NKE Options History — September 2021

In September 2021, NKE traded between $145.21 and $164.46. ATM implied volatility averaged 30.5%, placing in the 51.9% IV rank vs the trailing year. The 30-day expected move averaged 8.5%. IV traded above realized volatility by 10.6% (HV 20d: 19.9%). Max pain ranged from $150.00 to $170.00. Net GEX was positive for 6 of 21 trading days. Term structure was in contango for 2 of 21 days. Put/call ratio averaged 0.85.

Notable Days

  • 2021-09-24: Highest Volume — 343,924 contracts
  • 2021-09-24: Largest IV drop — 32.7% change
  • 2021-09-20: Highest IV Rank — 84.8%
  • 2021-09-23: Largest Expected Move — 11.2%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$156.76$145.21$164.46$164.46$145.21
Max Pain$157.26$150.00$170.00$170.00$150.00
ATM IV30.5%21.1%37.5%31.1%23.7%
Expected Move8.5%5.3%11.2%5.3%6.9%
HV 20d19.9%14.7%27.8%15.2%27.7%
HV 60d27.9%17.1%33.7%32.8%20.7%
IV Rank51.9%9.1%84.8%50.5%21.9%
IV Percentile64.1%9.5%95.2%71.8%24.6%
Term Structure-1.5%-5.2%0.5%-0.7%-0.0%
VWIV31.0%19.1%40.2%19.1%26.1%
Skew 25d2.6%0.7%5.0%2.7%4.3%
Skew 10d7.0%3.9%18.4%6.8%8.9%
Call IV 25d30.6%21.0%36.2%31.4%23.0%
Put IV 25d33.2%23.5%38.5%34.1%27.3%
Bid-Ask Spread %13.252.4027.147.752.80
Gamma HHI0.110.060.430.110.09
Net GEX-14.7M-76.2M20.5M6.6M-25.0M
Net DEX-234.6M-784.6M533.3M-700.8M533.3M
Net VEX-8.5M-9.3M-8.0M-8.1M-8.8M
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.850.431.460.870.85
Total Volume78,845.09524,817343,92424,81758,428
Total OI532,767.476458,053653,694458,053653,694

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2021-09-01$164.46$170.0031.1%5.3%15.2%50.5%19.1%2.7%-0.7%6.6M-700.8M-8.1M0.877.7513,28711,530234,301223,752
2021-09-02$163.47$155.0031.6%8.3%14.7%52.6%30.8%3.0%-0.8%1.0M-630.8M-8.4M0.7923.9120,33716,045248,173231,926
2021-09-03$163.28$155.0031.3%8.3%14.7%51.2%29.7%2.9%-2.3%-4.4M-598.6M-8.2M1.4611.8412,14617,790250,901235,723
2021-09-07$162.62$155.0032.8%8.8%14.7%58.6%31.2%2.0%-1.8%-555.9K-600.5M-8.0M0.6027.1429,38717,719246,255227,146
2021-09-08$160.22$155.0033.2%9.0%15.2%60.3%32.8%1.7%-1.7%-13.4M-381.1M-8.3M0.9223.2429,10326,637249,844235,879
2021-09-09$163.57$155.0033.2%9.0%17.5%64.7%33.0%1.0%-2.1%10.5M-730.3M-8.4M0.5217.0753,03627,601265,169243,454
2021-09-10$163.71$155.0032.6%9.0%17.5%62.2%32.6%0.7%-1.8%18.6M-784.6M-8.7M0.6711.5324,57216,550280,310253,426
2021-09-13$159.11$160.0032.4%9.1%19.7%60.9%33.4%2.4%-1.1%-22.1M-260.6M-8.5M1.2714.0236,63246,374274,308246,428
2021-09-14$158.64$160.0032.3%9.2%19.4%60.6%33.9%2.2%-0.9%-19.2M-216.0M-8.5M1.0713.4619,40320,791279,163248,318
2021-09-15$158.29$160.0031.6%9.0%19.3%57.1%33.7%2.2%-1.3%-33.6M-168.5M-8.5M0.6913.4731,05321,549290,349262,891
2021-09-16$157.57$160.0030.7%8.9%19.3%53.2%33.5%2.4%-1.8%-44.3M-75.3M-8.4M1.3322.8814,44919,271293,233267,210
2021-09-17$156.39$160.0031.7%9.4%18.0%57.8%32.7%2.8%-4.5%-22.7M-5.1M-8.6M0.9319.4421,45520,000309,821273,746
2021-09-20$153.42$160.0037.5%10.8%17.8%84.8%38.1%5.0%-5.2%-9.3M-160.9M-8.7M1.1013.6641,40445,752236,950241,160
2021-09-21$155.58$160.0034.8%10.6%18.2%72.0%37.7%3.2%-2.8%-3.4M-338.5M-8.8M0.6113.0839,17523,739242,297246,296
2021-09-22$157.48$155.0033.4%10.2%19.0%69.4%37.3%2.3%-1.5%5.1M-506.4M-9.0M0.6619.4832,47721,550258,700262,279
2021-09-23$159.23$155.0035.1%11.2%19.7%77.8%40.2%1.5%-1.2%20.5M-782.9M-9.3M0.5810.82142,50683,072278,169272,092
2021-09-24$150.04$155.0023.6%6.9%27.7%21.4%24.9%1.8%-0.1%-76.2M222.3M-8.1M0.912.64180,390163,534289,177281,999
2021-09-27$147.92$157.5021.1%6.1%27.7%9.1%21.9%2.5%0.5%-42.0M321.6M-8.0M0.432.4081,96335,265274,996256,229
2021-09-28$145.41$155.0023.6%6.9%27.8%21.7%24.5%3.7%0.1%-29.8M504.0M-8.5M0.844.4652,33243,763318,638278,129
2021-09-29$146.33$155.0023.5%6.6%27.8%21.1%23.2%3.8%-0.1%-25.6M432.2M-8.7M0.713.1025,59218,088339,982285,604
2021-09-30$145.21$150.0023.7%6.9%27.7%21.9%26.1%4.3%-0.0%-25.0M533.3M-8.8M0.852.8031,60626,822352,535301,159