NBIX Options History — June 2011

In June 2011, NBIX traded between $7.17 and $8.05. ATM implied volatility averaged 40.0%, placing in the 20.5% IV rank vs the trailing year. The 30-day expected move averaged 11.8%. IV traded below realized volatility by 10.8% (HV 20d: 50.8%). Max pain ranged from $7.00 to $8.00. Net GEX was positive for 22 of 22 trading days. Term structure was in contango for 14 of 22 days. Put/call ratio averaged 0.56.

Notable Days

  • 2011-06-01: Highest Volume — 1,065 contracts
  • 2011-06-08: Largest IV spike — 144.4% change
  • 2011-06-08: Highest IV Rank — 35.8%
  • 2011-06-17: Largest Expected Move — 14.2%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$7.54$7.17$8.05$7.98$8.05
Max Pain$7.91$7.00$8.00$7.00$8.00
ATM IV40.0%21.3%52.1%36.1%32.8%
Expected Move11.8%9.4%14.2%10.3%9.4%
HV 20d50.8%36.3%57.3%57.3%37.1%
HV 60d47.9%42.2%50.3%50.3%42.2%
IV Rank20.5%0.0%35.8%5.9%14.8%
IV Percentile14.5%0.0%40.1%3.2%2.4%
Term Structure1.5%-6.2%9.6%6.0%5.1%
VWIV34.2%20.4%47.2%36.0%33.0%
Skew 25d11.3%-2.8%26.7%4.1%2.1%
Skew 10d15.1%-1.1%67.1%6.3%7.1%
Call IV 25d32.8%20.5%40.3%38.2%38.7%
Put IV 25d44.1%37.5%48.9%42.2%40.7%
Bid-Ask Spread %97.7788.84107.94101.08106.92
Gamma HHI0.670.590.800.710.80
Net GEX58.9K39.9K108.9K54.4K108.9K
Net DEX-1.3M-2.3M-780.8K-1.6M-2.3M
Net VEX-6.2K-6.9K-5.7K-6.1K-6.3K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.560.005.760.040.28
Total Volume154.13601,0651,06596
Total OI6,251.1825,0666,8045,0666,804

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2011-06-01$7.98$7.0036.1%10.3%57.3%5.9%36.0%4.1%6.0%54.4K-1.6M-6.1K0.04101.08N/AN/A1,020454,169897
2011-06-02$7.99$7.0037.1%10.6%51.4%7.5%0.0%4.2%6.4%64.0K-1.9M-6.9K1.10105.38N/AN/A20224,755892
2011-06-03$7.70$8.0027.6%11.9%53.5%0.0%41.4%12.3%-3.7%62.8K-1.5M-6.6K0.1790.98N/AN/A60104,719914
2011-06-06$7.60$8.0039.0%11.7%53.8%13.5%47.2%15.2%-0.3%58.3K-1.4M-6.5K5.7690.42N/AN/A854904,743924
2011-06-07$7.54$8.0021.3%11.2%53.6%0.0%0.0%13.9%0.2%54.3K-1.2M-6.5K0.0092.12N/AN/A014,8181,274
2011-06-08$7.42$8.0052.1%13.2%53.2%35.8%0.0%10.1%1.4%49.8K-1.1M-6.4K0.0089.82N/AN/A504,8181,274
2011-06-09$7.38$8.0043.5%12.5%53.1%25.8%0.0%10.1%3.7%47.9K-1.2M-6.3K0.0092.89N/AN/A004,8231,274
2011-06-10$7.17$8.0044.5%12.8%52.6%27.0%23.9%16.9%-0.5%39.9K-780.8K-5.7K0.0592.10N/AN/A502254,8231,274
2011-06-13$7.21$8.0047.2%13.5%51.1%30.1%0.0%18.2%-1.4%48.0K-900.6K-6.1K1.0088.84N/AN/A10105,2611,288
2011-06-14$7.39$8.0043.8%12.5%51.3%26.1%0.0%1.7%0.6%51.4K-1.1M-6.1K0.0090.37N/AN/A4605,2711,298
2011-06-15$7.21$8.0047.4%13.6%52.0%30.3%0.0%20.4%-3.7%45.8K-918.3K-5.9K0.0692.10N/AN/A5035,2891,298
2011-06-16$7.30$8.0047.0%13.5%52.2%29.9%30.9%21.8%-1.2%43.2K-902.3K-5.7K1.1095.19N/AN/A10115,2851,300
2011-06-17$7.28$8.0049.4%14.2%51.9%32.6%0.0%23.5%-6.2%48.5K-960.3K-5.9K0.1699.51N/AN/A123205,2781,300
2011-06-20$7.34$8.0046.2%13.3%51.7%29.0%0.0%26.7%-2.8%46.8K-973.1K-5.7K0.00100.06N/AN/A004,9881,300
2011-06-21$7.50$8.0044.7%12.8%51.9%27.2%38.0%5.9%1.5%55.2K-1.2M-6.2K0.00100.64N/AN/A1404,9881,300
2011-06-22$7.22$8.0042.7%12.2%53.0%24.8%20.4%25.6%0.7%50.1K-1.0M-5.7K0.59104.36N/AN/A17105,0021,300
2011-06-23$7.61$8.0035.2%10.1%54.9%16.2%35.2%7.4%7.5%61.6K-1.3M-6.1K0.03103.30N/AN/A15255,0121,310
2011-06-24$7.53$8.0036.0%10.3%55.0%19.0%0.0%6.0%4.0%61.2K-1.3M-6.1K0.15103.67N/AN/A82125,1171,315
2011-06-27$7.66$8.0037.3%10.7%53.9%20.7%35.2%-2.8%1.1%68.7K-1.4M-6.1K0.00102.85N/AN/A1905,1811,325
2011-06-28$7.86$8.0034.4%9.9%38.1%16.9%34.4%5.3%9.6%80.0K-1.8M-6.3K0.00100.39N/AN/A40705,2001,325
2011-06-29$7.88$8.0035.3%10.1%36.3%18.0%35.3%1.1%4.1%94.8K-1.9M-6.3K0.13107.94N/AN/A815,4751,325
2011-06-30$8.05$8.0032.8%9.4%37.1%14.8%33.0%2.1%5.1%108.9K-2.3M-6.3K0.28106.92N/AN/A75215,4781,326