Monday, June 27, 2011

Nike (NKE) - Quick Earnings Preview

NKE is trading $82.25, up 1.3% with IV30™ up 2.3%. The LIVEVOL® Pro Summary is below.


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NIKE, Inc. (NIKE) is engaged in design, development and marketing of footwear, apparel, equipment and accessory products.

This is a fast earnings note as NKE reports AMC, today. I noticed that the last two cycles the stock moved pretty large:

3-17-2011: $85.41 to $77.59
12-21-2010: $92.30 to $86.95

Let's look to the Options Tab below.

We can see the front month straddle is priced at ~$5.64, or ~38 vol. Let's look to the Skew Tab, below.

It's a beautifully "normal" looking skew -- with the front obviously elevated to the back b/c of earnings.

Finally, the Charts Tab (6 months) is below. The top portion is the stock price, the bottom is the vol (IV30™ - red vs HV20 - blue vs HV180 - pink).

I've highlighted the rising vol of late -- even before earnings; it's been an interesting rise as the realized vol has moved (increased) as well. We can also see the gap down on the last earnings on the stock side. Given the market volatility of late, it'll be interesting to see if NKE moves more than the straddle by expo (or even by tomorrow).

This is trade analysis, not a recommendation.

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