NBIX Options History — October 2011

In October 2011, NBIX traded between $5.50 and $6.70. ATM implied volatility averaged 51.5%, placing in the 44.6% IV rank vs the trailing year. The 30-day expected move averaged 15.2%. IV traded below realized volatility by 6.9% (HV 20d: 58.4%). Max pain ranged from $5.00 to $6.00. Net GEX was positive for 21 of 21 trading days. Term structure was in contango for 14 of 21 days. Put/call ratio averaged 1.29.

Notable Days

  • 2011-10-20: Highest Volume — 620 contracts
  • 2011-10-13: Largest IV spike — 31.1% change
  • 2011-10-05: Highest IV Rank — 58.1%
  • 2011-10-05: Largest Expected Move — 17.4%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$6.08$5.50$6.70$5.56$6.26
Max Pain$5.19$5.00$6.00$6.00$5.00
ATM IV51.5%32.3%60.6%53.6%60.2%
Expected Move15.2%13.3%17.4%15.4%17.3%
HV 20d58.4%46.7%67.4%46.7%62.0%
HV 60d59.0%54.0%62.3%54.0%61.1%
IV Rank44.6%16.3%58.1%47.7%57.6%
IV Percentile56.7%3.6%92.9%63.5%92.5%
Term Structure-0.7%-28.1%9.6%-0.5%-18.5%
VWIV46.1%29.4%52.2%47.8%49.6%
Skew 25d12.7%-11.1%34.9%6.4%33.6%
Skew 10d8.3%-24.7%51.5%20.9%15.5%
Call IV 25d41.2%24.2%65.3%63.1%29.6%
Put IV 25d53.9%42.7%69.5%69.5%63.1%
Bid-Ask Spread %97.2988.21107.82104.85107.82
Gamma HHI0.380.280.530.280.39
Net GEX22.3K14.8K34.1K14.8K21.0K
Net DEX-491.5K-749.9K-194.5K-310.1K-529.5K
Net VEX-1.9K-2.2K-1.6K-1.9K-1.9K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.290.0014.000.005.26
Total Volume68.71406200119
Total OI3,712.3333,4404,3303,4403,970

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2011-10-03$5.56$6.0053.6%15.4%46.7%47.7%0.0%6.4%-0.5%14.8K-310.1K-1.9K0.00104.85N/AN/A002,886554
2011-10-04$5.87$6.0055.8%16.0%50.8%51.0%0.0%6.8%2.0%18.8K-328.1K-1.8K0.00101.81N/AN/A1002,886554
2011-10-05$5.56$6.0060.6%17.4%51.7%58.1%0.0%1.6%2.2%15.0K-271.8K-1.8K1.00101.58N/AN/A10102,886554
2011-10-06$5.71$6.0052.0%14.9%51.6%45.4%0.0%-11.1%0.5%16.7K-268.5K-1.8K0.0094.12N/AN/A10802,896544
2011-10-07$5.50$5.0057.0%16.0%52.7%52.9%0.0%11.9%9.6%15.5K-194.5K-1.6K14.0095.22N/AN/A1142,936544
2011-10-10$5.67$5.0046.4%14.7%53.0%37.2%0.0%16.2%0.7%17.1K-247.5K-1.6K0.0093.72N/AN/A1002,935546
2011-10-11$5.84$5.0032.3%14.5%54.0%16.3%0.0%9.5%3.9%21.1K-313.6K-1.7K0.0096.45N/AN/A9002,945546
2011-10-12$6.03$5.0040.8%14.3%55.3%28.8%0.0%9.3%4.5%26.4K-430.5K-1.7K0.0094.12N/AN/A0203,035546
2011-10-13$6.42$5.0053.4%15.3%59.6%47.5%47.8%6.3%3.4%20.8K-707.6K-1.9K0.1090.14N/AN/A146143,035565
2011-10-14$6.39$5.0052.5%15.0%59.5%46.1%45.1%8.1%0.8%22.1K-713.2K-2.1K0.0098.32N/AN/A5203,146571
2011-10-17$6.09$5.0056.5%16.2%62.0%52.0%29.4%30.4%-1.7%31.4K-537.5K-2.0K0.0092.15N/AN/A1003,187571
2011-10-18$6.31$5.0053.7%15.4%62.9%47.9%0.0%21.2%2.4%24.3K-691.6K-2.0K0.0091.49N/AN/A003,187571
2011-10-19$6.19$5.0053.1%15.2%63.0%47.1%0.0%34.9%2.1%31.2K-630.6K-2.0K0.0099.73N/AN/A003,187571
2011-10-20$6.16$5.0052.0%14.9%62.3%45.4%46.8%1.7%1.7%34.1K-619.7K-1.9K0.0288.21N/AN/A610103,187571
2011-10-21$6.26$5.0052.3%15.0%61.7%45.8%52.2%20.8%0.8%32.4K-749.9K-2.1K0.0089.40N/AN/A2503,749581
2011-10-24$6.37$5.0046.2%13.3%61.9%36.9%0.0%17.1%7.8%19.1K-530.5K-1.9K0.00101.63N/AN/A1503,312555
2011-10-25$6.12$5.0051.0%14.6%62.8%44.0%0.0%24.2%-2.4%19.1K-469.2K-1.9K0.20100.65N/AN/A49103,327555
2011-10-26$6.20$5.0050.7%14.5%60.4%43.5%0.0%22.3%-4.4%19.5K-470.7K-1.8K0.00103.45N/AN/A0103,344565
2011-10-27$6.70$5.0047.4%13.6%64.9%38.6%0.0%2.5%-2.6%26.0K-684.7K-2.1K0.00104.72N/AN/A4503,344575
2011-10-28$6.40$5.0053.0%15.2%67.4%47.0%51.5%-7.6%-28.1%22.1K-621.0K-2.2K0.0093.60N/AN/A5503,365575
2011-10-31$6.26$5.0060.2%17.3%62.0%57.6%49.6%33.6%-18.5%21.0K-529.5K-1.9K5.26107.82N/AN/A191003,395575