NBIX Options History — September 2008

In September 2008, NBIX traded between $4.57 and $5.95. ATM implied volatility averaged 70.9%, placing in the 13.9% IV rank vs the trailing year. The 30-day expected move averaged 21.5%. IV traded below realized volatility by 0.5% (HV 20d: 71.4%). 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 17 of 21 days. Put/call ratio averaged 0.99.

Notable Days

  • 2008-09-03: Highest Volume — 4,369 contracts
  • 2008-09-11: Largest IV spike — 80.4% change
  • 2008-09-02: Highest IV Rank — 23.8%
  • 2008-09-02: Largest Expected Move — 28.7%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$5.29$4.57$5.95$5.24$4.69
Max Pain$5.00$5.00$5.00$5.00$5.00
ATM IV70.9%38.7%100.2%100.2%67.3%
Expected Move21.5%11.1%28.7%28.7%19.3%
HV 20d71.4%60.9%80.1%73.6%80.1%
HV 60d66.3%59.8%70.0%67.1%68.9%
IV Rank13.9%3.9%23.8%23.8%12.5%
IV Percentile48.6%4.8%90.1%90.1%40.5%
Term Structure10.1%-9.7%34.0%34.0%15.8%
VWIV76.8%45.8%104.0%104.0%66.8%
Skew 25d5.9%-12.4%25.9%-11.7%25.9%
Skew 10d16.7%-16.5%44.6%-13.8%33.5%
Call IV 25d78.6%44.1%115.3%115.3%72.5%
Put IV 25d84.5%31.7%103.6%103.6%98.3%
Bid-Ask Spread %23.909.9168.6210.3822.30
Gamma HHI0.480.260.840.660.29
Net GEX52.0K16.2K124.0K75.9K16.2K
Net DEX-2.8M-7.6M-13.3K-3.6M-13.3K
Net VEX-20.5K-25.9K-15.4K-25.9K-15.4K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.990.008.430.091.01
Total Volume633314,369266261
Total OI28,931.95224,57335,35332,52025,208

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2008-09-02$5.24$5.00100.2%28.7%73.6%23.8%104.0%-11.7%34.0%75.9K-3.6M-25.9K0.0910.38N/AN/A2442225,2427,278
2008-09-03$5.81$5.0038.7%11.1%79.8%3.9%45.8%-12.4%22.8%53.7K-6.0M-23.8K0.2412.34N/AN/A3,51885125,3157,290
2008-09-04$5.95$5.0049.0%14.1%79.9%7.2%0.0%2.3%9.8%64.0K-7.6M-23.2K0.509.91N/AN/A28814527,9157,438
2008-09-05$5.74$5.0046.2%20.5%64.6%6.3%71.1%2.6%16.2%59.8K-4.0M-23.8K0.0924.58N/AN/A2,32919922,9667,392
2008-09-08$5.80$5.0070.5%20.9%60.9%14.2%72.6%3.5%15.1%72.8K-5.1M-23.9K0.8730.38N/AN/A33529124,6077,378
2008-09-09$5.60$5.0046.9%22.4%63.1%6.5%78.0%-5.1%11.6%58.1K-4.3M-23.1K1.5725.42N/AN/A7011022,9457,404
2008-09-10$5.73$5.0046.3%20.5%63.1%5.7%70.0%-8.5%7.4%43.5K-4.4M-22.7K0.2823.99N/AN/A35510022,7447,335
2008-09-11$5.61$5.0083.4%23.9%64.1%17.8%85.2%-0.7%1.9%55.4K-4.0M-22.2K0.6322.84N/AN/A593722,7177,335
2008-09-12$5.49$5.0088.2%25.3%64.5%19.3%91.6%-4.7%-9.7%67.8K-3.4M-22.7K0.0413.77N/AN/A85322,6557,363
2008-09-15$5.38$5.0099.1%28.4%65.2%22.9%99.0%2.5%-6.8%76.0K-3.5M-21.5K0.3524.02N/AN/A1816322,6737,366
2008-09-16$5.43$5.0096.7%27.7%64.1%22.1%96.5%4.6%-1.7%68.4K-3.5M-21.6K0.1622.18N/AN/A2443822,6707,373
2008-09-17$4.97$5.0086.4%24.8%72.3%18.8%86.4%-11.2%17.3%124.0K-1.7M-20.1K8.4347.08N/AN/A2117722,6297,390
2008-09-18$4.86$5.0076.7%22.0%63.5%15.6%77.0%25.9%8.9%118.6K-1.1M-19.0K0.9668.62N/AN/A43842222,5317,359
2008-09-19$5.41$5.0088.1%25.3%74.6%19.3%0.0%9.0%-0.7%23.4K-3.5M-20.0K0.0332.36N/AN/A9193022,4707,545
2008-09-22$5.02$5.0070.3%20.1%79.4%13.5%70.3%21.6%9.8%21.0K-777.0K-17.6K0.5312.49N/AN/A23212418,1486,505
2008-09-23$4.93$5.0072.3%20.7%79.3%14.1%72.3%21.1%12.5%19.2K-545.2K-17.2K0.5016.86N/AN/A26012918,0026,571
2008-09-24$4.90$5.0065.9%18.9%77.3%12.0%65.9%21.1%19.0%19.1K-426.3K-16.7K0.7520.12N/AN/A201518,0946,677
2008-09-25$4.99$5.0064.8%18.6%75.4%11.7%65.2%-9.3%10.8%20.1K-635.9K-17.5K0.7914.44N/AN/A24219018,1076,687
2008-09-26$4.95$5.0069.0%19.8%75.4%13.1%69.0%22.3%12.7%18.6K-512.8K-17.1K3.0618.90N/AN/A5316218,1956,859
2008-09-29$4.57$5.0062.9%18.0%79.6%11.1%72.2%24.6%6.4%16.3K-287.5K-16.0K0.0028.96N/AN/A31018,2396,954
2008-09-30$4.69$5.0067.3%19.3%80.1%12.5%66.8%25.9%15.8%16.2K-13.3K-15.4K1.0122.30N/AN/A13013118,2546,954