NBIX Options History — June 2012

In June 2012, NBIX traded between $6.55 and $7.92. ATM implied volatility averaged 48.8%, placing in the 31.1% IV rank vs the trailing year. The 30-day expected move averaged 14.4%. IV traded above realized volatility by 14.5% (HV 20d: 34.3%). Max pain ranged from $6.00 to $7.00. Net GEX was positive for 21 of 21 trading days. Term structure was in contango for 12 of 21 days. Put/call ratio averaged 0.61.

Notable Days

  • 2012-06-22: Highest Volume — 1,044 contracts
  • 2012-06-04: Largest IV drop — 18.7% change
  • 2012-06-01: Highest IV Rank — 47.1%
  • 2012-06-01: Largest Expected Move — 16.9%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$7.27$6.55$7.92$6.55$7.90
Max Pain$6.05$6.00$7.00$7.00$6.00
ATM IV48.8%40.9%59.0%59.0%41.4%
Expected Move14.4%11.7%16.9%16.9%11.9%
HV 20d34.3%27.3%40.2%35.5%27.3%
HV 60d44.6%35.4%49.5%48.7%35.4%
IV Rank31.1%19.9%47.1%47.1%20.5%
IV Percentile44.3%15.5%85.7%85.7%16.7%
Term Structure1.3%-6.7%6.3%1.3%5.2%
VWIV49.1%41.4%60.5%52.7%41.4%
Skew 25d10.5%-13.9%32.0%-13.9%12.7%
Skew 10d18.1%1.6%35.7%14.5%13.0%
Call IV 25d42.5%28.4%55.2%55.2%28.4%
Put IV 25d52.9%39.2%63.9%41.3%41.1%
Bid-Ask Spread %61.8431.70101.8634.4431.70
Gamma HHI0.370.300.450.300.45
Net GEX87.9K55.6K108.1K55.6K108.1K
Net DEX-1.6M-2.4M-856.1K-1.3M-2.4M
Net VEX-8.9K-9.9K-7.7K-9.9K-9.8K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.610.009.380.000.00
Total Volume180.381151,04415189
Total OI9,987.2869,22510,84110,2979,430

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2012-06-01$6.55$7.0059.0%16.9%35.5%47.1%0.0%-13.9%1.3%55.6K-1.3M-9.9K0.0034.44N/AN/A1509,357940
2012-06-04$6.73$6.0048.0%15.4%35.9%33.3%52.7%1.7%0.7%63.4K-994.0K-8.0K0.0083.56N/AN/A6009,367940
2012-06-05$6.66$6.0051.8%16.1%33.5%38.0%0.0%15.8%-2.6%59.9K-856.1K-7.7K0.0053.24N/AN/A18509,421940
2012-06-06$6.80$6.0051.4%14.9%34.2%37.6%51.8%6.9%3.4%75.0K-1.2M-8.7K0.0577.55N/AN/A7649,514940
2012-06-07$6.70$6.0044.1%16.0%34.4%24.1%55.9%2.9%-1.8%74.0K-1.1M-8.3K0.0082.36N/AN/A10109,579944
2012-06-08$6.97$6.0048.2%15.7%37.4%29.5%55.9%32.0%-1.7%87.8K-1.1M-8.0K0.0082.91N/AN/A2609,678944
2012-06-11$6.81$6.0054.4%15.5%37.3%37.8%48.2%4.8%-0.9%82.7K-1.2M-8.4K0.0043.15N/AN/A29809,692944
2012-06-12$6.89$6.0053.9%16.1%37.0%37.1%55.9%23.0%-1.7%82.8K-1.2M-8.3K0.0037.62N/AN/A2209,798944
2012-06-13$6.98$6.0054.0%15.9%37.1%37.2%0.0%12.7%-1.8%102.1K-1.3M-8.4K0.0635.26N/AN/A1719,813944
2012-06-14$7.30$6.0058.4%16.7%40.2%43.0%46.5%18.4%-6.7%100.7K-1.8M-8.7K0.0139.48N/AN/A16019,819945
2012-06-15$7.38$6.0053.3%15.3%37.5%36.3%48.1%5.6%-1.7%99.2K-2.0M-9.2K0.0233.49N/AN/A919149,896945
2012-06-18$7.34$6.0055.2%15.8%37.3%38.8%0.0%4.6%-3.2%72.5K-1.5M-8.4K0.8341.40N/AN/A41348,503783
2012-06-19$7.38$6.0048.7%14.0%35.4%30.2%44.0%4.5%2.5%79.8K-1.5M-8.5K0.1950.43N/AN/A64128,538797
2012-06-20$7.50$6.0046.7%13.4%33.2%27.5%45.3%4.0%5.4%84.9K-1.7M-8.9K0.1551.59N/AN/A81128,576803
2012-06-21$7.64$6.0044.4%12.7%33.5%24.6%60.5%15.1%6.0%90.8K-1.9M-9.5K0.0878.61N/AN/A6558,620815
2012-06-22$7.75$6.0042.9%12.3%31.0%22.5%47.4%8.2%3.1%101.5K-2.1M-9.7K0.00100.51N/AN/A1,04228,577811
2012-06-25$7.87$6.0040.9%11.7%31.0%19.9%42.7%18.6%6.3%104.2K-2.2M-9.8K0.43101.86N/AN/A28128,416809
2012-06-26$7.83$6.0042.9%12.3%31.4%22.5%43.8%22.2%4.9%106.7K-2.2M-9.5K9.3898.16N/AN/A131228,428803
2012-06-27$7.92$6.0044.3%12.7%30.4%24.3%45.4%19.9%4.0%106.4K-2.3M-9.8K0.9598.82N/AN/A39378,440887
2012-06-28$7.86$6.0041.5%11.9%29.3%20.6%41.4%0.3%6.1%108.0K-2.1M-9.4K0.6942.55N/AN/A54378,479914
2012-06-29$7.90$6.0041.4%11.9%27.3%20.5%0.0%12.7%5.2%108.1K-2.4M-9.8K0.0031.70N/AN/A18908,479951