NBIX Options History — September 2007

In September 2007, NBIX traded between $9.73 and $10.96. ATM implied volatility averaged 40.0%, placing in the 31.1% IV rank vs the trailing year. The 30-day expected move averaged 12.2%. IV traded below realized volatility by 1.1% (HV 20d: 41.1%). Max pain ranged from $7.50 to $10.00. Net GEX was positive for 0 of 19 trading days. Term structure was in contango for 16 of 19 days. Put/call ratio averaged 0.50.

Notable Days

  • 2007-09-11: Highest Volume — 3,038 contracts
  • 2007-09-13: Largest IV spike — 63.9% change
  • 2007-09-13: Highest IV Rank — 47.0%
  • 2007-09-07: Largest Expected Move — 13.9%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$10.45$9.73$10.96$9.90$10.00
Max Pain$9.87$7.50$10.00$10.00$10.00
ATM IV40.0%26.8%47.3%39.5%38.2%
Expected Move12.2%10.8%13.9%11.3%11.0%
HV 20d41.1%32.3%48.5%46.3%32.3%
HV 60d40.9%39.4%42.1%39.5%40.4%
IV Rank31.1%2.4%47.0%30.0%27.2%
IV Percentile13.8%0.6%34.3%6.5%7.0%
Term Structure7.7%-6.3%16.5%9.6%14.3%
VWIV44.7%28.5%58.8%39.5%38.1%
Skew 25d1.1%-15.3%71.9%71.9%57.1%
Skew 10d6.2%-23.1%110.9%110.9%91.3%
Call IV 25d48.2%36.0%60.1%37.4%39.9%
Put IV 25d49.3%37.9%109.3%109.3%97.0%
Bid-Ask Spread %14.558.1723.758.2711.98
Gamma HHI0.230.230.250.230.23
Net GEX-175.4K-217.7K-149.0K-200.2K-164.5K
Net DEX7.4M2.6M13.0M11.1M13.0M
Net VEX-229.2K-247.5K-205.0K-217.7K-205.0K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.500.032.491.181.81
Total Volume1,345.4211673,0389821,841
Total OI119,575.684113,920122,765113,920122,765

Daily Data (19 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2007-09-04$9.90$10.0039.5%11.3%46.3%30.0%39.5%71.9%9.6%-200.2K11.1M-217.7K1.188.27N/AN/A45053253,85860,062
2007-09-05$9.73$10.0045.8%13.1%46.6%43.6%45.8%2.0%4.6%-192.2K12.6M-212.9K0.118.17N/AN/A4004454,19860,201
2007-09-06$10.23$10.0045.8%13.1%46.8%43.6%45.8%9.3%1.9%-214.1K9.8M-224.1K1.1410.73N/AN/A45051354,51660,236
2007-09-07$10.58$7.5045.0%13.9%48.1%41.8%58.8%-13.4%-6.3%-217.7K7.9M-230.1K0.0910.43N/AN/A2,12719854,81460,639
2007-09-10$10.95$10.0026.8%12.1%48.5%2.4%54.0%-9.4%10.9%-181.5K3.6M-242.3K0.1913.85N/AN/A2,50246655,99360,725
2007-09-11$10.96$10.0030.2%12.3%48.4%9.9%43.7%-10.5%10.6%-161.2K2.6M-247.5K0.0813.12N/AN/A2,82321557,44360,899
2007-09-12$10.81$10.0028.9%13.1%48.3%7.0%48.2%-5.7%3.1%-171.3K2.8M-244.5K0.2615.58N/AN/A3378859,08661,022
2007-09-13$10.85$10.0047.3%13.6%38.8%47.0%0.0%-3.5%-2.3%-168.6K2.9M-245.2K0.0313.80N/AN/A1,1644059,80661,076
2007-09-14$10.95$10.0044.2%12.7%38.8%40.3%52.7%-10.9%-1.1%-174.6K4.2M-243.7K0.1718.23N/AN/A1,05317458,84461,096
2007-09-17$10.73$10.0046.8%13.4%39.7%45.9%45.0%-10.7%4.0%-181.4K4.6M-237.7K0.2019.28N/AN/A70613959,29461,210
2007-09-18$10.74$10.0038.7%11.1%39.6%28.3%28.5%-6.3%10.7%-163.5K3.7M-243.2K0.1623.75N/AN/A1,16818859,96861,258
2007-09-19$10.75$10.0042.4%12.2%39.4%36.4%51.4%-7.2%8.2%-159.7K4.8M-238.8K0.1516.81N/AN/A1,23218060,41761,270
2007-09-20$10.45$10.0041.3%11.8%38.2%33.9%0.0%-7.7%8.2%-187.4K8.1M-228.3K0.0518.86N/AN/A1,1615861,06061,340
2007-09-21$10.46$10.0041.0%11.7%37.9%33.2%40.3%-10.1%11.4%-188.5K8.6M-226.6K0.1620.85N/AN/A1,51824461,09661,371
2007-09-24$10.32$10.0037.8%10.8%37.8%26.3%0.0%-10.0%15.3%-149.2K8.4M-222.0K0.5910.38N/AN/A1056261,25960,092
2007-09-25$10.07$10.0040.3%11.6%37.7%31.8%43.7%-15.3%14.8%-151.9K9.9M-216.7K2.4918.54N/AN/A4321,07561,26460,138
2007-09-26$10.01$10.0037.8%10.8%34.8%26.4%37.8%1.9%16.5%-156.4K10.9M-213.9K0.3312.62N/AN/A49916561,58060,122
2007-09-27$9.99$10.0042.5%12.2%33.2%36.5%42.5%-0.5%11.4%-149.0K10.8M-213.9K0.2311.17N/AN/A98722761,84160,079
2007-09-28$10.00$10.0038.2%11.0%32.3%27.2%38.1%57.1%14.3%-164.5K13.0M-205.0K1.8111.98N/AN/A6551,18662,53660,229