NBIX Options History — August 2011

In August 2011, NBIX traded between $5.59 and $7.46. ATM implied volatility averaged 57.9%, placing in the 57.8% IV rank vs the trailing year. The 30-day expected move averaged 16.0%. IV traded below realized volatility by 3.9% (HV 20d: 61.9%). Max pain ranged from $5.00 to $7.00. Net GEX was positive for 17 of 23 trading days. Term structure was in contango for 11 of 23 days. Put/call ratio averaged 1.01.

Notable Days

  • 2011-08-11: Highest Volume — 1,940 contracts
  • 2011-08-11: Largest IV drop — 42.1% change
  • 2011-08-08: Highest IV Rank — 100.0%
  • 2011-08-08: Largest Expected Move — 19.2%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$6.19$5.59$7.46$7.46$6.14
Max Pain$6.57$5.00$7.00$5.00$6.00
ATM IV57.9%45.5%88.9%45.5%54.0%
Expected Move16.0%13.0%19.2%13.0%15.5%
HV 20d61.9%30.5%76.9%30.9%76.9%
HV 60d50.3%40.4%55.7%40.4%51.5%
IV Rank57.8%42.3%100.0%44.6%48.4%
IV Percentile71.5%34.5%100.0%34.5%63.5%
Term Structure0.4%-8.5%10.3%10.3%-1.6%
VWIV51.0%32.3%65.3%41.8%52.0%
Skew 25d15.3%3.8%31.1%7.2%11.9%
Skew 10d23.7%6.1%63.6%11.1%6.1%
Call IV 25d41.1%32.9%52.3%41.8%39.7%
Put IV 25d56.4%48.4%70.8%49.0%51.6%
Bid-Ask Spread %96.7887.23105.5592.9187.23
Gamma HHI0.410.230.800.790.29
Net GEX11.3K-10.8K80.7K80.7K2.7K
Net DEX-178.6K-1.0M37.3K-1.0M-116.9K
Net VEX-2.2K-3.6K-1.3K-3.6K-2.3K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.010.0018.750.000.00
Total Volume241.217211,94013360
Total OI5,496.2613,0957,4106,0733,480

Daily Data (23 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2011-08-01$7.46$5.0045.5%13.0%30.9%44.6%41.8%7.2%10.3%80.7K-1.0M-3.6K0.0092.91N/AN/A13305,379694
2011-08-02$7.28$5.0046.7%13.4%31.5%46.8%38.9%9.7%1.1%79.2K-961.2K-3.4K0.0092.52N/AN/A3705,391694
2011-08-03$7.18$5.0047.2%13.5%30.5%47.8%36.6%19.3%-3.4%54.4K-638.7K-2.7K0.2097.04N/AN/A381785,291694
2011-08-04$6.69$5.0055.5%15.9%35.7%63.1%55.7%9.4%-8.5%29.5K-358.6K-2.2K0.5899.17N/AN/A104605,347761
2011-08-05$6.47$7.0056.0%16.3%36.4%64.0%53.8%13.8%-0.2%11.8K-152.8K-1.6K0.0089.05N/AN/A4905,398761
2011-08-08$5.86$7.0077.3%19.2%47.2%100.0%65.3%3.8%-5.2%9.2K-37.5K-1.3K0.0792.69N/AN/A299205,411761
2011-08-09$6.20$7.0064.3%14.3%53.8%76.7%51.7%9.2%6.0%3.1K-151.2K-1.3K0.6993.43N/AN/A3232245,665776
2011-08-10$5.59$7.0088.9%18.4%62.4%100.0%37.1%20.1%-3.9%9.0K-56.8K-1.7K0.4996.89N/AN/A5302625,753960
2011-08-11$5.92$7.0051.5%14.8%67.8%44.6%48.9%26.6%8.9%2.8K-140.2K-2.0K0.1298.21N/AN/A1,7372036,2231,187
2011-08-12$6.00$7.0053.3%15.3%68.4%47.3%53.3%13.7%4.4%-4.7K37.3K-2.1K0.4799.70N/AN/A32155,6411,387
2011-08-15$6.29$7.0049.9%14.3%71.8%42.3%50.6%15.0%7.9%-1.0K-94.8K-2.2K0.19105.55N/AN/A53105,6401,402
2011-08-16$6.06$7.0059.1%16.9%72.4%55.9%49.5%4.9%-3.2%-6.6K-8.9K-2.1K0.0098.71N/AN/A10005,6781,412
2011-08-17$6.10$7.0059.9%17.2%71.6%57.2%61.0%4.9%-3.4%-9.1K-30.1K-2.1K0.0096.34N/AN/A5105,7781,412
2011-08-18$5.85$7.0058.2%16.7%71.3%54.6%58.3%26.7%1.8%-7.0K6.5K-2.1K0.00100.85N/AN/A5105,8111,337
2011-08-19$5.89$7.0063.4%18.2%71.0%62.4%62.3%20.7%-2.7%-10.8K-20.2K-2.2K18.7595.66N/AN/A122255,8621,337
2011-08-22$5.69$7.0060.0%17.2%71.3%57.2%60.4%10.9%0.6%2.7K-30.0K-2.0K0.11101.23N/AN/A5762,184911
2011-08-23$5.96$7.0059.7%17.1%74.8%56.7%59.8%14.3%-2.1%3.1K-34.6K-2.0K1.15101.41N/AN/A60692,207911
2011-08-24$5.91$7.0059.2%17.0%74.7%56.1%0.0%28.7%-3.7%1.4K-7.8K-2.1K0.0095.25N/AN/A14602,267980
2011-08-25$5.76$7.0057.9%16.6%73.4%54.1%0.0%31.1%1.4%2.3K-36.5K-2.4K0.40101.33N/AN/A25102,390980
2011-08-26$6.05$7.0059.2%17.0%76.6%56.1%32.3%14.9%-0.8%3.5K-102.0K-2.5K0.0091.66N/AN/A2402,395990
2011-08-29$6.06$7.0052.0%14.9%76.3%45.5%52.0%12.8%3.0%1.3K-67.2K-2.2K0.0097.04N/AN/A8102,415990
2011-08-30$6.01$6.0054.0%15.5%76.1%48.3%0.0%23.0%1.4%2.2K-76.1K-2.2K0.00102.08N/AN/A2102,481990
2011-08-31$6.14$6.0054.0%15.5%76.9%48.4%0.0%11.9%-1.6%2.7K-116.9K-2.3K0.0087.23N/AN/A6002,490990