NBIX Options History — November 2013

In November 2013, NBIX traded between $8.68 and $9.82. ATM implied volatility averaged 55.8%, placing in the 18.9% IV rank vs the trailing year. The 30-day expected move averaged 18.5%. IV traded above realized volatility by 12.7% (HV 20d: 43.1%). Max pain ranged from $8.00 to $8.00. Net GEX was positive for 9 of 20 trading days. Term structure was in contango for 12 of 20 days. Put/call ratio averaged 0.56.

Notable Days

  • 2013-11-18: Highest Volume — 835 contracts
  • 2013-11-13: Largest IV drop — 15.7% change
  • 2013-11-05: Highest IV Rank — 21.8%
  • 2013-11-06: Largest Expected Move — 21.0%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$9.03$8.68$9.82$9.28$9.82
Max Pain$8.00$8.00$8.00$8.00$8.00
ATM IV55.8%50.2%59.9%53.7%57.3%
Expected Move18.5%16.7%21.0%18.9%17.4%
HV 20d43.1%32.8%47.6%47.6%32.8%
HV 60d84.2%81.9%85.3%84.8%82.1%
IV Rank18.9%15.0%21.8%17.4%20.0%
IV Percentile77.7%60.7%87.7%74.6%81.0%
Term Structure0.3%-5.0%3.7%2.9%-0.9%
VWIV54.5%52.5%57.1%54.0%52.5%
Skew 25d3.7%-3.4%18.0%-0.4%6.4%
Skew 10d6.7%-24.0%30.7%10.0%29.9%
Call IV 25d56.2%47.2%59.7%53.1%54.8%
Put IV 25d59.8%52.6%65.2%52.6%61.2%
Bid-Ask Spread %68.8245.0284.2971.1352.70
Gamma HHI0.400.280.690.310.34
Net GEX-9.0K-193.8K117.3K-39.4K117.3K
Net DEX509.4K-2.6M2.6M1.5M-2.6M
Net VEX-13.5K-16.1K-11.5K-15.3K-16.1K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.560.004.000.790.46
Total Volume279.3557835113164
Total OI17,195.558,67523,57322,82410,573

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2013-11-01$9.28$8.0053.7%18.9%47.6%17.4%0.0%-0.4%2.9%-39.4K1.5M-15.3K0.7971.13N/AN/A635016,4876,337
2013-11-04$9.31$8.0058.7%17.9%46.9%21.0%0.0%5.8%-0.7%-43.0K1.3M-14.9K0.1370.99N/AN/A1521916,4726,295
2013-11-05$9.05$8.0059.9%18.3%45.6%21.8%0.0%3.6%3.7%-49.5K1.9M-13.9K0.8571.70N/AN/A20617616,5166,311
2013-11-06$8.76$8.0052.6%21.0%45.0%16.7%0.0%6.1%1.4%-59.7K2.5M-12.4K0.2873.31N/AN/A2547216,6736,359
2013-11-07$8.68$8.0050.7%20.2%43.9%15.4%0.0%18.0%-4.3%-65.7K2.6M-12.4K0.5267.46N/AN/A19310016,8036,425
2013-11-08$8.98$8.0051.7%19.5%46.1%16.1%0.0%4.5%2.0%-69.4K2.1M-13.7K0.4267.05N/AN/A733116,8616,430
2013-11-11$9.16$8.0056.8%18.1%47.0%19.6%0.0%3.8%-5.0%-83.6K1.7M-13.6K0.6951.37N/AN/A17512116,9236,446
2013-11-12$8.93$8.0059.6%19.2%46.8%21.6%0.0%4.0%-0.3%-79.2K2.2M-12.8K0.8266.71N/AN/A836817,0516,426
2013-11-13$8.87$8.0050.2%18.3%44.0%15.0%54.0%5.1%0.2%-93.4K2.4M-12.3K0.0776.79N/AN/A4673117,0656,469
2013-11-14$8.80$8.0057.1%17.9%42.8%19.9%0.0%3.0%3.6%-125.0K2.6M-12.6K4.0080.02N/AN/A124817,1876,358
2013-11-15$8.85$8.0059.1%19.0%42.1%21.3%57.1%-3.4%-3.3%-193.8K2.6M-12.4K1.6476.09N/AN/A21034417,1976,376
2013-11-18$8.68$8.0054.1%16.7%41.6%17.7%52.5%2.5%3.2%47.9K-667.8K-11.5K0.0759.22N/AN/A780557,3401,335
2013-11-19$8.74$8.0056.5%18.6%41.9%19.4%0.0%-2.0%0.5%60.1K-936.8K-12.6K0.0062.85N/AN/A50507,9631,361
2013-11-20$8.71$8.0056.1%17.9%41.7%19.1%0.0%-2.1%1.8%65.0K-983.0K-12.8K0.4081.26N/AN/A75308,3641,361
2013-11-21$8.69$8.0054.1%18.0%39.5%17.7%0.0%3.7%2.7%65.7K-948.9K-12.8K0.0074.46N/AN/A5708,4391,391
2013-11-22$8.93$8.0054.5%17.9%41.8%18.0%0.0%2.1%-0.1%78.8K-1.3M-13.5K0.0145.02N/AN/A11118,7301,391
2013-11-25$9.22$8.0055.9%18.1%44.1%19.0%0.0%8.1%0.4%88.2K-1.7M-14.6K0.0284.29N/AN/A19348,5591,392
2013-11-26$9.50$8.0057.4%17.4%45.2%20.1%0.0%1.5%1.6%98.2K-2.1M-15.2K0.0170.99N/AN/A12618,7001,393
2013-11-27$9.66$8.0059.4%18.8%35.8%21.4%0.0%3.1%-3.6%101.2K-2.2M-15.2K0.1173.00N/AN/A484538,7581,394
2013-11-29$9.82$8.0057.3%17.4%32.8%20.0%0.0%6.4%-0.9%117.3K-2.6M-16.1K0.4652.70N/AN/A112529,1301,443