NBIX Options History — April 2013

In April 2013, NBIX traded between $11.54 and $12.65. ATM implied volatility averaged 51.0%, placing in the 59.8% IV rank vs the trailing year. The 30-day expected move averaged 15.2%. IV traded above realized volatility by 6.0% (HV 20d: 45.0%). Max pain ranged from $9.00 to $10.00. Net GEX was positive for 22 of 22 trading days. Term structure was in contango for 22 of 22 days. Put/call ratio averaged 0.78.

Notable Days

  • 2013-04-08: Highest Volume — 4,135 contracts
  • 2013-04-11: Largest IV spike — 21.6% change
  • 2013-04-25: Highest IV Rank — 83.3%
  • 2013-04-25: Largest Expected Move — 16.7%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$11.88$11.54$12.65$11.80$11.54
Max Pain$9.18$9.00$10.00$10.00$9.00
ATM IV51.0%38.6%58.3%40.9%57.7%
Expected Move15.2%11.4%16.7%11.7%16.5%
HV 20d45.0%31.4%49.4%36.7%31.4%
HV 60d44.4%40.4%45.1%40.4%44.8%
IV Rank59.8%23.9%83.3%29.4%81.6%
IV Percentile67.7%6.0%96.0%16.3%94.8%
Term Structure17.8%8.2%28.1%11.9%8.2%
VWIV55.0%41.0%66.4%41.0%62.1%
Skew 25d9.0%-14.6%17.8%4.2%7.3%
Skew 10d20.0%-8.1%40.4%5.9%17.0%
Call IV 25d48.3%36.1%56.1%43.7%56.1%
Put IV 25d57.3%31.0%64.5%47.9%63.3%
Bid-Ask Spread %92.8882.83103.3592.7299.35
Gamma HHI0.200.170.490.180.17
Net GEX109.6K90.1K248.8K100.6K100.4K
Net DEX-5.8M-7.0M-5.3M-5.7M-5.5M
Net VEX-29.5K-32.8K-21.2K-21.2K-30.5K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.780.0012.621.300.00
Total Volume457374,135341111
Total OI14,936.95510,61416,72410,61416,365

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2013-04-01$11.80$10.0040.9%11.7%36.7%29.4%41.0%4.2%11.9%100.6K-5.7M-21.2K1.3092.72N/AN/A1481938,9291,685
2013-04-02$12.65$10.0044.5%12.8%43.3%38.1%44.4%6.6%8.2%100.6K-7.0M-22.2K0.0198.57N/AN/A42459,0061,827
2013-04-03$11.93$10.0039.9%11.4%48.9%27.0%42.7%-14.6%11.7%107.2K-6.0M-21.7K12.6298.31N/AN/A841,0609,1771,831
2013-04-04$11.82$10.0040.8%11.7%49.1%29.2%41.3%-12.0%12.2%98.9K-5.5M-24.0K0.26103.35N/AN/A116309,1802,877
2013-04-05$11.95$9.0038.6%15.3%49.1%23.9%53.4%10.1%24.0%101.9K-5.5M-24.1K0.0083.40N/AN/A7509,1602,867
2013-04-08$11.78$9.0045.5%15.5%49.4%40.5%53.4%8.2%23.3%98.9K-5.3M-23.5K1.0586.54N/AN/A2,0212,1149,1932,867
2013-04-09$11.77$9.0042.6%15.0%48.9%33.5%52.3%7.6%23.3%108.7K-5.8M-32.6K0.0082.83N/AN/A37011,1934,885
2013-04-10$11.93$9.0044.0%15.6%47.1%36.8%56.7%11.8%21.1%109.2K-5.9M-32.7K0.5789.62N/AN/A352011,1934,885
2013-04-11$11.93$9.0053.4%15.3%45.4%59.9%53.2%9.9%24.4%111.8K-5.9M-32.4K0.0085.93N/AN/A114011,1804,881
2013-04-12$11.98$9.0054.9%15.8%44.9%63.6%60.4%9.3%23.1%114.1K-6.0M-32.3K0.3495.64N/AN/A893011,2134,881
2013-04-15$11.55$9.0058.1%16.7%46.2%82.6%0.0%11.4%20.3%103.4K-5.3M-31.1K0.0198.62N/AN/A748511,2314,911
2013-04-16$11.69$9.0053.6%15.4%46.1%70.0%59.6%8.8%28.0%111.3K-5.6M-32.1K0.0591.60N/AN/A3071511,8134,911
2013-04-17$11.79$9.0054.6%15.7%46.0%72.8%56.4%17.8%28.1%111.1K-5.6M-31.6K0.2799.76N/AN/A1113011,6854,926
2013-04-18$11.73$9.0055.7%16.0%46.0%75.9%56.5%10.0%22.4%104.4K-5.7M-31.7K0.0095.67N/AN/A107011,6004,885
2013-04-19$12.02$9.0057.4%16.5%46.7%80.6%62.9%16.9%25.9%248.8K-6.2M-31.8K0.0095.19N/AN/A658011,6194,885
2013-04-22$11.92$9.0057.8%16.6%46.8%81.9%57.5%14.8%10.5%90.1K-5.7M-32.1K0.2083.83N/AN/A4959711,0314,670
2013-04-23$11.95$9.0056.9%16.3%46.5%79.3%66.4%17.3%12.9%95.9K-5.9M-32.8K0.1294.98N/AN/A1782111,4184,715
2013-04-24$11.86$9.0057.2%16.4%46.6%80.0%59.2%11.8%12.8%94.4K-5.9M-32.8K0.1090.61N/AN/A1031011,5354,736
2013-04-25$11.92$9.0058.3%16.7%46.5%83.3%58.9%15.0%11.3%97.8K-6.0M-32.7K0.0089.87N/AN/A223011,5364,736
2013-04-26$11.93$9.0053.3%15.3%40.1%69.0%57.4%11.9%15.5%98.8K-6.0M-32.2K0.2589.00N/AN/A932311,4724,736
2013-04-29$11.99$9.0056.1%16.1%38.6%77.0%59.0%14.9%12.3%102.7K-6.1M-31.6K0.0797.99N/AN/A116811,5364,751
2013-04-30$11.54$9.0057.7%16.5%31.4%81.6%62.1%7.3%8.2%100.4K-5.5M-30.5K0.0099.35N/AN/A111011,6064,759