NBIX Options History — June 2008

In June 2008, NBIX traded between $4.16 and $4.96. ATM implied volatility averaged 49.5%, placing in the 7.7% IV rank vs the trailing year. The 30-day expected move averaged 15.2%. IV traded below realized volatility by 13.2% (HV 20d: 62.7%). Max pain ranged from $5.00 to $5.00. Net GEX was positive for 21 of 21 trading days. Term structure was in contango for 20 of 21 days. Put/call ratio averaged 0.85.

Notable Days

  • 2008-06-19: Highest Volume — 834 contracts
  • 2008-06-09: Largest IV spike — 91.7% change
  • 2008-06-12: Highest IV Rank — 13.7%
  • 2008-06-09: Largest Expected Move — 20.5%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$4.56$4.16$4.96$4.79$4.19
Max Pain$5.00$5.00$5.00$5.00$5.00
ATM IV49.5%29.1%68.1%47.6%44.1%
Expected Move15.2%8.3%20.5%13.7%12.6%
HV 20d62.7%45.6%80.5%50.9%78.4%
HV 60d51.2%44.9%58.2%44.9%57.7%
IV Rank7.7%1.1%13.7%7.1%6.0%
IV Percentile28.1%1.2%54.4%26.6%16.3%
Term Structure15.2%-0.6%44.5%17.7%33.9%
VWIV52.7%22.2%71.5%47.9%35.6%
Skew 25d16.9%1.8%28.7%23.6%28.7%
Skew 10d23.9%4.2%35.6%31.5%35.0%
Call IV 25d57.2%44.7%69.6%54.0%44.7%
Put IV 25d74.1%64.7%85.8%77.6%73.4%
Bid-Ask Spread %15.784.9522.0818.087.96
Gamma HHI0.340.230.580.360.28
Net GEX19.8K12.5K43.2K23.8K13.3K
Net DEX-37.3K-492.9K424.4K-414.6K265.2K
Net VEX-19.4K-23.6K-8.4K-23.0K-16.5K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.850.006.433.000.00
Total Volume178.33308342427
Total OI22,998.2389,60924,26023,67923,276

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2008-06-02$4.79$5.0047.6%13.7%50.9%7.1%0.0%23.6%17.7%23.8K-414.6K-23.0K3.0018.08N/AN/A61817,1466,533
2008-06-03$4.94$5.0047.9%13.7%50.2%7.2%47.9%21.2%10.7%24.8K-492.9K-23.6K1.8220.51N/AN/A112017,1506,531
2008-06-04$4.96$5.0043.0%12.3%49.9%5.6%42.9%24.5%21.7%26.1K-471.0K-23.4K0.5015.03N/AN/A402017,1546,551
2008-06-05$4.90$5.0043.5%12.5%45.6%5.8%0.0%28.0%11.0%26.7K-453.3K-23.5K0.0014.94N/AN/A70017,1776,546
2008-06-06$4.64$5.0029.9%17.0%49.7%1.4%59.1%15.7%7.3%21.8K-42.2K-21.2K0.3213.85N/AN/A902917,2016,546
2008-06-09$4.50$5.0057.3%20.5%47.4%10.2%71.5%7.8%0.7%19.3K-36.5K-20.6K0.7013.37N/AN/A24417217,2396,575
2008-06-10$4.40$5.0037.0%13.5%47.6%3.7%49.0%16.5%19.4%15.6K210.7K-19.3K0.0722.08N/AN/A1421017,4606,536
2008-06-11$4.30$5.0043.5%19.0%47.6%5.8%0.0%5.5%-0.6%13.0K320.6K-18.6K0.2716.09N/AN/A2496817,5036,463
2008-06-12$4.16$5.0068.1%19.5%46.7%13.7%69.6%1.8%5.1%12.5K344.1K-18.0K0.3112.63N/AN/A1615017,5686,490
2008-06-13$4.55$5.0055.8%16.0%57.7%9.7%56.0%14.5%12.9%19.6K197.6K-19.3K0.3517.65N/AN/A1445017,6986,482
2008-06-16$4.51$5.0061.9%17.7%56.9%11.7%0.0%13.6%9.7%12.9K-52.0K-8.4K0.0012.52N/AN/A006,8812,728
2008-06-17$4.85$5.0055.3%15.8%62.9%9.6%55.3%18.6%13.8%32.8K-392.0K-21.8K0.0013.57N/AN/A33017,7456,515
2008-06-18$4.39$5.0066.6%19.1%70.4%13.2%67.1%11.1%7.6%13.7K424.4K-17.6K2.1319.35N/AN/A8718517,7396,512
2008-06-19$4.85$5.0052.2%15.0%79.7%8.6%52.3%23.5%13.1%43.2K-363.7K-21.4K0.2616.59N/AN/A66217217,7646,283
2008-06-20$4.69$5.0055.0%15.8%80.5%9.5%55.0%25.0%12.1%17.3K67.0K-19.7K0.2722.01N/AN/A1674517,7516,336
2008-06-23$4.63$5.0054.3%15.6%77.5%9.2%54.7%15.7%11.1%17.4K-118.3K-19.3K0.0019.05N/AN/A165016,7946,147
2008-06-24$4.40$5.0055.5%15.9%79.4%9.6%51.9%10.5%11.3%16.2K8.5K-18.5K0.2020.58N/AN/A1503016,8466,147
2008-06-25$4.51$5.0054.6%15.6%80.0%9.3%0.0%16.6%14.7%16.7K30.4K-18.5K6.4321.79N/AN/A74516,8276,127
2008-06-26$4.32$5.0029.1%8.3%78.7%1.1%22.2%16.4%44.5%14.1K39.9K-18.8K0.324.95N/AN/A1845916,8346,164
2008-06-27$4.28$5.0036.9%10.6%78.7%3.6%35.6%16.6%42.0%13.9K144.4K-17.6K0.088.69N/AN/A1231016,8346,164
2008-06-30$4.19$5.0044.1%12.6%78.4%6.0%0.0%28.7%33.9%13.3K265.2K-16.5K0.007.96N/AN/A27017,0736,203