NBIX Options History — June 2013

In June 2013, NBIX traded between $12.38 and $13.57. ATM implied volatility averaged 53.1%, placing in the 68.6% IV rank vs the trailing year. The 30-day expected move averaged 16.1%. IV traded above realized volatility by 13.1% (HV 20d: 40.0%). Max pain ranged from $12.00 to $13.00. Net GEX was positive for 20 of 20 trading days. Term structure was in contango for 20 of 20 days. Put/call ratio averaged 1.31.

Notable Days

  • 2013-06-06: Highest Volume — 2,589 contracts
  • 2013-06-13: Largest IV spike — 28.1% change
  • 2013-06-14: Highest IV Rank — 93.3%
  • 2013-06-11: Largest Expected Move — 18.5%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$12.88$12.38$13.57$13.57$13.38
Max Pain$12.40$12.00$13.00$12.00$12.00
ATM IV53.1%42.8%61.9%52.9%46.1%
Expected Move16.1%13.1%18.5%15.2%13.2%
HV 20d40.0%37.7%42.5%37.7%37.8%
HV 60d39.3%34.5%41.4%40.2%34.9%
IV Rank68.6%39.4%93.3%67.8%48.8%
IV Percentile82.8%32.5%99.6%86.1%59.9%
Term Structure13.9%9.3%21.4%21.4%11.9%
VWIV56.1%46.6%62.3%52.7%47.3%
Skew 25d5.4%-3.5%14.5%4.4%2.5%
Skew 10d12.0%-13.4%26.7%10.5%13.5%
Call IV 25d53.8%43.2%63.6%48.7%46.6%
Put IV 25d59.2%49.1%69.4%53.1%49.1%
Bid-Ask Spread %94.0776.54118.8676.5478.27
Gamma HHI0.220.160.330.230.17
Net GEX227.3K169.1K306.2K171.6K206.5K
Net DEX-10.4M-12.7M-7.1M-12.7M-9.6M
Net VEX-42.0K-46.0K-37.4K-42.2K-37.4K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.310.0419.560.300.08
Total Volume765.3982,589175749
Total OI26,368.123,55329,94523,55324,545

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2013-06-03$13.57$12.0052.9%15.2%37.7%67.8%52.7%4.4%21.4%171.6K-12.7M-42.2K0.3076.54N/AN/A1354016,8406,713
2013-06-04$13.16$12.0053.5%15.3%39.9%69.7%53.8%3.9%16.7%177.9K-11.9M-41.6K0.9485.98N/AN/A847916,8326,749
2013-06-05$12.80$12.0054.4%15.6%41.7%72.2%56.2%-3.5%16.6%189.2K-10.5M-41.6K1.0486.94N/AN/A50452216,9006,796
2013-06-06$12.96$12.0045.8%13.1%41.8%48.0%46.6%9.6%20.5%217.6K-10.9M-40.6K0.4785.30N/AN/A1,75983017,2227,154
2013-06-07$12.87$13.0042.8%17.8%42.0%39.4%61.6%2.2%10.2%234.8K-10.9M-42.9K0.14101.05N/AN/A1,83425217,9177,838
2013-06-10$13.00$13.0049.1%18.0%39.8%57.4%62.3%4.3%9.3%249.0K-12.4M-46.0K0.05106.88N/AN/A2571219,2808,071
2013-06-11$12.87$13.0048.5%18.5%40.1%55.5%62.2%5.0%12.4%228.5K-11.4M-43.6K0.05101.81N/AN/A3742018,4267,984
2013-06-12$12.65$13.0046.8%17.4%40.7%50.8%60.7%4.3%15.0%248.6K-10.2M-43.3K1.0981.68N/AN/A64570218,4198,004
2013-06-13$12.95$13.0060.0%17.2%41.4%87.8%61.0%12.1%15.0%246.9K-11.5M-45.5K0.12105.94N/AN/A1852318,9658,654
2013-06-14$12.76$13.0061.9%17.7%40.9%93.3%0.0%5.7%12.5%268.7K-11.0M-44.6K19.56114.68N/AN/A661,29119,0998,677
2013-06-17$12.72$13.0061.3%17.6%40.1%91.7%60.5%0.8%12.2%279.5K-10.7M-44.7K0.20106.49N/AN/A3336519,0899,964
2013-06-18$12.70$13.0058.9%16.9%39.5%84.8%58.9%4.6%14.0%289.2K-10.5M-44.3K0.19107.59N/AN/A57711219,30410,021
2013-06-19$12.88$12.0058.1%16.7%39.7%82.6%56.5%6.8%13.1%274.2K-12.1M-44.2K0.10103.68N/AN/A3533519,86010,085
2013-06-20$12.38$12.0058.0%16.6%42.5%82.2%54.0%6.9%13.3%306.2K-9.3M-41.8K0.36118.86N/AN/A1947019,21210,016
2013-06-21$12.89$12.0054.8%15.7%40.0%73.3%56.4%14.5%10.7%252.5K-11.5M-41.4K0.0985.06N/AN/A5024519,34310,085
2013-06-24$12.60$12.0055.9%16.0%38.6%76.4%56.7%5.1%13.4%169.1K-7.5M-40.4K0.8283.93N/AN/A927516,4938,584
2013-06-25$12.75$12.0051.2%14.7%38.4%63.2%55.2%7.7%14.7%178.1K-7.6M-39.5K0.0482.90N/AN/A2,1668516,5388,650
2013-06-26$12.74$12.0052.5%15.1%38.0%66.8%53.2%4.7%10.7%171.5K-7.1M-37.6K0.3283.49N/AN/A742415,7588,715
2013-06-27$13.00$12.0049.9%14.3%38.8%59.5%50.0%6.1%13.7%185.7K-7.9M-37.5K0.2284.26N/AN/A1162515,8238,737
2013-06-28$13.38$12.0046.1%13.2%37.8%48.8%47.3%2.5%11.9%206.5K-9.6M-37.4K0.0878.27N/AN/A6925715,7838,762