged 8.4%. IV traded below realized volatility by 4.5% (HV 20d: 34.3%). Max pain ranged from $95.00 to $98.00. Net GEX was positive for 11 of 22 trading days. Term structure was in contango for 12 of 22 days. Put/call ratio averaged 1.06.

Notable Days

  • 2020-07-21: Highest Volume — 48,380 contracts
  • 2020-07-30: Largest IV spike — 9.6% change
  • 2020-07-09: Highest IV Rank — 20.0%
  • 2020-07-13: Largest Expected Move — 9.5%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$97.59$95.81$99.91$97.66$97.23
Max Pain$96.91$95.00$98.00$95.00$97.50
ATM IV29.8%26.1%33.4%31.0%27.1%
Expected Move8.4%7.6%9.5%8.2%7.6%
HV 20d34.3%20.3%43.4%43.4%20.3%
HV 60d35.4%33.8%37.6%37.4%33.8%
IV Rank16.0%11.8%20.0%17.4%13.0%
IV Percentile57.7%44.0%68.3%64.3%46.4%
Term Structure0.2%-1.1%2.8%0.1%1.1%
VWIV30.0%27.0%34.0%29.2%27.4%
Skew 25d4.0%1.8%7.3%6.2%2.6%
Skew 10d8.5%5.6%11.7%11.7%5.6%
Call IV 25d28.5%25.9%32.2%28.8%27.7%
Put IV 25d32.5%28.6%37.0%35.0%30.3%
Bid-Ask Spread %4.552.499.723.765.69
Gamma HHI0.070.050.150.060.05
Net GEX2.5M-18.8M20.7M11.1M-7.2M
Net DEX-117.0M-320.7M-1.5M-184.1M-41.6M
Net VEX-4.6M-4.9M-4.2M-4.8M-4.6M
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.060.571.471.141.05
Total Volume23,150.27312,83648,38027,45513,469
Total OI361,134.773290,562416,365411,598347,951

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2020-07-01$97.66$95.0031.0%8.2%43.4%17.4%29.2%6.2%0.1%11.1M-184.1M-4.8M1.143.7612,81714,638191,926219,672
2020-07-02$98.52$95.0030.2%7.9%42.3%16.4%28.9%4.8%0.4%19.8M-265.9M-4.9M1.303.4014,37018,671193,660222,705
2020-07-06$99.91$95.0029.6%8.5%42.2%15.8%31.6%6.4%-0.1%20.7M-320.7M-4.7M1.463.3210,16514,880167,085207,563
2020-07-07$97.44$95.0031.4%9.0%42.7%17.8%31.1%4.6%-0.0%5.7M-132.2M-4.7M0.875.5612,25310,655168,785210,253
2020-07-08$98.73$95.0032.0%9.2%42.9%18.5%34.0%5.0%0.8%13.1M-220.5M-4.7M1.479.728,67312,736172,184214,575
2020-07-09$96.90$95.0033.4%9.3%43.3%20.0%32.7%4.2%-0.0%-2.0M-63.6M-4.7M1.345.5710,55114,174174,005216,152
2020-07-10$97.84$97.5032.4%9.2%36.2%18.9%32.0%2.4%-0.1%3.0M-143.0M-4.7M0.895.9510,7639,593177,836221,559
2020-07-13$96.74$97.5033.3%9.5%36.3%19.9%33.6%6.1%0.0%-378.1K-73.1M-4.6M0.983.2710,80010,547160,795212,806
2020-07-14$96.63$97.5032.8%9.2%36.1%19.4%33.5%7.3%-0.7%-983.4K-64.4M-4.5M0.898.149,4348,378162,339213,740
2020-07-15$98.31$97.5031.3%8.9%36.3%17.7%31.4%5.3%-0.2%8.4M-200.3M-4.6M0.972.7511,37311,046164,669215,562
2020-07-16$97.51$97.5030.8%8.7%36.3%17.2%31.5%4.1%-0.3%3.7M-138.9M-4.5M1.243.888,20010,204166,121216,450
2020-07-17$96.44$97.5029.1%8.2%36.4%15.2%30.1%1.8%-0.5%-18.8M-56.0M-4.3M1.154.818,5019,784168,264219,166
2020-07-20$95.81$97.5028.4%8.1%35.9%14.4%28.5%3.1%0.4%-5.0M-1.5M-4.2M1.096.3210,11911,056126,059164,503
2020-07-21$98.40$97.5028.4%8.1%35.8%14.4%28.6%2.9%1.3%5.3M-129.5M-4.4M0.573.0230,77117,609130,139170,726
2020-07-22$98.87$97.5026.9%7.7%34.5%12.8%29.3%2.8%0.1%10.7M-183.1M-4.6M1.123.6012,97914,582142,386180,328
2020-07-23$98.24$97.5028.4%8.1%34.2%14.4%28.7%3.0%0.1%6.4M-134.6M-4.7M0.773.1221,16216,386146,160188,040
2020-07-24$98.48$97.5027.7%7.9%34.0%13.6%27.5%3.0%0.5%-40.4K-141.8M-4.7M0.762.4913,44810,251148,476194,754
2020-07-27$97.23$98.0028.1%8.0%22.5%14.1%28.4%2.5%0.4%-2.3M-49.9M-4.6M1.072.649,67910,331140,353187,338
2020-07-28$96.60$98.0028.3%7.9%22.3%14.3%28.0%3.7%-0.6%-4.7M-1.8M-4.6M0.954.096,5686,268143,583191,318
2020-07-29$96.81$98.0026.1%7.6%20.5%11.8%27.0%3.1%2.8%-4.5M-23.3M-4.5M1.054.506,7747,092145,765194,368
2020-07-30$96.67$98.0028.6%7.9%20.5%14.7%27.9%3.4%-1.1%-7.6M-3.2M-4.6M1.194.548,0129,544147,546197,300
2020-07-31$97.23$97.5027.1%7.6%20.3%13.0%27.4%2.6%1.1%-7.2M-41.6M-4.6M1.055.696,5686,901148,154199,797