NBIX Options History — December 2013

In December 2013, NBIX traded between $9.09 and $9.91. ATM implied volatility averaged 62.9%, placing in the 23.9% IV rank vs the trailing year. The 30-day expected move averaged 19.0%. IV traded above realized volatility by 32.0% (HV 20d: 30.8%). Max pain ranged from $8.00 to $8.00. Net GEX was positive for 21 of 21 trading days. Term structure was in contango for 3 of 21 days. Put/call ratio averaged 0.18.

Notable Days

  • 2013-12-31: Highest Volume — 1,989 contracts
  • 2013-12-12: Largest IV spike — 30.6% change
  • 2013-12-31: Highest IV Rank — 29.8%
  • 2013-12-09: Largest Expected Move — 21.3%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$9.51$9.09$9.91$9.91$9.34
Max Pain$8.00$8.00$8.00$8.00$8.00
ATM IV62.9%50.3%71.3%60.6%71.3%
Expected Move19.0%16.8%21.3%16.8%19.7%
HV 20d30.8%26.7%36.6%32.2%32.6%
HV 60d42.8%37.5%82.0%82.0%38.7%
IV Rank23.9%15.1%29.8%22.3%29.8%
IV Percentile86.0%54.8%93.3%89.7%93.3%
Term Structure-2.8%-11.3%10.1%-7.0%-7.5%
VWIV62.9%57.0%70.3%62.0%70.3%
Skew 25d2.4%-17.5%10.7%5.9%-17.5%
Skew 10d18.6%-14.7%41.1%36.2%-14.7%
Call IV 25d65.4%49.7%88.9%57.1%88.9%
Put IV 25d67.8%60.4%75.3%63.0%71.4%
Bid-Ask Spread %73.0645.27100.5969.5473.33
Gamma HHI0.330.280.470.340.30
Net GEX120.9K74.2K191.7K122.9K87.3K
Net DEX-2.2M-3.0M-1.4M-3.0M-2.4M
Net VEX-16.2K-18.5K-13.7K-16.1K-18.5K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.180.001.390.100.00
Total Volume481.333111,9898441,989
Total OI11,639.52410,05012,25810,68512,258

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2013-12-02$9.91$8.0060.6%16.8%32.2%22.3%0.0%5.9%-7.0%122.9K-3.0M-16.1K0.1069.54N/AN/A766789,2121,473
2013-12-03$9.84$8.0058.6%17.8%32.4%20.9%0.0%5.6%10.1%131.0K-2.9M-17.6K0.1972.13N/AN/A8311569,8611,539
2013-12-04$9.77$8.0059.2%19.8%30.5%21.3%0.0%2.6%9.4%135.0K-3.0M-18.3K0.2198.79N/AN/A731510,1881,672
2013-12-05$9.58$8.0058.2%18.7%28.8%20.6%0.0%10.7%4.7%133.0K-2.6M-17.4K0.0087.34N/AN/A94010,2371,687
2013-12-06$9.76$8.0056.0%18.5%28.7%19.1%0.0%4.3%-4.9%141.3K-2.9M-17.7K0.0078.48N/AN/A138010,2551,687
2013-12-09$9.78$8.0058.9%21.3%26.7%21.1%0.0%5.2%-6.8%145.7K-2.9M-17.3K0.3858.30N/AN/A8310,1981,687
2013-12-10$9.56$8.0050.3%18.8%27.7%15.1%0.0%5.2%-11.3%146.0K-2.4M-16.5K0.0092.80N/AN/A81010,2021,687
2013-12-11$9.39$8.0051.5%19.8%26.8%15.9%0.0%10.4%-0.0%139.9K-2.2M-15.8K0.3190.29N/AN/A611910,2251,687
2013-12-12$9.51$8.0067.2%19.8%26.8%26.9%0.0%4.9%-8.3%152.0K-2.2M-15.7K0.00100.59N/AN/A66010,2501,685
2013-12-13$9.28$8.0066.8%18.2%28.4%26.6%0.0%6.0%-4.2%130.5K-1.7M-14.9K0.0463.90N/AN/A108410,2801,685
2013-12-16$9.39$8.0068.7%19.7%28.5%28.0%0.0%8.6%-6.3%144.1K-1.8M-14.6K0.1945.27N/AN/A2344410,3051,685
2013-12-17$9.09$8.0065.4%20.2%30.2%25.6%0.0%0.2%-0.4%113.5K-1.5M-14.2K0.1576.69N/AN/A55810,5311,693
2013-12-18$9.22$8.0061.1%20.0%30.5%22.7%0.0%-3.8%-2.0%126.5K-1.7M-14.3K0.2377.81N/AN/A2325310,5311,693
2013-12-19$9.12$8.0064.9%19.3%30.8%25.3%0.0%-4.1%-2.4%106.8K-1.4M-13.7K1.3974.41N/AN/A365010,3791,695
2013-12-20$9.67$8.0066.8%18.7%36.6%26.7%62.0%10.2%-2.5%191.7K-2.6M-15.3K0.0955.88N/AN/A1,58713910,4031,695
2013-12-23$9.64$8.0065.7%18.5%35.8%25.9%57.0%3.3%-7.0%74.2K-1.8M-15.7K0.2272.89N/AN/A5731258,4921,558
2013-12-24$9.63$8.0065.6%18.6%34.2%25.8%0.0%-0.2%-4.4%76.1K-1.9M-16.3K0.0064.81N/AN/A82618,7381,673
2013-12-26$9.41$8.0066.6%17.1%33.7%26.5%60.6%0.8%-0.1%78.8K-2.0M-17.1K0.0357.63N/AN/A320119,3431,674
2013-12-27$9.33$8.0067.0%17.9%33.2%26.8%57.8%-5.2%-3.7%76.3K-1.8M-16.4K0.1451.98N/AN/A408589,4901,666
2013-12-30$9.43$8.0070.1%18.7%32.8%29.0%69.9%-2.8%-4.5%86.4K-2.0M-16.7K0.0971.36N/AN/A786729,8171,714
2013-12-31$9.34$8.0071.3%19.7%32.6%29.8%70.3%-17.5%-7.5%87.3K-2.4M-18.5K0.0073.33N/AN/A1,986310,5281,730