NBIX Options History — June 2009

In June 2009, NBIX traded between $3.12 and $3.51. ATM implied volatility averaged 75.8%, placing in the 28.2% IV rank vs the trailing year. The 30-day expected move averaged 19.7%. IV traded above realized volatility by 17.7% (HV 20d: 58.1%). Max pain ranged from $2.50 to $2.50. Net GEX was positive for 22 of 22 trading days. Term structure was in contango for 7 of 22 days. Put/call ratio averaged 1.17.

Notable Days

  • 2009-06-08: Highest Volume — 55 contracts
  • 2009-06-11: Largest IV drop — 37.7% change
  • 2009-06-09: Highest IV Rank — 47.2%
  • 2009-06-26: Largest Expected Move — 22.9%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$3.31$3.12$3.51$3.21$3.23
Max Pain$2.50$2.50$2.50$2.50$2.50
ATM IV75.8%60.8%106.4%72.2%78.9%
Expected Move19.7%16.1%22.9%20.7%22.6%
HV 20d58.1%40.8%79.6%79.6%42.7%
HV 60d74.9%64.9%89.7%89.6%64.9%
IV Rank28.2%19.4%47.2%26.3%27.1%
IV Percentile36.9%13.5%78.2%34.9%40.9%
Term Structure-9.1%-34.8%26.9%-16.3%-29.6%
VWIV82.2%82.2%82.2%82.2%82.2%
Skew 25d1.1%-6.4%9.9%1.8%-3.8%
Skew 10d1.1%-9.9%9.7%-2.4%-3.1%
Call IV 25d63.8%53.6%76.1%72.5%76.1%
Put IV 25d64.9%55.5%77.5%74.3%72.3%
Bid-Ask Spread %16.469.9683.0413.5320.16
Gamma HHI0.300.260.350.290.32
Net GEX1.4K9871.7K9871.2K
Net DEX-34.5K-85.7K17.0K4.8K-7.1K
Net VEX-2.1K-2.4K-1.8K-1.8K-1.9K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.170.005.710.000.00
Total Volume11.636055170
Total OI4,593.9094,5174,6454,5174,598

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2009-06-01$3.21$2.5072.2%20.7%79.6%26.3%0.0%1.8%-16.3%9874.8K-1.8K0.0013.53N/AN/A1703,4481,069
2009-06-02$3.29$2.5073.8%21.2%76.7%27.3%0.0%6.5%4.3%1.3K-42.3K-2.1K0.0010.23N/AN/A303,4551,069
2009-06-03$3.29$2.5075.9%21.8%73.9%28.6%0.0%-4.3%-21.4%1.4K-28.8K-2.0K3.3312.20N/AN/A3103,4581,069
2009-06-04$3.28$2.5079.3%22.7%73.0%30.6%82.2%0.4%-24.3%1.5K-40.5K-2.2K5.719.96N/AN/A7403,4551,079
2009-06-05$3.34$2.5083.3%16.6%72.0%33.0%0.0%3.1%26.9%1.3K-16.9K-2.1K0.0011.80N/AN/A1603,4481,119
2009-06-08$3.33$2.50102.4%16.1%67.4%44.7%0.0%-3.6%15.2%1.3K-37.8K-2.1K0.0010.23N/AN/A5503,4431,119
2009-06-09$3.41$2.50106.4%18.8%67.9%47.2%0.0%5.0%9.0%1.6K-71.9K-2.3K0.0012.64N/AN/A003,4981,119
2009-06-10$3.38$2.50106.2%18.3%65.6%47.0%0.0%4.2%-10.4%1.3K-25.0K-2.0K0.0013.82N/AN/A003,4981,119
2009-06-11$3.43$2.5066.2%19.0%62.7%22.6%0.0%5.7%-13.0%1.7K-80.3K-2.4K0.0014.48N/AN/A4403,4981,119
2009-06-12$3.51$2.5066.7%19.1%63.0%23.0%0.0%6.0%-19.0%1.6K-56.4K-2.2K0.0014.22N/AN/A003,5321,103
2009-06-15$3.36$2.5064.9%18.6%64.3%21.8%0.0%5.9%-19.4%1.5K-68.9K-2.2K0.0083.04N/AN/A0103,5321,103
2009-06-16$3.26$2.5067.2%19.3%54.4%23.2%0.0%-1.9%4.7%1.5K-39.9K-2.1K0.0012.84N/AN/A103,5321,113
2009-06-17$3.37$2.5071.2%20.4%52.2%25.7%0.0%2.9%-16.9%1.6K-85.7K-2.3K0.0013.35N/AN/A1203,5311,113
2009-06-18$3.40$2.5070.4%20.2%51.2%25.2%0.0%6.8%-22.6%1.5K-67.9K-2.2K0.0013.35N/AN/A003,5321,113
2009-06-19$3.40$2.5060.8%17.4%45.6%19.4%0.0%9.9%-12.6%1.3K-48.4K-2.1K0.0011.42N/AN/A003,5321,113
2009-06-22$3.20$2.5067.5%19.4%51.5%23.5%0.0%-5.0%-20.8%1.4K-29.3K-2.0K4.0015.06N/AN/A5203,4571,113
2009-06-23$3.15$2.5066.7%19.1%44.5%23.0%0.0%-4.8%5.9%1.3K-5.9K-2.0K0.0013.90N/AN/A003,4571,133
2009-06-24$3.12$2.5064.7%18.5%40.8%21.7%0.0%-6.4%6.8%1.3K-3.0K-1.9K1.0013.21N/AN/A113,4571,133
2009-06-25$3.18$2.5067.7%19.4%41.0%23.5%0.0%-2.8%-4.2%1.1K17.0K-1.8K0.0013.89N/AN/A1103,4571,134
2009-06-26$3.35$2.5079.8%22.9%44.7%30.9%0.0%-0.6%-34.8%1.3K-10.4K-1.9K0.0017.02N/AN/A003,4641,134
2009-06-29$3.25$2.5075.3%21.6%43.6%24.8%0.0%-0.3%-8.3%1.1K-14.2K-1.8K0.0011.69N/AN/A003,4641,134
2009-06-30$3.23$2.5078.9%22.6%42.7%27.1%0.0%-3.8%-29.6%1.2K-7.1K-1.9K0.0020.16N/AN/A003,4641,134