NBIX Options History — April 2008

In April 2008, NBIX traded between $5.28 and $5.86. ATM implied volatility averaged 75.5%, placing in the 16.1% IV rank vs the trailing year. The 30-day expected move averaged 23.2%. IV traded above realized volatility by 31.6% (HV 20d: 43.9%). Max pain ranged from $5.00 to $7.50. Net GEX was positive for 22 of 22 trading days. Term structure was in contango for 12 of 22 days. Put/call ratio averaged 0.34.

Notable Days

  • 2008-04-11: Highest Volume — 2,832 contracts
  • 2008-04-10: Largest IV spike — 109.3% change
  • 2008-04-17: Highest IV Rank — 21.0%
  • 2008-04-07: Largest Expected Move — 26.0%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$5.54$5.28$5.86$5.28$5.43
Max Pain$5.11$5.00$7.50$5.00$5.00
ATM IV75.5%40.8%90.7%82.4%85.5%
Expected Move23.2%19.9%26.0%23.6%24.5%
HV 20d43.9%38.1%49.4%42.6%38.9%
HV 60d43.1%39.9%46.0%45.9%40.1%
IV Rank16.1%4.9%21.0%18.4%19.3%
IV Percentile63.9%9.9%82.9%74.6%76.6%
Term Structure1.5%-10.1%22.4%4.9%-10.1%
VWIV87.0%71.5%105.4%82.5%95.5%
Skew 25d-11.1%-27.7%18.1%7.9%-22.6%
Skew 10d4.1%-16.6%45.5%19.0%-13.8%
Call IV 25d97.8%59.1%148.5%83.2%111.9%
Put IV 25d86.6%70.2%136.3%91.1%89.3%
Bid-Ask Spread %21.1512.8344.4943.3220.50
Gamma HHI0.260.220.310.300.28
Net GEX11.6K3.9K21.2K18.4K5.0K
Net DEX-572.2K-1.1M-74.6K-74.6K-140.9K
Net VEX-30.2K-32.1K-27.5K-29.2K-27.5K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.340.002.930.390.61
Total Volume482.40982,8322191,040
Total OI29,302.45527,57430,74329,69628,575

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2008-04-01$5.28$5.0082.4%23.6%42.6%18.4%82.5%7.9%4.9%18.4K-74.6K-29.2K0.3943.32N/AN/A1586120,3289,368
2008-04-02$5.38$5.0069.5%19.9%42.9%14.2%0.0%-12.2%22.4%3.9K-427.4K-30.0K0.3726.23N/AN/A632320,3769,421
2008-04-03$5.31$5.0078.1%22.4%43.2%17.0%78.5%4.6%11.2%19.3K-292.7K-30.4K0.1444.49N/AN/A7120,3799,444
2008-04-04$5.50$5.0084.2%25.7%44.4%18.9%88.4%-14.1%-6.2%21.2K-529.3K-31.1K0.1013.16N/AN/A991020,3849,445
2008-04-07$5.44$7.5073.8%26.0%44.7%15.6%90.3%-12.4%-9.5%18.9K-425.3K-30.6K0.0515.75N/AN/A5762820,3359,455
2008-04-08$5.47$5.0044.4%25.6%44.4%6.0%89.5%-5.7%-8.6%15.0K-414.0K-30.5K0.7019.64N/AN/A32822920,2369,483
2008-04-09$5.40$5.0040.8%25.8%44.9%4.9%100.2%-13.2%-8.0%15.6K-424.0K-30.2K0.0812.83N/AN/A1231020,2329,469
2008-04-10$5.54$5.0085.4%24.5%45.5%19.3%94.6%-9.0%-5.6%14.6K-623.4K-30.6K0.0617.92N/AN/A7294420,3309,459
2008-04-11$5.86$5.0077.3%22.2%48.1%16.7%81.8%-11.2%2.9%13.5K-1.0M-32.0K0.1923.16N/AN/A2,37046220,2289,430
2008-04-14$5.72$5.0075.0%21.5%49.0%16.0%78.7%-16.8%6.7%10.9K-1.1M-32.1K0.9132.64N/AN/A21919920,5769,667
2008-04-15$5.51$5.0077.9%22.3%49.4%16.9%77.0%-21.4%7.3%10.6K-707.6K-30.0K0.1215.01N/AN/A2122620,6879,778
2008-04-16$5.69$5.0085.5%24.5%46.9%19.3%95.8%-12.1%-3.9%10.2K-891.6K-31.0K0.4715.90N/AN/A2039620,7719,803
2008-04-17$5.48$5.0090.7%26.0%48.5%21.0%91.7%-13.4%-5.1%13.3K-617.9K-30.3K0.1416.95N/AN/A2563520,7859,838
2008-04-18$5.57$5.0075.1%21.5%47.8%16.0%78.4%-16.5%4.5%5.4K-707.3K-29.6K0.0315.23N/AN/A7412020,9009,843
2008-04-21$5.59$5.0075.3%21.6%45.0%16.0%87.2%-12.6%3.6%5.6K-402.5K-29.9K0.1919.67N/AN/A1853618,1219,453
2008-04-22$5.61$5.0074.6%21.4%42.4%15.8%71.5%15.2%5.4%5.7K-436.6K-30.0K0.0116.47N/AN/A239318,1219,453
2008-04-23$5.59$5.0080.2%23.0%41.0%17.6%79.5%-18.6%0.1%6.9K-407.2K-29.5K0.0014.13N/AN/A145018,2649,480
2008-04-24$5.64$5.0075.3%21.6%41.0%16.0%86.4%-27.7%-6.3%9.4K-754.0K-31.1K0.0221.35N/AN/A442918,4009,480
2008-04-25$5.65$5.0077.7%22.3%39.5%16.8%95.6%-24.4%-2.6%9.3K-657.5K-30.4K0.0026.38N/AN/A438018,4839,489
2008-04-28$5.68$5.0078.6%22.5%38.4%17.1%105.4%18.1%21.9%15.1K-888.1K-29.6K0.0220.53N/AN/A345618,8419,489
2008-04-29$5.57$5.0074.1%21.3%38.1%15.7%77.5%-27.3%8.6%7.6K-597.2K-28.8K2.9314.13N/AN/A10129619,0609,495
2008-04-30$5.43$5.0085.5%24.5%38.9%19.3%95.5%-22.6%-10.1%5.0K-140.9K-27.5K0.6120.50N/AN/A64739319,0989,477