NBIX Options History — December 2008

In December 2008, NBIX traded between $2.36 and $3.83. ATM implied volatility averaged 125.9%, placing in the 49.5% IV rank vs the trailing year. The 30-day expected move averaged 39.2%. IV traded below realized volatility by 78.8% (HV 20d: 204.7%). Max pain ranged from $2.50 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 0.61.

Notable Days

  • 2008-12-31: Highest Volume — 465 contracts
  • 2008-12-30: Largest IV spike — 83.4% change
  • 2008-12-15: Highest IV Rank — 83.2%
  • 2008-12-05: Largest Expected Move — 48.6%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$3.14$2.36$3.83$2.36$3.20
Max Pain$4.55$2.50$5.00$2.50$5.00
ATM IV125.9%83.7%165.5%114.2%120.0%
Expected Move39.2%25.4%48.6%32.7%34.4%
HV 20d204.7%130.9%234.8%200.9%130.9%
HV 60d155.2%140.2%163.9%140.2%163.9%
IV Rank49.5%17.9%83.2%27.8%55.5%
IV Percentile89.5%59.1%99.6%89.7%91.3%
Term Structure10.3%-30.3%89.2%19.4%54.8%
VWIV125.6%73.8%173.3%73.8%105.8%
Skew 25d-2.4%-57.3%56.8%-57.3%50.5%
Skew 10d13.0%-61.3%58.1%-43.4%50.5%
Call IV 25d141.4%81.3%184.6%131.0%94.7%
Put IV 25d139.0%73.8%170.1%73.8%145.3%
Bid-Ask Spread %20.736.4558.9545.9813.48
Gamma HHI0.210.120.290.240.15
Net GEX4.7K9218.4K4.3K2.4K
Net DEX-31.5K-306.1K159.6K86.5K-33.4K
Net VEX-4.4K-6.2K-2.9K-3.3K-4.2K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.610.005.501.440.00
Total Volume86.4550465151465
Total OI18,230.68217,85918,48818,29217,859

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2008-12-01$2.36$2.50114.2%32.7%200.9%27.8%73.8%-57.3%19.4%4.3K86.5K-3.3K1.4445.98N/AN/A628915,6252,667
2008-12-02$3.06$2.50109.6%31.4%224.8%26.3%0.0%-45.9%59.1%1.3K57.0K-3.7K0.3432.74N/AN/A672315,6752,713
2008-12-03$2.90$2.50106.8%30.6%224.6%25.4%0.0%16.1%89.2%7.5K-306.1K-6.2K0.0058.95N/AN/A8015,7202,716
2008-12-04$2.76$2.50123.8%35.5%224.8%31.0%0.0%-50.9%54.5%6.8K-215.6K-5.6K0.0027.02N/AN/A0415,7222,716
2008-12-05$3.10$5.0083.7%48.6%229.7%17.9%0.0%-7.5%-11.2%1.4K51.4K-3.7K0.0025.74N/AN/A50015,7222,716
2008-12-08$3.30$5.0097.5%41.4%230.7%22.4%146.6%0.2%1.6%8.4K-247.7K-5.8K0.0015.63N/AN/A178015,7722,716
2008-12-09$2.95$5.00102.1%45.2%232.9%23.9%148.9%-2.4%-23.5%6.6K-69.3K-4.7K0.0223.06N/AN/A129315,6782,716
2008-12-10$3.18$5.00111.5%46.1%234.8%26.9%0.0%-15.3%-30.3%921159.6K-2.9K0.0027.77N/AN/A0515,6082,713
2008-12-11$3.01$5.00156.7%44.9%226.0%41.7%173.3%-14.5%-23.7%6.9K-103.4K-5.0K0.0025.80N/AN/A11015,6082,718
2008-12-12$3.25$5.00163.2%46.8%222.4%81.8%0.0%-18.2%-24.1%1.0K145.5K-3.1K1.2828.88N/AN/A324115,6082,718
2008-12-15$3.08$5.00165.5%47.5%217.1%83.2%164.4%0.1%-15.8%6.9K-98.9K-4.8K0.0013.62N/AN/A120015,6082,748
2008-12-16$3.25$5.00125.2%35.9%217.2%58.7%0.0%-12.5%40.6%7.0K-98.8K-5.0K0.0016.66N/AN/A0015,5892,748
2008-12-17$3.19$5.00158.7%45.5%217.3%79.0%0.0%-7.3%-22.5%7.2K-110.9K-4.9K0.0011.99N/AN/A0015,5892,748
2008-12-18$3.14$5.00153.0%43.9%217.4%75.6%0.0%-15.9%-22.3%6.8K-71.0K-4.7K0.0013.79N/AN/A0015,5892,748
2008-12-19$3.15$5.00155.6%44.6%211.1%77.2%121.5%9.7%-23.3%6.6K-39.3K-4.5K0.8818.13N/AN/A161415,5892,748
2008-12-22$3.13$5.00148.2%42.5%196.7%72.7%0.0%2.6%-11.7%1.5K136.1K-3.0K0.249.40N/AN/A621515,4442,476
2008-12-23$3.35$5.00122.5%35.1%167.2%57.0%103.2%56.8%39.7%7.1K-91.3K-4.8K0.719.72N/AN/A141015,4682,488
2008-12-24$3.83$5.00108.9%31.2%172.1%48.7%0.0%31.5%12.2%2.4K58.6K-4.1K0.0012.22N/AN/A59015,4682,498
2008-12-26$3.72$5.0091.3%26.2%172.8%37.9%0.0%-20.4%38.5%2.3K29.6K-4.2K5.507.01N/AN/A42215,4442,498
2008-12-29$3.32$5.0088.7%25.4%176.9%36.4%92.5%5.9%42.9%4.1K31.2K-4.1K0.006.45N/AN/A21015,4442,507
2008-12-30$2.85$5.00162.7%46.7%155.2%81.5%105.8%42.2%-17.3%4.9K36.3K-4.0K0.0112.08N/AN/A375315,4232,507
2008-12-31$3.20$5.00120.0%34.4%130.9%55.5%0.0%50.5%54.8%2.4K-33.4K-4.2K0.0013.48N/AN/A465015,3502,509