NBIX Options History — October 2013

In October 2013, NBIX traded between $9.43 and $11.67. ATM implied volatility averaged 57.0%, placing in the 19.8% IV rank vs the trailing year. The 30-day expected move averaged 17.0%. IV traded below realized volatility by 3.3% (HV 20d: 60.3%). Max pain ranged from $3.00 to $12.00. Net GEX was positive for 16 of 23 trading days. Term structure was in contango for 13 of 23 days. Put/call ratio averaged 1.13.

Notable Days

  • 2013-10-09: Highest Volume — 2,483 contracts
  • 2013-10-07: Largest IV spike — 13.6% change
  • 2013-10-15: Highest IV Rank — 28.1%
  • 2013-10-31: Largest Expected Move — 19.7%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$10.62$9.43$11.67$11.59$9.43
Max Pain$9.55$3.00$12.00$12.00$10.00
ATM IV57.0%45.2%68.9%48.6%58.0%
Expected Move17.0%12.9%19.7%13.9%19.7%
HV 20d60.3%36.9%131.9%131.9%50.1%
HV 60d82.7%81.3%84.7%81.3%84.7%
IV Rank19.8%11.5%28.1%13.9%20.5%
IV Percentile79.2%42.5%93.3%60.3%83.7%
Term Structure0.1%-11.2%10.7%4.6%4.4%
VWIV61.1%48.5%74.1%51.7%74.1%
Skew 25d6.3%-5.8%19.4%19.4%12.2%
Skew 10d1.1%-22.6%28.9%28.9%16.4%
Call IV 25d54.6%35.9%63.2%36.8%44.0%
Put IV 25d60.9%36.5%72.9%56.2%56.2%
Bid-Ask Spread %81.2260.01131.7886.3668.05
Gamma HHI0.280.180.430.390.26
Net GEX47.9K-136.9K200.6K164.0K-19.1K
Net DEX638.1K-3.0M4.9M-2.3M1.1M
Net VEX-22.5K-31.7K-16.3K-31.3K-16.3K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.130.0012.140.500.28
Total Volume521.913212,483156425
Total OI26,867.08720,05932,12828,52922,837

Daily Data (23 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2013-10-01$11.59$12.0048.6%13.9%131.9%13.9%51.7%19.4%4.6%164.0K-2.3M-31.3K0.5086.36N/AN/A1045217,79010,739
2013-10-02$11.53$12.0045.2%12.9%129.6%11.5%0.0%7.8%10.7%177.6K-2.3M-31.7K2.9488.38N/AN/A3410017,85710,754
2013-10-03$11.29$12.0048.1%13.8%129.3%13.5%48.5%-5.8%4.0%151.2K-795.9K-28.8K0.1786.65N/AN/A18317,87810,853
2013-10-04$11.67$11.0046.3%15.3%130.6%12.3%54.8%0.3%1.5%200.6K-3.0M-30.9K0.3486.83N/AN/A95132317,87810,856
2013-10-07$11.25$11.0052.6%16.7%129.3%16.7%58.7%1.7%-0.5%158.7K-970.1K-28.7K0.0088.10N/AN/A45018,56611,071
2013-10-08$10.76$11.0053.3%16.1%38.6%17.2%57.5%4.1%2.4%66.7K1.4M-26.1K0.8388.64N/AN/A13010818,59011,071
2013-10-09$10.33$11.0056.8%19.5%40.6%19.6%71.6%8.8%-9.9%-4.6K3.0M-23.5K12.1484.77N/AN/A1892,29418,64911,103
2013-10-10$10.52$11.0062.5%17.9%39.7%23.7%60.4%9.1%-3.1%-44.6K3.1M-25.2K0.2693.41N/AN/A932418,68013,128
2013-10-11$10.27$11.0067.5%19.4%37.1%27.1%63.8%10.1%-9.5%-79.1K4.3M-23.4K1.1789.14N/AN/A36643018,76313,149
2013-10-14$10.28$0.0065.3%18.0%36.9%25.6%61.1%7.8%-5.2%-101.8K3.8M-21.7K0.82131.78N/AN/A1078819,04112,848
2013-10-15$9.99$10.0068.9%18.1%37.9%28.1%63.9%11.8%-11.2%-136.9K4.9M-20.4K1.1074.13N/AN/A13615019,08312,896
2013-10-16$10.37$10.0064.3%15.5%40.2%24.9%0.0%9.7%-5.0%-124.9K3.5M-20.6K0.0673.75N/AN/A4682619,16512,934
2013-10-17$10.57$10.0060.1%16.4%40.8%21.9%0.0%8.4%0.2%23.8K2.4M-19.9K2.1785.64N/AN/A429119,43412,673
2013-10-18$10.75$10.0059.7%16.8%40.3%21.7%71.6%3.8%-0.9%99.9K1.8M-20.3K0.3073.76N/AN/A84025619,45412,674
2013-10-21$10.43$3.0059.9%16.0%41.5%21.8%0.0%4.0%-0.8%63.8K-562.6K-18.9K0.1078.05N/AN/A3623513,7506,309
2013-10-22$10.41$3.0061.6%16.6%41.5%23.0%51.5%8.6%-1.3%59.3K-298.5K-18.0K0.2171.77N/AN/A1853813,9626,307
2013-10-23$10.44$8.0059.7%16.8%39.7%21.7%0.0%4.8%3.9%66.9K-506.6K-18.1K0.0872.84N/AN/A2552014,1166,344
2013-10-24$10.73$8.0055.6%16.9%41.2%18.8%0.0%4.1%3.6%102.3K-1.3M-19.4K0.7760.01N/AN/A15812214,3606,344
2013-10-25$10.65$8.0053.5%18.5%40.7%17.3%0.0%5.3%4.9%91.8K-1.1M-18.4K0.0172.41N/AN/A734914,5036,344
2013-10-28$10.49$8.0059.3%19.1%40.8%21.4%66.5%6.0%1.4%80.8K-843.7K-18.8K0.1467.06N/AN/A4165915,1196,338
2013-10-29$10.67$10.0051.5%18.5%40.3%15.9%0.0%3.3%5.3%102.3K-1.4M-19.5K1.6568.84N/AN/A15325315,3456,397
2013-10-30$9.83$10.0053.5%19.5%48.9%17.3%0.0%0.6%3.2%3.8K845.6K-16.9K0.0377.78N/AN/A1,2803215,4066,585
2013-10-31$9.43$10.0058.0%19.7%50.1%20.5%74.1%12.2%4.4%-19.1K1.1M-16.3K0.2868.05N/AN/A3339216,4266,411