NBIX Options History — November 2008

In November 2008, NBIX traded between $2.22 and $4.37. ATM implied volatility averaged 112.2%, placing in the 27.2% IV rank vs the trailing year. The 30-day expected move averaged 31.5%. IV traded below realized volatility by 19.7% (HV 20d: 131.9%). Max pain ranged from $2.50 to $5.00. Net GEX was positive for 19 of 19 trading days. Term structure was in contango for 10 of 19 days. Put/call ratio averaged 1.65.

Notable Days

  • 2008-11-03: Highest Volume — 344 contracts
  • 2008-11-14: Largest IV spike — 42.9% change
  • 2008-11-20: Highest IV Rank — 35.0%
  • 2008-11-20: Largest Expected Move — 39.0%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$3.48$2.22$4.37$4.26$3.11
Max Pain$3.03$2.50$5.00$5.00$2.50
ATM IV112.2%77.6%136.1%116.2%112.6%
Expected Move31.5%22.4%39.0%33.3%32.3%
HV 20d131.9%94.4%185.8%123.3%179.6%
HV 60d104.3%88.9%130.5%88.9%129.3%
IV Rank27.2%15.9%35.0%28.5%27.3%
IV Percentile84.8%47.2%94.4%89.7%88.9%
Term Structure4.6%-28.6%44.6%-21.2%32.9%
VWIV109.5%69.8%144.6%115.7%144.6%
Skew 25d1.6%-42.7%56.3%-4.4%4.3%
Skew 10d8.3%-49.1%62.9%11.0%35.4%
Call IV 25d109.3%72.6%164.2%111.0%131.6%
Put IV 25d110.9%70.2%136.2%106.6%135.9%
Bid-Ask Spread %37.9411.7190.8622.8090.86
Gamma HHI0.260.200.390.320.23
Net GEX9.5K3.0K16.4K14.7K7.3K
Net DEX-71.6K-468.4K413.0K-334.1K-111.5K
Net VEX-7.1K-10.5K-3.1K-10.3K-5.5K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.650.0012.450.260.06
Total Volume90.5791344344177
Total OI20,677.42118,15921,58821,39818,160

Daily Data (19 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2008-11-03$4.26$5.00116.2%33.3%123.3%28.5%115.7%-4.4%-21.2%14.7K-334.1K-10.3K0.2622.80N/AN/A2747017,1984,200
2008-11-04$4.37$5.00118.4%34.0%120.5%29.2%118.2%4.5%-28.6%16.3K-432.4K-10.4K6.3311.71N/AN/A3019017,3714,195
2008-11-05$4.25$5.00111.5%32.0%109.5%27.0%111.5%4.0%-21.2%16.0K-468.4K-10.5K0.0023.70N/AN/A7017,3914,149
2008-11-06$4.04$5.0095.7%27.4%111.6%21.8%0.0%-14.4%-21.3%11.8K-290.4K-9.9K0.0027.35N/AN/A25017,3974,149
2008-11-07$4.18$2.50111.9%25.6%105.2%27.1%0.0%-6.3%0.8%11.5K-23.3K-8.9K0.6723.31N/AN/A151017,3904,149
2008-11-10$4.28$2.5094.4%26.9%94.4%21.4%0.0%-1.1%-3.1%16.4K-320.2K-9.6K0.0022.32N/AN/A40017,3994,149
2008-11-11$4.05$2.5077.6%25.9%97.0%15.9%0.0%-10.5%1.6%11.4K-180.7K-9.1K0.0028.66N/AN/A7017,4394,149
2008-11-12$3.35$2.50109.8%22.4%112.8%26.4%69.8%-42.7%15.1%7.7K237.0K-6.6K4.3363.77N/AN/A2410417,4344,149
2008-11-13$3.82$2.5082.8%23.7%117.2%17.6%97.3%20.8%-5.0%10.0K35.7K-6.8K1.6266.80N/AN/A426817,4323,698
2008-11-14$3.30$2.50118.3%33.9%128.4%29.2%0.0%20.2%10.3%9.1K-90.7K-6.7K0.0054.86N/AN/A20017,4563,731
2008-11-17$3.13$2.50100.0%28.7%126.5%23.2%0.0%37.0%44.6%7.2K58.8K-5.9K0.1134.79N/AN/A891017,4763,622
2008-11-18$3.09$2.50113.3%32.5%126.5%27.5%0.0%-8.3%17.5%7.1K63.3K-6.0K0.5033.70N/AN/A12617,5253,596
2008-11-19$3.11$2.50118.6%34.0%124.8%29.3%0.0%56.3%44.0%7.7K-1.9K-6.3K0.0028.82N/AN/A31017,5293,600
2008-11-20$2.71$2.50136.1%39.0%133.0%35.0%144.6%-17.6%-5.1%5.5K146.7K-5.0K5.0026.33N/AN/A2412017,5053,600
2008-11-21$2.22$2.50134.4%38.5%148.5%34.4%0.0%42.3%-3.6%3.0K413.0K-3.1K12.4523.59N/AN/A2227417,5213,633
2008-11-24$3.00$2.50125.0%35.8%185.8%31.4%0.0%-2.4%21.3%6.9K-101.4K-5.5K0.0033.13N/AN/A13015,4942,667
2008-11-25$2.87$2.50119.3%34.2%183.6%29.5%0.0%-22.8%17.5%5.8K32.0K-4.5K0.0055.28N/AN/A16015,4932,666
2008-11-26$2.90$2.50135.0%38.7%177.2%34.7%0.0%-27.9%-9.9%6.0K9.2K-4.9K0.0049.13N/AN/A1015,4932,666
2008-11-28$3.11$2.50112.6%32.3%179.6%27.3%0.0%4.3%32.9%7.3K-111.5K-5.5K0.0690.86N/AN/A1671015,4942,666