NBIX Options History — July 2008

In July 2008, NBIX traded between $4.20 and $5.00. ATM implied volatility averaged 64.2%, placing in the 12.4% IV rank vs the trailing year. The 30-day expected move averaged 19.3%. IV traded below realized volatility by 1.1% (HV 20d: 65.3%). Max pain ranged from $5.00 to $5.00. Net GEX was positive for 22 of 22 trading days. Term structure was in contango for 11 of 22 days. Put/call ratio averaged 0.40.

Notable Days

  • 2008-07-15: Highest Volume — 534 contracts
  • 2008-07-10: Largest IV spike — 86.2% change
  • 2008-07-10: Highest IV Rank — 21.3%
  • 2008-07-10: Largest Expected Move — 26.2%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$4.64$4.20$5.00$4.20$4.64
Max Pain$5.00$5.00$5.00$5.00$5.00
ATM IV64.2%45.1%91.5%45.1%74.4%
Expected Move19.3%12.9%26.2%12.9%21.3%
HV 20d65.3%47.2%84.7%77.3%51.7%
HV 60d59.7%56.9%61.2%57.7%60.5%
IV Rank12.4%6.3%21.3%6.3%15.4%
IV Percentile47.2%20.2%83.7%20.2%57.1%
Term Structure-0.0%-26.5%40.3%40.3%-9.9%
VWIV70.5%51.9%91.7%72.6%74.3%
Skew 25d11.7%-14.2%42.5%42.5%17.4%
Skew 10d18.3%-23.5%47.5%47.5%23.6%
Call IV 25d66.8%35.6%94.2%35.6%74.8%
Put IV 25d78.6%65.3%95.6%78.1%92.2%
Bid-Ask Spread %14.418.7819.289.4617.42
Gamma HHI0.350.240.510.290.49
Net GEX21.8K12.5K35.2K12.5K27.2K
Net DEX-344.1K-793.1K350.3K350.3K-317.3K
Net VEX-19.3K-21.7K-16.1K-16.1K-18.4K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.400.001.340.000.69
Total Volume197.6822353465428
Total OI23,391.90923,12523,98323,22923,983

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2008-07-01$4.20$5.0045.1%12.9%77.3%6.3%0.0%42.5%40.3%12.5K350.3K-16.1K0.009.46N/AN/A65017,0616,168
2008-07-02$4.22$5.0046.0%13.2%77.3%6.6%0.0%29.8%27.5%12.8K147.5K-17.6K0.118.78N/AN/A901017,1066,019
2008-07-03$4.20$5.0048.6%13.9%77.3%7.4%0.0%32.2%26.1%13.4K243.6K-16.5K0.0010.19N/AN/A87017,1626,026
2008-07-07$4.25$5.0053.6%20.8%75.5%9.0%72.6%7.1%-0.3%12.5K284.4K-16.4K0.3313.28N/AN/A451517,1666,026
2008-07-08$4.43$5.0054.2%19.9%76.5%9.2%69.7%0.2%1.4%16.5K41.3K-17.7K0.0016.37N/AN/A252017,1835,991
2008-07-09$4.21$5.0049.1%24.9%78.3%7.6%86.9%-7.7%-12.3%13.9K3.3K-17.5K0.4419.28N/AN/A904017,3395,991
2008-07-10$4.25$5.0091.5%26.2%78.0%21.3%91.7%-11.5%-12.7%14.4K-33.7K-18.0K0.1413.52N/AN/A701017,3996,015
2008-07-11$4.70$5.0081.9%23.5%84.7%18.2%0.0%4.6%-12.8%21.4K-338.8K-19.7K0.0013.73N/AN/A38017,4496,025
2008-07-14$4.72$5.0075.3%21.6%78.8%16.1%75.3%6.9%-5.7%23.3K-466.5K-20.5K0.2718.09N/AN/A561517,4706,025
2008-07-15$4.84$5.0078.9%22.6%79.1%17.2%78.9%-2.6%-8.2%24.1K-685.4K-21.6K0.4817.58N/AN/A36117317,4456,030
2008-07-16$4.96$5.0066.8%19.2%75.3%13.3%66.8%11.1%3.0%27.6K-677.0K-21.4K1.3415.57N/AN/A13017417,4725,953
2008-07-17$4.94$5.0067.7%19.4%65.3%13.6%67.7%10.3%0.1%31.8K-777.0K-21.7K0.5811.20N/AN/A1468417,5895,916
2008-07-18$4.87$5.0062.6%18.0%55.3%12.0%68.9%-14.2%1.4%35.2K-643.9K-20.9K0.7414.50N/AN/A20114817,6735,916
2008-07-21$4.97$5.0056.5%16.2%54.3%10.0%56.4%17.6%0.6%23.5K-708.0K-20.7K0.2914.29N/AN/A1454217,3475,784
2008-07-22$5.00$5.0055.1%15.8%53.9%9.5%55.1%17.8%2.4%25.1K-793.1K-21.7K0.2517.25N/AN/A1784417,4615,812
2008-07-23$4.97$5.0053.8%15.4%50.1%9.1%53.8%18.2%5.8%25.4K-726.9K-20.9K1.3014.61N/AN/A101317,5105,833
2008-07-24$4.91$5.0051.9%14.9%50.0%8.1%51.9%19.0%10.0%25.4K-665.2K-20.6K0.9213.80N/AN/A857817,5105,846
2008-07-25$4.86$5.0055.6%15.9%47.2%9.3%55.6%19.1%-0.9%24.7K-575.8K-20.2K0.8715.03N/AN/A554817,5215,808
2008-07-28$4.65$5.0081.2%23.3%50.2%17.7%81.1%12.2%-18.9%20.9K-392.9K-19.1K0.0114.67N/AN/A306217,5615,813
2008-07-29$4.75$5.0071.5%20.5%49.6%14.5%71.5%18.0%-10.2%23.9K-472.9K-19.6K0.0014.09N/AN/A300017,6655,813
2008-07-30$4.59$5.0090.7%26.0%51.6%20.7%90.8%9.8%-26.5%23.1K-366.7K-18.6K0.0414.30N/AN/A3041117,9275,813
2008-07-31$4.64$5.0074.4%21.3%51.7%15.4%74.3%17.4%-9.9%27.2K-317.3K-18.4K0.6917.42N/AN/A25417418,1705,813