NBIX Options History — July 2009

In July 2009, NBIX traded between $2.95 and $3.39. ATM implied volatility averaged 85.8%, placing in the 31.5% IV rank vs the trailing year. The 30-day expected move averaged 21.4%. IV traded above realized volatility by 27.9% (HV 20d: 57.9%). 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 10 of 22 days. Put/call ratio averaged 0.22.

Notable Days

  • 2009-07-29: Highest Volume — 74 contracts
  • 2009-07-16: Largest IV drop — 45.7% change
  • 2009-07-15: Highest IV Rank — 82.4%
  • 2009-07-10: Largest Expected Move — 33.4%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$3.15$2.95$3.39$3.33$3.20
Max Pain$2.50$2.50$2.50$2.50$2.50
ATM IV85.8%54.2%165.4%79.2%67.8%
Expected Move21.4%15.5%33.4%22.7%19.4%
HV 20d57.9%44.2%64.8%44.2%55.3%
HV 60d62.6%59.0%65.6%63.9%59.3%
IV Rank31.5%11.3%82.4%27.3%20.0%
IV Percentile44.4%4.8%99.2%42.9%19.0%
Term Structure-1.6%-27.4%19.5%-27.4%-17.4%
VWIV68.5%54.1%79.7%54.1%79.7%
Skew 25d-8.5%-45.1%21.7%3.3%-16.8%
Skew 10d-11.1%-56.3%27.2%3.0%-17.8%
Call IV 25d80.3%47.3%132.5%50.1%78.6%
Put IV 25d71.8%51.0%102.6%53.4%61.8%
Bid-Ask Spread %22.069.0153.8712.3812.47
Gamma HHI0.320.180.390.300.37
Net GEX663791.4K1.1K440
Net DEX70.5K-4.7K125.4K-1.3K117.8K
Net VEX-1.2K-1.9K-705-1.8K-924
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.220.001.000.100.21
Total Volume9.091074110
Total OI4,548.7274,4564,6194,5984,579

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2009-07-01$3.33$2.5079.2%22.7%44.2%27.3%0.0%3.3%-27.4%1.1K-1.3K-1.8K0.1012.38N/AN/A1013,4641,134
2009-07-02$3.12$2.5079.2%22.7%50.0%27.3%0.0%-9.1%-0.8%1.3K5.7K-1.8K0.0014.40N/AN/A003,4741,133
2009-07-06$3.13$2.5090.6%26.2%49.4%34.6%0.0%-27.3%-10.5%1.1K-3.8K-1.7K1.0031.57N/AN/A113,4741,133
2009-07-07$3.05$2.5093.8%16.5%50.1%36.6%0.0%-12.6%18.8%1.2K9.4K-1.6K0.0046.09N/AN/A0103,4751,134
2009-07-08$2.95$2.5082.8%24.1%49.9%29.6%0.0%7.9%-3.1%1.2K27.9K-1.6K0.0039.88N/AN/A1003,4751,144
2009-07-09$2.95$2.5095.8%22.7%50.0%37.9%0.0%11.5%3.2%1.1K32.6K-1.6K0.0030.37N/AN/A003,4751,144
2009-07-10$3.26$2.50106.5%33.4%62.4%44.7%0.0%21.7%-14.3%79104.9K-7630.0024.61N/AN/A003,4751,144
2009-07-13$3.07$2.50124.8%21.0%64.8%56.4%0.0%-10.2%15.4%30675.4K-1.0K0.0030.75N/AN/A003,4751,144
2009-07-14$3.06$2.50141.1%21.3%63.4%66.8%0.0%-35.9%19.5%48148.7K-1.3K0.0030.75N/AN/A003,4751,144
2009-07-15$3.13$2.50165.4%22.3%63.3%82.4%0.0%-32.7%16.2%135106.4K-7050.0028.02N/AN/A003,4751,144
2009-07-16$3.00$2.5089.9%25.8%63.4%34.1%0.0%14.5%-9.2%28091.7K-1.0K0.0029.93N/AN/A003,4751,144
2009-07-17$3.00$2.5082.0%23.5%63.2%29.1%0.0%-45.1%3.1%190110.5K-8380.0053.87N/AN/A003,3931,094
2009-07-20$3.05$2.5054.2%15.5%63.7%11.3%0.0%-18.0%8.5%50597.8K-1.1K0.0013.90N/AN/A003,3621,094
2009-07-21$3.02$2.5070.9%20.3%60.3%22.0%54.1%-21.9%-14.8%68385.8K-1.3K0.009.65N/AN/A053,3621,094
2009-07-22$3.14$2.5060.8%17.4%61.9%15.5%0.0%-5.9%12.3%257125.4K-8230.0010.21N/AN/A003,3621,095
2009-07-23$3.21$2.5062.6%17.9%62.3%16.7%0.0%-1.3%-9.8%1.4K-4.7K-1.9K0.0010.39N/AN/A003,3621,095
2009-07-24$3.25$2.5055.6%15.9%62.1%12.2%0.0%-6.2%-8.4%55499.3K-1.1K0.009.01N/AN/A003,3621,095
2009-07-27$3.25$2.5070.0%20.1%59.1%21.4%0.0%1.7%1.6%349124.6K-8160.0011.71N/AN/A4003,3621,095
2009-07-28$3.30$2.5073.3%21.0%58.3%23.5%71.3%3.6%-23.0%65499.2K-1.1K0.0010.89N/AN/A1403,3781,095
2009-07-29$3.39$2.5073.6%21.1%59.0%23.7%68.8%-5.4%19.1%660116.7K-9400.1911.81N/AN/A62123,3921,095
2009-07-30$3.33$2.5068.1%19.5%58.4%20.2%79.7%-3.5%-15.4%80181.1K-1.2K0.2112.66N/AN/A2863,4541,098
2009-07-31$3.20$2.5067.8%19.4%55.3%20.0%0.0%-16.8%-17.4%440117.8K-9240.0012.47N/AN/A003,4821,097