NBIX Options History — August 2009

In August 2009, NBIX traded between $2.98 and $3.19. ATM implied volatility averaged 64.3%, placing in the 16.7% IV rank vs the trailing year. The 30-day expected move averaged 17.3%. IV traded above realized volatility by 26.5% (HV 20d: 37.8%). 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 13 of 21 days. Put/call ratio averaged 0.83.

Notable Days

  • 2009-08-06: Highest Volume — 500 contracts
  • 2009-08-13: Largest IV drop — 35.2% change
  • 2009-08-11: Highest IV Rank — 30.1%
  • 2009-08-07: Largest Expected Move — 24.7%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$3.09$2.98$3.19$3.19$3.00
Max Pain$2.62$2.50$5.00$2.50$2.50
ATM IV64.3%51.7%85.2%67.3%62.9%
Expected Move17.3%14.7%24.7%19.3%18.0%
HV 20d37.8%29.6%55.3%55.3%30.5%
HV 60d50.6%45.2%58.8%58.8%45.6%
IV Rank16.7%8.4%30.1%19.7%15.7%
IV Percentile17.5%3.2%51.6%18.3%13.5%
Term Structure6.9%-33.0%30.7%-17.0%9.6%
VWIV83.3%83.3%83.3%83.3%83.3%
Skew 25d-18.4%-75.6%11.5%-1.3%-10.4%
Skew 10d-28.5%-116.4%16.3%-3.5%-10.9%
Call IV 25d85.5%54.3%165.3%54.3%92.8%
Put IV 25d67.1%47.1%89.7%53.0%82.4%
Bid-Ask Spread %35.8310.3285.8565.5516.69
Gamma HHI0.460.320.580.390.50
Net GEX1.0K1831.7K1831.3K
Net DEX87.9K28.7K140.4K140.4K82.3K
Net VEX-1.2K-1.7K-631-631-1.3K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.830.008.171.330.00
Total Volume47.14305003520
Total OI4,779.3814,5314,9864,5794,576

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2009-08-03$3.19$2.5067.3%19.3%55.3%19.7%0.0%-1.3%-17.0%183140.4K-6311.3365.55N/AN/A15203,4821,097
2009-08-04$3.14$2.5073.2%21.0%54.8%23.5%0.0%-11.7%-10.2%465116.0K-9390.0082.36N/AN/A5003,4971,117
2009-08-05$3.13$2.5076.1%21.8%53.3%24.2%0.0%-4.2%-33.0%491115.1K-9590.0068.24N/AN/A003,5241,117
2009-08-06$3.02$2.5067.0%19.2%55.0%18.3%0.0%-18.8%3.7%72078.9K-1.3K0.0042.14N/AN/A50003,5241,117
2009-08-07$3.07$5.0078.9%24.7%41.5%26.0%83.3%11.5%-8.4%1.5K31.1K-1.6K0.0029.66N/AN/A7403,8211,101
2009-08-10$3.10$2.5077.6%14.7%35.7%25.2%0.0%-4.0%23.0%1.4K47.9K-1.5K0.0010.32N/AN/A003,8851,101
2009-08-11$3.06$2.5085.2%15.4%36.0%30.1%0.0%-8.6%23.2%1.1K85.7K-1.1K0.0012.52N/AN/A003,8851,101
2009-08-12$3.10$2.5085.0%15.1%35.4%30.0%0.0%-6.2%29.1%1.5K41.4K-1.5K0.0013.46N/AN/A1003,8851,101
2009-08-13$3.15$2.5055.1%15.8%32.1%10.6%0.0%-2.3%21.6%1.2K70.6K-1.3K0.0012.65N/AN/A0103,8541,101
2009-08-14$3.04$2.5052.7%15.1%34.8%9.0%0.0%-12.4%30.5%1.3K52.3K-1.4K0.0044.51N/AN/A003,8541,111
2009-08-17$2.98$2.5053.3%15.3%35.0%9.5%0.0%-53.2%29.2%87786.7K-1.1K0.0014.49N/AN/A0403,8541,111
2009-08-18$2.98$2.5054.2%15.5%34.9%10.0%0.0%-53.4%30.7%683108.7K-8308.1714.49N/AN/A6493,8541,098
2009-08-19$3.04$2.5056.8%16.3%32.6%11.7%0.0%-10.0%30.0%1.1K71.4K-1.3K0.0013.46N/AN/A003,8601,103
2009-08-20$3.14$2.5051.7%14.8%33.8%8.4%0.0%-40.2%15.6%1.0K88.3K-1.1K0.0013.07N/AN/A3003,8451,103
2009-08-21$3.15$2.5057.1%16.4%33.4%11.9%0.0%-12.6%11.0%1.1K86.5K-1.1K0.0613.28N/AN/A8053,8721,103
2009-08-24$3.16$2.5054.1%15.5%33.5%9.9%0.0%-51.0%2.6%1.0K127.1K-9840.3012.53N/AN/A1033,5351,000
2009-08-25$3.14$2.5062.1%17.8%32.9%15.2%0.0%-75.6%-15.3%919136.5K-9170.0084.97N/AN/A053,5351,000
2009-08-26$3.09$2.5055.6%15.9%31.3%11.0%0.0%-4.3%-4.4%1.0K121.2K-1.1K0.0085.18N/AN/A053,5351,001
2009-08-27$3.14$2.5064.8%18.6%31.8%16.9%0.0%-8.3%-17.2%1.0K129.0K-9940.1017.04N/AN/A5053,535996
2009-08-28$3.07$2.5059.5%17.1%29.6%13.5%0.0%-9.2%-9.3%1.7K28.7K-1.7K0.0085.85N/AN/A303,585991
2009-08-31$3.00$2.5062.9%18.0%30.5%15.7%0.0%-10.4%9.6%1.3K82.3K-1.3K0.0016.69N/AN/A2003,585991