NBIX Options History — August 2008

In August 2008, NBIX traded between $4.32 and $5.33. ATM implied volatility averaged 75.2%, placing in the 15.7% IV rank vs the trailing year. The 30-day expected move averaged 24.8%. IV traded above realized volatility by 11.0% (HV 20d: 64.2%). 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 9 of 21 days. Put/call ratio averaged 0.67.

Notable Days

  • 2008-08-05: Highest Volume — 6,169 contracts
  • 2008-08-05: Largest IV spike — 73.7% change
  • 2008-08-29: Highest IV Rank — 21.9%
  • 2008-08-12: Largest Expected Move — 33.2%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$4.89$4.32$5.33$4.60$5.17
Max Pain$5.00$5.00$5.00$5.00$5.00
ATM IV75.2%36.5%94.2%55.7%94.2%
Expected Move24.8%16.0%33.2%16.0%27.0%
HV 20d64.2%48.8%73.6%51.8%73.6%
HV 60d65.1%59.4%68.0%59.4%68.0%
IV Rank15.7%3.2%21.9%9.4%21.9%
IV Percentile60.2%2.0%86.5%35.7%86.5%
Term Structure8.3%-32.1%52.9%3.8%38.9%
VWIV86.5%52.7%116.5%52.7%94.2%
Skew 25d-6.7%-21.4%27.5%27.5%-10.2%
Skew 10d-6.5%-34.8%34.7%29.5%-13.2%
Call IV 25d90.5%55.1%115.2%61.0%106.3%
Put IV 25d83.8%63.0%97.6%88.5%96.1%
Bid-Ask Spread %16.659.7427.9521.7815.06
Gamma HHI0.660.490.730.520.64
Net GEX62.2K29.0K81.5K30.5K73.3K
Net DEX-2.2M-4.0M-118.8K-309.6K-3.6M
Net VEX-23.7K-27.6K-18.1K-18.6K-27.1K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.670.003.632.260.20
Total Volume875.095326,169199447
Total OI29,992.85724,30232,30124,30232,301

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2008-08-01$4.60$5.0055.7%16.0%51.8%9.4%52.7%27.5%3.8%30.5K-309.6K-18.6K2.2621.78N/AN/A6113818,3435,959
2008-08-04$4.60$5.0036.5%18.9%51.8%3.2%66.1%3.3%-0.4%29.0K-118.8K-18.1K2.5811.28N/AN/A389818,4036,071
2008-08-05$4.85$5.0063.4%24.8%53.0%11.9%86.4%-13.2%-4.1%35.3K-842.8K-20.6K0.1018.41N/AN/A5,60456518,4066,033
2008-08-06$4.90$5.0062.8%24.4%48.8%11.7%0.0%-14.8%-4.9%69.0K-2.2M-25.0K0.0020.93N/AN/A32023,6506,432
2008-08-07$4.32$5.0060.1%25.7%68.0%10.8%89.5%-9.0%-11.9%37.2K-577.1K-19.2K3.6310.83N/AN/A8631223,6376,432
2008-08-08$4.64$5.0061.3%29.9%62.9%11.2%104.1%-21.0%-26.9%55.2K-1.5M-22.1K0.1625.33N/AN/A1,16418923,6966,588
2008-08-11$4.71$5.0071.5%32.2%63.1%14.5%112.3%-14.1%-30.0%62.9K-1.9M-23.5K0.0819.53N/AN/A2422024,8216,666
2008-08-12$4.70$5.0087.0%33.2%62.4%19.6%116.5%-17.6%-32.1%65.2K-2.1M-23.8K0.0623.27N/AN/A5033024,9256,666
2008-08-13$4.76$5.0084.6%30.0%61.9%18.8%104.8%-14.8%-18.5%71.3K-2.2M-24.7K0.1118.81N/AN/A1011125,2256,678
2008-08-14$4.70$5.0091.2%26.1%62.0%20.9%91.1%-16.9%-6.5%74.8K-1.8M-23.7K0.6721.58N/AN/A21514325,1876,677
2008-08-15$4.70$5.0084.4%24.2%61.9%18.7%84.4%9.8%-4.7%54.6K-1.4M-22.6K0.719.74N/AN/A23416625,2206,766
2008-08-18$4.58$5.0085.3%24.5%61.9%19.0%85.4%3.0%-14.5%53.6K-1.4M-21.1K0.4011.54N/AN/A53321122,2026,021
2008-08-19$4.70$5.0081.5%23.4%62.7%17.8%82.4%-21.4%-5.9%58.1K-1.7M-21.6K0.0427.95N/AN/A1,1294022,4116,209
2008-08-20$5.18$5.0075.5%21.6%72.1%15.8%75.2%23.5%18.8%73.8K-3.0M-25.5K0.0711.07N/AN/A1,2308223,2266,249
2008-08-21$5.24$5.0070.6%20.2%71.9%14.2%70.6%-10.6%36.9%81.5K-3.5M-26.3K0.6012.40N/AN/A1,7071,01924,0656,265
2008-08-22$5.25$5.0070.0%20.1%71.8%14.0%70.0%-11.7%52.2%81.5K-3.5M-26.5K0.9113.26N/AN/A24622424,3256,740
2008-08-25$5.32$5.0082.6%23.7%69.5%18.1%82.6%-2.7%52.9%73.3K-3.7M-26.4K0.4118.92N/AN/A29111924,4376,929
2008-08-26$5.05$5.0090.4%25.9%72.3%20.7%90.4%-12.0%44.1%70.4K-3.3M-26.8K0.5611.06N/AN/A46626324,5777,036
2008-08-27$5.30$5.0080.4%23.1%72.6%17.4%80.4%-11.0%47.4%80.2K-3.8M-27.4K0.2813.94N/AN/A2627324,9387,182
2008-08-28$5.33$5.0089.8%25.7%72.6%20.5%90.0%-6.1%38.8%74.7K-4.0M-27.6K0.2213.01N/AN/A681525,0397,217
2008-08-29$5.17$5.0094.2%27.0%73.6%21.9%94.2%-10.2%38.9%73.3K-3.6M-27.1K0.2015.06N/AN/A3717625,0737,228