NBIX Options History — February 2007

In February 2007, NBIX traded between $12.61 and $14.45. ATM implied volatility averaged 48.5%. The 30-day expected move averaged 14.2%. IV traded below realized volatility by 0.3% (HV 20d: 48.8%). Max pain ranged from $5.00 to $12.50. Net GEX was positive for 19 of 19 trading days. Term structure was in contango for 18 of 19 days. Put/call ratio averaged 0.58.

Notable Days

  • 2007-02-01: Highest Volume — 6,931 contracts
  • 2007-02-02: Largest IV drop — 35.8% change
  • 2007-02-01: Largest Expected Move — 19.2%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$13.23$12.61$14.45$14.45$12.61
Max Pain$12.11$5.00$12.50$5.00$12.50
ATM IV48.5%41.5%67.1%67.1%43.5%
Expected Move14.2%11.9%19.2%19.2%12.5%
HV 20d48.8%38.5%58.7%46.5%39.1%
Term Structure6.5%-2.0%12.4%-2.0%10.0%
VWIV50.1%42.4%67.6%67.6%43.5%
Skew 25d-1.2%-10.5%3.6%3.6%-9.6%
Skew 10d-1.5%-16.4%20.2%1.0%-14.3%
Call IV 25d52.9%45.7%67.1%67.1%52.9%
Put IV 25d51.6%41.1%70.8%70.8%43.2%
Bid-Ask Spread %10.095.6917.4012.086.41
Gamma HHI0.260.220.300.260.24
Net GEX212.2K136.0K283.8K283.8K136.0K
Net DEX-23.7M-35.3M-13.7M-35.3M-13.7M
Net VEX-158.8K-165.7K-152.0K-165.7K-156.9K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.580.002.690.530.25
Total Volume1,416.211476,9316,931405
Total OI60,590.36850,95166,79661,68451,731

Daily Data (19 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2007-02-01$14.45$5.0067.1%19.2%46.5%0.0%67.6%3.6%-2.0%283.8K-35.3M-165.7K0.5312.08N/AN/A4,5332,39845,52616,158
2007-02-02$13.27$12.5043.0%15.1%58.7%0.0%52.8%0.5%3.4%263.6K-29.3M-164.3K0.169.06N/AN/A5,35084049,38617,007
2007-02-05$13.04$12.5050.4%14.9%58.7%0.0%52.4%0.0%4.5%227.4K-25.8M-156.2K0.238.46N/AN/A69515748,42317,362
2007-02-06$13.32$12.5048.6%15.3%56.7%0.0%54.0%1.9%3.1%246.7K-27.5M-157.5K1.4311.28N/AN/A36752548,62717,412
2007-02-07$13.51$12.5048.8%15.2%56.7%0.0%52.0%0.4%3.3%264.8K-28.7M-158.2K0.0810.97N/AN/A6575248,68417,379
2007-02-08$13.29$12.5052.4%15.0%57.4%0.0%54.4%1.4%4.7%253.8K-27.7M-157.7K0.1113.27N/AN/A1,07311948,94817,397
2007-02-09$13.03$12.5049.4%14.2%54.4%0.0%49.9%2.0%7.9%235.2K-26.0M-156.2K0.1413.67N/AN/A4746449,15817,465
2007-02-12$12.95$12.5051.4%14.7%54.5%0.0%51.7%0.9%6.5%229.4K-25.6M-152.5K0.128.01N/AN/A2182649,16817,456
2007-02-13$12.98$12.5050.3%14.4%54.4%0.0%50.5%0.6%5.5%233.5K-26.1M-152.0K0.798.42N/AN/A53041849,17717,233
2007-02-14$13.25$12.5052.4%15.0%48.6%0.0%51.9%3.1%6.1%208.1K-28.7M-155.9K0.006.00N/AN/A309149,48017,077
2007-02-15$13.41$12.5050.0%14.3%48.7%0.0%51.4%-1.8%6.7%209.8K-29.8M-155.8K0.288.01N/AN/A36110149,64917,077
2007-02-16$13.26$12.5049.2%14.1%47.7%0.0%50.5%-1.1%9.3%205.2K-28.9M-155.3K1.795.69N/AN/A1,5152,71049,63617,160
2007-02-20$13.44$12.5049.0%14.1%47.7%0.0%50.2%-2.9%6.3%186.0K-17.5M-165.3K0.209.09N/AN/A55811036,61414,585
2007-02-21$13.37$12.5045.2%12.9%40.5%0.0%45.6%-1.1%8.3%188.1K-17.2M-163.6K0.1011.26N/AN/A3954036,62314,333
2007-02-22$13.11$12.5044.1%12.6%39.6%0.0%45.3%2.2%7.7%178.2K-16.2M-161.6K2.699.08N/AN/A19752936,61614,335
2007-02-23$13.01$12.5042.4%12.1%39.4%0.0%42.4%-4.3%9.1%165.1K-15.5M-161.2K0.0013.74N/AN/A47036,54914,763
2007-02-26$13.03$12.5041.5%11.9%39.0%0.0%43.7%-10.5%12.4%165.7K-15.3M-160.9K1.809.88N/AN/A20637036,57014,763
2007-02-27$12.95$12.5042.8%12.3%38.5%0.0%42.8%-9.0%11.5%152.2K-15.0M-159.6K0.3617.40N/AN/A41114736,66715,023
2007-02-28$12.61$12.5043.5%12.5%39.1%0.0%43.5%-9.6%10.0%136.0K-13.7M-156.9K0.256.41N/AN/A3258036,69115,040