NBIX Options History — May 2007

In May 2007, NBIX traded between $11.30 and $13.09. ATM implied volatility averaged 55.4%. The 30-day expected move averaged 15.9%. IV traded above realized volatility by 14.1% (HV 20d: 41.2%). Max pain ranged from $10.00 to $12.50. Net GEX was positive for 22 of 22 trading days. Term structure was in contango for 9 of 22 days. Put/call ratio averaged 1.06.

Notable Days

  • 2007-05-04: Highest Volume — 8,705 contracts
  • 2007-05-04: Largest IV drop — 27.3% change
  • 2007-05-31: Largest Expected Move — 18.9%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$11.77$11.30$13.09$12.84$11.62
Max Pain$12.16$10.00$12.50$10.00$12.50
ATM IV55.4%44.8%66.0%58.8%66.0%
Expected Move15.9%13.1%18.9%16.9%18.9%
HV 20d41.2%33.7%43.6%34.8%41.1%
HV 60d46.8%43.3%48.2%43.5%44.2%
Term Structure-2.2%-10.6%5.4%-4.5%-9.6%
VWIV56.4%44.3%66.7%64.3%66.0%
Skew 25d4.6%-13.0%13.0%-13.0%4.7%
Skew 10d13.6%-19.2%57.4%-19.2%15.2%
Call IV 25d53.2%41.0%68.6%66.1%60.3%
Put IV 25d57.8%49.0%66.6%53.1%65.0%
Bid-Ask Spread %10.366.7515.377.5610.88
Gamma HHI0.230.190.260.210.23
Net GEX92.6K60.2K140.8K112.2K81.1K
Net DEX-9.1M-14.7M-6.6M-13.1M-7.7M
Net VEX-211.8K-218.6K-197.2K-208.8K-215.4K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.060.067.691.810.28
Total Volume1,532.0911168,7053,341539
Total OI76,985.40969,88783,29969,88778,056

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2007-05-01$12.84$10.0058.8%16.9%34.8%0.0%64.3%-13.0%-4.5%112.2K-13.1M-208.8K1.817.56N/AN/A1,1902,15143,09426,793
2007-05-02$13.05$10.0056.3%16.1%35.2%0.0%62.1%0.4%-2.1%126.8K-14.2M-209.4K0.117.37N/AN/A4124643,17126,799
2007-05-03$13.09$10.0065.9%18.9%33.7%0.0%66.7%-7.5%-10.6%126.6K-14.7M-209.9K0.319.48N/AN/A1,84357543,36926,809
2007-05-04$11.85$12.5047.9%14.0%42.9%0.0%51.6%4.0%5.4%60.2K-8.2M-197.2K0.2114.15N/AN/A7,1741,53144,66327,191
2007-05-07$11.90$12.5055.8%14.8%41.6%0.0%51.8%4.5%3.1%95.3K-10.4M-211.9K0.0814.60N/AN/A2,60819648,69227,868
2007-05-08$12.01$12.5047.2%14.2%41.8%0.0%0.0%3.4%2.1%119.2K-11.4M-216.3K0.0815.37N/AN/A2,32119450,36927,464
2007-05-09$12.00$12.5044.8%14.2%41.5%0.0%51.3%3.9%1.0%140.8K-11.9M-218.6K1.3415.15N/AN/A11715751,60727,488
2007-05-10$11.71$12.5047.4%13.6%41.9%0.0%47.4%9.4%2.7%117.8K-9.9M-212.0K1.3110.52N/AN/A8511151,71127,568
2007-05-11$11.60$12.5045.9%13.1%41.5%0.0%49.9%8.0%4.8%108.6K-9.2M-211.0K0.9710.10N/AN/A46344851,69327,661
2007-05-14$11.72$12.5049.1%14.1%41.7%0.0%48.5%10.8%2.1%111.0K-9.8M-212.4K0.659.48N/AN/A1,03166751,81927,790
2007-05-15$11.37$12.5049.4%14.2%41.9%0.0%49.7%6.7%0.4%86.5K-7.7M-207.0K3.128.97N/AN/A3341,04352,25628,350
2007-05-16$11.57$12.5049.4%14.2%42.9%0.0%49.4%8.8%-0.2%76.3K-8.3M-211.5K0.609.93N/AN/A65739252,38028,935
2007-05-17$11.30$12.5056.2%16.1%43.0%0.0%58.2%7.7%-4.8%66.1K-7.3M-209.7K1.886.97N/AN/A6911,30052,56429,220
2007-05-18$11.47$12.5060.0%17.2%43.6%0.0%60.9%13.0%-9.2%70.0K-8.1M-215.6K0.506.75N/AN/A93847253,17730,122
2007-05-21$11.38$12.5059.7%17.1%43.5%0.0%59.9%7.6%-6.5%73.4K-7.0M-213.7K0.078.78N/AN/A2051548,14027,629
2007-05-22$11.33$12.5057.9%16.6%43.5%0.0%44.3%7.8%-1.8%73.6K-7.1M-213.0K0.068.78N/AN/A9476048,27327,638
2007-05-23$11.48$12.5060.0%17.2%42.8%0.0%59.7%4.4%-5.3%76.1K-7.2M-215.1K0.2210.17N/AN/A81618148,33927,698
2007-05-24$11.38$12.5055.1%15.8%42.8%0.0%0.0%2.9%0.1%76.2K-6.7M-213.1K1.1110.65N/AN/A556148,92327,780
2007-05-25$11.39$12.5062.3%17.9%42.3%0.0%62.8%0.8%-5.5%78.6K-7.0M-214.7K0.5510.37N/AN/A1106048,94127,760
2007-05-29$11.46$12.5059.5%17.1%41.5%0.0%60.2%6.6%-4.8%80.9K-6.8M-211.7K0.3210.81N/AN/A1565049,03127,820
2007-05-30$11.44$12.5063.6%18.2%41.2%0.0%63.3%5.8%-5.9%79.5K-6.6M-211.9K7.6910.97N/AN/A1501,15449,15827,870
2007-05-31$11.62$12.5066.0%18.9%41.1%0.0%66.0%4.7%-9.6%81.1K-7.7M-215.4K0.2810.88N/AN/A42011949,10428,952