NBIX Options History — May 2011

In May 2011, NBIX traded between $6.82 and $8.25. ATM implied volatility averaged 42.1%, placing in the 8.6% IV rank vs the trailing year. The 30-day expected move averaged 12.3%. IV traded above realized volatility by 3.6% (HV 20d: 38.5%). 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 14 of 21 days. Put/call ratio averaged 0.52.

Notable Days

  • 2011-05-19: Highest Volume — 1,206 contracts
  • 2011-05-10: Largest IV spike — 39.5% change
  • 2011-05-25: Highest IV Rank — 18.9%
  • 2011-05-03: Largest Expected Move — 14.5%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$7.36$6.82$8.25$7.64$8.25
Max Pain$6.57$6.00$7.00$6.00$6.00
ATM IV42.1%31.3%50.7%41.3%39.7%
Expected Move12.3%10.8%14.5%11.8%11.4%
HV 20d38.5%34.0%55.8%49.8%55.8%
HV 60d49.5%45.5%51.3%49.4%50.4%
IV Rank8.6%0.2%18.9%5.7%10.1%
IV Percentile12.6%0.4%24.2%8.3%9.1%
Term Structure1.5%-3.3%6.2%1.8%3.2%
VWIV37.5%24.7%50.9%43.0%39.8%
Skew 25d13.2%0.2%57.6%11.7%57.6%
Skew 10d17.8%-4.5%121.5%24.2%121.5%
Call IV 25d34.1%20.7%43.1%39.8%32.6%
Put IV 25d47.3%39.5%90.2%51.5%90.2%
Bid-Ask Spread %96.0984.47106.1484.4787.79
Gamma HHI0.600.460.910.600.70
Net GEX90.0K19.7K145.0K124.9K46.6K
Net DEX-1.7M-2.7M-619.4K-2.5M-1.8M
Net VEX-5.5K-6.5K-4.3K-6.4K-6.0K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.520.004.240.000.08
Total Volume199.1941,20622597
Total OI8,147.2864,54910,6548,8234,842

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2011-05-02$7.64$6.0041.3%11.8%49.8%5.7%43.0%11.7%1.8%124.9K-2.5M-6.4K0.0084.47N/AN/A2207,881942
2011-05-03$7.67$6.0050.7%14.5%47.5%10.9%50.9%8.5%-3.3%114.3K-2.6M-6.5K0.0084.69N/AN/A12507,886942
2011-05-04$7.18$6.0049.2%14.1%36.7%10.1%31.4%27.3%-2.5%103.9K-1.8M-5.7K0.0587.15N/AN/A184107,959942
2011-05-05$7.25$6.0040.7%11.7%34.1%5.4%33.7%14.9%4.6%109.7K-1.8M-5.5K1.3993.06N/AN/A1872598,128952
2011-05-06$7.31$7.0038.2%12.6%34.0%4.0%0.0%0.2%1.1%111.8K-1.8M-5.8K0.0092.66N/AN/A1008,2411,206
2011-05-09$7.43$7.0031.8%12.9%34.7%0.4%0.0%4.9%1.6%119.9K-2.0M-6.0K0.0090.95N/AN/A2208,2411,206
2011-05-10$7.61$7.0044.3%10.8%34.5%7.4%37.6%6.8%4.8%141.6K-2.3M-5.9K0.0096.68N/AN/A19508,2331,206
2011-05-11$7.53$7.0031.3%11.1%34.3%0.2%41.0%7.6%1.5%130.4K-2.1M-5.3K0.0694.94N/AN/A6248,4071,206
2011-05-12$7.76$7.0039.4%11.3%35.8%6.4%40.4%8.7%3.7%145.0K-2.7M-5.7K0.6099.43N/AN/A42258,4401,210
2011-05-13$7.47$7.0041.2%11.8%38.1%7.8%35.7%4.7%6.2%131.3K-2.2M-5.8K4.2497.67N/AN/A451918,4251,235
2011-05-16$7.30$7.0043.7%12.5%38.7%9.7%38.7%4.9%-2.2%115.4K-1.8M-5.3K0.00102.94N/AN/A408,4461,343
2011-05-17$7.25$7.0042.2%12.1%38.7%8.6%0.0%5.3%2.4%103.3K-1.5M-4.9K1.6298.61N/AN/A50818,4461,343
2011-05-18$7.28$7.0043.1%12.3%37.4%9.2%24.7%5.8%3.2%86.2K-1.5M-4.6K1.4299.02N/AN/A12178,4761,396
2011-05-19$7.17$7.0043.8%12.6%35.5%9.8%0.0%20.5%4.1%19.7K-1.6M-4.3K0.0998.91N/AN/A1,1041028,4421,352
2011-05-20$7.07$7.0042.5%12.2%35.7%8.8%24.9%13.2%3.8%130.2K-1.3M-5.3K0.8999.34N/AN/A2171949,2811,373
2011-05-23$7.00$7.0045.3%13.0%35.5%11.4%46.0%12.6%-1.3%28.2K-674.4K-5.1K0.19101.43N/AN/A4793,664885
2011-05-24$6.82$6.0040.3%11.5%36.3%8.5%0.0%8.8%3.8%25.6K-619.4K-4.8K0.13100.98N/AN/A112153,701880
2011-05-25$7.05$6.0048.6%13.9%37.5%18.9%0.0%14.3%-3.3%29.6K-713.1K-5.2K0.00100.49N/AN/A19503,785881
2011-05-26$7.15$6.0047.0%13.5%38.0%17.6%0.0%19.2%-0.0%33.2K-813.8K-5.4K0.20100.50N/AN/A2553,951881
2011-05-27$7.41$6.0040.0%11.5%40.2%10.5%0.0%18.8%-2.0%38.2K-1.0M-5.7K0.00106.14N/AN/A1403,951886
2011-05-31$8.25$6.0039.7%11.4%55.8%10.1%39.8%57.6%3.2%46.6K-1.8M-6.0K0.0887.79N/AN/A554433,956886