NBIX Options History — October 2010

In October 2010, NBIX traded between $5.97 and $8.53. ATM implied volatility averaged 53.6%, placing in the 8.6% IV rank vs the trailing year. The 30-day expected move averaged 16.1%. IV traded below realized volatility by 11.1% (HV 20d: 64.8%). 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 21 of 21 days. Put/call ratio averaged 0.21.

Notable Days

  • 2010-10-27: Highest Volume — 2,200 contracts
  • 2010-10-07: Largest IV drop — 18.9% change
  • 2010-10-15: Highest IV Rank — 13.0%
  • 2010-10-15: Largest Expected Move — 17.4%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$7.58$5.97$8.53$5.97$8.14
Max Pain$5.10$5.00$6.00$6.00$6.00
ATM IV53.6%38.0%60.6%51.4%57.0%
Expected Move16.1%14.4%17.4%14.7%16.4%
HV 20d64.8%45.4%74.6%45.6%72.2%
HV 60d59.5%52.0%63.5%52.0%61.1%
IV Rank8.6%0.0%13.0%5.8%11.0%
IV Percentile11.7%0.0%22.2%5.2%17.5%
Term Structure8.1%0.0%19.5%6.4%5.4%
VWIV52.8%31.9%58.2%51.2%53.3%
Skew 25d4.7%-12.8%14.1%7.4%0.1%
Skew 10d4.6%-16.3%29.9%11.9%9.5%
Call IV 25d50.8%30.8%60.2%41.4%59.8%
Put IV 25d55.5%43.9%62.1%48.9%59.9%
Bid-Ask Spread %59.2618.2880.5123.5576.40
Gamma HHI0.340.260.490.370.36
Net GEX33.6K17.6K55.2K17.9K55.2K
Net DEX-2.8M-4.1M-939.6K-939.6K-4.0M
Net VEX-5.6K-9.7K-4.4K-4.9K-9.7K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.210.001.400.130.00
Total Volume465.286472,20046147
Total OI8,767.5717,03011,8677,03011,867

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2010-10-01$5.97$6.0051.4%14.7%45.6%5.8%51.2%7.4%6.4%17.9K-939.6K-4.9K0.1323.55N/AN/A408534,5752,455
2010-10-04$5.99$5.0051.8%15.9%45.4%6.0%0.0%5.1%17.2%27.2K-1.1M-4.9K1.4030.69N/AN/A50704,9242,508
2010-10-05$6.34$5.0051.3%16.1%47.1%5.7%51.7%4.7%19.5%30.4K-1.5M-4.9K0.0032.60N/AN/A8904,9692,568
2010-10-06$6.16$5.0046.9%16.6%48.4%3.2%56.8%6.1%14.2%29.3K-1.3M-4.9K0.0040.21N/AN/A9005,0342,568
2010-10-07$6.34$5.0038.0%16.3%49.2%0.0%0.0%7.9%13.7%30.7K-1.5M-4.7K0.0041.46N/AN/A11105,1242,568
2010-10-08$7.34$5.0043.6%16.5%70.1%3.2%55.3%6.7%7.5%32.9K-2.8M-4.7K0.1235.88N/AN/A1,1401355,2332,568
2010-10-11$7.49$5.0051.0%16.3%67.7%7.5%55.3%14.1%11.4%32.0K-3.0M-4.7K0.7718.60N/AN/A2211705,4982,675
2010-10-12$7.41$5.0060.3%15.8%67.7%12.9%46.4%11.0%12.2%34.5K-2.9M-4.7K0.2518.28N/AN/A80205,5412,765
2010-10-13$7.44$5.0057.3%16.0%65.5%11.1%57.0%-12.8%8.5%33.0K-2.9M-4.7K0.0079.66N/AN/A9805,5542,785
2010-10-14$7.52$5.0055.0%15.8%64.3%9.8%31.9%7.1%9.5%33.8K-3.0M-4.5K0.0075.41N/AN/A16605,6492,785
2010-10-15$8.04$5.0060.6%17.4%65.5%13.0%55.0%3.6%6.8%17.6K-3.6M-4.4K0.9172.28N/AN/A8167395,7162,785
2010-10-18$8.30$5.0050.4%14.4%65.0%7.1%50.0%12.2%15.0%29.4K-3.2M-5.1K0.0771.85N/AN/A254185,3723,247
2010-10-19$7.84$5.0054.6%15.7%70.0%9.6%50.7%-1.8%4.0%29.4K-2.8M-5.2K0.2177.44N/AN/A5861215,3863,259
2010-10-20$8.53$5.0057.8%16.6%73.6%11.4%52.8%5.9%0.0%26.0K-3.5M-5.5K0.0076.49N/AN/A88945,4043,306
2010-10-21$8.34$5.0057.0%16.3%74.6%10.9%56.7%0.9%2.5%37.4K-3.4M-6.0K0.0078.73N/AN/A12606,2263,309
2010-10-22$8.48$5.0054.7%15.7%74.5%9.6%56.8%2.6%3.2%38.3K-3.6M-6.1K0.0179.60N/AN/A14126,2113,309
2010-10-25$8.48$5.0057.6%16.5%73.6%11.3%57.0%4.4%3.5%38.4K-3.6M-6.0K0.0078.81N/AN/A25706,2253,311
2010-10-26$8.45$5.0057.3%16.4%73.8%11.1%0.0%2.3%3.7%37.5K-3.5M-5.8K0.0377.37N/AN/A382106,1483,311
2010-10-27$8.35$5.0054.3%15.6%73.7%9.4%53.7%13.6%5.0%39.4K-3.5M-6.1K0.0178.71N/AN/A2,180206,3883,321
2010-10-28$8.22$5.0058.0%16.6%72.5%11.5%58.2%-1.8%1.7%55.2K-4.1M-9.7K0.5980.51N/AN/A1751038,3313,341
2010-10-29$8.14$6.0057.0%16.4%72.2%11.0%53.3%0.1%5.4%55.2K-4.0M-9.7K0.0076.40N/AN/A4708,4473,420