NBIX Options History — February 2014

In February 2014, NBIX traded between $16.12 and $18.39. ATM implied volatility averaged 61.0%, placing in the 22.0% IV rank vs the trailing year. The 30-day expected move averaged 19.5%. IV traded below realized volatility by 12.2% (HV 20d: 73.3%). Max pain ranged from $8.00 to $8.00. Net GEX was positive for 17 of 19 trading days. Term structure was in contango for 7 of 19 days. Put/call ratio averaged 1.63.

Notable Days

  • 2014-02-28: Highest Volume — 4,621 contracts
  • 2014-02-27: Largest IV drop — 14.8% change
  • 2014-02-06: Highest IV Rank — 30.0%
  • 2014-02-20: Largest Expected Move — 20.9%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$17.23$16.12$18.39$16.20$17.63
Max Pain$8.00$8.00$8.00$8.00$8.00
ATM IV61.0%49.3%72.4%66.4%52.0%
Expected Move19.5%17.4%20.9%19.0%19.9%
HV 20d73.3%50.9%234.1%233.8%55.6%
HV 60d137.5%136.5%138.6%136.5%138.6%
IV Rank22.0%13.6%30.0%26.4%15.5%
IV Percentile72.3%31.7%90.9%85.7%40.5%
Term Structure-1.0%-9.4%7.9%-8.2%7.9%
VWIV75.2%72.5%77.6%77.6%75.3%
Skew 25d1.3%-4.0%4.5%3.0%0.6%
Skew 10d5.2%-20.5%31.9%-20.5%-6.4%
Call IV 25d61.1%51.5%75.2%66.2%51.5%
Put IV 25d62.4%51.2%75.0%69.2%52.1%
Bid-Ask Spread %55.9830.7575.8362.1147.19
Gamma HHI0.180.130.430.140.38
Net GEX55.2K-118.3K210.3K11.4K-118.3K
Net DEX-9.1M-13.7M-4.1M-7.9M-4.1M
Net VEX-31.9K-38.9K-28.6K-33.1K-38.9K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.630.147.360.563.08
Total Volume1,018.7371054,6211,4074,621
Total OI19,024.47410,50122,51920,44815,757

Daily Data (19 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2014-02-03$16.20$8.0066.4%19.0%233.8%26.4%0.0%3.0%-8.2%11.4K-7.9M-33.1K0.5662.11N/AN/A90450313,1147,334
2014-02-04$17.19$8.0065.8%18.7%234.1%25.9%0.0%0.6%-4.8%94.6K-10.7M-35.3K0.9862.15N/AN/A32031313,4737,234
2014-02-05$16.57$8.0066.6%19.1%51.8%26.5%0.0%4.5%-5.6%53.0K-9.1M-34.2K0.8367.78N/AN/A13210913,5017,297
2014-02-06$16.12$8.0072.4%18.8%52.0%30.0%0.0%-0.3%-9.4%33.8K-8.3M-34.2K0.7875.83N/AN/A39430613,5527,327
2014-02-07$16.95$8.0062.8%17.6%55.4%23.1%0.0%3.1%0.4%72.7K-10.0M-33.7K0.5371.03N/AN/A1568313,7367,492
2014-02-10$16.60$8.0066.5%19.6%52.4%25.8%0.0%4.5%-1.0%32.9K-9.3M-31.7K0.6651.62N/AN/A21214013,7577,503
2014-02-11$16.91$8.0063.7%19.8%52.7%23.8%77.6%2.6%1.4%65.9K-10.2M-31.3K0.2866.59N/AN/A1323713,8307,550
2014-02-12$17.22$8.0060.4%19.8%50.9%21.5%0.0%0.5%-0.1%92.2K-10.8M-30.8K1.3958.05N/AN/A446113,8587,551
2014-02-13$17.33$8.0059.5%20.6%51.0%20.8%0.0%2.2%0.2%93.8K-10.9M-30.1K2.9045.63N/AN/A10430213,8787,611
2014-02-14$16.74$8.0059.6%20.3%51.0%20.9%72.5%1.7%-0.4%14.4K-9.4M-29.2K2.2864.96N/AN/A18842813,9557,662
2014-02-18$17.29$8.0060.8%18.8%52.8%21.8%0.0%1.3%-2.3%75.4K-10.7M-29.1K0.2249.77N/AN/A69415214,1148,050
2014-02-19$16.59$8.0062.4%20.8%54.2%22.9%0.0%1.5%-2.7%-43.3K-9.0M-29.1K3.0346.69N/AN/A9227914,3238,160
2014-02-20$17.60$8.0058.8%20.9%58.9%20.3%0.0%-0.2%0.8%93.0K-11.5M-28.9K1.6949.62N/AN/A25342814,0738,070
2014-02-21$18.29$8.0059.1%20.7%60.7%20.6%75.3%1.1%-0.4%210.3K-13.7M-28.6K0.1444.38N/AN/A1,52520814,2268,293
2014-02-24$17.84$8.0058.9%17.4%58.0%20.4%0.0%-0.3%-1.1%65.4K-6.9M-30.4K1.8563.67N/AN/A2684967,0633,438
2014-02-25$18.05$8.0057.1%20.0%56.0%19.1%0.0%-0.8%0.1%62.9K-6.8M-32.2K1.5959.99N/AN/A1292057,2873,927
2014-02-26$18.39$8.0057.9%19.3%55.7%19.7%0.0%2.3%-1.1%69.6K-7.4M-32.6K0.7645.73N/AN/A3602737,3674,132
2014-02-27$17.80$8.0049.3%19.9%55.5%13.6%0.0%-4.0%7.8%68.3K-6.4M-32.4K7.3630.75N/AN/A5393,9667,5774,393
2014-02-28$17.63$8.0052.0%19.9%55.6%15.5%0.0%0.6%7.9%-118.3K-4.1M-38.9K3.0847.19N/AN/A1,1343,4877,8827,875