NBIX Options History — May 2013

In May 2013, NBIX traded between $10.90 and $13.54. ATM implied volatility averaged 47.0%, placing in the 51.3% IV rank vs the trailing year. The 30-day expected move averaged 13.9%. IV traded above realized volatility by 13.0% (HV 20d: 34.0%). Max pain ranged from $9.00 to $12.00. Net GEX was positive for 22 of 22 trading days. Term structure was in contango for 22 of 22 days. Put/call ratio averaged 0.71.

Notable Days

  • 2013-05-02: Highest Volume — 6,596 contracts
  • 2013-05-14: Largest IV drop — 18.2% change
  • 2013-05-01: Highest IV Rank — 82.6%
  • 2013-05-01: Largest Expected Move — 16.7%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$12.14$10.90$13.54$11.00$12.93
Max Pain$11.41$9.00$12.00$9.00$12.00
ATM IV47.0%40.3%58.1%58.1%52.1%
Expected Move13.9%12.2%16.7%16.7%14.9%
HV 20d34.0%29.1%41.1%29.1%35.8%
HV 60d38.3%36.5%45.7%45.7%39.1%
IV Rank51.3%32.5%82.6%82.6%65.6%
IV Percentile57.8%13.5%95.2%95.2%86.1%
Term Structure35.5%0.3%55.6%9.8%16.4%
VWIV48.7%42.4%59.2%59.2%48.3%
Skew 25d4.0%0.8%6.8%4.8%0.8%
Skew 10d8.9%-16.1%23.6%-0.8%-16.1%
Call IV 25d46.9%40.4%56.4%56.4%50.3%
Put IV 25d50.9%45.3%61.1%61.1%51.2%
Bid-Ask Spread %85.5857.25100.95100.9584.94
Gamma HHI0.310.170.450.170.25
Net GEX152.3K73.4K200.5K91.6K172.0K
Net DEX-9.3M-12.8M-4.2M-4.2M-11.3M
Net VEX-41.9K-45.1K-28.3K-28.3K-43.2K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.710.004.090.570.14
Total Volume911.682206,596424271
Total OI22,370.18216,43824,67116,43823,440

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2013-05-01$11.00$9.0058.1%16.7%29.1%82.6%59.2%4.8%9.8%91.6K-4.2M-28.3K0.57100.95N/AN/A27015411,6794,759
2013-05-02$10.90$9.0054.4%15.6%29.1%72.2%58.9%1.0%12.7%73.4K-4.7M-30.1K0.1657.25N/AN/A5,66892811,6464,913
2013-05-03$11.25$9.0051.6%14.8%31.4%64.2%51.4%4.3%0.3%139.1K-7.1M-41.3K0.0598.67N/AN/A1,3767116,0725,755
2013-05-06$11.51$11.0045.6%13.3%32.4%47.3%48.4%6.7%53.1%151.8K-8.1M-42.6K1.0489.24N/AN/A32533716,6105,806
2013-05-07$11.52$11.0042.3%14.1%32.4%38.0%48.9%5.9%51.4%149.5K-8.3M-43.2K0.1588.58N/AN/A2273516,8586,106
2013-05-08$11.55$11.0042.6%13.3%32.0%39.0%0.0%4.6%52.4%155.9K-8.2M-42.9K0.0086.30N/AN/A02016,9256,127
2013-05-09$11.64$11.0046.6%13.6%32.1%50.2%47.6%2.0%54.4%158.5K-8.7M-42.8K2.2189.65N/AN/A31970516,9256,146
2013-05-10$12.13$12.0048.6%13.8%35.5%55.8%49.8%6.8%54.7%153.2K-10.0M-45.1K0.1888.84N/AN/A1602916,9726,751
2013-05-13$12.17$12.0049.3%15.0%32.6%57.8%52.5%4.6%54.0%162.0K-10.3M-44.1K0.0584.96N/AN/A1,4447617,0186,780
2013-05-14$12.26$12.0040.3%14.3%32.5%32.5%52.4%4.1%54.2%185.4K-10.9M-44.7K0.0890.17N/AN/A6014617,5986,792
2013-05-15$12.26$12.0045.0%14.3%32.4%45.8%50.4%3.2%51.6%192.2K-11.0M-45.0K0.0088.14N/AN/A228017,8436,828
2013-05-16$11.99$12.0048.4%13.9%33.5%55.3%48.7%3.1%54.8%200.5K-9.9M-43.9K0.1087.63N/AN/A2122217,6796,782
2013-05-17$11.75$12.0045.8%13.1%33.1%47.9%46.1%2.3%55.6%175.2K-9.1M-43.3K1.2887.72N/AN/A20426117,7026,802
2013-05-20$12.01$12.0042.5%12.2%34.0%38.7%42.4%4.9%34.3%143.1K-7.7M-42.7K0.4090.46N/AN/A27811215,4155,911
2013-05-21$12.06$12.0043.0%12.3%34.0%40.2%43.0%3.8%28.0%148.5K-8.1M-43.1K4.0981.61N/AN/A7430315,6236,013
2013-05-22$12.01$12.0043.0%12.3%33.9%40.0%44.8%3.8%26.7%146.4K-8.0M-43.0K1.2186.73N/AN/A18121915,6666,231
2013-05-23$12.71$12.0044.8%12.8%39.3%45.1%44.8%6.2%28.0%148.4K-9.8M-43.7K1.2773.10N/AN/A13617315,7606,286
2013-05-24$13.17$12.0045.7%13.1%40.9%47.6%47.7%6.2%26.3%143.4K-11.3M-43.6K0.5687.24N/AN/A36420515,8916,452
2013-05-28$13.38$12.0049.3%14.1%41.1%57.8%42.8%2.6%20.8%150.2K-12.3M-42.1K0.0676.45N/AN/A2,46814015,9826,534
2013-05-29$13.54$12.0047.4%13.6%37.7%52.5%48.3%3.2%22.7%149.6K-12.8M-41.8K1.0481.32N/AN/A13614216,0256,570
2013-05-30$13.43$12.0047.2%13.5%32.2%51.8%47.3%2.8%19.9%160.2K-12.3M-41.2K0.2182.70N/AN/A93819915,9506,521
2013-05-31$12.93$12.0052.1%14.9%35.8%65.6%48.3%0.8%16.4%172.0K-11.3M-43.2K0.1484.94N/AN/A2383316,7426,698