NBIX Options History — August 2010

In August 2010, NBIX traded between $5.38 and $6.52. ATM implied volatility averaged 62.8%, placing in the 12.3% IV rank vs the trailing year. The 30-day expected move averaged 18.6%. IV traded above realized volatility by 8.4% (HV 20d: 54.4%). Max pain ranged from $5.00 to $7.50. Net GEX was positive for 8 of 22 trading days. Term structure was in contango for 19 of 22 days. Put/call ratio averaged 0.53.

Notable Days

  • 2010-08-26: Highest Volume — 1,040 contracts
  • 2010-08-10: Largest IV spike — 43.5% change
  • 2010-08-10: Highest IV Rank — 20.0%
  • 2010-08-10: Largest Expected Move — 21.2%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$5.91$5.38$6.52$5.89$5.38
Max Pain$5.11$5.00$7.50$5.00$5.00
ATM IV62.8%41.6%75.4%67.6%67.4%
Expected Move18.6%11.9%21.2%19.4%19.3%
HV 20d54.4%46.2%62.3%50.9%60.8%
HV 60d82.5%65.1%94.6%94.6%65.1%
IV Rank12.3%0.0%20.0%14.3%15.2%
IV Percentile21.0%0.0%39.3%28.2%28.2%
Term Structure7.7%-2.2%30.9%16.4%3.3%
VWIV59.7%37.2%68.7%60.4%58.3%
Skew 25d15.7%-3.6%38.7%25.2%38.7%
Skew 10d26.9%9.9%68.2%40.3%68.2%
Call IV 25d53.8%40.3%62.1%50.7%40.3%
Put IV 25d69.6%53.7%81.3%75.9%79.0%
Bid-Ask Spread %45.0316.2197.3138.8654.52
Gamma HHI0.490.330.720.500.35
Net GEX-4.0K-19.6K8.3K-2.4K6.8K
Net DEX-718.4K-972.4K-279.8K-781.5K-450.5K
Net VEX-5.4K-6.3K-4.9K-4.9K-5.9K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.530.005.563.500.10
Total Volume170.27311,0402733
Total OI8,658.4095,54410,1179,6776,796

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2010-08-02$5.89$5.0067.6%19.4%50.9%14.3%0.0%0.0%16.4%-2.4K-781.5K-4.9K3.5038.86N/AN/A6213,4206,257
2010-08-03$6.09$5.0072.4%20.8%46.2%17.1%60.4%0.0%7.9%-17.6K-677.7K-6.0K0.1817.84N/AN/A265483,4246,254
2010-08-04$6.52$5.0055.3%15.8%49.0%6.9%49.7%0.0%30.9%-8.2K-972.4K-5.6K0.1116.21N/AN/A279303,3966,276
2010-08-05$6.47$5.0041.6%11.9%49.2%0.0%37.2%0.0%29.3%-1.2K-953.6K-5.2K0.0516.67N/AN/A6333,2856,302
2010-08-06$6.29$7.5049.4%19.8%50.8%4.6%66.8%0.0%-0.9%-7.0K-837.8K-5.2K5.5644.33N/AN/A9503,2956,303
2010-08-09$6.41$5.0052.6%18.9%51.0%6.5%0.0%0.0%2.8%-4.5K-899.4K-5.2K0.0197.31N/AN/A7613,3006,305
2010-08-10$6.22$5.0075.4%21.2%52.6%20.0%59.0%0.0%5.1%-9.5K-792.1K-5.3K0.0053.27N/AN/A4003,3136,306
2010-08-11$5.85$5.0052.9%18.6%57.5%6.7%0.0%0.0%11.1%-13.8K-586.4K-5.0K0.2359.08N/AN/A6961613,3136,306
2010-08-12$5.93$5.0064.0%18.4%56.6%13.2%0.0%25.2%6.3%-19.6K-856.5K-5.3K0.0050.12N/AN/A9903,7636,212
2010-08-13$5.75$5.0065.4%18.8%54.6%14.1%64.1%12.7%5.4%-16.4K-753.3K-5.5K0.2053.52N/AN/A100203,7786,212
2010-08-16$5.91$5.0064.6%18.5%54.8%13.6%0.0%18.8%5.1%-7.6K-873.2K-5.4K0.0066.72N/AN/A1203,8756,232
2010-08-17$6.03$5.0070.4%20.2%54.9%17.0%0.0%24.6%-1.0%-3.5K-956.6K-5.4K0.0052.29N/AN/A1703,8856,232
2010-08-18$5.87$5.0065.0%18.6%55.1%13.8%0.0%23.1%7.7%-5.2K-926.8K-5.2K0.0033.37N/AN/A103,8856,232
2010-08-19$5.88$5.0064.0%18.4%53.6%13.2%63.7%15.4%5.4%-373-874.7K-5.2K0.0036.34N/AN/A10303,8356,210
2010-08-20$5.90$5.0068.2%19.6%52.6%15.7%68.7%15.4%2.6%733-872.7K-5.3K0.0638.37N/AN/A177103,8956,210
2010-08-23$5.58$5.0070.9%20.3%54.9%17.3%0.0%6.2%-2.2%853-416.8K-5.0K0.2438.07N/AN/A82202,8722,672
2010-08-24$5.62$5.0063.8%18.3%54.3%13.1%65.0%22.8%6.5%964-324.7K-5.1K0.0740.47N/AN/A5742,9542,692
2010-08-25$5.82$5.0063.6%18.2%54.5%13.0%64.1%13.4%3.7%2.1K-432.7K-5.2K1.3241.46N/AN/A38503,0052,696
2010-08-26$5.44$5.0062.9%18.0%60.0%12.6%58.3%2.6%5.6%454-279.8K-5.1K0.0146.21N/AN/A1,030102,9892,746
2010-08-27$5.75$5.0064.3%18.4%60.9%13.4%0.0%-3.6%1.3%8.3K-675.9K-6.3K0.0047.85N/AN/A12404,0102,756
2010-08-30$5.45$5.0059.0%16.9%62.3%10.2%0.0%4.9%17.8%7.8K-608.9K-6.0K0.0047.74N/AN/A1104,0302,756
2010-08-31$5.38$5.0067.4%19.3%60.8%15.2%0.0%38.7%3.3%6.8K-450.5K-5.9K0.1054.52N/AN/A3034,0402,756