NBIX Options History — May 2008

In May 2008, NBIX traded between $4.61 and $5.47. ATM implied volatility averaged 54.1%, placing in the 9.2% IV rank vs the trailing year. The 30-day expected move averaged 14.6%. IV traded above realized volatility by 10.0% (HV 20d: 44.2%). Max pain ranged from $5.00 to $5.00. Net GEX was positive for 12 of 21 trading days. Term structure was in contango for 21 of 21 days. Put/call ratio averaged 2.27.

Notable Days

  • 2008-05-15: Highest Volume — 1,768 contracts
  • 2008-05-08: Largest IV drop — 22.4% change
  • 2008-05-07: Highest IV Rank — 13.2%
  • 2008-05-15: Largest Expected Move — 17.0%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$4.88$4.61$5.47$5.47$4.93
Max Pain$5.00$5.00$5.00$5.00$5.00
ATM IV54.1%41.1%66.6%51.6%46.0%
Expected Move14.6%11.8%17.0%14.8%13.2%
HV 20d44.2%38.6%52.3%38.6%52.2%
HV 60d41.2%37.8%44.6%37.9%44.6%
IV Rank9.2%5.0%13.2%8.4%6.6%
IV Percentile35.3%11.5%54.0%32.5%22.2%
Term Structure11.4%4.4%20.3%8.9%10.3%
VWIV50.9%41.1%59.5%55.1%46.0%
Skew 25d12.7%-25.3%28.1%-25.3%19.7%
Skew 10d20.8%-31.9%40.3%-31.9%30.6%
Call IV 25d57.3%47.2%161.4%161.4%51.2%
Put IV 25d70.0%57.5%136.2%136.2%70.9%
Bid-Ask Spread %15.209.6324.6724.6718.20
Gamma HHI0.400.190.670.220.36
Net GEX1.1K-36.6K23.8K13.6K23.8K
Net DEX251.5K-697.5K1.5M-697.5K-457.4K
Net VEX-23.5K-26.0K-20.2K-25.5K-23.7K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio2.270.0234.750.260.41
Total Volume436.23801,7681,22462
Total OI27,081.09523,12930,44429,37523,638

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2008-05-01$5.47$5.0051.6%14.8%38.6%8.4%0.0%-25.3%8.9%13.6K-697.5K-25.5K0.2624.67N/AN/A97025419,6839,692
2008-05-02$5.23$5.0054.8%15.7%39.8%9.4%55.1%9.4%4.4%-15.6K290.0K-26.0K0.7414.71N/AN/A20014819,4459,869
2008-05-05$5.01$5.0055.2%14.5%42.2%9.5%50.6%-5.4%12.3%-23.4K737.0K-24.2K1.0916.93N/AN/A31334119,5799,942
2008-05-06$4.94$5.0061.1%15.8%42.2%11.4%55.1%9.9%5.9%-19.4K667.0K-24.1K0.4311.04N/AN/A944019,7649,725
2008-05-07$4.67$5.0066.6%15.7%45.9%13.2%54.7%6.2%7.7%-13.8K1.1M-22.2K0.9612.86N/AN/A28627619,8409,714
2008-05-08$4.61$5.0051.7%14.6%44.3%8.4%50.9%5.6%12.0%-13.2K1.5M-20.2K0.4413.89N/AN/A30013219,9629,841
2008-05-09$4.84$5.0058.6%14.5%42.9%10.7%50.6%15.2%14.0%-22.5K977.0K-23.7K0.1813.33N/AN/A3596320,1029,939
2008-05-12$4.88$5.0061.7%15.3%42.9%11.7%53.3%13.4%10.2%-28.6K700.9K-24.2K0.2513.27N/AN/A1092720,3529,946
2008-05-13$4.93$5.0058.8%13.2%41.9%10.7%46.1%10.0%17.3%-36.6K632.2K-23.8K0.5415.43N/AN/A21211420,3849,953
2008-05-14$4.72$5.0063.2%14.1%41.5%12.2%49.3%17.1%15.0%-19.9K1.3M-22.5K34.7518.20N/AN/A321,11220,5089,936
2008-05-15$4.67$5.0059.4%17.0%40.1%10.9%59.5%9.5%10.7%11.5K1.1M-21.5K1.3113.60N/AN/A7671,00120,5358,868
2008-05-16$4.79$5.0058.0%16.6%41.0%10.4%58.0%20.6%10.3%7.1K482.9K-23.7K0.4611.62N/AN/A58826821,2078,863
2008-05-19$4.77$5.0052.8%15.1%40.8%8.8%52.8%13.4%7.9%18.8K-254.7K-23.3K1.2815.32N/AN/A12115516,6396,490
2008-05-20$4.97$5.0046.7%13.4%44.2%6.8%46.7%14.3%9.6%19.9K-336.9K-23.8K0.129.63N/AN/A2122616,7506,636
2008-05-21$4.93$5.0047.5%13.6%44.2%7.1%47.5%23.8%13.9%20.5K-481.3K-24.1K0.3815.46N/AN/A371416,8846,549
2008-05-22$4.98$5.0048.1%13.8%44.3%7.3%47.0%17.4%11.6%20.9K-519.9K-24.4K0.9714.88N/AN/A646216,8996,546
2008-05-23$4.68$5.0051.2%14.7%48.4%8.3%51.2%25.0%9.0%18.9K-337.7K-23.2K0.1810.98N/AN/A791416,9336,532
2008-05-27$4.72$5.0051.9%14.9%48.5%8.5%52.0%28.1%12.9%19.2K-314.7K-23.0K0.5718.60N/AN/A281616,9916,531
2008-05-28$4.76$5.0051.1%14.7%48.8%8.2%0.0%18.9%14.2%19.8K-315.8K-23.1K0.0017.51N/AN/A0017,0016,517
2008-05-29$5.00$5.0041.1%11.8%52.3%5.0%41.1%18.7%20.3%23.1K-536.5K-23.9K0.0218.99N/AN/A260517,0016,517
2008-05-30$4.93$5.0046.0%13.2%52.2%6.6%46.0%19.7%10.3%23.8K-457.4K-23.7K0.4118.20N/AN/A441817,1176,521