NBIX Options History — April 2012

In April 2012, NBIX traded between $7.21 and $8.03. ATM implied volatility averaged 54.0%, placing in the 40.7% IV rank vs the trailing year. The 30-day expected move averaged 15.1%. IV traded below realized volatility by 6.8% (HV 20d: 60.7%). 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 4 of 20 days. Put/call ratio averaged 0.44.

Notable Days

  • 2012-04-04: Highest Volume — 413 contracts
  • 2012-04-25: Largest IV drop — 23.0% change
  • 2012-04-10: Highest IV Rank — 60.6%
  • 2012-04-10: Largest Expected Move — 17.7%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$7.53$7.21$8.03$8.03$7.43
Max Pain$7.20$7.00$8.00$8.00$7.00
ATM IV54.0%41.1%69.9%53.1%52.2%
Expected Move15.1%11.8%17.7%15.2%15.0%
HV 20d60.7%34.1%72.9%72.9%34.1%
HV 60d53.9%52.2%55.1%54.1%52.2%
IV Rank40.7%24.6%60.6%39.6%38.5%
IV Percentile69.6%22.6%96.0%70.6%60.3%
Term Structure-3.0%-8.9%14.1%-3.7%14.1%
VWIV51.1%40.4%61.3%59.0%51.5%
Skew 25d9.5%1.2%20.0%10.4%7.4%
Skew 10d14.7%-5.1%33.1%16.1%23.7%
Call IV 25d48.6%36.3%58.8%58.3%50.9%
Put IV 25d58.1%51.7%68.7%68.7%58.4%
Bid-Ask Spread %52.9817.59100.7335.43100.24
Gamma HHI0.360.310.410.380.39
Net GEX121.8K58.7K185.0K185.0K133.7K
Net DEX-2.3M-4.1M-1.2M-4.1M-2.0M
Net VEX-15.0K-21.0K-11.3K-21.0K-11.3K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.440.003.443.440.00
Total Volume118.75204134080
Total OI18,198.1512,25221,01620,20012,421

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2012-04-02$8.03$8.0053.1%15.2%72.9%39.6%59.0%10.4%-3.7%185.0K-4.1M-21.0K3.4435.43N/AN/A93116,7743,426
2012-04-03$7.95$8.0052.9%15.2%69.1%39.4%53.3%15.3%-5.4%175.8K-3.8M-20.4K0.1418.48N/AN/A1452116,7693,414
2012-04-04$7.75$8.0053.2%15.3%67.2%39.8%61.3%2.8%-4.3%149.9K-3.1M-18.9K0.0034.10N/AN/A413016,8833,415
2012-04-05$7.72$8.0055.0%15.8%66.9%42.0%56.9%4.1%-3.7%154.1K-3.2M-18.8K0.2917.59N/AN/A24717,2323,415
2012-04-09$7.53$7.0061.3%15.2%67.2%49.8%52.8%11.9%-3.4%122.0K-2.4M-16.8K0.0626.76N/AN/A87517,2353,421
2012-04-10$7.35$7.0069.9%17.7%67.3%60.6%57.1%11.6%-8.9%86.6K-2.0M-15.7K0.3124.90N/AN/A1765417,2403,395
2012-04-11$7.65$7.0057.0%14.4%69.1%44.5%51.4%13.6%-1.4%138.4K-2.6M-16.9K0.7089.22N/AN/A866017,3883,394
2012-04-12$7.52$7.0052.7%15.1%68.7%39.2%0.0%2.8%-3.1%118.0K-2.3M-16.1K0.0034.09N/AN/A05017,4283,434
2012-04-13$7.37$7.0060.0%17.2%66.8%48.3%53.4%2.2%-5.7%98.4K-1.8M-15.2K0.0065.82N/AN/A20017,4283,484
2012-04-16$7.25$7.0056.9%16.3%66.8%44.4%56.4%9.5%-5.8%67.8K-1.3M-13.3K0.1355.70N/AN/A46617,4263,484
2012-04-17$7.32$7.0058.6%16.8%64.3%46.5%50.7%7.3%-6.7%72.1K-1.5M-13.9K0.1431.26N/AN/A971417,4103,484
2012-04-18$7.21$7.0057.6%16.5%64.3%45.3%54.1%1.2%-6.0%58.7K-1.2M-13.1K0.4028.84N/AN/A753017,4973,484
2012-04-19$7.37$7.0056.5%16.2%63.2%43.9%49.2%13.0%-6.2%74.7K-1.6M-13.6K0.4459.25N/AN/A16717,5223,494
2012-04-20$7.61$7.0047.9%13.7%64.6%33.2%47.5%4.0%0.5%127.7K-2.2M-13.8K1.20100.73N/AN/A16519817,5343,478
2012-04-23$7.38$7.0055.0%15.8%64.3%42.0%46.1%8.8%-3.2%118.3K-1.8M-11.9K0.0240.25N/AN/A102211,0631,189
2012-04-24$7.38$7.0053.3%15.3%64.3%39.9%41.7%12.2%-2.0%120.6K-1.7M-11.7K0.0057.89N/AN/A93011,1381,187
2012-04-25$7.59$7.0041.1%11.8%41.5%24.6%40.4%20.0%0.8%140.8K-2.2M-12.7K0.2863.47N/AN/A581611,2001,145
2012-04-26$7.58$7.0041.6%11.9%37.7%25.3%41.6%18.2%0.7%146.1K-2.1M-12.0K0.8681.76N/AN/A141211,2081,152
2012-04-27$7.64$7.0043.1%12.4%34.3%27.2%45.7%14.3%-6.4%147.1K-2.4M-12.4K0.0193.84N/AN/A155111,1201,152
2012-04-30$7.43$7.0052.2%15.0%34.1%38.5%51.5%7.4%14.1%133.7K-2.0M-11.3K0.00100.24N/AN/A80011,2691,152