NBIX Options History — April 2007

In April 2007, NBIX traded between $12.45 and $14.25. ATM implied volatility averaged 53.6%. The 30-day expected move averaged 15.4%. IV traded above realized volatility by 4.1% (HV 20d: 49.5%). Max pain ranged from $10.00 to $12.50. Net GEX was positive for 20 of 20 trading days. Term structure was in contango for 5 of 20 days. Put/call ratio averaged 0.87.

Notable Days

  • 2007-04-05: Highest Volume — 3,374 contracts
  • 2007-04-09: Largest IV spike — 34.2% change
  • 2007-04-25: Largest Expected Move — 17.1%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$13.56$12.45$14.25$12.45$12.73
Max Pain$10.50$10.00$12.50$12.50$10.00
ATM IV53.6%41.7%60.6%41.7%58.0%
Expected Move15.4%12.0%17.1%12.0%16.6%
HV 20d49.5%30.6%58.3%55.5%34.8%
HV 60d49.1%46.4%52.7%52.2%46.8%
Term Structure0.5%-4.0%13.8%12.1%-3.0%
VWIV54.1%41.9%64.2%41.9%64.2%
Skew 25d5.7%-7.7%80.1%0.2%3.7%
Skew 10d7.0%-15.3%127.4%0.7%12.7%
Call IV 25d53.3%36.8%63.0%36.8%63.0%
Put IV 25d59.0%36.9%118.0%36.9%66.7%
Bid-Ask Spread %11.434.7222.564.7210.43
Gamma HHI0.250.190.330.190.20
Net GEX188.1K110.8K262.8K167.5K110.8K
Net DEX-18.1M-22.7M-12.0M-12.3M-12.9M
Net VEX-206.1K-215.1K-182.4K-182.4K-207.0K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.870.052.262.260.26
Total Volume1,165.051503,3746521,368
Total OI67,364.3562,24269,86862,24269,713

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2007-04-02$12.45$12.5041.7%12.0%55.5%0.0%41.9%0.2%12.1%167.5K-12.3M-182.4K2.264.72N/AN/A20045241,08321,159
2007-04-03$12.49$12.5044.0%12.6%54.4%0.0%44.5%80.1%10.2%164.9K-12.0M-182.8K1.465.47N/AN/A65395341,10821,568
2007-04-04$12.87$12.5046.3%13.3%55.1%0.0%46.5%-5.7%6.8%171.0K-14.2M-191.8K0.756.98N/AN/A71753641,42822,296
2007-04-05$13.66$12.5045.2%12.9%58.0%0.0%52.1%-7.7%13.8%199.9K-18.9M-201.0K0.5416.97N/AN/A2,1881,18641,83322,543
2007-04-09$13.99$10.0060.6%15.9%58.3%0.0%56.9%4.3%-3.0%240.0K-21.4M-208.0K0.1812.73N/AN/A1,72031043,05223,200
2007-04-10$14.05$10.0048.4%15.5%58.0%0.0%54.1%3.4%-1.7%262.8K-21.9M-210.8K0.3512.39N/AN/A1,48652443,86323,402
2007-04-11$14.15$10.0052.5%15.3%56.1%0.0%53.7%4.0%-1.5%255.1K-22.3M-212.6K0.1712.81N/AN/A60310543,80723,867
2007-04-12$14.05$10.0052.8%15.1%55.6%0.0%54.0%2.1%-1.7%252.9K-21.5M-210.6K0.1412.35N/AN/A3404943,94123,972
2007-04-13$14.14$10.0051.8%14.9%55.6%0.0%52.3%4.0%-1.5%238.0K-22.1M-211.4K0.0514.76N/AN/A1891043,93123,952
2007-04-16$14.25$10.0053.4%15.3%55.3%0.0%53.7%3.7%-2.0%261.9K-22.7M-209.2K0.3512.61N/AN/A78027243,96423,955
2007-04-17$13.87$10.0053.5%15.3%57.0%0.0%56.2%2.6%-1.2%240.0K-20.6M-207.3K1.5615.58N/AN/A22735544,13824,115
2007-04-18$13.86$10.0056.0%16.0%57.0%0.0%58.0%3.3%-2.8%177.6K-20.4M-207.0K2.0313.85N/AN/A27355544,16524,345
2007-04-19$13.58$10.0058.0%16.6%58.1%0.0%56.6%3.4%-2.8%152.8K-18.8M-208.2K2.0522.56N/AN/A24049344,27624,777
2007-04-20$13.64$10.0059.0%16.9%58.0%0.0%60.9%1.8%-3.5%152.3K-19.1M-208.9K0.6013.88N/AN/A83950744,31125,046
2007-04-23$13.63$10.0057.9%16.6%37.2%0.0%53.3%9.8%-1.3%152.8K-17.0M-211.5K1.738.90N/AN/A7741,33842,35725,089
2007-04-24$13.41$10.0055.7%16.0%30.6%0.0%52.5%-0.7%1.2%140.9K-16.0M-211.9K0.896.36N/AN/A22019642,67026,129
2007-04-25$13.70$10.0059.8%17.1%30.7%0.0%58.5%2.0%-0.4%144.7K-17.1M-214.4K0.146.64N/AN/A1,89326442,38626,273
2007-04-26$13.51$10.0058.8%16.9%31.5%0.0%53.8%2.9%-3.8%149.1K-16.8M-215.1K1.439.20N/AN/A13819843,19426,511
2007-04-27$13.15$10.0057.9%16.6%33.0%0.0%57.8%-3.7%-4.0%127.5K-14.9M-211.1K0.389.37N/AN/A1094143,20726,661
2007-04-30$12.73$10.0058.0%16.6%34.8%0.0%64.2%3.7%-3.0%110.8K-12.9M-207.0K0.2610.43N/AN/A1,08428443,11626,597