NBIX Options History — November 2012

In November 2012, NBIX traded between $6.88 and $7.50. ATM implied volatility averaged 49.0%, placing in the 26.1% IV rank vs the trailing year. The 30-day expected move averaged 14.4%. IV traded above realized volatility by 16.6% (HV 20d: 32.3%). Max pain ranged from $7.00 to $8.00. Net GEX was positive for 21 of 21 trading days. Term structure was in contango for 20 of 21 days. Put/call ratio averaged 2.08.

Notable Days

  • 2012-11-14: Highest Volume — 331 contracts
  • 2012-11-05: Largest IV spike — 38.4% change
  • 2012-11-06: Highest IV Rank — 47.7%
  • 2012-11-01: Largest Expected Move — 17.1%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$7.24$6.88$7.50$7.43$7.48
Max Pain$7.33$7.00$8.00$7.00$7.00
ATM IV49.0%39.2%64.3%59.5%39.2%
Expected Move14.4%11.2%17.1%17.1%11.2%
HV 20d32.3%28.7%36.5%36.4%35.4%
HV 60d34.8%33.1%37.3%33.2%36.6%
IV Rank26.1%12.4%47.7%41.0%12.4%
IV Percentile50.4%6.7%95.6%92.1%6.7%
Term Structure5.9%-0.7%18.0%-0.7%7.8%
VWIV45.7%34.7%54.6%44.6%36.6%
Skew 25d12.5%-0.3%26.5%9.9%2.2%
Skew 10d13.8%3.7%25.7%4.3%12.9%
Call IV 25d38.3%25.7%49.6%49.0%36.7%
Put IV 25d50.8%38.9%62.0%58.9%38.9%
Bid-Ask Spread %41.0823.03106.67106.6732.61
Gamma HHI0.470.420.580.490.47
Net GEX21.8K4.2K47.0K43.9K13.6K
Net DEX-412.7K-1.0M-69.8K-1.0M-307.0K
Net VEX-3.5K-4.2K-3.0K-4.2K-4.1K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio2.080.0012.790.001.00
Total Volume111.5244331464
Total OI4,311.5712,3255,9405,2563,066

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2012-11-01$7.43$7.0059.5%17.1%36.4%41.0%44.6%9.9%-0.7%43.9K-1.0M-4.2K0.00106.67N/AN/A4604,271985
2012-11-02$7.31$7.0044.1%12.6%36.5%19.3%0.0%22.6%18.0%47.0K-844.9K-3.8K0.29101.27N/AN/A2884,313985
2012-11-05$7.26$8.0061.0%16.5%31.6%43.1%0.0%16.1%2.5%41.7K-718.2K-3.5K0.3934.61N/AN/A123484,293985
2012-11-06$7.29$8.0064.3%17.1%31.9%47.7%54.6%16.4%7.0%42.6K-752.3K-3.7K0.3333.21N/AN/A2794,3731,004
2012-11-07$7.13$8.0051.8%15.5%29.6%30.2%48.9%15.3%0.4%36.6K-570.6K-3.4K1.9531.20N/AN/A571114,3671,004
2012-11-08$7.10$8.0044.3%15.0%29.2%19.5%0.0%8.1%7.5%28.4K-504.6K-3.3K5.7035.73N/AN/A10574,4061,113
2012-11-09$7.26$8.0053.3%16.6%30.6%32.2%0.0%0.6%2.7%34.6K-624.4K-3.3K0.0041.26N/AN/A804,4061,138
2012-11-12$7.15$8.0053.9%15.9%30.5%33.1%0.0%12.2%3.9%27.6K-519.5K-3.1K0.0036.59N/AN/A01004,4121,138
2012-11-13$7.35$8.0048.5%16.2%31.8%25.5%54.1%15.9%3.8%23.3K-683.4K-3.0K1.1835.15N/AN/A22264,4121,235
2012-11-14$7.14$7.0042.6%14.3%33.1%17.1%48.2%-0.3%12.2%21.4K-508.5K-3.0K12.7942.48N/AN/A243074,4301,260
2012-11-15$6.88$7.0050.9%14.6%35.0%28.8%51.9%23.8%12.3%18.2K-127.7K-3.1K9.3038.37N/AN/A10934,4451,430
2012-11-16$6.90$7.0048.7%14.0%28.7%25.7%48.8%26.5%11.9%22.0K-69.8K-3.0K2.6629.84N/AN/A741974,4521,488
2012-11-19$7.13$7.0048.0%13.8%31.9%24.8%48.0%10.3%1.6%4.2K-93.5K-3.1K1.0031.84N/AN/A70701,501824
2012-11-20$7.11$7.0049.3%14.1%30.6%26.6%0.0%11.4%1.9%4.6K-102.0K-3.2K1.3041.07N/AN/A46601,534869
2012-11-21$7.21$7.0047.4%13.6%31.2%24.0%41.4%2.3%6.9%4.9K-149.3K-3.5K0.0533.88N/AN/A193101,566929
2012-11-23$7.23$7.0046.4%13.3%31.0%22.5%0.0%19.4%5.8%6.8K-162.2K-3.6K0.0033.91N/AN/A2601,732939
2012-11-26$7.39$7.0045.1%12.9%31.9%20.7%45.3%18.6%5.2%7.5K-187.4K-3.5K0.3023.03N/AN/A57171,742939
2012-11-27$7.50$7.0046.8%13.4%32.0%23.1%34.7%11.3%1.5%9.7K-273.3K-3.7K0.1630.91N/AN/A130211,784943
2012-11-28$7.22$7.0039.9%11.4%34.6%13.4%0.0%16.2%9.9%8.6K-175.9K-3.6K3.2336.04N/AN/A311001,901964
2012-11-29$7.50$7.0043.0%12.3%35.7%17.8%36.7%4.6%2.2%11.4K-268.2K-4.0K0.0033.02N/AN/A12201,9311,034
2012-11-30$7.48$7.0039.2%11.2%35.4%12.4%36.6%2.2%7.8%13.6K-307.0K-4.1K1.0032.61N/AN/A222,0321,034