NBIX Options History — September 2009

In September 2009, NBIX traded between $2.98 and $3.26. ATM implied volatility averaged 75.4%, placing in the 21.3% IV rank vs the trailing year. The 30-day expected move averaged 21.4%. IV traded above realized volatility by 26.4% (HV 20d: 49.0%). Max pain ranged from $2.50 to $2.50. Net GEX was positive for 21 of 21 trading days. Term structure was in contango for 11 of 21 days. Put/call ratio averaged 0.15.

Notable Days

  • 2009-09-02: Highest Volume — 197 contracts
  • 2009-09-11: Largest IV drop — 25.2% change
  • 2009-09-22: Highest IV Rank — 32.0%
  • 2009-09-22: Largest Expected Move — 26.3%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$3.14$2.98$3.26$2.98$3.05
Max Pain$2.50$2.50$2.50$2.50$2.50
ATM IV75.4%60.8%91.7%65.9%82.2%
Expected Move21.4%16.9%26.3%18.9%23.6%
HV 20d49.0%30.2%51.8%30.2%49.7%
HV 60d48.7%45.4%51.3%45.6%45.4%
IV Rank21.3%11.3%32.0%17.6%25.6%
IV Percentile35.7%8.3%63.5%18.7%49.2%
Term Structure-2.1%-57.2%36.3%1.0%-32.8%
VWIV100.2%41.2%168.8%84.3%80.8%
Skew 25d-8.6%-25.6%26.2%-9.7%-23.0%
Skew 10d-7.5%-33.7%37.9%-9.8%-33.7%
Call IV 25d93.6%62.5%114.8%93.6%95.6%
Put IV 25d84.9%72.1%99.9%83.9%72.6%
Bid-Ask Spread %59.5916.43109.60109.6065.47
Gamma HHI0.580.430.740.490.55
Net GEX1.7K1.1K2.5K1.4K1.6K
Net DEX44.7K-41.2K131.9K74.0K33.5K
Net VEX-1.3K-1.9K-757-1.4K-1.3K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.150.001.850.100.00
Total Volume5301971179
Total OI4,878.0954,5964,9964,5964,889

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2009-09-01$2.98$2.5065.9%18.9%30.2%17.6%0.0%-9.7%1.0%1.4K74.0K-1.4K0.10109.60N/AN/A1013,605991
2009-09-02$3.26$2.5078.7%22.6%44.6%25.9%84.3%-7.9%-24.5%1.3K131.9K-9890.0085.78N/AN/A19703,606992
2009-09-03$3.03$2.5066.2%19.0%50.4%14.9%0.0%-13.5%11.6%1.6K68.6K-1.3K0.0069.71N/AN/A6103,782992
2009-09-04$3.06$2.5067.2%16.9%50.2%15.5%121.6%-13.2%21.8%1.4K80.2K-1.2K0.0093.40N/AN/A1703,843992
2009-09-08$3.03$2.5079.9%24.6%50.1%24.0%129.5%-21.2%-3.1%1.6K70.4K-1.3K0.0055.66N/AN/A4603,828992
2009-09-09$3.09$2.5086.2%21.4%50.4%28.3%41.2%-14.2%36.3%1.5K106.2K-1.0K0.0850.48N/AN/A5143,833992
2009-09-10$3.20$2.5083.0%23.8%51.8%26.1%81.8%-8.8%10.7%2.3K-25.0K-1.9K0.0038.07N/AN/A12003,883996
2009-09-11$3.20$2.5062.1%17.8%51.5%12.1%114.4%-0.8%-7.3%1.9K36.5K-1.3K0.0065.42N/AN/A103,939996
2009-09-14$3.19$2.5060.8%17.4%49.7%11.3%61.7%-8.6%23.7%1.5K67.2K-1.0K0.0016.43N/AN/A2003,940996
2009-09-15$3.13$2.5064.9%18.6%49.6%14.0%0.0%22.9%15.0%1.3K81.1K-9540.0021.19N/AN/A6003,938996
2009-09-16$3.22$2.5065.8%18.9%50.5%14.6%0.0%-3.5%16.9%2.2K-24.9K-1.6K0.0021.42N/AN/A003,978996
2009-09-17$3.24$2.5070.5%20.2%50.1%17.8%0.0%-23.7%11.1%2.0K-4.8K-1.4K0.0067.45N/AN/A003,978996
2009-09-18$3.24$2.5071.8%20.6%48.9%18.6%134.5%-5.0%12.9%2.4K-41.2K-1.7K0.0038.33N/AN/A1603,978996
2009-09-21$3.24$2.5080.7%23.1%48.9%24.6%0.0%26.2%3.7%2.0K28.8K-1.3K1.8578.54N/AN/A34633,896996
2009-09-22$3.14$2.5091.7%26.3%50.3%32.0%0.0%-1.7%-57.2%2.5K-18.3K-1.6K0.0038.02N/AN/A6403,9301,003
2009-09-23$3.21$2.5091.1%26.1%50.8%31.6%0.0%-10.2%-15.2%1.2K102.9K-7570.0098.00N/AN/A003,9931,003
2009-09-24$3.15$2.5074.9%21.5%51.0%20.7%168.8%-10.8%-9.0%2.3K-23.5K-1.6K0.0079.30N/AN/A11003,9931,003
2009-09-25$3.14$2.5083.2%23.9%50.7%26.3%83.6%-13.4%-28.5%1.1K98.1K-7600.5494.19N/AN/A56303,8931,003
2009-09-28$3.13$2.5078.4%22.5%50.0%23.0%80.8%-15.5%-28.2%1.4K67.2K-1.1K0.0742.23N/AN/A5643,8541,033
2009-09-29$3.08$2.5077.4%22.2%49.6%22.4%0.0%-25.6%-2.4%1.7K30.5K-1.3K0.0022.74N/AN/A1303,8641,033
2009-09-30$3.05$2.5082.2%23.6%49.7%25.6%0.0%-23.0%-32.8%1.6K33.5K-1.3K0.0065.47N/AN/A7903,8561,033