NKE Options History — January 2021

In January 2021, NKE traded between $130.75 and $146.71. ATM implied volatility averaged 26.9%, placing in the 11.2% IV rank vs the trailing year. The 30-day expected move averaged 7.6%. IV traded above realized volatility by 8.3% (HV 20d: 18.5%). Max pain ranged from $140.00 to $140.00. Net GEX was positive for 19 of 19 trading days. Term structure was in contango for 14 of 19 days. Put/call ratio averaged 0.61.

Notable Days

  • 2021-01-06: Highest Volume — 67,209 contracts
  • 2021-01-27: Largest IV spike — 22.4% change
  • 2021-01-27: Highest IV Rank — 18.1%
  • 2021-01-27: Largest Expected Move — 9.8%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$140.46$130.75$146.71$139.89$133.86
Max Pain$140.00$140.00$140.00$140.00$140.00
ATM IV26.9%24.6%35.0%26.9%33.0%
Expected Move7.6%7.0%9.8%7.7%9.0%
HV 20d18.5%15.8%25.4%15.8%25.4%
HV 60d20.6%19.7%21.6%20.1%20.8%
IV Rank11.2%8.0%18.1%12.8%14.5%
IV Percentile21.0%11.1%56.3%19.8%50.0%
Term Structure0.3%-0.7%1.6%0.1%0.6%
VWIV27.0%25.0%34.0%27.4%32.6%
Skew 25d2.7%1.2%4.9%3.7%2.8%
Skew 10d5.7%1.9%13.1%7.9%6.3%
Call IV 25d26.0%24.3%32.9%25.7%31.7%
Put IV 25d28.7%25.7%36.1%29.3%34.6%
Bid-Ask Spread %20.743.7047.8627.6233.53
Gamma HHI0.160.070.400.230.09
Net GEX38.3M1.0M116.5M39.6M7.4M
Net DEX-840.4M-1.70B-32.6M-987.8M-223.7M
Net VEX-5.0M-5.5M-4.6M-4.6M-5.5M
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.610.251.270.780.62
Total Volume32,694.57916,88467,20930,64830,670
Total OI361,443.789224,090467,422416,393299,599

Daily Data (19 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2021-01-04$139.89$140.0026.9%7.7%15.8%12.8%27.4%3.7%0.1%39.6M-987.8M-4.6M0.7827.6217,17613,472212,885203,508
2021-01-05$141.28$140.0025.6%7.6%16.1%11.3%26.3%4.9%0.6%49.3M-1.10B-4.6M0.5547.8611,3306,263216,157209,693
2021-01-06$142.60$140.0026.5%7.4%16.2%12.3%26.8%2.9%0.6%60.7M-1.22B-4.7M0.3340.0650,67116,538218,268211,832
2021-01-07$145.20$140.0024.6%7.1%17.1%10.1%26.0%1.8%0.1%100.5M-1.60B-5.0M0.7126.8322,61016,115239,200220,327
2021-01-08$146.18$140.0024.7%7.1%17.1%10.2%25.2%1.2%0.2%116.5M-1.70B-5.1M0.6919.7017,14611,826239,623227,084
2021-01-11$146.71$140.0026.1%7.3%16.8%11.8%26.7%1.6%-0.1%104.5M-1.68B-5.1M0.6514.4217,04511,116233,849219,818
2021-01-12$145.16$140.0025.7%7.2%17.3%11.4%25.9%1.6%-0.4%80.4M-1.46B-5.0M0.5511.2110,9165,968232,989221,617
2021-01-13$142.90$140.0025.1%7.0%18.4%10.7%25.5%3.0%-0.6%43.0M-1.20B-4.8M0.6321.6514,6059,251234,301224,248
2021-01-14$141.68$140.0025.0%7.2%18.0%10.6%25.3%2.7%0.0%25.0M-1.04B-4.9M0.465.8516,5597,564236,482227,839
2021-01-15$140.78$140.0025.2%7.2%18.1%10.8%25.0%2.7%-0.0%13.2M-961.6M-4.9M0.9826.9416,14015,871237,963229,459
2021-01-19$139.38$140.0025.0%7.1%17.9%10.5%25.2%2.1%0.7%6.4M-379.7M-4.8M0.508.9618,3439,170127,51896,572
2021-01-20$142.79$140.0025.1%7.2%19.8%9.3%25.4%1.3%0.3%23.0M-613.6M-5.0M0.543.7021,21111,403134,671100,458
2021-01-21$142.10$140.0025.1%7.2%16.8%8.0%25.8%2.2%0.7%24.2M-592.1M-5.1M1.277.0916,08820,476140,961102,679
2021-01-22$139.81$140.0025.7%7.2%17.3%8.4%25.5%2.1%0.5%1.0M-367.3M-5.3M0.664.9118,49412,133145,233117,076
2021-01-25$137.35$140.0027.1%7.7%18.3%9.4%26.6%3.6%0.6%1.4M-253.4M-5.2M0.4111.7344,62918,274144,006113,112
2021-01-26$134.96$140.0028.6%8.1%19.1%10.5%28.4%3.6%0.3%11.1M-247.6M-5.3M0.4611.7417,0457,796164,495109,572
2021-01-27$130.75$140.0035.0%9.8%21.3%18.1%34.0%3.2%-0.7%5.7M-32.6M-5.2M0.5937.4118,83511,176170,007113,663
2021-01-28$135.31$140.0030.6%8.5%25.3%12.9%30.1%4.1%1.6%14.1M-315.1M-5.5M0.2532.8929,8807,392174,456116,212
2021-01-29$133.86$140.0033.0%9.0%25.4%14.5%32.6%2.8%0.6%7.4M-223.7M-5.5M0.6233.5318,93111,739181,455118,144