NBIX Options History — September 2011

In September 2011, NBIX traded between $5.62 and $6.08. ATM implied volatility averaged 55.0%, placing in the 49.9% IV rank vs the trailing year. The 30-day expected move averaged 15.7%. IV traded above realized volatility by 8.1% (HV 20d: 46.9%). Max pain ranged from $6.00 to $6.00. Net GEX was positive for 11 of 21 trading days. Term structure was in contango for 15 of 21 days. Put/call ratio averaged 2.12.

Notable Days

  • 2011-09-16: Highest Volume — 487 contracts
  • 2011-09-14: Largest IV spike — 25.9% change
  • 2011-09-14: Highest IV Rank — 70.3%
  • 2011-09-14: Largest Expected Move — 17.2%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$5.89$5.62$6.08$5.95$5.98
Max Pain$6.00$6.00$6.00$6.00$6.00
ATM IV55.0%49.8%68.8%49.8%59.3%
Expected Move15.7%14.3%17.2%14.3%17.0%
HV 20d46.9%33.7%73.8%73.8%39.6%
HV 60d51.9%50.5%52.9%51.8%52.2%
IV Rank49.9%42.1%70.3%42.1%56.2%
IV Percentile68.4%45.2%99.2%45.2%89.7%
Term Structure1.1%-8.4%7.8%4.2%0.5%
VWIV53.8%50.1%56.1%50.1%56.1%
Skew 25d16.0%2.7%32.6%21.1%11.5%
Skew 10d22.4%4.7%36.3%33.8%4.7%
Call IV 25d39.3%28.5%55.1%38.6%41.9%
Put IV 25d55.3%48.1%65.7%59.7%53.3%
Bid-Ask Spread %96.3988.03118.0790.6089.63
Gamma HHI0.320.210.550.310.27
Net GEX4.9K-11.3K17.9K75516.6K
Net DEX-189.0K-431.0K11.4K-89.2K-431.0K
Net VEX-2.1K-2.3K-1.9K-2.3K-2.3K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio2.120.0029.800.002.50
Total Volume75.0480487330
Total OI3,434.0482,9573,6793,5063,440

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2011-09-01$5.95$6.0049.8%14.3%73.8%42.1%0.0%21.1%4.2%755-89.2K-2.3K0.0090.60N/AN/A3302,516990
2011-09-02$5.81$6.0050.2%14.4%73.4%42.8%50.1%7.6%7.8%-314-41.5K-2.2K0.50118.07N/AN/A40202,528990
2011-09-06$5.82$6.0050.5%16.3%64.5%43.3%56.0%6.3%1.6%-2.6K11.4K-2.1K0.2090.80N/AN/A93192,5681,010
2011-09-07$6.08$6.0052.6%14.8%63.2%46.3%52.3%8.2%2.7%-517-120.1K-2.2K0.0088.07N/AN/A1502,6501,015
2011-09-08$5.88$6.0059.2%14.8%52.0%56.0%0.0%22.6%5.3%-802-61.6K-2.2K1.8489.34N/AN/A551012,6641,015
2011-09-09$5.76$6.0053.6%16.5%48.4%47.8%0.0%22.7%0.4%-934-20.7K-2.1K0.0088.16N/AN/A042,709944
2011-09-12$5.92$6.0054.2%15.3%49.2%48.6%0.0%26.4%4.4%-5.0K-48.9K-2.1K0.0088.03N/AN/A402,709948
2011-09-13$5.98$6.0054.6%15.6%46.0%49.3%0.0%32.6%0.9%-6.5K-95.0K-2.1K0.0091.90N/AN/A1402,709948
2011-09-14$6.01$6.0068.8%17.2%44.2%70.3%0.0%23.3%-8.4%-5.0K-120.2K-2.0K29.8098.94N/AN/A51492,713938
2011-09-15$6.04$6.0052.3%15.0%44.2%45.9%53.9%27.5%2.3%-4.9K-147.2K-1.9K0.0096.52N/AN/A0372,718818
2011-09-16$6.00$6.0053.3%15.3%41.5%47.3%51.3%17.8%2.2%-11.3K-126.5K-1.9K0.6690.77N/AN/A2931942,718828
2011-09-19$5.91$6.0054.1%15.5%41.8%48.5%54.1%16.8%2.4%10.9K-249.1K-2.0K0.1196.02N/AN/A87102,441516
2011-09-20$5.85$6.0054.8%15.7%40.0%49.6%0.0%18.6%-1.8%11.8K-244.1K-1.9K0.00103.03N/AN/A5002,528526
2011-09-21$5.75$6.0055.4%15.9%36.8%50.4%55.5%12.7%-6.5%12.0K-258.7K-1.9K0.38101.28N/AN/A2182,578526
2011-09-22$5.62$6.0054.1%15.5%37.5%48.5%0.0%2.7%0.7%11.3K-202.3K-1.9K0.09105.18N/AN/A108102,599534
2011-09-23$5.80$6.0057.3%16.4%38.3%53.3%0.0%15.7%-0.7%12.8K-297.4K-2.1K0.00102.49N/AN/A1002,703544
2011-09-26$5.81$6.0054.5%15.6%33.7%49.1%54.7%10.2%3.4%13.4K-274.6K-2.0K0.00102.58N/AN/A16702,709544
2011-09-27$6.01$6.0055.9%16.0%36.0%51.1%0.0%13.8%-3.4%16.9K-408.2K-2.2K0.0097.07N/AN/A1502,871544
2011-09-28$5.74$6.0056.2%16.1%39.4%51.7%56.1%7.5%-0.8%15.8K-377.6K-2.1K2.5093.23N/AN/A4102,882544
2011-09-29$5.96$6.0054.3%15.6%41.1%48.8%0.0%9.9%5.2%17.9K-367.1K-2.1K0.00102.48N/AN/A002,886554
2011-09-30$5.98$6.0059.3%17.0%39.6%56.2%0.0%11.5%0.5%16.6K-431.0K-2.3K0.0089.63N/AN/A002,886554