NKE Options History — September 2020

In September 2020, NKE traded between $112.62 and $126.60. ATM implied volatility averaged 37.2%, placing in the 24.4% IV rank vs the trailing year. The 30-day expected move averaged 10.1%. IV traded above realized volatility by 9.4% (HV 20d: 27.8%). Max pain ranged from $100.00 to $110.00. Net GEX was positive for 21 of 21 trading days. Term structure was in contango for 5 of 21 days. Put/call ratio averaged 0.64.

Notable Days

  • 2020-09-23: Highest Volume — 338,692 contracts
  • 2020-09-23: Largest IV drop — 15.2% change
  • 2020-09-03: Highest IV Rank — 30.7%
  • 2020-09-21: Largest Expected Move — 12.2%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$118.63$112.62$126.60$114.53$125.78
Max Pain$103.19$100.00$110.00$105.00$110.00
ATM IV37.2%28.6%42.8%38.7%28.6%
Expected Move10.1%7.7%12.2%7.7%7.7%
HV 20d27.8%18.2%39.3%20.4%39.2%
HV 60d28.1%23.9%31.3%29.9%27.8%
IV Rank24.4%14.7%30.7%26.1%14.7%
IV Percentile71.1%48.8%86.1%78.2%48.8%
Term Structure-0.7%-3.0%3.3%-1.9%3.3%
VWIV35.9%27.5%42.6%27.5%27.5%
Skew 25d3.4%1.2%6.0%3.6%3.1%
Skew 10d6.1%-2.5%9.9%-2.5%7.0%
Call IV 25d35.8%27.9%41.3%37.6%27.9%
Put IV 25d39.2%31.1%47.3%41.2%31.1%
Bid-Ask Spread %8.872.4424.559.983.10
Gamma HHI0.100.060.190.090.06
Net GEX30.1M11.8M57.4M35.8M19.6M
Net DEX-970.3M-1.69B-576.3M-890.5M-1.11B
Net VEX-4.3M-4.8M-3.9M-4.4M-4.1M
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.640.330.980.550.81
Total Volume60,761.14320,794338,69227,34933,573
Total OI391,606.571346,744499,913346,744432,620

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2020-09-01$114.53$105.0038.7%7.7%20.4%26.1%27.5%3.6%-1.9%35.8M-890.5M-4.4M0.559.9817,6819,668165,118181,626
2020-09-02$117.22$107.0041.4%8.4%18.2%29.1%30.0%3.3%-1.4%33.4M-1.02B-4.5M0.417.3226,66811,047165,247186,776
2020-09-03$112.62$100.0042.8%11.2%24.6%30.7%40.9%6.0%-3.0%24.7M-695.1M-4.8M0.7514.1917,06712,830167,475190,865
2020-09-04$112.81$100.0042.4%11.1%24.5%30.3%40.7%4.1%-1.6%23.8M-700.5M-4.7M0.7124.1514,30310,152169,999195,790
2020-09-08$113.31$100.0042.4%11.6%21.4%30.2%41.4%1.7%-1.2%25.2M-728.5M-4.6M0.8113.9411,5179,277168,266192,330
2020-09-09$115.34$100.0040.6%11.0%21.9%28.2%39.3%4.1%-2.5%36.7M-891.0M-4.4M0.6810.1214,86610,064171,730195,249
2020-09-10$114.88$100.0039.8%10.9%22.0%27.3%37.7%5.7%-2.1%36.2M-854.3M-4.4M0.5914.2523,62913,888174,048198,323
2020-09-11$118.23$100.0038.5%10.6%23.5%25.8%37.2%3.9%-2.2%49.2M-1.12B-4.3M0.426.2544,32718,513178,333205,016
2020-09-14$119.38$100.0038.5%10.9%23.4%25.8%38.3%4.5%-0.6%38.0M-1.10B-4.1M0.5724.5519,48211,192168,437199,576
2020-09-15$119.46$100.0037.4%10.6%23.1%24.6%37.9%3.9%-1.0%40.4M-1.11B-4.0M0.5712.8217,2739,903170,545205,429
2020-09-16$118.91$100.0037.3%10.7%23.3%24.5%38.1%2.9%-0.6%43.2M-1.03B-4.3M0.6915.3215,14910,403173,016209,524
2020-09-17$116.48$100.0040.2%11.6%24.7%27.8%40.5%3.1%-1.9%33.7M-823.8M-4.4M0.564.2520,45211,445176,418212,257
2020-09-18$115.46$100.0040.7%11.8%25.0%28.4%41.3%3.5%-1.9%11.8M-734.5M-4.4M0.332.5334,67511,536178,908214,151
2020-09-21$113.25$100.0040.8%12.2%26.0%28.4%42.6%4.4%-1.2%13.2M-576.3M-4.3M0.713.8532,86123,306157,722191,021
2020-09-22$117.01$100.0038.1%11.4%27.6%25.4%40.6%3.0%-0.6%21.0M-825.8M-4.4M0.624.0581,22650,419169,490204,147
2020-09-23$126.53$105.0032.3%9.0%38.5%18.8%33.1%1.2%-0.4%57.4M-1.69B-3.9M0.503.89226,251112,441201,659232,211
2020-09-24$124.61$110.0033.0%9.3%39.3%19.6%33.4%2.4%0.4%38.3M-1.22B-4.4M0.983.4164,54363,510230,343259,071
2020-09-25$123.97$110.0029.3%8.2%39.3%15.4%28.9%2.5%0.4%15.3M-1.09B-4.4M0.972.4437,78936,475232,749267,164
2020-09-28$124.81$110.0029.4%8.0%39.2%15.5%28.0%2.5%2.8%14.8M-1.02B-4.2M0.652.6528,49118,590182,240224,350
2020-09-29$126.60$110.0029.3%7.9%39.3%15.4%27.8%3.1%2.9%21.4M-1.15B-4.2M0.593.2024,91414,588192,379232,120
2020-09-30$125.78$110.0028.6%7.7%39.2%14.7%27.5%3.1%3.3%19.6M-1.11B-4.1M0.813.1018,58614,987197,658234,962