NBIX Options History — June 2010

In June 2010, NBIX traded between $4.00 and $6.16. ATM implied volatility averaged 99.2%, placing in the 33.1% IV rank vs the trailing year. The 30-day expected move averaged 28.8%. IV traded below realized volatility by 22.0% (HV 20d: 121.2%). Max pain ranged from $2.50 to $5.00. Net GEX was positive for 0 of 22 trading days. Term structure was in contango for 5 of 22 days. Put/call ratio averaged 0.80.

Notable Days

  • 2010-06-16: Highest Volume — 5,251 contracts
  • 2010-06-10: Largest IV spike — 33.0% change
  • 2010-06-02: Highest IV Rank — 43.6%
  • 2010-06-02: Largest Expected Move — 33.5%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$5.05$4.00$6.16$4.00$5.60
Max Pain$4.66$2.50$5.00$2.50$5.00
ATM IV99.2%77.8%116.8%112.1%89.9%
Expected Move28.8%23.3%33.5%32.1%25.8%
HV 20d121.2%89.7%134.8%133.1%92.4%
HV 60d95.4%86.5%99.7%86.5%99.7%
IV Rank33.1%20.3%43.6%40.8%27.6%
IV Percentile76.3%49.2%88.9%88.1%65.1%
Term Structure-4.2%-24.0%37.4%-8.5%-2.4%
VWIV100.1%66.8%129.5%129.5%90.3%
Bid-Ask Spread %38.7120.8585.8323.8732.62
Gamma HHI0.670.420.880.590.56
Net GEX-8.7K-17.1K-208-996-9.8K
Net DEX-184.5K-1.2M685.8K-100.8K-447.5K
Net VEX-7.2K-9.7K-3.8K-3.8K-8.8K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.800.003.461.250.30
Total Volume665.136135,25111513
Total OI10,310.3645,64014,0005,64012,494

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2010-06-01$4.00$2.50112.1%32.1%133.1%40.8%129.5%0.0%-8.5%-996-100.8K-3.8K1.2523.87N/AN/A51642,5403,100
2010-06-02$4.45$2.50116.8%33.5%133.0%43.6%117.0%0.0%4.0%-598-204.7K-4.0K0.2320.85N/AN/A71162,5653,138
2010-06-03$4.84$2.5099.0%28.4%127.1%33.0%99.0%0.0%10.7%-208-402.7K-4.2K1.3127.06N/AN/A5767532,5843,141
2010-06-04$4.42$5.00105.8%31.3%133.9%37.1%109.6%0.0%-7.8%-10.5K296.1K-6.3K3.2270.72N/AN/A1585082,9405,748
2010-06-07$4.26$5.00104.8%30.2%130.9%36.5%105.2%0.0%-2.0%-12.2K510.2K-6.2K0.6857.34N/AN/A113772,9906,185
2010-06-08$4.08$5.00112.1%31.3%133.3%40.8%109.0%0.0%-7.3%-10.4K685.8K-5.7K3.1484.73N/AN/A14443,0206,185
2010-06-09$4.20$5.0077.8%30.5%133.3%20.3%0.0%0.0%-5.5%-10.9K685.8K-5.9K0.0085.83N/AN/A3003,0226,199
2010-06-10$4.65$5.00103.4%29.7%132.3%35.7%103.5%0.0%-7.9%-15.5K480.3K-6.3K0.0923.20N/AN/A232203,0426,199
2010-06-11$4.64$5.00101.3%29.0%132.4%34.4%0.0%0.0%-9.2%-15.4K447.8K-6.4K0.2258.22N/AN/A139313,1266,180
2010-06-14$4.51$5.00105.3%30.2%129.5%36.8%105.3%0.0%-8.0%-13.6K504.5K-6.1K0.3422.92N/AN/A208703,1966,149
2010-06-15$4.70$5.00104.9%30.1%129.2%36.6%0.0%0.0%-9.5%-15.3K460.8K-6.2K0.5021.81N/AN/A1053,2536,194
2010-06-16$5.37$5.0098.8%28.3%134.8%32.9%100.9%0.0%-11.5%-17.1K-295.7K-6.7K0.3321.08N/AN/A3,9491,3023,2606,199
2010-06-17$5.57$5.0093.3%26.7%133.3%29.6%86.0%0.0%5.6%-10.0K-1.2M-8.7K0.1931.03N/AN/A2,5194806,1937,278
2010-06-18$5.50$5.0094.3%27.0%125.9%30.2%0.0%0.0%-8.3%-8.8K-871.0K-9.3K0.2126.32N/AN/A325686,3307,670
2010-06-21$5.70$5.0091.0%26.1%125.9%28.2%92.9%0.0%-5.3%-7.3K-559.2K-9.2K0.0739.68N/AN/A544375,1936,795
2010-06-22$5.56$5.0091.3%26.2%127.3%28.4%91.1%0.0%0.5%-5.2K-511.0K-9.5K0.2022.72N/AN/A162335,5626,827
2010-06-23$5.55$5.00101.0%29.0%107.7%34.2%102.8%0.0%-12.5%-6.2K-435.9K-9.7K3.4641.51N/AN/A13455,6276,842
2010-06-24$5.74$5.00107.3%30.8%89.7%38.0%106.9%0.0%-24.0%-6.4K-620.5K-9.5K0.9734.51N/AN/A75735,6306,884
2010-06-25$6.16$5.0081.4%23.3%91.4%22.5%66.8%0.0%37.4%-2.5K-1.1M-9.0K0.1532.65N/AN/A1,2711935,6266,901
2010-06-28$5.98$5.0092.9%26.6%91.9%29.4%88.7%0.0%-8.6%-3.1K-952.7K-8.9K0.5851.12N/AN/A165955,5156,850
2010-06-29$5.52$5.0097.9%28.1%98.4%32.4%97.5%0.0%-13.0%-10.0K-368.9K-8.9K0.2321.79N/AN/A66155,5316,925
2010-06-30$5.60$5.0089.9%25.8%92.4%27.6%90.3%0.0%-2.4%-9.8K-447.5K-8.8K0.3032.62N/AN/A1035,5596,935