NBIX Options History — November 2010

In November 2010, NBIX traded between $6.58 and $8.00. ATM implied volatility averaged 60.2%, placing in the 12.8% IV rank vs the trailing year. The 30-day expected move averaged 17.2%. IV traded above realized volatility by 3.9% (HV 20d: 56.3%). Max pain ranged from $6.00 to $7.00. Net GEX was positive for 21 of 21 trading days. Term structure was in contango for 15 of 21 days. Put/call ratio averaged 1.79.

Notable Days

  • 2010-11-12: Highest Volume — 617 contracts
  • 2010-11-29: Largest IV spike — 13.8% change
  • 2010-11-15: Highest IV Rank — 14.7%
  • 2010-11-15: Largest Expected Move — 18.2%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$7.21$6.58$8.00$8.00$7.28
Max Pain$6.81$6.00$7.00$6.00$7.00
ATM IV60.2%55.5%63.4%61.4%62.8%
Expected Move17.2%15.9%18.2%17.6%18.0%
HV 20d56.3%43.4%74.3%73.1%55.3%
HV 60d60.9%58.7%62.6%60.9%59.4%
IV Rank12.8%10.1%14.7%13.5%14.3%
IV Percentile27.2%15.9%37.3%28.2%35.7%
Term Structure2.9%-4.1%11.5%-4.1%-1.9%
VWIV56.0%33.9%64.3%61.3%63.0%
Skew 25d5.2%-12.7%20.2%4.2%-4.0%
Skew 10d14.5%-20.4%33.5%10.4%-15.5%
Call IV 25d54.6%41.0%65.6%57.3%58.8%
Put IV 25d59.8%43.1%67.1%61.5%54.8%
Bid-Ask Spread %85.5272.5599.6381.7093.07
Gamma HHI0.340.270.380.360.36
Net GEX39.3K22.6K54.5K54.5K34.5K
Net DEX-2.2M-3.8M-702.0K-3.8M-1.2M
Net VEX-7.4K-9.4K-5.5K-9.4K-7.1K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.790.0012.501.900.08
Total Volume247.0483061718353
Total OI10,680.0955,76812,69911,9076,613

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2010-11-01$8.00$6.0061.4%17.6%73.1%13.5%61.3%4.2%-4.1%54.5K-3.8M-9.4K1.9081.70N/AN/A631208,4873,420
2010-11-02$7.64$6.0060.4%17.3%74.3%12.9%52.9%-12.7%-0.7%48.1K-3.3M-9.1K0.5679.88N/AN/A3171788,4703,504
2010-11-03$7.54$6.0057.8%16.6%73.4%11.4%41.7%2.0%1.3%48.8K-3.0M-8.6K1.1678.32N/AN/A1872178,6133,660
2010-11-04$7.78$6.0058.1%16.7%73.5%11.6%58.1%13.0%-0.7%50.7K-3.2M-9.1K0.9476.97N/AN/A53508,7353,801
2010-11-05$7.67$7.0056.0%17.0%53.4%10.4%58.8%6.4%4.9%51.1K-3.3M-8.8K3.7672.55N/AN/A371398,7563,656
2010-11-08$7.57$7.0061.6%17.1%53.2%13.6%64.3%5.7%5.4%49.7K-3.1M-8.4K12.5078.87N/AN/A121508,7793,656
2010-11-09$7.13$7.0062.8%17.4%57.3%14.3%60.7%12.1%4.2%42.9K-2.4M-8.0K0.4679.64N/AN/A2481148,7793,756
2010-11-10$7.54$7.0060.2%16.3%60.8%12.8%57.3%8.8%11.5%51.4K-3.0M-8.2K2.3279.18N/AN/A28658,9183,679
2010-11-11$7.27$7.0058.8%16.9%62.1%12.0%55.7%7.2%6.1%49.5K-2.7M-7.9K0.0681.80N/AN/A14598,9113,687
2010-11-12$7.11$7.0061.8%17.7%56.9%13.7%60.1%12.2%4.8%46.9K-2.4M-7.6K4.7179.29N/AN/A1085098,9873,696
2010-11-15$7.20$7.0063.4%18.2%55.6%14.7%62.2%11.5%3.9%51.6K-2.6M-7.6K0.0090.84N/AN/A3009,0603,624
2010-11-16$6.80$7.0062.3%17.9%55.6%14.0%61.7%-1.0%4.4%32.9K-1.9M-6.6K0.0587.25N/AN/A14879,0753,624
2010-11-17$6.88$7.0063.4%18.2%44.6%14.6%0.0%4.9%0.8%26.3K-2.0M-6.3K0.0087.48N/AN/A25909,1063,550
2010-11-18$6.86$7.0059.7%17.1%44.5%12.5%0.0%4.2%3.1%27.0K-2.0M-6.2K6.4187.87N/AN/A442829,0883,550
2010-11-19$6.78$7.0059.0%16.9%43.4%12.1%42.7%-5.1%7.3%26.1K-2.0M-6.0K0.9191.69N/AN/A2982729,1163,450
2010-11-22$6.90$7.0058.2%16.7%44.4%11.6%52.8%-1.8%5.0%25.7K-899.0K-6.2K0.0499.63N/AN/A11754,806962
2010-11-23$6.58$7.0061.0%17.5%46.2%13.3%57.6%18.1%-0.5%22.6K-702.0K-5.5K0.0891.51N/AN/A241204,886962
2010-11-24$6.88$7.0057.0%16.3%50.5%10.9%56.5%6.1%1.8%27.6K-871.4K-6.0K1.2592.65N/AN/A1121405,095962
2010-11-26$6.79$7.0055.5%15.9%50.4%10.1%33.9%20.2%4.3%25.8K-769.5K-6.2K0.2994.05N/AN/A214635,2001,102
2010-11-29$7.14$7.0063.1%18.1%54.7%14.5%63.6%-3.0%-0.0%31.8K-1.1M-7.0K0.0091.64N/AN/A13405,3361,165
2010-11-30$7.28$7.0062.8%18.0%55.3%14.3%63.0%-4.0%-1.9%34.5K-1.2M-7.1K0.0893.07N/AN/A4945,4481,165