NBIX Options History — February 2012

In February 2012, NBIX traded between $7.87 and $9.79. ATM implied volatility averaged 46.5%, placing in the 37.2% IV rank vs the trailing year. The 30-day expected move averaged 13.9%. IV traded below realized volatility by 1.6% (HV 20d: 48.0%). Max pain ranged from $7.00 to $8.00. Net GEX was positive for 20 of 20 trading days. Term structure was in contango for 13 of 20 days. Put/call ratio averaged 0.09.

Notable Days

  • 2012-02-21: Highest Volume — 2,158 contracts
  • 2012-02-08: Largest IV spike — 50.2% change
  • 2012-02-27: Highest IV Rank — 54.5%
  • 2012-02-27: Largest Expected Move — 16.7%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$8.74$7.87$9.79$9.65$7.87
Max Pain$7.90$7.00$8.00$7.00$8.00
ATM IV46.5%30.4%58.1%38.4%54.2%
Expected Move13.9%10.2%16.7%11.0%15.5%
HV 20d48.0%38.1%53.9%40.0%45.4%
HV 60d40.1%36.7%42.0%37.8%40.2%
IV Rank37.2%13.4%54.5%25.2%48.7%
IV Percentile50.6%2.0%92.1%14.7%82.1%
Term Structure4.1%-7.2%18.5%-0.6%18.5%
VWIV49.8%34.9%58.6%41.2%55.3%
Skew 25d-0.4%-16.8%19.4%-9.7%-16.8%
Skew 10d2.5%-13.7%16.6%-13.7%-6.6%
Call IV 25d46.1%29.7%64.1%40.1%64.1%
Put IV 25d45.7%30.4%54.3%30.4%47.3%
Bid-Ask Spread %99.8193.85103.64103.64101.58
Gamma HHI0.530.430.730.510.45
Net GEX71.2K51.5K104.7K56.8K73.1K
Net DEX-2.5M-3.6M-1.4M-3.5M-1.6M
Net VEX-5.4K-7.4K-3.8K-3.8K-7.3K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.090.000.490.040.12
Total Volume426.802,158234367
Total OI6,037.654,7407,2745,3946,938

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2012-02-01$9.65$7.0038.4%11.0%40.0%25.2%41.2%-9.7%-0.6%56.8K-3.5M-3.8K0.04103.64N/AN/A224104,493901
2012-02-02$9.79$7.0035.5%10.2%38.1%21.0%34.9%-3.9%3.4%51.5K-3.6M-3.9K0.09102.68N/AN/A123114,509911
2012-02-03$9.48$8.0030.4%13.7%40.4%13.4%48.8%-5.1%-3.2%57.8K-3.3M-4.1K0.0297.64N/AN/A528104,514919
2012-02-06$9.65$8.0037.9%12.2%40.0%24.5%49.7%-0.9%0.5%62.0K-3.5M-4.2K0.19101.23N/AN/A54104,712929
2012-02-07$9.46$8.0032.6%13.6%41.0%16.7%49.3%-4.4%-7.2%66.3K-3.3M-4.2K0.05100.70N/AN/A189104,745929
2012-02-08$9.37$8.0049.0%14.4%41.3%41.0%50.5%3.7%-4.6%68.5K-3.3M-4.7K0.06101.61N/AN/A232134,901939
2012-02-09$8.55$8.0044.8%12.8%53.4%34.7%44.0%11.8%1.7%73.6K-2.3M-4.5K0.0793.85N/AN/A991744,970952
2012-02-10$8.62$8.0044.4%12.7%53.4%34.1%44.4%14.0%-0.3%77.5K-2.3M-4.8K0.0098.78N/AN/A16005,113985
2012-02-13$8.77$8.0043.9%12.6%53.7%33.3%44.2%19.4%0.1%80.9K-2.6M-4.6K0.0097.38N/AN/A10405,159985
2012-02-14$8.62$8.0046.0%13.2%53.9%36.5%0.0%13.1%-1.4%75.6K-2.4M-4.4K0.0099.67N/AN/A005,194985
2012-02-15$8.73$8.0048.8%14.0%53.9%40.7%48.5%5.1%4.2%76.2K-2.6M-4.4K0.03100.11N/AN/A1,054305,194985
2012-02-16$8.88$8.0051.2%14.7%48.6%44.2%51.1%5.5%1.9%104.7K-3.2M-6.3K0.0094.49N/AN/A26516,1811,015
2012-02-17$8.57$8.0051.8%14.8%50.7%45.1%50.9%0.9%-0.7%84.2K-2.8M-6.1K0.4598.75N/AN/A3261486,2581,016
2012-02-21$8.47$8.0051.7%14.8%50.8%44.9%53.5%7.2%12.1%68.1K-1.5M-6.0K0.0295.20N/AN/A2,112464,251489
2012-02-22$8.08$8.0053.0%15.2%53.8%46.9%57.7%-10.7%12.4%75.8K-1.6M-7.4K0.00101.83N/AN/A9205,902533
2012-02-23$8.15$8.0053.3%15.3%53.8%47.3%53.3%-6.0%9.4%70.3K-1.6M-7.3K0.49102.43N/AN/A41205,419533
2012-02-24$8.12$8.0051.7%14.8%52.5%45.0%58.2%-9.5%9.3%69.2K-1.6M-7.2K0.0098.50N/AN/A4305,429544
2012-02-27$8.04$8.0058.1%16.7%50.0%54.5%58.6%-10.2%9.5%65.3K-1.5M-6.8K0.01102.50N/AN/A42765,449544
2012-02-28$7.95$8.0053.0%15.2%45.8%46.9%52.4%-11.3%17.1%65.9K-1.4M-6.9K0.00103.53N/AN/A81505,778550
2012-02-29$7.87$8.0054.2%15.5%45.4%48.7%55.3%-16.8%18.5%73.1K-1.6M-7.3K0.12101.58N/AN/A328396,388550