NBIX Options History — December 2012

In December 2012, NBIX traded between $7.35 and $7.98. ATM implied volatility averaged 43.5%, placing in the 18.5% IV rank vs the trailing year. The 30-day expected move averaged 12.7%. IV traded above realized volatility by 12.7% (HV 20d: 30.8%). Max pain ranged from $7.00 to $7.00. Net GEX was positive for 20 of 20 trading days. Term structure was in contango for 20 of 20 days. Put/call ratio averaged 0.78.

Notable Days

  • 2012-12-17: Highest Volume — 387 contracts
  • 2012-12-28: Largest IV spike — 21.9% change
  • 2012-12-28: Highest IV Rank — 29.3%
  • 2012-12-10: Largest Expected Move — 15.4%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$7.63$7.35$7.98$7.35$7.48
Max Pain$7.00$7.00$7.00$7.00$7.00
ATM IV43.5%38.1%51.2%44.2%43.4%
Expected Move12.7%10.9%15.4%12.7%12.4%
HV 20d30.8%25.7%35.5%35.5%25.9%
HV 60d34.4%32.4%36.6%36.6%32.6%
IV Rank18.5%10.9%29.3%19.4%18.2%
IV Percentile28.4%4.8%66.7%29.4%28.2%
Term Structure7.3%0.5%20.6%5.2%20.6%
VWIV42.9%37.6%48.1%44.6%48.1%
Skew 25d10.3%-2.1%24.4%18.3%6.3%
Skew 10d12.6%5.0%30.7%14.2%7.4%
Call IV 25d36.0%26.4%44.3%26.4%44.3%
Put IV 25d46.3%33.5%57.6%44.7%50.7%
Bid-Ask Spread %33.6115.4147.6627.8223.56
Gamma HHI0.640.440.830.440.61
Net GEX33.1K11.1K73.9K11.1K29.8K
Net DEX-550.9K-912.5K-233.3K-233.3K-465.3K
Net VEX-4.1K-4.4K-3.9K-3.9K-4.0K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.780.005.005.000.22
Total Volume79.55038712109
Total OI3,543.653,0704,0403,0703,675

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2012-12-03$7.35$7.0044.2%12.7%35.5%19.4%44.6%18.3%5.2%11.1K-233.3K-3.9K5.0027.82N/AN/A2102,0341,036
2012-12-04$7.39$7.0048.5%13.9%35.4%25.5%0.0%6.0%8.6%12.1K-280.1K-3.9K0.1734.23N/AN/A231402,0361,046
2012-12-05$7.39$7.0046.3%13.3%35.4%22.4%0.0%4.3%7.9%15.2K-363.4K-4.1K0.2928.36N/AN/A34102,2571,069
2012-12-06$7.40$7.0050.8%14.6%34.3%28.7%0.0%24.4%3.1%15.1K-352.7K-4.2K0.0029.25N/AN/A2602,2761,077
2012-12-07$7.35$7.0049.7%14.7%34.4%27.2%0.0%5.2%3.3%14.8K-334.6K-4.1K1.0834.95N/AN/A25272,3021,077
2012-12-10$7.41$7.0047.3%15.4%33.6%23.9%47.5%17.2%1.7%14.9K-359.8K-4.1K0.0027.13N/AN/A2402,2801,098
2012-12-11$7.66$7.0039.3%13.3%34.9%12.5%46.4%9.5%5.8%19.2K-460.9K-4.1K0.0044.90N/AN/A402,3011,098
2012-12-12$7.71$7.0038.6%12.1%33.8%11.6%0.0%10.9%7.5%23.0K-569.3K-4.2K0.0346.91N/AN/A15542,3051,098
2012-12-13$7.66$7.0042.0%12.0%31.9%16.3%0.0%14.6%7.8%29.2K-574.6K-4.2K0.0047.66N/AN/A002,4471,098
2012-12-14$7.75$7.0044.5%12.7%28.1%19.8%44.2%16.7%6.0%36.0K-592.2K-4.2K0.0045.57N/AN/A302,4471,098
2012-12-17$7.87$7.0041.5%11.9%28.3%15.7%41.5%0.4%8.6%50.2K-670.7K-4.1K0.0044.20N/AN/A38702,4501,098
2012-12-18$7.98$7.0041.9%12.0%26.7%16.2%42.6%14.3%9.1%69.1K-912.5K-4.4K0.0039.09N/AN/A1002,8371,098
2012-12-19$7.85$7.0040.2%11.5%27.7%13.7%0.0%13.8%8.0%69.5K-791.1K-4.3K2.0029.10N/AN/A5102,8471,098
2012-12-20$7.75$7.0040.0%11.5%28.2%13.6%40.1%12.8%6.6%52.6K-685.4K-4.1K0.0029.68N/AN/A10002,8321,108
2012-12-21$7.92$7.0040.0%11.5%28.9%13.5%40.1%14.5%9.4%73.9K-867.8K-4.2K0.0928.28N/AN/A161152,9321,108
2012-12-24$7.97$7.0038.1%10.9%28.2%10.9%37.6%4.4%12.0%33.0K-801.5K-4.2K0.0015.41N/AN/A8002,559938
2012-12-26$7.71$7.0040.8%11.7%30.7%14.6%40.8%-2.1%6.5%33.0K-689.3K-4.2K0.2632.85N/AN/A38102,629938
2012-12-27$7.55$7.0042.0%12.0%28.3%16.4%41.4%4.3%8.4%31.0K-553.4K-4.1K4.8029.69N/AN/A5242,663948
2012-12-28$7.42$7.0051.2%14.7%25.7%29.3%0.0%9.4%0.5%29.1K-459.2K-4.0K0.9133.51N/AN/A22202,663972
2012-12-31$7.48$7.0043.4%12.4%25.9%18.2%48.1%6.3%20.6%29.8K-465.3K-4.0K0.2223.56N/AN/A89202,683992