NBIX Options History — December 2009

In December 2009, NBIX traded between $2.05 and $2.94. ATM implied volatility averaged 88.7%, placing in the 36.8% IV rank vs the trailing year. The 30-day expected move averaged 25.4%. IV traded above realized volatility by 17.8% (HV 20d: 70.9%). Max pain ranged from $2.50 to $5.00. Net GEX was positive for 22 of 22 trading days. Term structure was in contango for 14 of 22 days. Put/call ratio averaged 0.50.

Notable Days

  • 2009-12-24: Highest Volume — 100 contracts
  • 2009-12-18: Largest IV drop — 46.6% change
  • 2009-12-17: Highest IV Rank — 60.2%
  • 2009-12-17: Largest Expected Move — 33.6%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$2.40$2.05$2.94$2.26$2.72
Max Pain$4.76$2.50$5.00$2.50$5.00
ATM IV88.7%62.6%117.2%103.0%78.0%
Expected Move25.4%18.0%33.6%29.5%22.4%
HV 20d70.9%63.6%82.1%67.8%74.2%
HV 60d57.2%50.8%64.5%50.8%64.5%
IV Rank36.8%15.3%60.2%48.5%28.0%
IV Percentile60.0%13.1%90.9%80.6%44.4%
Term Structure6.5%-42.6%56.9%-25.9%0.5%
VWIV83.3%43.9%121.4%112.0%87.6%
Skew 25d-0.9%-44.0%44.5%-18.9%13.9%
Skew 10d-5.3%-51.2%23.4%-32.5%19.2%
Call IV 25d92.5%71.7%118.1%104.3%71.7%
Put IV 25d91.6%59.5%122.2%85.4%85.6%
Bid-Ask Spread %80.1720.36131.0479.3636.01
Gamma HHI0.620.410.890.420.50
Net GEX24935823174183
Net DEX103.7K56.7K129.9K122.2K76.6K
Net VEX-253-337-183-307-238
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.500.005.003.250.00
Total Volume20.22701005120
Total OI4,682.5454,6594,7194,6854,694

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2009-12-01$2.26$0.00103.0%29.5%67.8%48.5%112.0%-18.9%-25.9%174122.2K-3073.2579.36N/AN/A12393,812873
2009-12-02$2.35$2.5078.0%22.4%65.9%27.9%82.4%3.3%8.9%329111.1K-3370.00131.04N/AN/A1303,824835
2009-12-03$2.18$2.5076.6%22.0%71.8%26.8%0.0%-21.2%2.8%122122.5K-2540.00129.69N/AN/A1403,825835
2009-12-04$2.16$5.0085.8%20.8%71.5%34.4%81.8%-22.4%-0.3%88129.9K-2150.0068.75N/AN/A1003,825835
2009-12-07$2.25$5.0094.6%28.3%70.3%41.6%98.9%1.1%2.0%280117.1K-2780.0042.26N/AN/A2103,835835
2009-12-08$2.19$5.00109.5%30.3%70.9%53.9%0.0%3.7%-3.5%363106.9K-3040.0020.36N/AN/A003,856835
2009-12-09$2.14$5.00103.9%32.7%71.2%49.2%0.0%9.0%-22.9%297113.3K-2660.0080.48N/AN/A1403,856835
2009-12-10$2.05$5.0095.6%27.4%72.6%42.4%0.0%2.7%-31.2%151105.1K-2280.0057.38N/AN/A003,870835
2009-12-11$2.11$5.00111.7%32.0%64.8%55.7%0.0%18.8%-42.6%178120.8K-2320.0090.44N/AN/A003,870835
2009-12-14$2.22$5.0096.9%27.8%64.0%43.5%0.0%-19.8%-20.5%162115.0K-2260.0026.21N/AN/A1803,870795
2009-12-15$2.25$5.0082.0%23.5%63.6%31.2%0.0%44.5%36.3%282105.6K-2690.0066.68N/AN/A003,878795
2009-12-16$2.27$5.0099.5%28.5%63.6%45.6%64.0%5.7%28.8%157112.3K-2380.00107.02N/AN/A2303,878795
2009-12-17$2.19$5.00117.2%33.6%64.9%60.2%0.0%7.3%40.0%218110.1K-2350.00108.75N/AN/A2403,878795
2009-12-18$2.21$5.0062.6%18.0%64.6%15.3%0.0%-14.4%22.1%35127.7K-1900.00101.49N/AN/A1603,891795
2009-12-21$2.29$5.0082.3%23.6%65.7%31.5%0.0%-11.1%24.8%46120.5K-2060.0090.01N/AN/A1903,874795
2009-12-22$2.56$5.0094.6%27.1%75.9%41.6%94.6%2.0%-17.9%199105.3K-2435.0088.43N/AN/A2103,881795
2009-12-23$2.82$5.0079.2%22.7%82.1%28.9%121.4%-9.8%16.3%82375.6K-3170.48101.45N/AN/A25123,880785
2009-12-24$2.82$5.0076.4%21.9%82.1%26.6%48.8%10.7%7.8%56783.0K-2810.09101.14N/AN/A9283,883781
2009-12-28$2.90$5.0067.5%19.3%80.5%19.3%0.0%-44.0%44.5%14465.2K-1830.0058.84N/AN/A103,945773
2009-12-29$2.94$5.0073.1%21.0%77.9%24.0%43.9%22.1%56.9%40956.7K-2760.0093.31N/AN/A603,946773
2009-12-30$2.82$5.0083.1%23.8%73.2%32.2%80.8%-2.4%15.6%26378.1K-2350.1884.71N/AN/A3973,942773
2009-12-31$2.72$5.0078.0%22.4%74.2%28.0%87.6%13.9%0.5%18376.6K-2380.0036.01N/AN/A2003,946748