NBIX Options History — July 2013

In July 2013, NBIX traded between $13.54 and $14.79. ATM implied volatility averaged 46.8%, placing in the 50.8% IV rank vs the trailing year. The 30-day expected move averaged 13.8%. IV traded above realized volatility by 19.6% (HV 20d: 27.2%). Max pain ranged from $11.00 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 0.83.

Notable Days

  • 2013-07-24: Highest Volume — 1,451 contracts
  • 2013-07-11: Largest IV spike — 30.1% change
  • 2013-07-11: Highest IV Rank — 66.0%
  • 2013-07-11: Largest Expected Move — 15.0%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$14.09$13.54$14.79$13.57$13.99
Max Pain$11.59$11.00$12.00$12.00$12.00
ATM IV46.8%40.2%52.2%44.6%47.6%
Expected Move13.8%12.0%15.0%12.8%13.7%
HV 20d27.2%20.8%33.9%33.9%21.1%
HV 60d34.1%31.6%35.0%34.9%31.6%
IV Rank50.8%32.0%66.0%44.5%53.1%
IV Percentile57.7%11.5%84.9%45.2%66.3%
Term Structure37.8%5.1%52.6%15.2%42.8%
VWIV47.5%40.0%52.2%45.2%40.0%
Skew 25d5.8%-7.0%14.0%5.3%7.3%
Skew 10d14.9%-3.5%36.7%-2.9%2.1%
Call IV 25d44.7%32.9%51.2%34.7%41.9%
Put IV 25d50.5%40.1%58.0%40.1%49.2%
Bid-Ask Spread %93.0278.84105.7378.84101.50
Gamma HHI0.220.170.240.170.23
Net GEX280.4K219.2K330.4K219.2K273.2K
Net DEX-11.1M-14.8M-8.9M-9.8M-9.8M
Net VEX-29.9K-36.2K-25.9K-36.2K-26.2K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.830.114.280.210.19
Total Volume497.091601,451487198
Total OI25,129.27323,49225,95824,46825,958

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2013-07-01$13.57$12.0044.6%12.8%33.9%44.5%45.2%5.3%15.2%219.2K-9.8M-36.2K0.2178.84N/AN/A4048315,6778,791
2013-07-02$13.54$12.0048.7%14.0%32.0%56.2%48.2%-7.0%6.0%244.6K-9.7M-34.8K0.1179.50N/AN/A7908915,8738,808
2013-07-03$13.71$12.0045.1%12.9%30.2%46.1%48.3%13.9%5.1%249.5K-10.0M-33.2K0.8886.61N/AN/A22720015,6288,801
2013-07-05$14.00$11.0043.0%14.4%30.7%40.1%47.6%11.3%33.1%274.4K-11.1M-33.0K0.2797.05N/AN/A62517115,8029,001
2013-07-08$14.04$11.0045.4%14.7%30.5%46.8%40.4%12.1%35.5%283.3K-11.3M-32.5K3.1091.46N/AN/A5918316,1029,160
2013-07-09$14.07$11.0042.3%14.7%30.4%37.9%48.6%14.0%31.8%276.8K-11.4M-32.0K0.1588.71N/AN/A2013115,8579,183
2013-07-10$14.10$11.0040.2%14.3%30.0%32.0%50.5%7.1%40.0%289.2K-11.8M-30.1K0.5197.84N/AN/A904615,7699,196
2013-07-11$14.19$11.0052.2%15.0%28.8%66.0%52.2%7.7%37.3%292.2K-12.3M-30.2K0.1994.46N/AN/A2103915,8389,242
2013-07-12$14.48$11.0050.6%14.5%28.6%61.4%48.1%8.7%44.2%318.3K-13.3M-30.8K0.1983.87N/AN/A1021915,9709,259
2013-07-15$14.79$11.0049.5%14.2%28.0%58.4%51.2%7.2%42.1%330.4K-14.8M-28.9K1.7482.58N/AN/A36763716,0269,276
2013-07-16$14.43$11.0051.2%14.7%30.1%63.2%50.6%9.4%40.0%316.9K-13.3M-29.8K0.1497.87N/AN/A1872616,2289,608
2013-07-17$14.39$11.0050.0%14.3%30.1%59.7%51.9%5.7%37.9%313.9K-13.0M-29.2K0.4197.40N/AN/A70128716,2269,611
2013-07-18$14.47$12.0050.8%14.6%30.0%62.0%49.3%4.5%45.4%312.7K-12.9M-29.7K0.1197.95N/AN/A54615,9349,803
2013-07-19$14.55$12.0048.6%13.9%24.7%55.9%46.7%6.5%41.0%313.4K-13.3M-29.1K0.5995.87N/AN/A29717615,9569,809
2013-07-22$14.32$12.0043.0%12.3%23.0%40.2%43.1%2.3%51.5%295.6K-10.8M-27.2K0.9592.92N/AN/A47645014,4699,023
2013-07-23$14.00$12.0041.9%12.0%23.0%36.8%42.9%1.5%52.6%273.8K-9.9M-28.1K2.21100.40N/AN/A388414,8939,406
2013-07-24$13.84$12.0049.8%14.3%23.6%59.2%51.9%4.2%44.3%240.3K-9.1M-27.5K0.4987.37N/AN/A97148014,9019,419
2013-07-25$14.00$12.0049.9%14.3%23.6%59.6%49.5%6.9%46.2%265.6K-9.7M-29.6K0.5894.89N/AN/A1589115,7439,990
2013-07-26$13.91$12.0043.8%12.5%23.2%42.2%44.9%-2.3%48.4%281.6K-9.6M-27.4K4.2897.44N/AN/A22094215,3459,799
2013-07-29$13.86$12.0044.2%12.7%21.3%43.4%44.2%0.7%44.9%256.0K-9.0M-25.9K0.3896.23N/AN/A2188315,42610,210
2013-07-30$13.83$12.0047.3%13.6%20.8%52.2%48.9%-0.3%45.6%248.8K-8.9M-26.2K0.56105.73N/AN/A1417915,58410,244
2013-07-31$13.99$12.0047.6%13.7%21.1%53.1%40.0%7.3%42.8%273.2K-9.8M-26.2K0.19101.50N/AN/A1663215,69510,263