NBIX Options History — December 2010

In December 2010, NBIX traded between $7.63 and $8.44. ATM implied volatility averaged 52.6%, placing in the 8.4% IV rank vs the trailing year. The 30-day expected move averaged 14.9%. IV traded above realized volatility by 5.3% (HV 20d: 47.3%). Max pain ranged from $7.00 to $7.00. Net GEX was positive for 22 of 22 trading days. Term structure was in contango for 22 of 22 days. Put/call ratio averaged 0.29.

Notable Days

  • 2010-12-01: Highest Volume — 692 contracts
  • 2010-12-10: Largest IV spike — 23.6% change
  • 2010-12-13: Highest IV Rank — 14.3%
  • 2010-12-06: Largest Expected Move — 16.6%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$7.98$7.63$8.44$7.63$7.64
Max Pain$7.00$7.00$7.00$7.00$7.00
ATM IV52.6%43.8%62.8%52.9%49.9%
Expected Move14.9%13.3%16.6%15.2%14.3%
HV 20d47.3%33.6%58.4%56.0%33.6%
HV 60d58.6%57.1%60.3%59.5%57.1%
IV Rank8.4%3.3%14.3%8.6%6.9%
IV Percentile12.4%1.6%38.9%9.9%7.9%
Term Structure6.9%2.0%10.5%7.0%10.2%
VWIV52.3%45.6%59.2%54.2%50.7%
Skew 25d4.8%-12.6%24.7%6.0%11.4%
Skew 10d15.0%-18.2%91.8%91.8%20.2%
Call IV 25d46.7%34.1%53.9%48.4%39.3%
Put IV 25d51.5%39.8%59.6%54.4%50.6%
Bid-Ask Spread %83.0025.1992.1786.7425.19
Gamma HHI0.360.320.430.370.35
Net GEX54.3K41.5K67.8K41.5K50.7K
Net DEX-1.9M-2.5M-1.4M-1.6M-1.4M
Net VEX-7.2K-8.2K-6.2K-7.7K-6.2K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.290.001.500.031.50
Total Volume199.5912069269225
Total OI6,836.6366,4267,0946,6367,094

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2010-12-01$7.63$7.0052.9%15.2%56.0%8.6%54.2%6.0%7.0%41.5K-1.6M-7.7K0.0386.74N/AN/A675175,4711,165
2010-12-02$8.02$7.0054.0%15.5%58.4%9.2%55.5%4.9%5.3%48.5K-2.1M-8.1K0.2384.61N/AN/A248565,6441,151
2010-12-03$7.91$7.0051.8%14.9%57.7%8.0%51.7%2.8%7.7%49.2K-2.0M-8.2K0.1086.95N/AN/A5155,7551,194
2010-12-06$7.83$7.0053.4%16.6%57.6%8.9%58.1%6.0%2.9%52.1K-2.0M-7.8K0.1078.19N/AN/A237245,8051,199
2010-12-07$7.88$7.0056.5%15.1%57.4%10.7%53.2%2.9%7.3%53.2K-1.8M-7.6K0.0080.26N/AN/A13905,6441,220
2010-12-08$7.79$7.0052.8%15.2%52.8%8.5%0.0%1.9%7.8%51.6K-1.7M-7.3K0.0081.42N/AN/A2005,5721,220
2010-12-09$7.66$7.0043.8%14.6%49.7%3.3%49.8%3.5%9.4%49.7K-1.5M-7.0K0.0489.85N/AN/A10445,5481,220
2010-12-10$7.94$7.0054.1%15.3%49.1%9.3%53.4%5.3%6.3%58.0K-1.9M-7.3K0.0987.57N/AN/A5555,6381,216
2010-12-13$7.90$7.0062.8%15.2%48.2%14.3%0.0%3.6%7.1%58.4K-1.9M-7.0K0.0182.22N/AN/A30525,6751,221
2010-12-14$8.17$7.0058.3%14.7%49.2%11.7%51.2%11.3%10.5%66.7K-2.3M-7.4K0.7485.38N/AN/A97725,8391,221
2010-12-15$8.14$7.0052.0%14.9%43.4%8.1%59.2%9.5%8.0%67.8K-2.2M-7.3K1.1389.82N/AN/A1651875,7791,238
2010-12-16$8.35$7.0054.6%15.7%43.8%9.6%0.0%12.1%4.7%61.5K-2.5M-7.2K0.0889.58N/AN/A9175,8811,197
2010-12-17$8.06$7.0048.9%14.0%46.4%6.2%45.6%7.0%8.6%50.6K-2.3M-7.1K0.0592.17N/AN/A214105,8781,197
2010-12-20$8.23$7.0049.5%14.2%46.0%6.6%49.1%-4.3%9.5%54.0K-2.1M-7.3K0.1388.30N/AN/A80105,4101,090
2010-12-21$8.42$7.0052.7%15.1%46.2%8.5%47.5%0.1%2.0%56.3K-2.2M-7.1K0.2687.74N/AN/A72195,3671,100
2010-12-22$8.44$7.0046.5%13.3%41.1%4.9%51.9%-12.6%2.2%56.9K-2.3M-7.1K0.0184.63N/AN/A61775,3251,101
2010-12-23$8.18$7.0051.4%14.7%42.0%7.7%48.1%-5.8%7.7%56.1K-2.0M-7.0K0.2685.50N/AN/A73195,4911,107
2010-12-27$8.13$7.0051.7%14.8%41.6%7.9%51.1%2.0%9.9%56.1K-1.9M-6.8K0.0883.32N/AN/A147125,5541,125
2010-12-28$7.85$7.0055.0%15.8%41.4%9.8%52.1%24.7%5.3%51.7K-1.6M-6.4K0.3484.76N/AN/A273925,6341,137
2010-12-29$7.81$7.0053.0%15.2%41.2%8.6%58.9%5.7%5.0%53.3K-1.6M-6.6K0.9384.46N/AN/A42395,8081,224
2010-12-30$7.69$7.0050.8%14.6%38.3%7.4%50.7%8.7%7.1%50.9K-1.4M-6.2K0.1987.21N/AN/A62125,8191,232
2010-12-31$7.64$7.0049.9%14.3%33.6%6.9%0.0%11.4%10.2%50.7K-1.4M-6.2K1.5025.19N/AN/A10155,8501,244