NBIX Options History — August 2012

In August 2012, NBIX traded between $6.87 and $7.54. ATM implied volatility averaged 45.8%, placing in the 21.7% IV rank vs the trailing year. The 30-day expected move averaged 13.5%. IV traded above realized volatility by 9.9% (HV 20d: 35.9%). Max pain ranged from $7.00 to $8.00. Net GEX was positive for 23 of 23 trading days. Term structure was in contango for 20 of 23 days. Put/call ratio averaged 1.34.

Notable Days

  • 2012-08-01: Highest Volume — 2,241 contracts
  • 2012-08-14: Largest IV spike — 27.4% change
  • 2012-08-07: Highest IV Rank — 34.0%
  • 2012-08-10: Largest Expected Move — 15.0%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$7.27$6.87$7.54$7.00$7.38
Max Pain$7.13$7.00$8.00$8.00$7.00
ATM IV45.8%35.4%54.6%45.4%43.4%
Expected Move13.5%11.6%15.0%13.0%12.4%
HV 20d35.9%19.8%40.7%37.2%19.8%
HV 60d33.6%31.4%35.5%35.2%31.4%
IV Rank21.7%7.0%34.0%21.1%18.2%
IV Percentile30.1%1.6%69.8%25.0%19.8%
Term Structure4.8%-17.3%16.7%-3.4%9.2%
VWIV43.8%33.5%52.5%39.3%42.9%
Skew 25d5.0%-4.8%16.1%7.2%3.3%
Skew 10d11.0%-2.6%30.0%12.8%4.7%
Call IV 25d43.5%39.0%51.1%40.7%40.9%
Put IV 25d48.5%38.7%59.8%48.0%44.2%
Bid-Ask Spread %53.4616.07106.5442.3722.19
Gamma HHI0.560.400.790.510.46
Net GEX44.0K22.0K68.1K32.9K40.8K
Net DEX-1.1M-1.4M-146.2K-146.2K-1.3M
Net VEX-7.1K-8.4K-3.6K-3.6K-7.1K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.340.0013.220.010.09
Total Volume230.34802,2412,241123
Total OI9,400.6965,02512,94710,1765,549

Daily Data (23 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2012-08-01$7.00$8.0045.4%13.0%37.2%21.1%39.3%7.2%-3.4%32.9K-146.2K-3.6K0.0142.37N/AN/A2,223188,8251,351
2012-08-02$7.00$8.0049.1%14.1%36.3%26.3%44.8%13.6%1.8%46.6K-668.3K-6.5K0.12100.79N/AN/A1,19414110,5951,356
2012-08-03$6.87$8.0050.4%14.5%36.5%28.2%0.0%6.6%-17.3%62.0K-1.1M-8.4K0.06100.06N/AN/A50311,1811,467
2012-08-06$7.02$7.0054.1%14.3%37.8%33.3%0.0%12.9%7.6%52.7K-929.3K-7.9K0.0096.01N/AN/A1011,2211,470
2012-08-07$7.15$7.0054.6%14.9%38.5%34.0%52.5%16.1%3.0%59.9K-1.0M-8.0K4.0093.16N/AN/A52011,2211,470
2012-08-08$7.07$7.0052.9%14.5%38.5%31.7%51.3%9.5%2.5%50.9K-953.5K-7.6K0.0898.73N/AN/A36311,2261,490
2012-08-09$7.12$7.0046.5%14.6%38.8%22.6%0.0%6.6%3.3%44.1K-905.2K-7.5K1.0095.21N/AN/A101011,2451,490
2012-08-10$7.21$7.0044.7%15.0%39.2%20.2%0.0%12.3%-9.3%50.5K-912.7K-7.2K0.0050.34N/AN/A0011,2411,500
2012-08-13$7.21$7.0035.4%14.7%39.1%7.0%0.0%7.9%7.2%22.0K-849.3K-6.9K2.0040.50N/AN/A1211,2411,500
2012-08-14$7.24$7.0045.1%13.2%39.2%20.7%49.5%4.7%14.6%43.1K-957.4K-7.1K2.0037.13N/AN/A102011,2421,500
2012-08-15$7.38$7.0043.3%14.5%40.0%18.2%44.5%2.4%0.5%36.4K-1.0M-6.9K0.0046.60N/AN/A13011,2521,510
2012-08-16$7.51$7.0045.5%13.0%40.7%21.2%33.5%-4.8%13.2%48.9K-1.1M-6.8K0.20106.54N/AN/A4889611,1171,500
2012-08-17$7.54$7.0045.2%13.0%40.6%20.9%42.4%0.0%6.7%68.1K-1.3M-7.2K13.2245.56N/AN/A1823811,4161,531
2012-08-20$7.51$7.0047.0%13.5%40.1%23.4%43.8%4.3%3.3%32.8K-1.3M-7.2K0.0044.49N/AN/A21104,206819
2012-08-21$7.41$7.0040.6%11.6%39.1%14.3%42.7%-2.8%16.7%37.6K-1.4M-7.2K0.0739.50N/AN/A135104,417819
2012-08-22$7.42$7.0046.1%13.2%38.7%22.1%0.0%4.9%4.0%39.3K-1.3M-7.3K1.0036.47N/AN/A20204,531829
2012-08-23$7.45$7.0046.4%13.3%37.7%22.5%40.5%6.9%6.7%40.7K-1.3M-7.2K0.6127.17N/AN/A33204,551849
2012-08-24$7.41$7.0046.1%13.2%35.9%22.1%38.8%7.2%5.1%40.4K-1.4M-7.2K0.5135.04N/AN/A39204,567869
2012-08-27$7.30$7.0042.9%12.3%35.7%17.6%45.8%-2.7%10.5%40.5K-1.3M-7.1K0.0016.07N/AN/A204,606889
2012-08-28$7.22$7.0047.0%13.5%35.3%23.4%48.4%-3.6%2.7%38.9K-1.1M-6.8K3.2716.42N/AN/A11364,606889
2012-08-29$7.42$7.0040.9%11.7%21.1%14.7%0.0%-0.6%10.9%40.3K-1.4M-7.3K0.0018.12N/AN/A004,606925
2012-08-30$7.43$7.0041.8%12.0%21.1%16.1%40.0%2.6%10.1%42.9K-1.3M-7.0K0.0021.05N/AN/A1804,606925
2012-08-31$7.38$7.0043.4%12.4%19.8%18.2%42.9%3.3%9.2%40.8K-1.3M-7.1K0.0922.19N/AN/A113104,624925