On the Check_mk web UI visit:
WATO menu > Monitoring Agents
In the list on check agents you should find the nginx_status. Clicking on it shows the code for the check. Copy that code to the client server. The location on web001 for the check (for me anyway) was:
/usr/share/check-mk-agent/local/nginx_status
Make sure it is executable.
On the client server to be monitored configure nginx to respond with the status:
location /nginx_status {
# Enable Nginx stats
stub_status on;
allow 127.0.0.1;
allow 111.222.111.222;
# Other request should be denied
deny all;
}
Test the agent by running:
check_mk_agent | grep nginx
Restart nginx and then back in the WATO services for the host do a full scan.

