NBIX Options History — May 2012

In May 2012, NBIX traded between $6.45 and $7.37. ATM implied volatility averaged 54.7%, placing in the 41.6% IV rank vs the trailing year. The 30-day expected move averaged 15.4%. IV traded above realized volatility by 15.9% (HV 20d: 38.7%). Max pain ranged from $5.00 to $7.00. Net GEX was positive for 22 of 22 trading days. Term structure was in contango for 12 of 22 days. Put/call ratio averaged 0.76.

Notable Days

  • 2012-05-03: Highest Volume — 983 contracts
  • 2012-05-24: Largest IV spike — 19.3% change
  • 2012-05-04: Highest IV Rank — 52.9%
  • 2012-05-02: Largest Expected Move — 17.2%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$6.82$6.45$7.37$7.22$6.69
Max Pain$6.73$5.00$7.00$7.00$7.00
ATM IV54.7%45.1%63.7%55.0%55.0%
Expected Move15.4%12.9%17.2%15.8%15.8%
HV 20d38.7%34.9%42.1%34.9%39.3%
HV 60d50.9%49.8%53.3%52.2%49.9%
IV Rank41.6%29.7%52.9%42.0%42.0%
IV Percentile70.0%31.7%94.0%77.0%71.8%
Term Structure5.5%-11.5%46.7%-1.2%3.7%
VWIV51.7%32.6%57.5%52.3%55.4%
Skew 25d7.8%-13.5%38.0%3.6%1.5%
Skew 10d15.6%-20.7%31.2%17.2%21.1%
Call IV 25d50.4%33.5%59.8%52.4%45.5%
Put IV 25d58.2%42.8%71.4%55.9%47.0%
Bid-Ask Spread %65.9927.22103.7988.5929.93
Gamma HHI0.320.300.380.370.30
Net GEX83.7K51.1K129.4K117.1K62.0K
Net DEX-1.1M-1.7M-554.1K-1.6M-981.0K
Net VEX-9.2K-11.0K-6.7K-10.6K-8.3K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.760.006.670.010.00
Total Volume236.045098329934
Total OI12,637.8189,23114,79912,47110,291

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2012-05-01$7.22$7.0055.0%15.8%34.9%42.0%52.3%3.6%-1.2%117.1K-1.6M-10.6K0.0188.59N/AN/A295411,3191,152
2012-05-02$7.37$7.0060.0%17.2%36.0%48.3%52.6%8.0%-6.7%129.4K-1.7M-10.5K0.1427.22N/AN/A4726611,5281,152
2012-05-03$6.99$7.0053.4%15.3%39.4%40.0%54.2%-13.5%-5.0%101.0K-1.2M-9.8K0.1493.66N/AN/A86312011,9031,208
2012-05-04$6.80$5.0063.7%15.8%40.2%52.9%53.5%9.2%1.5%91.5K-1.3M-10.4K0.0588.89N/AN/A3271612,6251,318
2012-05-07$7.04$5.0053.9%14.7%42.1%40.7%0.0%9.7%-0.8%112.6K-1.4M-9.9K0.0042.37N/AN/A46012,9001,316
2012-05-08$6.94$5.0056.8%13.8%41.6%44.2%47.2%12.5%0.2%101.1K-1.3M-10.0K0.0065.24N/AN/A01612,9231,316
2012-05-09$7.00$7.0059.2%15.9%38.7%47.3%51.6%9.5%-7.0%110.1K-1.6M-10.4K0.0494.24N/AN/A242912,9231,332
2012-05-10$6.96$7.0056.4%16.2%38.4%43.7%0.0%10.5%-2.4%106.1K-1.3M-10.0K6.6741.81N/AN/A32013,1531,331
2012-05-11$7.11$7.0056.4%16.2%38.9%43.8%56.2%1.8%-2.4%110.1K-1.5M-10.1K0.0695.71N/AN/A2721513,1531,351
2012-05-14$6.97$7.0056.7%16.2%39.0%44.1%0.0%3.0%44.8%105.4K-1.6M-11.0K0.0061.10N/AN/A7013,4111,366
2012-05-15$6.89$7.0054.7%15.7%38.9%41.6%0.0%1.2%8.5%97.8K-1.2M-9.4K0.0081.54N/AN/A0013,4171,366
2012-05-16$6.85$7.0052.3%15.0%38.7%38.6%48.7%8.3%4.8%93.4K-1.0M-8.6K0.3739.54N/AN/A542013,4171,366
2012-05-17$6.61$7.0059.8%17.1%39.2%47.9%0.0%-3.0%10.4%74.8K-742.1K-8.6K1.1260.84N/AN/A424713,4171,356
2012-05-18$6.55$7.0057.4%16.5%36.7%45.0%57.5%11.3%46.7%52.8K-566.1K-8.2K5.89103.17N/AN/A5331213,4441,355
2012-05-21$6.80$7.0052.6%15.1%38.9%39.1%52.7%22.3%-5.5%51.4K-554.1K-6.7K0.6934.81N/AN/A3312288,324907
2012-05-22$6.60$7.0047.3%13.6%39.9%32.4%53.3%15.7%-2.6%54.0K-793.2K-8.2K0.0034.11N/AN/A92208,540940
2012-05-23$6.66$7.0046.9%13.5%38.3%31.9%55.5%14.2%2.0%56.0K-915.6K-8.3K0.0494.86N/AN/A20489,226940
2012-05-24$6.48$7.0056.0%16.1%38.9%43.2%52.1%13.3%11.5%56.8K-1.0M-9.2K0.0037.26N/AN/A6509,287940
2012-05-25$6.50$7.0050.5%14.5%38.7%36.4%51.8%5.9%12.6%53.3K-768.4K-7.9K0.0030.91N/AN/A2709,322940
2012-05-29$6.53$7.0045.1%12.9%38.2%29.7%32.6%38.0%18.8%51.1K-830.2K-7.7K0.00103.79N/AN/A4409,331940
2012-05-30$6.45$7.0053.3%15.3%37.4%39.9%0.0%-11.7%-11.5%53.6K-787.5K-7.6K0.00102.31N/AN/A909,346940
2012-05-31$6.69$7.0055.0%15.8%39.3%42.0%55.4%1.5%3.7%62.0K-981.0K-8.3K0.0029.93N/AN/A3409,351940