NBIX Options History — July 2010

In July 2010, NBIX traded between $5.16 and $5.76. ATM implied volatility averaged 77.1%, placing in the 20.0% IV rank vs the trailing year. The 30-day expected move averaged 23.1%. IV traded above realized volatility by 12.0% (HV 20d: 65.1%). Max pain ranged from $5.00 to $5.00. Net GEX was positive for 0 of 21 trading days. Term structure was in contango for 5 of 21 days. Put/call ratio averaged 0.47.

Notable Days

  • 2010-07-26: Highest Volume — 333 contracts
  • 2010-07-12: Largest IV spike — 52.1% change
  • 2010-07-01: Highest IV Rank — 32.8%
  • 2010-07-01: Largest Expected Move — 28.3%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$5.53$5.16$5.76$5.73$5.68
Max Pain$5.00$5.00$5.00$5.00$5.00
ATM IV77.1%49.5%98.6%98.6%79.1%
Expected Move23.1%17.3%28.3%28.3%22.7%
HV 20d65.1%46.9%88.5%88.5%49.3%
HV 60d98.2%94.5%99.8%99.7%94.5%
IV Rank20.0%3.5%32.8%32.8%21.2%
IV Percentile44.8%3.2%75.8%75.8%48.0%
Term Structure-4.0%-18.7%19.6%-7.0%-6.5%
VWIV80.2%51.1%99.1%99.1%79.2%
Bid-Ask Spread %39.0521.4952.6732.0745.36
Gamma HHI0.760.530.830.530.75
Net GEX-21.7K-33.0K-7.1K-7.7K-24.8K
Net DEX-300.1K-728.5K349.0K-586.4K-272.1K
Net VEX-7.4K-8.8K-5.0K-8.8K-6.6K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.470.002.240.271.60
Total Volume111.905533356208
Total OI11,260.3339,30813,06012,5049,733

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2010-07-01$5.73$5.0098.6%28.3%88.5%32.8%99.1%0.0%-7.0%-7.7K-586.4K-8.8K0.2732.07N/AN/A44125,5696,935
2010-07-02$5.70$5.0085.6%24.5%80.6%25.0%85.0%0.0%5.3%-10.1K-557.3K-8.7K0.2040.97N/AN/A51105,6026,939
2010-07-06$5.36$5.0090.8%23.9%83.1%28.1%93.2%0.0%-8.2%-15.0K-235.3K-8.2K2.2446.89N/AN/A781755,6526,930
2010-07-07$5.63$5.0079.3%26.3%81.5%21.3%88.5%0.0%-18.7%-20.8K-556.4K-7.6K0.6240.30N/AN/A103645,6927,098
2010-07-08$5.65$5.0058.9%23.1%81.4%9.1%83.8%0.0%-8.9%-22.3K-555.4K-8.1K0.0034.99N/AN/A4005,7407,162
2010-07-09$5.68$5.0049.5%23.3%74.7%3.5%85.6%0.0%-10.6%-20.7K-640.5K-7.8K0.0042.62N/AN/A4605,7507,162
2010-07-12$5.70$5.0075.2%24.6%74.6%18.8%87.6%0.0%-5.8%-19.0K-696.9K-7.8K0.9847.79N/AN/A51505,7727,162
2010-07-13$5.70$5.0076.6%23.0%73.3%19.7%89.3%0.0%-10.0%-21.4K-688.3K-7.5K0.0045.15N/AN/A4905,7847,162
2010-07-14$5.68$5.0081.5%23.0%72.6%22.5%82.3%0.0%-8.6%-21.7K-706.6K-7.4K0.8844.04N/AN/A60535,8097,162
2010-07-15$5.53$5.0080.7%23.1%57.0%22.1%85.1%0.0%-14.5%-21.7K-614.2K-7.4K0.0637.37N/AN/A163105,8487,212
2010-07-16$5.26$5.0078.0%22.4%58.2%20.5%82.8%0.0%-1.7%-24.3K-265.3K-7.5K0.8530.56N/AN/A1641405,8277,222
2010-07-19$5.19$5.0083.3%23.9%58.2%23.6%82.3%0.0%-5.4%-24.5K349.0K-7.2K0.2730.49N/AN/A52143,1816,131
2010-07-20$5.28$5.0080.1%23.0%57.0%21.7%67.9%0.0%7.8%-25.3K238.4K-7.2K0.0036.87N/AN/A7903,1736,135
2010-07-21$5.16$5.0079.6%22.8%56.9%21.4%79.4%0.0%-6.6%-25.7K291.8K-7.1K1.2335.50N/AN/A65803,2326,135
2010-07-22$5.38$5.0080.6%23.1%59.1%22.0%0.0%0.0%-6.1%-26.6K169.8K-7.3K0.0038.06N/AN/A503,2426,215
2010-07-23$5.55$5.0071.2%20.4%58.9%16.4%0.0%0.0%17.8%-28.1K-35.7K-7.0K0.0032.85N/AN/A3003,2376,215
2010-07-26$5.76$5.0083.0%23.8%54.5%23.5%51.1%0.0%-4.5%-7.1K-728.5K-5.0K0.1421.49N/AN/A292413,2476,215
2010-07-27$5.62$5.0060.2%17.3%54.2%9.9%57.8%0.0%19.6%-27.7K-223.0K-6.7K0.3348.34N/AN/A1243,4636,256
2010-07-28$5.46$5.0077.7%22.3%47.2%20.3%73.0%0.0%-12.9%-28.3K-18.8K-6.8K0.1152.67N/AN/A4753,4626,252
2010-07-29$5.42$5.0069.7%20.0%46.9%15.5%69.9%0.0%1.8%-33.0K30.5K-6.8K0.1035.63N/AN/A4853,4966,256
2010-07-30$5.68$5.0079.1%22.7%49.3%21.2%79.2%0.0%-6.5%-24.8K-272.1K-6.6K1.6045.36N/AN/A801283,4726,261