NBIX Options History — February 2008

In February 2008, NBIX traded between $4.74 and $5.51. ATM implied volatility averaged 78.6%, placing in the 17.1% IV rank vs the trailing year. The 30-day expected move averaged 24.2%. IV traded above realized volatility by 28.0% (HV 20d: 50.6%). Max pain ranged from $2.50 to $5.00. Net GEX was positive for 20 of 20 trading days. Term structure was in contango for 10 of 20 days. Put/call ratio averaged 0.20.

Notable Days

  • 2008-02-06: Highest Volume — 2,286 contracts
  • 2008-02-14: Largest IV spike — 60.4% change
  • 2008-02-05: Highest IV Rank — 32.9%
  • 2008-02-14: Largest Expected Move — 27.1%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$5.05$4.74$5.51$5.51$5.01
Max Pain$4.75$2.50$5.00$5.00$5.00
ATM IV78.6%41.5%127.4%91.1%76.6%
Expected Move24.2%20.2%27.1%26.1%22.0%
HV 20d50.6%39.8%59.8%53.6%40.8%
HV 60d150.0%146.1%151.5%151.5%146.1%
IV Rank17.1%5.1%32.9%21.2%16.5%
IV Percentile73.3%12.3%92.5%86.9%75.8%
Term Structure0.5%-18.4%14.5%-2.8%10.2%
VWIV88.6%70.6%113.8%100.1%80.0%
Skew 25d-7.1%-29.5%29.0%-29.5%-15.0%
Skew 10d-3.0%-27.1%45.3%-8.0%-20.8%
Call IV 25d95.8%70.2%125.2%125.2%109.6%
Put IV 25d88.7%81.7%100.9%95.7%94.6%
Bid-Ask Spread %17.9312.2626.0717.3326.07
Gamma HHI0.440.160.900.330.21
Net GEX62.2K13.2K260.3K51.1K20.6K
Net DEX-460.4K-1.1M59.9K-1.1M-254.8K
Net VEX-31.4K-35.3K-29.1K-35.3K-30.0K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.200.000.620.000.08
Total Volume772.6992,286373425
Total OI43,374.326,52757,10553,61128,648

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2008-02-01$5.51$5.0091.1%26.1%53.6%21.2%100.1%-29.5%-2.8%51.1K-1.1M-35.3K0.0017.33N/AN/A373043,17410,437
2008-02-04$5.41$2.5089.2%24.7%54.3%20.5%0.0%-2.5%14.5%49.3K-997.4K-34.1K0.0024.94N/AN/A99043,44410,437
2008-02-05$5.08$2.50127.4%25.6%58.5%32.9%89.5%-12.2%-7.1%44.4K-658.9K-32.7K0.6220.77N/AN/A66441443,50010,437
2008-02-06$5.02$5.00105.9%24.9%57.7%25.9%86.6%-10.7%3.6%41.6K-194.0K-31.5K0.4516.91N/AN/A1,57371343,95410,746
2008-02-07$5.29$5.0071.3%24.0%59.4%14.8%87.4%-5.7%5.8%51.5K-798.2K-32.7K0.2818.18N/AN/A99027944,84011,266
2008-02-08$5.10$5.0060.2%27.0%59.8%11.2%94.6%-6.5%-6.5%65.6K-594.5K-32.2K0.2914.53N/AN/A1,21935345,23811,328
2008-02-11$5.08$5.0041.5%27.1%59.5%5.1%96.4%-8.0%-4.8%127.8K-814.6K-32.5K0.4617.65N/AN/A1125245,28511,196
2008-02-12$5.01$5.0044.9%25.4%59.6%6.2%113.8%-18.4%5.0%108.9K-452.2K-30.6K0.0512.45N/AN/A1,1086045,26511,149
2008-02-13$5.07$5.0059.0%26.0%58.3%10.8%110.2%-16.8%-1.0%97.2K-694.5K-31.9K0.2723.21N/AN/A1223345,66011,198
2008-02-14$5.02$5.0094.6%27.1%56.3%22.3%94.6%-17.1%-1.9%159.5K-651.1K-32.4K0.1122.02N/AN/A2162445,76611,221
2008-02-15$4.99$5.0080.1%23.0%51.7%17.6%82.3%-13.0%5.5%260.3K-134.6K-30.8K0.4524.34N/AN/A86538645,87111,234
2008-02-19$4.88$5.0070.5%20.2%52.1%14.5%70.6%-7.0%9.3%13.2K57.1K-29.5K0.0316.99N/AN/A1,2843417,3279,200
2008-02-20$4.77$5.0072.9%20.9%45.6%15.3%77.6%-8.2%8.2%18.3K-31.1K-29.3K0.0816.07N/AN/A9938118,3029,226
2008-02-21$4.74$5.0076.3%21.9%40.0%16.4%76.3%15.2%2.3%19.0K59.9K-29.1K0.2214.60N/AN/A63013818,9969,245
2008-02-22$4.88$5.0074.1%21.2%41.9%15.7%75.1%-7.4%2.3%22.6K-249.9K-30.1K0.3214.65N/AN/A32310319,2729,220
2008-02-25$4.93$5.0080.4%23.1%41.3%17.7%80.4%13.4%-1.3%23.0K-340.5K-30.2K0.1114.31N/AN/A3614019,4959,260
2008-02-26$5.00$5.0081.4%23.3%39.8%18.0%85.6%-10.8%-8.2%22.8K-417.8K-30.4K0.0917.53N/AN/A3873519,4909,280
2008-02-27$5.12$5.0093.9%26.9%40.6%22.1%93.9%29.0%-18.4%24.5K-577.2K-31.4K0.0413.82N/AN/A6402719,7359,301
2008-02-28$5.00$5.0080.0%22.9%41.1%17.6%89.3%-10.2%-5.0%23.0K-372.1K-30.3K0.0712.26N/AN/A2762019,5179,326
2008-02-29$5.01$5.0076.6%22.0%40.8%16.5%80.0%-15.0%10.2%20.6K-254.8K-30.0K0.0826.07N/AN/A3943119,3049,344