NBIX Options History — November 2011

In November 2011, NBIX traded between $6.00 and $7.33. ATM implied volatility averaged 50.5%, placing in the 43.2% IV rank vs the trailing year. The 30-day expected move averaged 14.4%. IV traded below realized volatility by 20.2% (HV 20d: 70.7%). 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 15 of 21 days. Put/call ratio averaged 0.19.

Notable Days

  • 2011-11-01: Highest Volume — 1,286 contracts
  • 2011-11-17: Largest IV spike — 32.4% change
  • 2011-11-18: Highest IV Rank — 60.4%
  • 2011-11-18: Largest Expected Move — 17.8%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$6.67$6.00$7.33$7.28$6.54
Max Pain$5.86$5.00$6.00$5.00$6.00
ATM IV50.5%43.1%62.1%48.4%52.4%
Expected Move14.4%12.4%17.8%13.9%15.0%
HV 20d70.7%38.7%79.1%79.1%38.7%
HV 60d59.2%57.5%65.2%65.2%58.7%
IV Rank43.2%32.3%60.4%40.1%46.1%
IV Percentile56.2%28.6%96.4%41.7%63.1%
Term Structure5.7%-8.5%17.5%7.6%-6.3%
VWIV51.6%42.7%61.6%42.7%52.5%
Skew 25d6.7%-3.9%23.6%22.2%10.3%
Skew 10d11.6%-0.5%23.9%16.5%20.7%
Call IV 25d46.2%28.1%61.6%32.0%52.3%
Put IV 25d52.8%38.7%65.9%54.2%62.6%
Bid-Ask Spread %101.2378.25110.1678.25107.40
Gamma HHI0.450.320.610.560.32
Net GEX39.0K26.0K56.7K36.1K38.5K
Net DEX-990.8K-1.5M-581.8K-1.1M-880.2K
Net VEX-3.6K-4.0K-2.4K-2.4K-4.0K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.190.002.780.000.29
Total Volume265.429551,2861,286135
Total OI4,814.9053,8276,0004,1004,425

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2011-11-01$7.28$5.0048.4%13.9%79.1%40.1%42.7%22.2%7.6%36.1K-1.1M-2.4K0.0078.25N/AN/A1,28153,435665
2011-11-02$7.24$5.0045.5%13.0%75.6%35.8%46.2%6.2%1.2%39.9K-1.4M-3.5K0.0086.03N/AN/A10404,052665
2011-11-03$7.22$5.0046.1%13.2%75.7%36.7%45.9%3.5%0.5%45.2K-1.3M-3.4K0.0086.86N/AN/A18704,089665
2011-11-04$7.15$6.0046.8%13.9%73.9%37.6%47.9%-2.6%10.5%40.3K-1.2M-3.4K0.00102.28N/AN/A19203,977665
2011-11-07$7.31$6.0047.0%13.3%73.7%38.0%46.9%1.2%14.4%40.4K-1.3M-3.5K0.00101.34N/AN/A42404,036665
2011-11-08$7.33$6.0044.9%13.1%73.5%34.9%47.0%2.8%10.9%46.1K-1.5M-3.9K0.00100.51N/AN/A6404,381665
2011-11-09$6.98$6.0051.3%13.1%76.0%44.4%61.2%12.9%17.5%45.8K-1.2M-3.8K0.00103.03N/AN/A21904,399665
2011-11-10$6.81$6.0046.5%13.3%73.9%37.2%46.7%3.0%13.0%50.9K-1.2M-3.6K0.02106.78N/AN/A472114,591665
2011-11-11$6.90$6.0048.6%13.9%73.9%40.4%56.5%7.1%11.2%56.2K-1.2M-3.8K0.00104.70N/AN/A19304,622676
2011-11-14$6.75$6.0044.3%12.7%72.0%33.9%49.3%10.0%15.4%56.7K-1.1M-3.6K0.00110.16N/AN/A24304,665676
2011-11-15$6.71$6.0043.1%12.4%71.2%32.3%46.0%13.1%15.1%55.6K-1.1M-3.8K0.00106.72N/AN/A5504,908676
2011-11-16$6.51$6.0043.4%12.4%71.8%32.7%0.0%23.6%10.5%36.9K-937.3K-3.6K0.00103.80N/AN/A11604,963676
2011-11-17$6.36$6.0057.5%16.5%72.3%53.5%46.5%11.4%-0.3%26.7K-782.5K-3.5K0.09101.36N/AN/A482445,053676
2011-11-18$6.24$6.0062.1%17.8%72.5%60.4%61.6%11.2%-2.1%26.0K-703.9K-3.7K0.10104.50N/AN/A230235,290710
2011-11-21$6.15$6.0056.3%16.1%72.3%51.7%58.0%-1.3%7.9%27.6K-641.9K-3.5K0.04103.99N/AN/A10143,473354
2011-11-22$6.21$6.0057.5%16.5%71.0%53.5%0.0%6.0%1.6%29.7K-662.8K-3.6K0.00102.20N/AN/A11903,573358
2011-11-23$6.03$6.0050.5%14.5%71.6%43.2%55.8%-1.7%4.3%30.0K-618.0K-3.6K0.31102.10N/AN/A4911503,692358
2011-11-25$6.00$6.0055.1%15.8%65.3%50.0%0.0%-3.9%-0.7%28.4K-581.8K-3.7K2.78103.72N/AN/A18503,758508
2011-11-28$6.22$6.0055.3%15.8%65.0%50.3%58.8%0.2%-3.5%30.8K-645.1K-3.8K0.00104.21N/AN/A8503,776558
2011-11-29$6.18$6.0057.9%16.6%64.6%54.2%58.9%4.8%-8.5%30.8K-623.8K-3.7K0.36105.84N/AN/A56203,851558
2011-11-30$6.54$6.0052.4%15.0%38.7%46.1%52.5%10.3%-6.3%38.5K-880.2K-4.0K0.29107.40N/AN/A105303,847578