NBIX Options History — July 2007

In July 2007, NBIX traded between $10.06 and $12.24. ATM implied volatility averaged 47.2%, placing in the 40.5% IV rank vs the trailing year. The 30-day expected move averaged 13.8%. IV traded above realized volatility by 14.0% (HV 20d: 33.2%). Max pain ranged from $12.50 to $12.50. Net GEX was positive for 0 of 21 trading days. Term structure was in contango for 4 of 21 days. Put/call ratio averaged 3.23.

Notable Days

  • 2007-07-19: Highest Volume — 7,352 contracts
  • 2007-07-25: Largest IV spike — 77.8% change
  • 2007-07-30: Highest IV Rank — 83.4%
  • 2007-07-30: Largest Expected Move — 18.4%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$11.46$10.06$12.24$11.47$10.17
Max Pain$12.50$12.50$12.50$12.50$12.50
ATM IV47.2%25.7%64.1%45.9%63.8%
Expected Move13.8%7.4%18.4%13.2%18.3%
HV 20d33.2%28.9%40.9%31.9%40.2%
HV 60d36.7%34.5%39.7%35.7%34.5%
IV Rank40.5%0.0%83.4%32.1%82.7%
IV Percentile34.1%0.0%96.5%19.8%95.8%
Term Structure-7.7%-20.2%12.6%4.7%-11.6%
VWIV49.2%31.4%69.8%46.1%63.9%
Skew 25d-0.6%-15.8%10.1%4.3%1.0%
Skew 10d-0.0%-18.1%17.6%6.8%9.1%
Call IV 25d52.4%41.1%78.0%45.7%78.0%
Put IV 25d51.7%28.4%79.0%49.9%79.0%
Bid-Ask Spread %16.438.4823.9710.1813.79
Gamma HHI0.280.240.310.260.26
Net GEX-143.4K-299.9K-5.0K-45.5K-251.4K
Net DEX3.3M-6.9M16.1M-1.7M15.4M
Net VEX-250.9K-270.7K-233.4K-233.4K-245.3K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio3.230.319.850.992.64
Total Volume2,900.7624597,3521,1843,218
Total OI109,185.52496,149123,75496,149122,059

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2007-07-02$11.47$12.5045.9%13.2%31.9%0.0%46.1%4.3%4.7%-45.5K-1.7M-233.4K0.9910.18N/AN/A59658854,67641,473
2007-07-03$11.53$12.5043.1%12.3%32.0%0.0%0.0%6.3%5.9%-41.6K-2.6M-237.5K5.328.48N/AN/A11460654,91242,020
2007-07-05$11.63$12.5045.4%13.0%31.0%32.1%45.8%10.1%3.1%-41.1K-2.7M-238.3K2.3710.03N/AN/A28667754,94142,576
2007-07-06$11.71$12.5040.4%14.0%29.4%19.0%48.9%0.4%-8.4%-31.8K-3.0M-239.9K8.6318.23N/AN/A8472555,05243,217
2007-07-09$12.24$12.5040.3%14.0%33.1%18.9%49.3%2.0%-11.1%-5.0K-6.9M-247.7K3.4917.15N/AN/A7172,50455,08443,886
2007-07-10$11.81$12.5051.0%14.2%34.9%46.4%50.6%0.9%-13.5%-58.3K-2.7M-245.6K2.4523.97N/AN/A37291155,37146,238
2007-07-11$12.06$12.5046.0%13.5%36.0%33.5%51.4%0.8%-12.1%-40.3K-3.3M-251.2K5.9017.67N/AN/A4912,89755,52046,929
2007-07-12$11.96$12.5047.4%13.6%35.7%37.3%47.4%-3.2%-10.5%-82.6K-1.9M-251.9K8.5721.39N/AN/A3152,69955,47849,029
2007-07-13$11.88$12.5044.8%12.9%35.2%30.6%0.0%-5.6%-7.8%-89.7K-658.4K-256.4K0.6620.17N/AN/A27618355,62051,038
2007-07-16$11.82$12.5054.5%15.6%35.0%55.6%59.2%1.9%-16.9%-89.5K-802.3K-255.9K2.2219.27N/AN/A1,2542,78755,65451,088
2007-07-17$11.66$12.5056.9%16.3%35.0%61.8%57.5%-0.2%-20.2%-114.7K1.9M-256.2K1.8516.76N/AN/A1,0411,92656,18652,787
2007-07-18$11.48$12.5047.1%13.5%31.7%36.4%47.2%7.4%-13.4%-183.2K4.9M-247.0K3.8913.97N/AN/A1,0173,95756,14753,833
2007-07-19$11.50$12.5047.9%13.7%30.6%38.5%49.4%-5.5%-13.2%-197.1K5.5M-256.4K1.3521.91N/AN/A3,1344,21856,29855,982
2007-07-20$11.40$12.5048.4%13.9%29.4%39.7%48.4%-7.4%-13.3%-213.9K6.9M-260.3K1.1516.40N/AN/A1,0121,16157,28858,887
2007-07-23$11.51$12.5041.0%11.7%28.9%20.6%41.1%2.8%-0.1%-255.6K6.3M-254.5K2.6215.82N/AN/A1,3363,49955,95357,376
2007-07-24$11.22$12.5025.7%7.4%30.0%0.0%34.6%-15.8%12.6%-299.9K10.7M-251.6K0.8411.93N/AN/A3,0722,58656,37260,278
2007-07-25$11.44$12.5045.7%13.1%30.3%43.4%45.0%4.1%-8.7%-219.8K7.7M-270.7K0.3116.76N/AN/A1,15735657,85261,815
2007-07-26$11.33$12.5043.9%12.6%30.1%39.5%31.4%-12.3%-4.8%-275.3K9.7M-263.4K1.5918.90N/AN/A21834758,17261,960
2007-07-27$10.70$12.5048.5%13.9%36.0%49.6%48.4%-12.9%-8.6%-228.3K11.3M-258.0K9.8517.04N/AN/A5105,02358,25361,842
2007-07-30$10.06$12.5064.1%18.4%40.9%83.4%69.8%7.4%-14.2%-245.7K16.1M-247.8K1.0415.30N/AN/A1,4901,55658,27365,481
2007-07-31$10.17$12.5063.8%18.3%40.2%82.7%63.9%1.0%-11.6%-251.4K15.4M-245.3K2.6413.79N/AN/A8832,33558,52263,537