NBIX Options History — November 2007 In November 2007, NBIX traded between $9.19 and $13.02. ATM implied volatility averaged 106.9%, placing in the 79.5% IV rank vs the trailing year. The 30-day expected move averaged 38.1%. IV traded above realized volatility by 52.1% (HV 20d: 54.8%). Max pain ranged from $10.00 to $12.50. Net GEX was positive for 8 of 21 trading days. Term structure was in contango for 2 of 21 days. Put/call ratio averaged 0.99.
Notable Days 2007-11-28 : Highest Volume — 23,185 contracts2007-11-15 : Largest IV spike — 208.1% change2007-11-01 : Highest IV Rank — 100.0%2007-11-28 : Largest Expected Move — 46.2%Monthly Statistics Metric Avg Min Max Open Close Price $10.15 $9.19 $13.02 $9.25 $13.02 Max Pain $10.24 $10.00 $12.50 $12.50 $10.00 ATM IV 106.9% 44.3% 161.2% 91.5% 145.4% Expected Move 38.1% 21.3% 46.2% 26.2% 41.7% HV 20d 54.8% 40.2% 72.6% 40.2% 72.6% HV 60d 43.5% 38.5% 51.8% 38.5% 51.8% IV Rank 79.5% 28.2% 100.0% 100.0% 88.4% IV Percentile 92.3% 23.7% 100.0% 100.0% 97.8% Term Structure -15.7% -35.4% 44.9% 19.2% -14.7% VWIV 133.1% 76.7% 176.2% 92.2% 153.7% Skew 25d 17.4% -19.6% 43.9% -9.9% 43.9% Skew 10d 35.0% -31.4% 97.1% -18.7% 66.3% Call IV 25d 122.7% 83.7% 151.3% 100.1% 130.1% Put IV 25d 140.1% 64.1% 174.0% 90.2% 174.0% Bid-Ask Spread % 23.58 16.02 31.56 27.51 28.50 Gamma HHI 0.20 0.16 0.30 0.21 0.18 Net GEX 9.4K -112.4K 229.0K -15.1K 229.0K Net DEX 421.6K -41.1M 11.6M 11.6M -41.1M Net VEX -203.6K -258.0K -177.5K -180.7K -258.0K Div Yield 0.0% 0.0% 0.0% 0.0% 0.0% P/C Ratio 0.99 0.02 4.54 2.37 0.32 Total Volume 6,297.762 600 23,185 8,600 15,900 Total OI 146,299.095 130,072 164,990 139,320 164,990
Daily Data (21 trading days) Date Price Max Pain ATM IV Exp Move HV 20d IV Rank VWIV Skew 25d Term Str GEX DEX VEX P/C Spread % Call Wall Put Wall Call Vol Put Vol Call OI Put OI 2007-11-01 $9.25 $12.50 91.5% 26.2% 40.2% 100.0% 92.2% -9.9% 19.2% -15.1K 11.6M -180.7K 2.37 27.51 N/A N/A 2,552 6,048 80,268 59,052 2007-11-02 $9.90 $12.50 74.2% 21.3% 47.2% 73.7% 76.7% -19.6% 44.9% 8.5K 7.4M -192.9K 1.08 16.46 N/A N/A 4,690 5,046 81,600 57,251 2007-11-05 $10.02 $10.00 67.3% 36.2% 47.2% 63.2% 125.7% 22.6% -20.7% -5.3K 5.9M -201.6K 1.08 20.56 N/A N/A 3,509 3,792 82,994 59,998 2007-11-06 $10.40 $10.00 63.7% 36.2% 45.7% 57.7% 117.9% 19.4% -21.9% -18.6K 3.1M -214.0K 0.19 17.72 N/A N/A 844 159 