NBIX Options History — April 2009

In April 2009, NBIX traded between $3.13 and $3.96. ATM implied volatility averaged 72.9%, placing in the 26.7% IV rank vs the trailing year. The 30-day expected move averaged 20.4%. IV traded below realized volatility by 20.6% (HV 20d: 93.5%). Max pain ranged from $2.50 to $5.00. Net GEX was positive for 21 of 21 trading days. Term structure was in contango for 11 of 21 days. Put/call ratio averaged 0.66.

Notable Days

  • 2009-04-13: Highest Volume — 80 contracts
  • 2009-04-23: Largest IV spike — 23.3% change
  • 2009-04-07: Highest IV Rank — 38.7%
  • 2009-04-07: Largest Expected Move — 24.2%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$3.50$3.13$3.96$3.71$3.30
Max Pain$4.05$2.50$5.00$5.00$5.00
ATM IV72.9%61.9%92.6%81.2%68.9%
Expected Move20.4%17.1%24.2%23.3%19.7%
HV 20d93.5%69.3%118.7%115.5%71.7%
HV 60d96.0%92.9%100.0%100.0%92.9%
IV Rank26.7%20.0%38.7%31.8%24.3%
IV Percentile38.9%23.8%69.0%50.0%32.9%
Term Structure5.9%-24.7%35.5%-24.7%4.8%
VWIV80.1%60.5%95.7%83.8%60.5%
Skew 25d-14.6%-76.7%10.5%-76.7%-53.4%
Skew 10d-16.6%-89.1%13.6%-89.1%-72.6%
Call IV 25d82.5%50.3%150.6%150.6%136.6%
Put IV 25d68.0%57.2%83.2%73.9%83.2%
Bid-Ask Spread %11.015.2821.147.897.38
Gamma HHI0.290.200.420.360.24
Net GEX2.3K1.1K3.9K3.3K1.5K
Net DEX-39.4K-104.9K20.9K-70.4K-31.1K
Net VEX-2.8K-3.4K-2.3K-3.2K-2.6K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.660.005.000.000.00
Total Volume18.619080050
Total OI5,115.0954,6535,5145,4694,673

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2009-04-01$3.71$5.0081.2%23.3%115.5%31.8%0.0%-76.7%-24.7%3.3K-70.4K-3.2K0.007.89N/AN/A004,2781,191
2009-04-02$3.80$5.0076.0%21.8%115.1%28.6%0.0%-70.5%13.5%3.4K-70.7K-3.2K0.0011.29N/AN/A2204,2781,191
2009-04-03$3.96$2.5083.4%24.0%115.4%33.1%83.8%-14.7%-4.2%3.9K-104.9K-3.4K0.0014.80N/AN/A3004,3001,191
2009-04-06$3.70$2.5087.5%17.1%118.7%35.7%0.0%-14.8%35.5%2.8K-50.3K-3.1K0.0018.74N/AN/A004,3181,191
2009-04-07$3.57$2.5092.6%24.2%115.8%38.7%0.0%-34.6%-12.3%3.0K-66.8K-3.1K0.0021.14N/AN/A004,3181,191
2009-04-08$3.85$2.5080.4%23.3%115.7%31.3%0.0%-12.8%-5.5%3.7K-86.9K-3.3K0.0019.34N/AN/A054,3181,191
2009-04-09$3.93$2.5076.9%22.0%103.1%29.1%78.0%-7.8%-2.0%3.9K-74.8K-3.2K0.0019.95N/AN/A704,3181,196
2009-04-13$3.72$2.5069.5%19.9%105.0%24.6%82.6%-14.0%16.3%3.0K-53.9K-3.1K1.005.28N/AN/A40404,3181,196
2009-04-14$3.55$2.5072.6%20.8%102.5%26.5%0.0%-0.1%17.1%2.4K-27.3K-2.9K0.0011.60N/AN/A1304,3051,189
2009-04-15$3.50$2.5061.9%17.7%92.7%20.0%0.0%10.5%25.2%1.9K-19.7K-2.8K0.006.08N/AN/A004,3121,189
2009-04-16$3.63$5.0063.0%18.1%93.9%20.7%0.0%7.7%28.3%2.4K-55.4K-2.9K0.006.72N/AN/A1103,9621,113
2009-04-17$3.48$5.0065.6%18.8%94.4%22.3%0.0%-0.1%20.9%2.0K-63.2K-3.0K0.327.11N/AN/A2273,9581,113
2009-04-20$3.23$5.0077.6%22.2%91.8%29.6%0.0%-21.5%-3.8%1.9K-49.7K-2.8K0.895.92N/AN/A28253,5471,106
2009-04-21$3.29$5.0062.6%18.0%76.5%20.5%0.0%-3.9%27.8%1.5K-36.8K-2.8K2.008.81N/AN/A5103,5631,131
2009-04-22$3.16$5.0062.1%17.8%76.3%20.2%0.0%-2.8%21.3%1.2K-6.0K-2.5K0.009.40N/AN/A3303,5681,136
2009-04-23$3.13$5.0076.6%22.0%73.2%29.0%95.7%-14.8%-7.5%1.3K20.9K-2.3K5.008.44N/AN/A5253,5871,118
2009-04-24$3.32$5.0064.0%18.3%69.3%21.3%0.0%8.2%-15.2%1.2K17.2K-2.4K0.0012.15N/AN/A003,5871,143
2009-04-27$3.16$5.0063.2%18.1%70.9%20.8%0.0%0.6%23.5%1.1K14.1K-2.4K0.007.02N/AN/A303,5871,143
2009-04-28$3.19$5.0069.2%19.8%71.1%24.5%0.0%2.2%-18.1%1.2K10.2K-2.4K0.0011.45N/AN/A1003,5871,143
2009-04-29$3.36$5.0076.1%21.8%73.7%28.7%0.0%7.6%-16.1%1.5K-22.3K-2.6K0.0010.69N/AN/A003,5971,076
2009-04-30$3.30$5.0068.9%19.7%71.7%24.3%60.5%-53.4%4.8%1.5K-31.1K-2.6K0.007.38N/AN/A5003,5971,076