NBIX Options History — September 2010

In September 2010, NBIX traded between $5.53 and $6.35. ATM implied volatility averaged 59.5%, placing in the 10.6% IV rank vs the trailing year. The 30-day expected move averaged 17.7%. IV traded above realized volatility by 1.7% (HV 20d: 57.9%). Max pain ranged from $5.00 to $6.00. Net GEX was positive for 21 of 21 trading days. Term structure was in contango for 18 of 21 days. Put/call ratio averaged 2.70.

Notable Days

  • 2010-09-14: Highest Volume — 912 contracts
  • 2010-09-08: Largest IV spike — 26.0% change
  • 2010-09-14: Highest IV Rank — 16.5%
  • 2010-09-14: Largest Expected Move — 20.0%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$5.95$5.53$6.35$5.74$6.06
Max Pain$5.57$5.00$6.00$5.00$6.00
ATM IV59.5%44.0%69.6%57.0%59.4%
Expected Move17.7%15.7%20.0%16.3%17.0%
HV 20d57.9%45.7%63.8%60.2%45.7%
HV 60d57.7%51.9%65.6%65.6%51.9%
IV Rank10.6%1.4%16.5%9.1%10.5%
IV Percentile16.3%0.8%32.9%10.3%15.9%
Term Structure2.9%-4.9%10.9%9.3%1.2%
VWIV57.3%33.1%65.1%33.1%64.4%
Skew 25d7.9%-11.5%24.7%-0.4%22.2%
Skew 10d7.8%-10.1%27.7%4.1%27.7%
Call IV 25d51.1%37.4%63.3%55.6%39.1%
Put IV 25d58.9%45.4%69.0%55.2%61.3%
Bid-Ask Spread %36.4519.3791.7149.2835.72
Gamma HHI0.360.320.430.350.35
Net GEX14.4K8.4K19.8K8.6K18.4K
Net DEX-915.5K-1.2M-597.2K-636.1K-1.1M
Net VEX-5.4K-6.0K-4.8K-6.0K-5.1K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio2.700.0033.670.000.09
Total Volume135.810912187
Total OI6,703.5716,3906,9556,8146,955

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2010-09-01$5.74$5.0057.0%16.3%60.2%9.1%0.0%-0.4%9.3%8.6K-636.1K-6.0K0.0049.28N/AN/A104,0552,759
2010-09-02$5.65$5.0059.9%17.2%60.3%10.8%0.0%-11.5%5.6%8.4K-625.6K-6.0K0.0033.19N/AN/A044,0542,759
2010-09-03$5.73$5.0048.4%18.8%60.2%4.0%0.0%5.0%-0.4%9.1K-674.1K-5.9K0.0032.23N/AN/A1404,0542,763
2010-09-07$5.53$5.0044.0%18.9%60.5%1.4%0.0%24.7%0.6%8.5K-597.2K-5.8K0.0028.28N/AN/A1104,0612,763
2010-09-08$5.64$5.0055.4%18.5%60.6%8.2%33.1%18.0%5.9%8.9K-599.9K-5.8K0.0091.71N/AN/A2104,0622,763
2010-09-09$5.66$5.0066.0%18.9%56.8%14.4%0.0%20.9%1.0%9.0K-606.9K-5.8K0.0029.91N/AN/A004,0672,763
2010-09-10$5.70$5.0060.6%17.4%56.6%11.2%0.0%22.0%4.1%9.5K-620.1K-5.6K0.0426.15N/AN/A10544,0672,763
2010-09-13$6.07$5.0065.6%18.8%60.0%14.2%63.3%4.8%0.6%12.3K-953.4K-5.7K4.0551.00N/AN/A763084,1332,767
2010-09-14$6.25$5.0069.6%20.0%60.1%16.5%65.1%0.8%0.3%15.0K-1.2M-5.5K5.0821.52N/AN/A1507624,2002,542
2010-09-15$6.02$6.0064.3%18.4%61.3%13.4%63.8%5.0%0.1%16.8K-971.3K-5.3K0.1633.50N/AN/A204324,2322,216
2010-09-16$5.88$6.0062.0%17.8%61.1%12.0%0.0%22.4%1.2%16.0K-879.9K-5.1K0.0053.55N/AN/A054,2392,248
2010-09-17$5.74$6.0060.3%17.3%61.7%11.0%59.2%17.9%5.5%14.6K-815.6K-5.1K0.2629.42N/AN/A95254,2392,253
2010-09-20$6.00$6.0054.8%15.7%63.8%7.8%52.3%10.6%10.9%16.1K-963.8K-5.1K0.5819.37N/AN/A57334,1862,204
2010-09-21$6.06$6.0057.4%16.4%60.2%9.3%52.9%11.7%6.1%17.5K-1.0M-5.1K4.2262.28N/AN/A361524,2152,225
2010-09-22$5.97$6.0059.2%17.0%60.6%10.4%0.0%1.7%4.6%16.2K-958.1K-5.1K0.0021.69N/AN/A1004,2482,306
2010-09-23$6.19$6.0062.4%17.9%60.7%12.2%61.7%-8.2%-2.0%18.4K-1.2M-5.0K0.3130.23N/AN/A193604,2352,306
2010-09-24$6.32$6.0058.8%16.8%54.9%10.1%0.0%-0.3%5.4%19.5K-1.2M-5.0K0.0829.73N/AN/A3734,2982,360
2010-09-27$6.19$6.0063.9%18.3%52.7%13.2%64.4%-5.3%-4.9%19.8K-1.1M-4.8K33.6728.39N/AN/A31014,3262,363
2010-09-28$6.35$6.0058.1%16.7%48.6%9.7%0.0%2.1%5.4%19.7K-1.2M-4.9K0.0029.68N/AN/A25004,3282,454
2010-09-29$6.26$6.0063.1%18.1%48.7%12.7%0.0%1.6%0.1%19.7K-1.2M-5.2K0.0828.64N/AN/A1214,4902,454
2010-09-30$6.06$6.0059.4%17.0%45.7%10.5%0.0%22.2%1.2%18.4K-1.1M-5.1K0.0935.72N/AN/A8074,5002,455