NBIX Options History — June 2007

In June 2007, NBIX traded between $11.23 and $12.75. ATM implied volatility averaged 48.3%. The 30-day expected move averaged 14.0%. IV traded above realized volatility by 14.0% (HV 20d: 34.3%). Max pain ranged from $10.00 to $12.50. Net GEX was positive for 15 of 21 trading days. Term structure was in contango for 9 of 21 days. Put/call ratio averaged 1.39.

Notable Days

  • 2007-06-19: Highest Volume — 7,100 contracts
  • 2007-06-28: Largest IV spike — 43.2% change
  • 2007-06-01: Largest Expected Move — 17.1%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$12.19$11.23$12.75$12.37$11.23
Max Pain$12.14$10.00$12.50$12.50$12.50
ATM IV48.3%33.0%71.7%59.5%53.9%
Expected Move14.0%9.5%17.1%17.1%15.5%
HV 20d34.3%30.2%47.7%47.7%30.6%
HV 60d42.5%37.4%46.4%46.0%37.6%
Term Structure-0.2%-4.3%6.4%-3.4%-4.3%
VWIV47.9%33.2%59.5%59.5%41.7%
Skew 25d-1.8%-16.0%8.3%3.7%8.3%
Skew 10d-0.5%-25.3%21.7%6.1%16.0%
Call IV 25d47.8%30.2%60.0%46.7%42.2%
Put IV 25d46.0%25.4%60.3%50.5%50.5%
Bid-Ask Spread %10.675.4415.985.4415.98
Gamma HHI0.290.260.400.260.26
Net GEX126.5K-52.4K411.4K139.4K-52.4K
Net DEX-9.7M-15.1M-1.1M-12.2M-1.1M
Net VEX-224.4K-238.4K-114.5K-226.9K-225.5K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.390.215.180.673.26
Total Volume1,823.6192387,1002,3802,778
Total OI83,343.14341,35594,31378,54694,313

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2007-06-01$12.37$12.5059.5%17.1%47.7%0.0%59.5%3.7%-3.4%139.4K-12.2M-226.9K0.675.44N/AN/A1,42895249,49529,051
2007-06-04$12.34$10.0055.2%16.7%31.2%0.0%58.8%3.3%-2.1%174.4K-12.8M-224.8K0.2310.38N/AN/A82518650,43028,964
2007-06-05$12.40$10.0052.0%16.7%31.2%0.0%58.0%1.0%-2.9%192.6K-13.3M-227.6K1.2115.31N/AN/A23027850,81629,111
2007-06-06$12.66$10.0050.4%16.3%31.8%0.0%56.7%2.4%-2.3%206.3K-14.8M-230.1K0.6510.66N/AN/A61540250,90829,363
2007-06-07$12.26$12.5052.0%16.3%34.2%0.0%57.9%-0.1%-3.0%185.5K-12.4M-226.9K1.008.30N/AN/A34834851,05429,692
2007-06-08$12.48$12.5047.3%16.4%33.2%0.0%0.0%2.0%-2.5%215.7K-13.7M-231.0K1.1411.31N/AN/A11112751,27629,996
2007-06-11$12.62$12.5056.8%16.4%33.0%0.0%57.2%4.8%-3.2%179.3K-8.9M-114.5K0.2111.57N/AN/A4038625,42915,926
2007-06-12$12.62$12.5060.7%16.6%33.0%0.0%58.1%-0.3%-3.2%238.1K-15.1M-231.0K0.839.19N/AN/A73160851,50030,081
2007-06-13$12.43$12.5071.7%15.2%31.3%0.0%52.8%-0.9%1.9%215.9K-13.5M-229.3K1.0314.91N/AN/A1,0861,12451,89930,589
2007-06-14$12.61$12.5053.2%15.2%31.1%0.0%53.1%1.9%-1.6%372.0K-14.3M-233.8K0.2615.64N/AN/A2536552,27031,531
2007-06-15$12.43$12.5051.3%14.7%30.2%0.0%51.8%-0.7%0.8%411.4K-12.3M-230.5K0.5013.75N/AN/A94146752,24531,560
2007-06-18$12.27$12.5046.9%13.4%30.6%0.0%47.4%-16.0%2.1%95.2K-10.6M-225.9K0.388.26N/AN/A1,95274750,17431,282
2007-06-19$12.75$12.5038.1%10.9%32.6%0.0%38.1%-8.8%2.2%129.8K-12.9M-233.7K1.1513.45N/AN/A3,2993,80150,92931,898
2007-06-20$12.39$12.5036.2%10.4%34.7%0.0%36.2%0.4%3.8%73.7K-10.5M-238.4K2.125.68N/AN/A38681853,30235,427
2007-06-21$12.06$12.5033.6%9.6%36.3%0.0%33.6%-4.6%4.1%28.0K-7.1M-233.1K4.158.12N/AN/A9333,86953,29436,102
2007-06-22$11.81$12.5039.3%11.3%37.0%0.0%39.3%-11.2%-1.1%-3.2K-5.0M-235.4K1.668.86N/AN/A6571,09353,97437,390
2007-06-25$11.70$12.5038.1%10.9%37.2%0.0%38.2%-7.8%2.6%-33.0K-4.0M-228.7K1.2611.05N/AN/A58073153,65437,453
2007-06-26$11.49$12.5038.5%11.0%37.8%0.0%38.8%-10.1%3.6%-52.0K-2.5M-225.4K5.1811.45N/AN/A4162,15353,52638,147
2007-06-27$11.64$12.5033.0%9.5%38.1%0.0%33.2%-8.3%6.4%-38.8K-3.7M-230.2K1.427.97N/AN/A28440353,76539,189
2007-06-28$11.51$12.5047.2%13.5%37.9%0.0%47.8%2.6%-2.1%-21.9K-3.2M-229.3K0.866.83N/AN/A95682653,75239,449
2007-06-29$11.23$12.5053.9%15.5%30.6%0.0%41.7%8.3%-4.3%-52.4K-1.1M-225.5K3.2615.98N/AN/A6522,12654,27640,037