NBIX Options History — May 2009

In May 2009, NBIX traded between $2.87 and $3.51. ATM implied volatility averaged 79.7%, placing in the 30.8% IV rank vs the trailing year. The 30-day expected move averaged 20.4%. IV traded above realized volatility by 6.5% (HV 20d: 73.2%). Max pain ranged from $2.50 to $5.00. Net GEX was positive for 20 of 20 trading days. Term structure was in contango for 12 of 20 days. Put/call ratio averaged 0.55.

Notable Days

  • 2009-05-01: Highest Volume — 310 contracts
  • 2009-05-18: Largest IV drop — 43.1% change
  • 2009-05-12: Highest IV Rank — 56.4%
  • 2009-05-01: Largest Expected Move — 34.0%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$3.14$2.87$3.51$3.30$3.07
Max Pain$3.88$2.50$5.00$5.00$2.50
ATM IV79.7%44.1%121.6%118.5%59.5%
Expected Move20.4%12.6%34.0%34.0%17.1%
HV 20d73.2%65.8%80.1%70.9%77.7%
HV 60d92.5%89.2%95.9%92.6%89.2%
IV Rank30.8%9.1%56.4%54.5%18.6%
IV Percentile45.1%4.0%90.5%88.9%17.5%
Term Structure8.9%-28.7%36.4%-28.7%27.9%
VWIV66.1%35.3%90.6%90.6%35.3%
Skew 25d-0.5%-48.3%56.2%56.2%-3.4%
Skew 10d-2.6%-58.6%65.8%65.8%-12.0%
Call IV 25d76.1%50.6%130.0%80.0%69.1%
Put IV 25d75.6%48.0%136.2%136.2%65.7%
Bid-Ask Spread %18.527.9034.7217.9315.54
Gamma HHI0.250.240.290.270.29
Net GEX1.2K8272.2K2.2K891
Net DEX15.2K-33.5K53.8K-33.5K33.1K
Net VEX-2.1K-2.6K-1.8K-2.6K-1.8K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.550.003.400.460.00
Total Volume52.15031031054
Total OI4,751.354,3695,1274,6954,507

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2009-05-01$3.30$5.00118.5%34.0%70.9%54.5%0.0%56.2%-28.7%2.2K-33.5K-2.6K0.4617.93N/AN/A213973,6191,076
2009-05-04$3.51$5.0096.7%23.7%73.1%41.3%90.6%12.0%-6.6%1.4K-14.7K-2.6K3.4034.72N/AN/A5173,7741,148
2009-05-05$3.31$5.0090.6%25.9%72.1%37.5%51.7%32.4%-7.0%1.2K-5.7K-2.4K0.3623.32N/AN/A1453,7791,155
2009-05-06$3.21$5.0079.9%20.7%71.8%31.0%0.0%-18.1%17.4%98432.8K-2.1K0.0026.30N/AN/A5703,7891,160
2009-05-07$3.10$5.0079.1%22.9%65.8%30.5%0.0%-21.1%-0.5%88235.6K-2.1K0.0023.50N/AN/A003,8231,150
2009-05-08$3.33$5.0092.4%12.9%71.3%38.6%0.0%1.7%36.4%99239.0K-2.1K0.008.61N/AN/A1003,8231,150
2009-05-11$3.31$5.00121.2%22.3%69.1%56.2%0.0%-22.2%16.2%1.1K23.3K-2.3K0.0026.34N/AN/A6003,8131,150
2009-05-12$3.16$5.00121.6%25.5%69.1%56.4%75.2%19.5%-12.2%1.1K14.1K-2.2K0.0024.65N/AN/A16903,8621,150
2009-05-13$3.01$5.00108.4%23.0%70.7%48.4%0.0%17.3%-0.6%1.1K22.9K-2.1K0.0024.64N/AN/A003,9861,141
2009-05-14$3.04$5.0080.1%23.0%69.1%31.1%0.0%-48.3%-0.4%92238.7K-2.0K3.1325.89N/AN/A8253,9751,141
2009-05-15$2.95$5.0077.4%22.2%68.5%29.5%77.4%12.2%3.9%82753.8K-1.9K0.0024.79N/AN/A8903,9631,161
2009-05-18$3.27$2.5044.1%12.6%74.4%9.1%35.3%0.2%19.1%1.3K-16.2K-2.4K0.007.90N/AN/A13203,2941,075
2009-05-19$3.11$2.5046.9%13.4%76.2%10.9%0.0%-6.7%35.6%1.3K3.5K-2.1K0.008.46N/AN/A003,3821,075
2009-05-20$3.04$2.5058.0%16.6%75.3%17.6%0.0%-13.9%9.7%1.3K16.0K-1.9K0.0011.38N/AN/A003,3821,075
2009-05-21$2.87$2.5067.9%19.5%77.8%23.7%0.0%5.8%21.3%1.2K24.7K-1.9K0.0011.43N/AN/A2903,3821,075
2009-05-22$2.93$2.5065.3%18.7%74.8%22.1%0.0%14.7%26.4%1.3K15.0K-1.9K0.0010.86N/AN/A2003,4111,075
2009-05-26$3.16$2.5060.9%17.4%78.3%19.4%0.0%-5.4%-10.6%1.1K-1.4K-2.0K0.409.68N/AN/A25103,4211,075
2009-05-27$3.01$2.5065.7%18.8%80.1%22.3%0.0%-26.6%4.1%1.4K-3.2K-2.1K0.0020.60N/AN/A043,4181,085
2009-05-28$3.06$2.5058.9%16.9%77.9%18.2%0.0%-15.5%26.9%93227.2K-1.8K0.0013.94N/AN/A003,4181,089
2009-05-29$3.07$2.5059.5%17.1%77.7%18.6%0.0%-3.4%27.9%89133.1K-1.8K0.0015.54N/AN/A5403,4181,089