NBIX Options History — September 2013

In September 2013, NBIX traded between $10.60 and $16.70. ATM implied volatility averaged 80.1%, placing in the 37.9% IV rank vs the trailing year. The 30-day expected move averaged 21.4%. IV traded below realized volatility by 33.7% (HV 20d: 113.8%). Max pain ranged from $12.00 to $15.00. Net GEX was positive for 11 of 20 trading days. Term structure was in contango for 7 of 20 days. Put/call ratio averaged 1.83.

Notable Days

  • 2013-09-10: Highest Volume — 26,258 contracts
  • 2013-09-10: Largest IV drop — 63.4% change
  • 2013-09-03: Highest IV Rank — 100.0%
  • 2013-09-04: Largest Expected Move — 45.7%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$12.39$10.60$16.70$15.64$11.32
Max Pain$12.80$12.00$15.00$14.00$12.00
ATM IV80.1%50.7%171.5%146.0%53.9%
Expected Move21.4%14.5%45.7%41.9%15.5%
HV 20d113.8%43.9%137.0%43.9%134.8%
HV 60d69.7%33.5%82.0%33.5%81.1%
IV Rank37.9%15.4%100.0%100.0%17.6%
IV Percentile83.6%69.4%100.0%100.0%81.0%
Term Structure-7.2%-47.5%5.3%-30.5%-0.4%
VWIV77.3%48.8%176.9%139.7%53.2%
Skew 25d12.6%-1.2%41.0%16.1%13.7%
Skew 10d25.3%-9.7%71.5%37.1%39.0%
Call IV 25d67.1%35.8%140.4%130.4%44.3%
Put IV 25d79.6%49.3%181.4%146.5%58.0%
Bid-Ask Spread %63.4919.3488.1965.6282.94
Gamma HHI0.270.120.450.160.36
Net GEX-42.5K-589.3K161.1K161.1K145.9K
Net DEX2.4M-10.8M17.3M-9.8M-909.9K
Net VEX-35.1K-53.0K-29.2K-33.4K-31.8K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.830.0711.452.440.19
Total Volume4,086.77526,2584,74875
Total OI37,975.9522,28550,26822,28528,551

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2013-09-03$15.64$14.00146.0%41.9%43.9%100.0%139.7%16.1%-30.5%161.1K-9.8M-33.4K2.4465.62N/AN/A1,3823,36614,7857,500
2013-09-04$16.47$14.00159.5%45.7%46.9%100.0%172.8%27.9%-47.5%142.6K-10.8M-40.3K11.4552.17N/AN/A7268,31515,67310,379
2013-09-05$16.56$14.00158.9%45.5%46.6%99.5%176.9%41.0%-46.3%75.7K-9.3M-46.7K3.9252.50N/AN/A1,0083,95016,05617,071
2013-09-06$16.11$15.00165.3%33.0%47.9%100.0%125.3%25.3%-14.9%39.5K-7.2M-50.7K2.4645.91N/AN/A2,0214,96416,60820,573
2013-09-09$16.70$15.00171.5%35.0%49.1%100.0%132.1%25.4%-22.1%45.8K-9.0M-53.0K1.5050.82N/AN/A2,6994,04817,79824,314
2013-09-10$11.74$15.0062.7%15.4%136.9%23.8%51.9%7.1%4.3%-589.3K17.3M-32.0K2.0519.34N/AN/A8,61517,64319,37827,463
2013-09-11$11.57$13.0054.3%14.7%136.1%17.9%52.8%1.8%5.3%-207.8K10.3M-29.2K0.8762.11N/AN/A2,7982,42623,94619,787
2013-09-12$11.15$12.0054.0%15.5%136.3%17.7%56.2%4.5%-0.1%-190.1K11.2M-32.1K0.9658.38N/AN/A2,8722,75426,09721,778
2013-09-13$10.64$12.0053.4%15.3%136.9%17.3%55.7%0.5%-0.4%-130.0K10.2M-33.1K0.7675.77N/AN/A2,7372,08328,12619,714
2013-09-16$10.74$12.0053.9%15.5%137.0%17.6%54.6%2.2%-0.5%-112.5K9.9M-34.5K0.1841.40N/AN/A85715429,67720,460
2013-09-17$10.60$12.0052.4%15.0%137.0%16.5%54.4%9.2%1.2%-114.5K10.1M-32.9K0.5965.03N/AN/A18611029,85820,377
2013-09-18$10.72$12.0052.6%15.1%136.6%16.7%55.0%8.8%-0.5%-123.6K9.8M-33.0K1.0559.71N/AN/A373929,92120,347
2013-09-19$10.79$12.0055.7%16.0%135.7%18.8%55.5%-1.2%-1.4%-127.3K9.7M-31.5K0.4376.62N/AN/A63727429,14219,980
2013-09-20$11.06$12.0052.4%15.0%136.3%16.5%53.6%1.9%-0.0%-348.8K8.2M-32.3K4.2281.00N/AN/A19481929,61419,933
2013-09-23$11.00$12.0051.3%14.7%136.3%15.8%52.3%13.9%4.1%64.9K898.8K-29.3K0.1675.33N/AN/A66810915,73410,085
2013-09-24$10.92$12.0051.3%14.7%135.7%15.7%51.1%6.4%3.2%65.8K443.5K-30.6K0.1776.07N/AN/A4026916,19010,173
2013-09-25$11.26$12.0050.7%14.5%135.8%15.4%48.8%17.1%1.8%106.6K-343.9K-30.6K2.2163.15N/AN/A31870416,38010,210
2013-09-26$11.28$12.0051.8%14.9%135.9%16.1%51.5%11.9%-1.0%99.3K-517.1K-31.2K0.0777.75N/AN/A1,45510716,62010,670
2013-09-27$11.45$12.0050.8%14.6%134.9%15.4%53.2%18.2%2.5%146.7K-1.8M-33.1K0.8888.19N/AN/A605317,78510,766
2013-09-30$11.32$12.0053.9%15.5%134.8%17.6%53.2%13.7%-0.4%145.9K-909.9K-31.8K0.1982.94N/AN/A631217,78510,766