NKE Options History — October 2020

In October 2020, NKE traded between $119.72 and $130.88. ATM implied volatility averaged 30.8%, placing in the 17.1% IV rank vs the trailing year. The 30-day expected move averaged 8.8%. IV traded above realized volatility by 2.5% (HV 20d: 28.3%). Max pain ranged from $110.00 to $125.00. Net GEX was positive for 17 of 22 trading days. Term structure was in contango for 7 of 22 days. Put/call ratio averaged 0.78.

Notable Days

  • 2020-10-30: Highest Volume — 54,869 contracts
  • 2020-10-28: Largest IV spike — 18.1% change
  • 2020-10-28: Highest IV Rank — 22.8%
  • 2020-10-28: Largest Expected Move — 10.6%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$127.72$119.72$130.88$126.07$119.72
Max Pain$118.32$110.00$125.00$110.00$125.00
ATM IV30.8%28.9%35.9%29.3%35.8%
Expected Move8.8%8.0%10.6%8.0%10.5%
HV 20d28.3%13.5%38.6%38.6%23.7%
HV 60d27.2%26.7%28.6%27.7%28.5%
IV Rank17.1%15.0%22.8%15.5%22.8%
IV Percentile51.7%43.3%66.3%50.0%65.9%
Term Structure0.1%-1.0%3.7%3.4%-0.2%
VWIV31.4%27.9%36.7%27.9%35.3%
Skew 25d4.0%2.5%7.7%3.7%7.7%
Skew 10d8.2%6.0%15.3%7.0%15.3%
Call IV 25d29.5%27.5%33.6%27.5%33.3%
Put IV 25d33.5%30.6%41.0%31.2%41.0%
Bid-Ask Spread %4.331.749.282.337.91
Gamma HHI0.110.060.430.070.09
Net GEX23.4M-10.0M60.2M22.0M-5.8M
Net DEX-973.8M-1.47B-130.0M-1.14B-130.0M
Net VEX-4.0M-4.5M-3.7M-4.1M-4.3M
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.780.381.500.571.16
Total Volume29,111.95512,78554,86927,10254,869
Total OI392,760.955307,950441,439439,107375,149

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2020-10-01$126.07$110.0029.3%8.0%38.6%15.5%27.9%3.7%3.4%22.0M-1.14B-4.1M0.572.3317,2739,829201,926237,181
2020-10-02$126.68$110.0030.2%8.0%35.0%16.4%28.3%3.3%3.7%36.0M-1.17B-4.3M0.852.1822,20518,983201,770238,805
2020-10-05$128.18$115.0031.8%9.3%35.0%18.3%34.3%2.5%-0.0%30.3M-1.22B-4.2M0.482.4032,14215,310189,527220,754
2020-10-06$127.67$115.0032.6%9.2%35.2%19.2%32.7%4.3%-0.3%32.9M-1.21B-4.2M0.382.7835,33613,411202,304222,962
2020-10-07$130.00$115.0031.0%8.9%35.2%17.4%32.2%4.4%0.1%47.4M-1.40B-3.9M0.642.9113,8598,929208,448225,423
2020-10-08$129.79$115.0030.4%8.7%35.2%16.7%31.4%4.5%0.2%46.0M-1.35B-4.1M0.592.5210,7946,380209,121227,989
2020-10-09$130.88$115.0028.9%8.4%34.2%15.0%29.9%3.0%0.4%50.9M-1.47B-3.9M0.582.7016,2489,395211,277230,162
2020-10-12$129.57$115.0028.9%8.2%34.5%15.0%30.5%3.8%-0.2%36.7M-1.29B-3.7M0.601.7412,2097,373196,183218,610
2020-10-13$129.40$115.0028.9%8.1%34.6%15.0%29.4%2.5%-0.6%35.2M-1.27B-3.7M0.777.397,4045,691197,676221,549
2020-10-14$127.57$115.0029.0%8.2%35.0%15.1%29.6%3.6%-0.5%22.9M-1.12B-3.7M0.494.3311,2935,532198,385223,882
2020-10-15$128.88$115.0029.6%8.4%33.9%15.7%30.0%3.4%-0.4%26.8M-1.22B-3.7M0.508.0314,0677,068200,089223,978
2020-10-16$127.94$115.0029.2%8.2%33.8%15.3%29.5%3.5%-1.0%60.2M-1.16B-3.8M0.403.8418,3247,329204,131225,948
2020-10-19$127.55$120.0031.0%8.8%32.7%17.4%31.2%4.7%-0.6%16.6M-766.9M-3.8M0.543.3812,0026,465141,759166,191
2020-10-20$128.66$120.0030.9%8.8%31.2%17.2%31.4%4.0%-0.2%20.9M-838.2M-3.8M1.116.2610,80612,038145,920169,178
2020-10-21$129.20$120.0030.7%8.8%14.9%17.0%31.4%3.9%-0.3%9.1M-824.2M-3.9M0.877.2128,84925,191148,798182,490
2020-10-22$130.04$123.0029.7%8.5%13.7%15.9%30.5%3.7%-0.1%13.9M-877.1M-4.3M0.973.4910,1039,848161,184196,541
2020-10-23$130.11$125.0028.9%8.3%13.5%15.0%29.9%3.6%-0.5%30.7M-927.1M-4.1M1.503.6714,56721,831165,500200,125
2020-10-26$128.01$125.0031.0%9.1%14.9%17.4%32.0%3.9%0.6%-188.9K-700.5M-4.2M1.113.7614,54516,195160,806197,664
2020-10-27$128.18$125.0030.4%9.0%14.1%16.6%31.8%4.3%0.2%-509.4K-697.9M-4.3M0.903.866,7246,061161,678197,660
2020-10-28$122.49$125.0035.9%10.6%21.5%22.8%36.7%5.9%-0.4%-10.0M-282.5M-4.5M1.239.2817,84021,897163,316199,700
2020-10-29$123.28$125.0033.6%9.9%21.6%20.2%34.5%3.7%-0.5%-7.5M-354.5M-4.4M0.813.3413,37510,873167,502201,500
2020-10-30$119.72$125.0035.8%10.5%23.7%22.8%35.3%7.7%-0.2%-5.8M-130.0M-4.3M1.167.9125,40229,467171,127204,022