NBIX Options History — December 2007

In December 2007, NBIX traded between $4.19 and $12.83. ATM implied volatility averaged 152.2%, placing in the 53.1% IV rank vs the trailing year. The 30-day expected move averaged 37.4%. IV traded below realized volatility by 25.6% (HV 20d: 177.8%). Max pain ranged from $10.00 to $12.50. Net GEX was positive for 8 of 20 trading days. Term structure was in contango for 11 of 20 days. Put/call ratio averaged 0.83.

Notable Days

  • 2007-12-12: Highest Volume — 42,710 contracts
  • 2007-12-13: Largest IV drop — 73.2% change
  • 2007-12-03: Highest IV Rank — 100.0%
  • 2007-12-06: Largest Expected Move — 60.3%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$7.28$4.19$12.83$12.83$4.54
Max Pain$12.00$10.00$12.50$10.00$12.50
ATM IV152.2%79.0%334.8%164.3%79.0%
Expected Move37.4%22.7%60.3%47.1%22.7%
HV 20d177.8%70.4%251.1%70.9%236.9%
HV 60d111.3%51.6%150.1%51.6%150.1%
IV Rank53.1%17.3%100.0%100.0%17.3%
IV Percentile94.2%86.8%100.0%100.0%86.8%
Term Structure-9.3%-49.1%24.7%-31.8%24.7%
VWIV129.7%79.0%212.1%169.9%79.0%
Skew 25d17.9%-12.7%67.9%42.0%21.4%
Skew 10d30.8%-28.9%168.4%66.0%31.5%
Call IV 25d121.3%77.8%184.0%143.0%77.8%
Put IV 25d139.3%78.0%243.1%185.1%99.2%
Bid-Ask Spread %13.044.4030.5518.587.20
Gamma HHI0.320.160.560.190.39
Net GEX70.1K-99.8K305.4K305.4K-8.7K
Net DEX3.6M-43.7M36.1M-43.7M15.6M
Net VEX-121.9K-263.4K-26.3K-263.4K-29.9K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.830.035.210.360.35
Total Volume9,270.1522442,7109,833224
Total OI192,323.85148,766241,433171,995149,296

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2007-12-03$12.83$10.00164.3%47.1%70.9%100.0%169.9%42.0%-31.8%305.4K-43.7M-263.4K0.3618.58N/AN/A7,2142,61998,33973,656
2007-12-04$11.90$10.00198.3%56.8%77.5%100.0%209.1%61.0%-42.4%251.0K-32.4M-255.2K1.6628.75N/AN/A5,0198,33199,27672,253
2007-12-05$11.72$10.00207.0%59.4%77.1%100.0%211.6%67.9%-49.1%191.3K-28.4M-259.2K0.2316.15N/AN/A1,304302100,76579,548
2007-12-06$11.86$10.00210.4%60.3%71.0%100.0%212.1%59.0%-48.5%198.5K-32.1M-258.0K1.7220.96N/AN/A3,0035,157100,79679,376
2007-12-07$11.50$12.50206.8%45.6%70.4%98.1%168.9%37.1%-27.9%181.4K-26.9M-255.1K0.3819.79N/AN/A11,7974,426102,65882,428
2007-12-10$10.78$12.50279.2%49.7%73.9%100.0%149.6%45.6%-32.5%167.3K-21.7M-253.8K0.2116.80N/AN/A5,3541,123113,11586,061
2007-12-11$10.38$12.50318.8%51.7%75.4%100.0%157.6%42.3%-39.0%167.1K-17.3M-241.2K0.2228.88N/AN/A17,4413,803115,29884,204
2007-12-12$10.25$12.50334.8%54.8%75.6%100.0%174.2%60.8%-26.8%248.8K-23.1M-247.2K0.0730.55N/AN/A39,9592,751127,03085,320
2007-12-13$5.25$12.5089.7%25.7%249.6%20.7%95.8%-11.8%16.8%-99.8K36.1M-48.7K0.658.41N/AN/A22,94714,833155,02486,409
2007-12-14$4.89$12.5099.2%28.5%249.9%23.8%105.1%-2.6%3.4%-57.2K35.1M-42.9K5.218.89N/AN/A2,27011,828146,66186,519
2007-12-17$4.58$12.5098.4%28.2%250.2%23.5%99.7%-10.7%7.1%-35.2K32.3M-36.5K0.564.40N/AN/A1,342752144,82283,285
2007-12-18$4.69$12.50101.8%29.2%251.1%24.6%105.3%-3.9%5.3%-39.4K29.9M-36.4K0.244.91N/AN/A3,241770145,67477,003
2007-12-19$4.40$12.50102.5%29.4%248.9%24.8%99.7%-3.8%15.5%-15.0K27.6M-35.7K0.349.12N/AN/A527178146,99475,395
2007-12-20$4.38$12.50100.8%28.9%248.9%24.3%100.9%-12.6%2.3%-13.4K28.2M-32.5K1.245.48N/AN/A600742146,98375,244
2007-12-21$4.40$12.5089.9%25.8%247.9%20.8%89.9%-10.3%8.8%-12.8K28.4M-30.3K2.499.90N/AN/A4931,229147,33574,830
2007-12-24$4.24$12.5089.6%25.7%247.7%20.7%89.4%-11.0%8.1%-6.4K17.1M-27.2K0.156.26N/AN/A1,016148104,46348,936
2007-12-26$4.19$12.5097.5%27.9%246.2%23.2%98.7%-12.7%-1.5%-8.6K17.0M-26.3K0.034.68N/AN/A1,57846104,72948,950
2007-12-27$4.36$12.5091.7%26.3%246.0%21.4%92.3%-5.2%11.0%-5.9K15.2M-28.3K0.115.36N/AN/A56962104,68544,081
2007-12-28$4.50$12.5084.1%24.1%240.9%18.9%84.2%6.1%10.9%-7.2K15.1M-31.1K0.505.67N/AN/A270135105,05143,985
2007-12-31$4.54$12.5079.0%22.7%236.9%17.3%79.0%21.4%24.7%-8.7K15.6M-29.9K0.357.20N/AN/A16658105,19444,102