84,879 62,482 2007-11-07 $9.65 $10.00 70.8% 35.9% 51.4% 68.5% 117.2% 10.8% -19.3% -566 7.6M -200.0K 0.26 18.78 N/A N/A 1,053 272 85,149 62,517 2007-11-08 $10.19 $10.00 64.2% 33.9% 55.3% 58.5% 113.1% 16.8% -15.6% -12.5K 6.0M -204.6K 0.05 19.97 N/A N/A 1,290 65 85,518 62,625 2007-11-09 $9.92 $10.00 61.3% 34.4% 54.7% 54.1% 104.7% 14.5% -19.7% -3.2K 8.1M -197.7K 0.09 27.87 N/A N/A 550 50 85,658 62,655 2007-11-12 $9.98 $10.00 56.2% 41.2% 54.8% 46.3% 144.1% 15.2% -23.6% -1.9K 3.9M -203.4K 3.65 29.69 N/A N/A 1,749 6,386 85,934 62,665 2007-11-13 $10.00 $10.00 59.8% 40.6% 54.2% 51.9% 140.9% 20.6% -32.5% -53.2K 6.0M -207.9K 0.33 18.71 N/A N/A 986 326 86,092 67,136 2007-11-14 $10.05 $10.00 44.3% 37.9% 54.1% 28.2% 132.7% 19.9% -22.6% -112.4K 6.0M -202.1K 0.14 28.55 N/A N/A 2,412 331 86,683 66,110 2007-11-15 $9.80 $10.00 136.3% 39.1% 54.4% 100.0% 133.6% 11.5% -22.7% -89.2K 8.0M -198.9K 0.05 27.25 N/A N/A 3,439 173 86,515 65,983 2007-11-16 $9.50 $10.00 133.4% 38.3% 52.4% 97.4% 130.9% 2.1% -19.1% 32.3K 9.5M -189.1K 0.34 20.60 N/A N/A 1,386 467 86,777 65,094 2007-11-19 $9.19 $10.00 131.8% 37.8% 53.5% 95.9% 134.3% 11.6% -10.7% 14.3K 4.0M -177.5K 4.54 16.02 N/A N/A 1,364 6,191 75,367 54,705 2007-11-20 $9.74 $10.00 136.9% 39.2% 57.2% 100.0% 145.4% 30.1% -11.3% -8.9K 2.5M -194.9K 2.60 25.37 N/A N/A 2,661 6,919 76,136 60,786 2007-11-21 $9.71 $10.00 147.1% 42.2% 56.9% 100.0% 149.1% 25.0% -24.7% -15.6K 1.6M -200.5K 0.39 21.14 N/A N/A 688 267 77,531 63,871 2007-11-23 $10.06 $10.00 136.2% 39.0% 57.3% 91.0% 136.1% 15.9% -14.7% -8.2K -590.5K -202.9K 0.07 29.20 N/A N/A 560 41 77,500 64,021 2007-11-26 $9.89 $10.00 148.6% 42.6% 57.3% 100.0% 149.6% 19.2% -18.3% 3.3K -243.1K -193.5K 0.85 27.15 N/A N/A 2,563 2,191 77,901 62,357 2007-11-27 $10.26 $10.00 160.8% 46.1% 57.6% 100.0% 158.8% 15.7% -35.4% 28.2K -2.3M -199.1K 0.02 24.18 N/A N/A 3,216 79 79,579 62,393 2007-11-28 $10.73 $10.00 161.2% 46.2% 58.0% 100.0% 176.2% 40.9% -29.1% 80.4K -10.1M -210.7K 2.08 31.56 N/A N/A 7,522 15,663 81,669 61,806 2007-11-29 $11.99 $10.00 154.1% 44.2% 68.6% 94.8% 162.6% 38.3% -17.1% 146.7K -27.7M -245.6K 0.35 18.39 N/A N/A 13,919 4,934 86,953 73,081 2007-11-30 $13.02 $10.00 145.4% 41.7% 72.6% 88.4% 153.7% 43.9% -14.7% 229.0K -41.1M -258.0K 0.32 28.50 N/A N/A 12,043 3,857 91,508 73,482
« Oct 2007 | All History | Dec 2007 » Home NBIX History November 2007