NBIX Options History — December 2011

In December 2011, NBIX traded between $6.60 and $8.58. ATM implied volatility averaged 46.4%, placing in the 37.1% IV rank vs the trailing year. The 30-day expected move averaged 13.1%. IV traded above realized volatility by 10.2% (HV 20d: 36.2%). Max pain ranged from $6.00 to $6.00. Net GEX was positive for 21 of 21 trading days. Term structure was in contango for 18 of 21 days. Put/call ratio averaged 0.13.

Notable Days

  • 2011-12-15: Highest Volume — 552 contracts
  • 2011-12-15: Largest IV drop — 40.8% change
  • 2011-12-14: Highest IV Rank — 70.0%
  • 2011-12-13: Largest Expected Move — 15.4%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$7.70$6.60$8.58$6.60$8.50
Max Pain$6.00$6.00$6.00$6.00$6.00
ATM IV46.4%39.1%68.6%39.1%45.1%
Expected Move13.1%11.2%15.4%11.2%12.9%
HV 20d36.2%29.0%42.7%39.1%30.1%
HV 60d57.3%52.9%58.7%58.1%52.9%
IV Rank37.1%26.3%70.0%26.3%35.2%
IV Percentile41.4%16.7%98.8%16.7%37.7%
Term Structure3.9%-2.0%23.4%23.4%-2.0%
VWIV46.2%29.7%64.8%29.7%46.2%
Skew 25d11.0%-0.4%25.9%16.2%5.6%
Skew 10d14.0%1.7%29.8%10.7%7.5%
Call IV 25d39.0%24.1%47.3%27.3%38.1%
Put IV 25d50.1%39.1%66.1%43.6%43.7%
Bid-Ask Spread %89.0027.42108.22108.2236.50
Gamma HHI0.460.340.540.340.42
Net GEX37.9K34.2K42.2K35.6K42.2K
Net DEX-1.4M-1.7M-945.3K-945.3K-1.7M
Net VEX-3.9K-4.3K-3.3K-4.0K-3.5K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.130.000.980.000.00
Total Volume180.3331555246146
Total OI3,979.0483,4364,4884,4823,657

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2011-12-01$6.60$6.0039.1%11.2%39.1%26.3%29.7%16.2%23.4%35.6K-945.3K-4.0K0.00108.22N/AN/A4603,874608
2011-12-02$6.85$6.0046.4%13.3%41.8%37.1%33.8%-0.1%1.9%38.8K-1.1M-4.1K0.0096.72N/AN/A11903,880608
2011-12-05$7.00$6.0049.1%14.0%42.6%41.1%48.7%18.5%7.1%34.2K-1.2M-4.1K0.07100.61N/AN/A146103,798608
2011-12-06$7.01$6.0053.3%14.1%41.7%47.3%49.0%21.1%6.0%36.1K-1.2M-4.2K0.0097.50N/AN/A14903,766618
2011-12-07$7.18$6.0053.5%14.7%42.7%47.7%49.4%8.3%7.5%36.4K-1.3M-4.3K0.0494.72N/AN/A9243,774618
2011-12-08$7.22$6.0047.4%14.7%38.8%38.6%52.6%9.2%3.6%37.0K-1.3M-4.2K0.0094.84N/AN/A11603,753618
2011-12-09$7.45$6.0053.3%15.1%38.8%47.3%60.5%12.9%1.4%38.4K-1.5M-4.2K0.9897.94N/AN/A62613,761618
2011-12-12$7.48$6.0040.6%15.2%38.7%28.5%48.2%14.9%0.3%36.8K-1.5M-4.0K0.2394.50N/AN/A75173,720577
2011-12-13$7.50$6.0051.7%15.4%37.5%44.9%64.8%17.7%2.5%39.2K-1.5M-4.0K0.4098.89N/AN/A65263,754560
2011-12-14$7.64$6.0068.6%11.7%37.5%70.0%47.9%25.9%3.6%37.3K-1.6M-4.1K0.0099.45N/AN/A20413,725552
2011-12-15$7.70$6.0040.6%11.7%34.9%28.6%47.0%5.1%1.0%38.6K-1.6M-3.9K0.0997.73N/AN/A508443,536553
2011-12-16$7.87$6.0046.4%13.3%33.1%37.0%48.8%15.0%1.8%38.6K-1.6M-4.0K0.18100.47N/AN/A210383,416530
2011-12-19$7.70$6.0039.8%11.4%33.4%27.4%44.4%10.8%4.4%36.9K-1.2M-3.8K0.0996.17N/AN/A165153,027532
2011-12-20$8.15$6.0045.6%13.1%35.9%35.9%41.4%13.1%-1.5%38.5K-1.4M-3.7K0.2292.22N/AN/A356802,978532
2011-12-21$8.16$6.0043.2%12.4%36.1%32.4%42.9%-0.4%3.8%37.9K-1.4M-3.6K0.0795.90N/AN/A139102,935512
2011-12-22$8.20$6.0041.0%11.8%32.6%29.1%38.0%1.8%8.5%37.0K-1.4M-3.5K0.3498.36N/AN/A113382,914522
2011-12-23$8.19$6.0041.3%11.8%32.3%29.5%0.0%17.0%5.8%37.4K-1.4M-3.6K0.00101.77N/AN/A1502,933542
2011-12-27$8.44$6.0046.1%13.2%31.9%36.7%42.6%7.5%0.3%38.3K-1.6M-3.3K0.00104.21N/AN/A28502,942542
2011-12-28$8.34$6.0041.5%11.9%32.4%29.9%42.8%4.8%3.4%40.1K-1.6M-3.4K0.1027.42N/AN/A206202,993542
2011-12-29$8.58$6.0040.7%11.7%29.0%28.7%45.0%6.7%-0.9%40.2K-1.7M-3.5K0.0034.90N/AN/A20603,070562
2011-12-30$8.50$6.0045.1%12.9%30.1%35.2%46.2%5.6%-2.0%42.2K-1.7M-3.5K0.0036.50N/AN/A14603,095562