NKE Options History — November 2020

In November 2020, NKE traded between $121.93 and $135.55. ATM implied volatility averaged 30.9%, placing in the 17.2% IV rank vs the trailing year. The 30-day expected move averaged 9.0%. IV traded above realized volatility by 4.1% (HV 20d: 26.8%). Max pain ranged from $123.00 to $130.00. Net GEX was positive for 20 of 20 trading days. Term structure was in contango for 12 of 20 days. Put/call ratio averaged 0.71.

Notable Days

  • 2020-11-09: Highest Volume — 42,113 contracts
  • 2020-11-12: Largest IV spike — 16.9% change
  • 2020-11-02: Highest IV Rank — 23.9%
  • 2020-11-02: Largest Expected Move — 10.7%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$130.18$121.93$135.55$121.93$134.52
Max Pain$126.80$123.00$130.00$124.00$130.00
ATM IV30.9%24.3%36.8%36.8%36.6%
Expected Move9.0%8.2%10.7%10.7%10.1%
HV 20d26.8%19.7%29.2%24.3%19.7%
HV 60d28.6%27.3%29.0%28.6%27.3%
IV Rank17.2%9.8%23.9%23.9%23.7%
IV Percentile47.1%19.0%68.3%68.3%67.1%
Term Structure1.8%-2.0%5.3%-0.9%-1.1%
VWIV32.0%29.3%37.5%37.5%35.9%
Skew 25d3.6%1.7%8.1%8.1%2.8%
Skew 10d8.2%3.5%16.7%16.7%6.0%
Call IV 25d29.8%24.8%35.5%33.6%35.5%
Put IV 25d33.4%27.3%41.7%41.7%38.3%
Bid-Ask Spread %27.587.2056.438.9619.86
Gamma HHI0.120.080.160.080.10
Net GEX28.9M4.4M51.7M4.4M26.2M
Net DEX-908.6M-1.25B-439.8M-439.8M-1.02B
Net VEX-4.1M-4.4M-3.6M-4.2M-4.4M
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.710.451.070.870.66
Total Volume23,719.1512,23142,11317,23822,109
Total OI374,186.3342,866416,305350,556365,279

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2020-11-02$121.93$124.0036.8%10.7%24.3%23.9%37.5%8.1%-0.9%4.4M-439.8M-4.2M0.878.969,2148,024163,345187,211
2020-11-03$124.86$124.0033.9%10.2%26.0%20.6%36.2%6.3%-1.2%9.8M-611.7M-4.2M0.517.208,1004,131163,345187,211
2020-11-04$127.67$123.0029.1%8.7%26.5%15.2%31.2%5.0%0.7%19.3M-799.5M-3.9M1.079.3910,28810,990166,547190,723
2020-11-05$129.31$130.0028.8%8.7%26.9%14.8%30.4%4.7%-0.3%24.5M-890.2M-4.1M0.5749.8416,0739,126168,870193,904
2020-11-06$129.17$130.0027.5%8.6%26.7%13.4%30.7%4.7%0.3%29.1M-874.6M-4.0M0.8631.927,7456,670176,465195,730
2020-11-09$130.22$125.0024.3%8.2%26.7%9.8%29.3%2.8%3.9%36.6M-971.9M-3.6M0.8456.4322,87219,241170,622182,821
2020-11-10$127.29$130.0027.2%9.0%27.9%13.1%31.2%3.0%4.2%17.7M-704.0M-3.8M0.4553.6120,7749,344177,135192,433
2020-11-11$127.85$125.0025.1%8.5%27.5%10.7%30.6%2.4%4.6%22.4M-763.0M-3.8M0.8727.148,8787,743184,116196,050
2020-11-12$125.96$125.0029.3%9.6%27.7%15.4%33.6%3.4%5.3%13.4M-604.7M-4.1M0.7849.9014,85511,635186,961197,455
2020-11-13$128.31$125.0027.7%8.9%28.4%13.6%31.9%1.7%5.0%24.4M-789.4M-4.1M0.7449.0013,2369,800191,005202,513
2020-11-16$129.72$125.0028.9%8.6%28.7%15.0%30.7%3.1%4.7%32.9M-912.0M-4.0M0.7143.8612,7619,050186,117196,033
2020-11-17$131.81$125.0029.9%8.7%29.0%16.1%30.7%3.6%3.9%48.3M-1.12B-4.0M0.4536.2117,5077,841193,098199,780
2020-11-18$131.83$125.0030.8%8.8%29.0%17.1%31.0%1.7%4.4%51.7M-1.10B-4.3M0.5319.6116,5048,820196,758202,567
2020-11-19$131.95$125.0031.3%8.7%28.9%17.7%31.6%4.2%4.2%47.2M-1.12B-4.2M0.6524.6917,82811,646200,149205,557
2020-11-20$133.35$125.0031.8%8.5%29.2%18.2%31.2%4.3%4.9%41.3M-1.25B-4.2M0.607.5021,44012,908204,685211,620
2020-11-23$134.01$130.0035.3%9.1%28.4%22.2%32.2%2.7%-2.0%29.5M-1.03B-4.1M1.038.4711,66212,024154,590188,276
2020-11-24$134.86$130.0034.3%8.8%28.5%21.1%30.1%2.8%-1.6%33.9M-1.09B-4.3M0.6818.8417,45311,863158,874195,079
2020-11-25$135.55$130.0034.0%8.9%22.1%20.7%31.6%2.9%-1.4%39.7M-1.14B-4.4M0.6619.4010,9717,231169,159202,247
2020-11-27$133.42$130.0034.6%9.1%23.3%21.4%32.7%2.0%-1.8%26.2M-962.9M-4.4M0.719.839,3866,640173,197206,199
2020-11-30$134.52$130.0036.6%10.1%19.7%23.7%35.9%2.8%-1.1%26.2M-1.02B-4.4M0.6619.8613,3108,799166,656198,623