NBIX Options History — October 2012

In October 2012, NBIX traded between $7.33 and $8.66. ATM implied volatility averaged 46.6%, placing in the 22.8% IV rank vs the trailing year. The 30-day expected move averaged 13.7%. IV traded above realized volatility by 7.1% (HV 20d: 39.5%). Max pain ranged from $7.00 to $7.00. Net GEX was positive for 21 of 21 trading days. Term structure was in contango for 21 of 21 days. Put/call ratio averaged 0.26.

Notable Days

  • 2012-10-02: Highest Volume — 612 contracts
  • 2012-10-04: Largest IV drop — 21.1% change
  • 2012-10-31: Highest IV Rank — 40.1%
  • 2012-10-31: Largest Expected Move — 16.9%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$7.94$7.33$8.66$8.06$7.33
Max Pain$7.00$7.00$7.00$7.00$7.00
ATM IV46.6%35.8%58.9%42.6%58.9%
Expected Move13.7%10.5%16.9%12.2%16.9%
HV 20d39.5%36.8%42.9%38.7%37.9%
HV 60d35.7%32.9%37.7%33.7%33.4%
IV Rank22.8%7.6%40.1%17.2%40.1%
IV Percentile43.6%2.8%90.9%18.3%90.9%
Term Structure11.2%4.2%19.3%7.7%4.2%
VWIV49.2%39.8%58.9%42.7%56.2%
Skew 25d9.2%-2.9%18.8%3.9%0.8%
Skew 10d17.2%-5.3%40.8%5.6%-4.3%
Call IV 25d43.6%35.4%55.7%38.2%55.7%
Put IV 25d52.9%37.9%63.8%42.2%56.5%
Bid-Ask Spread %53.2420.92104.3638.84102.37
Gamma HHI0.530.420.730.470.55
Net GEX63.3K43.2K109.3K55.6K45.0K
Net DEX-1.7M-2.7M-860.6K-1.9M-860.6K
Net VEX-5.5K-6.4K-3.9K-6.2K-3.9K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.260.002.000.060.20
Total Volume105.61946121891
Total OI5,763.6675,1086,2575,6125,214

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2012-10-01$8.06$7.0042.6%12.2%38.7%17.2%0.0%3.9%7.7%55.6K-1.9M-6.2K0.0638.84N/AN/A1714,690922
2012-10-02$8.30$7.0042.8%12.3%38.2%17.4%42.7%7.4%10.4%57.7K-2.1M-6.0K0.0036.78N/AN/A61114,707923
2012-10-03$8.30$7.0046.6%13.3%38.0%22.7%0.0%10.6%4.3%56.8K-2.2M-6.4K0.0040.72N/AN/A1604,838924
2012-10-04$8.66$7.0036.7%10.5%37.9%8.9%39.8%-2.9%5.0%58.8K-2.7M-5.9K0.14103.63N/AN/A190264,853924
2012-10-05$8.55$7.0035.8%12.8%38.0%7.6%52.0%16.5%17.5%61.6K-2.6M-6.3K0.6793.61N/AN/A58395,026950
2012-10-08$8.19$7.0040.0%13.9%40.9%13.5%48.5%4.6%15.6%65.0K-2.2M-6.2K2.0094.76N/AN/A245,019972
2012-10-09$8.02$7.0044.7%14.1%41.7%20.1%0.0%7.9%10.9%65.8K-2.0M-6.0K0.0092.86N/AN/A605,019976
2012-10-10$7.90$7.0049.5%15.0%41.7%26.9%55.2%13.0%13.3%63.3K-1.8M-6.0K0.4296.08N/AN/A193825,019976
2012-10-11$7.76$7.0047.9%13.7%42.2%24.6%47.1%9.3%17.3%72.0K-1.7M-5.9K0.0031.20N/AN/A405,1811,009
2012-10-12$7.88$7.0048.5%13.9%41.0%25.5%48.0%4.8%17.3%75.1K-1.8M-5.8K0.0425.09N/AN/A227105,1811,009
2012-10-15$7.82$7.0053.5%15.3%41.1%32.6%0.0%11.0%9.2%75.2K-1.7M-5.7K0.0327.80N/AN/A3115,2381,019
2012-10-16$7.76$7.0049.8%14.3%40.2%27.3%58.9%18.5%14.2%74.5K-1.7M-5.6K0.0026.65N/AN/A20905,2301,019
2012-10-17$8.15$7.0047.6%13.6%41.3%24.2%0.0%7.3%15.2%83.3K-2.1M-5.3K0.0029.86N/AN/A4705,1151,019
2012-10-18$8.01$7.0051.9%14.9%41.9%30.2%52.4%7.1%10.8%109.3K-1.9M-5.4K0.0031.99N/AN/A2505,0491,010
2012-10-19$7.77$7.0046.7%13.4%42.9%22.9%0.0%14.7%19.3%79.8K-1.5M-5.1K0.0035.08N/AN/A1805,0591,010
2012-10-22$7.78$7.0049.0%14.0%37.6%26.2%50.4%18.8%7.3%44.3K-1.2M-4.9K0.0033.69N/AN/A7704,128980
2012-10-23$7.66$7.0047.6%13.6%37.6%24.2%47.6%14.9%10.4%43.2K-1.2M-4.8K0.00104.36N/AN/A3004,201980
2012-10-24$7.74$7.0042.7%12.2%37.8%17.3%43.7%13.1%8.9%50.5K-1.2M-4.5K1.8927.77N/AN/A18344,221980
2012-10-25$7.62$7.0047.0%13.5%36.8%23.4%45.0%10.2%8.6%46.9K-1.1M-4.6K0.0023.89N/AN/A904,239980
2012-10-26$7.56$7.0049.1%14.1%36.9%26.3%50.4%2.2%7.5%46.4K-1.0M-4.5K0.0820.92N/AN/A131104,248980
2012-10-31$7.33$7.0058.9%16.9%37.9%40.1%56.2%0.8%4.2%45.0K-860.6K-3.9K0.20102.37N/AN/A76154,244970