NBIX Options History — April 2014

In April 2014, NBIX traded between $13.03 and $15.99. ATM implied volatility averaged 58.1%, placing in the 15.5% IV rank vs the trailing year. The 30-day expected move averaged 19.5%. IV traded above realized volatility by 4.5% (HV 20d: 53.6%). Max pain ranged from $8.00 to $8.00. Net GEX was positive for 10 of 21 trading days. Term structure was in contango for 6 of 21 days. Put/call ratio averaged 0.97.

Notable Days

  • 2014-04-03: Highest Volume — 3,469 contracts
  • 2014-04-02: Largest IV spike — 28.8% change
  • 2014-04-02: Highest IV Rank — 22.9%
  • 2014-04-17: Largest Expected Move — 21.5%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$14.01$13.03$15.99$15.99$14.02
Max Pain$8.00$8.00$8.00$8.00$8.00
ATM IV58.1%48.6%68.2%52.9%63.0%
Expected Move19.5%17.9%21.5%19.3%18.8%
HV 20d53.6%44.8%64.8%45.2%60.3%
HV 60d61.9%50.9%141.3%141.0%55.4%
IV Rank15.5%8.3%22.9%11.6%19.1%
IV Percentile58.6%17.5%88.1%37.3%79.8%
Term Structure-1.5%-17.0%12.7%10.2%-9.1%
VWIV65.3%40.9%74.2%65.3%69.1%
Skew 25d7.2%-6.8%22.9%7.8%22.9%
Skew 10d9.7%-16.9%37.2%0.9%18.7%
Call IV 25d56.2%47.4%66.4%51.2%47.7%
Put IV 25d63.4%52.2%77.3%59.1%70.6%
Bid-Ask Spread %77.7747.5697.7047.9097.70
Gamma HHI0.130.100.140.130.14
Net GEX1.3K-13.4K32.2K32.2K-820
Net DEX-1.1M-3.6M753.2K-3.6M-1.2M
Net VEX-41.0K-44.6K-36.4K-39.2K-41.9K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.970.052.860.670.66
Total Volume506.857493,469100257
Total OI18,316.8114,99219,93314,99218,925

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2014-04-01$15.99$8.0052.9%19.3%45.2%11.6%65.3%7.8%10.2%32.2K-3.6M-39.2K0.6747.90N/AN/A60409,1935,799
2014-04-02$15.41$8.0068.2%20.0%46.4%22.9%67.8%9.8%-17.0%19.4K-2.9M-38.4K0.2552.94N/AN/A126319,2105,830
2014-04-03$14.78$8.0052.5%19.6%45.9%11.3%0.0%8.2%6.1%-2.2K-1.7M-36.4K0.8647.56N/AN/A1,8631,6069,3305,861
2014-04-04$14.29$8.0058.2%18.4%44.8%15.5%0.0%10.9%12.7%1.2K-1.9M-43.2K0.1378.48N/AN/A1652110,9137,225
2014-04-07$13.90$8.0059.0%20.4%44.8%16.1%0.0%2.7%-1.7%-3.7K-633.5K-41.3K0.8591.21N/AN/A40334311,0527,246
2014-04-08$14.06$8.0056.5%20.3%45.6%14.2%74.2%8.8%-2.6%-5.0K-851.8K-42.6K0.7070.56N/AN/A40928811,2347,451
2014-04-09$14.53$8.0048.6%17.9%47.4%8.3%0.0%7.9%-0.3%-5.4K-1.6M-44.6K0.5895.11N/AN/A19311111,5487,718
2014-04-10$13.57$8.0055.5%19.4%50.9%13.5%71.7%-0.6%-0.6%-4.4K-378.4K-42.2K0.2689.16N/AN/A3418711,6217,779
2014-04-11$13.08$8.0062.7%19.1%51.5%18.9%0.0%0.8%-2.0%2.1K184.9K-40.8K1.9188.42N/AN/A23144211,7797,836
2014-04-14$13.03$8.0061.7%18.4%50.9%18.2%67.2%0.9%0.1%2.9K454.2K-39.8K0.8591.67N/AN/A15313011,8217,926
2014-04-15$13.24$8.0060.4%19.1%50.5%17.1%0.0%9.0%-3.0%-193753.2K-39.2K1.9472.95N/AN/A7214011,9278,006
2014-04-16$13.84$8.0058.0%19.0%54.6%15.4%0.0%8.0%0.1%-13.4K-291.6K-41.1K1.6292.12N/AN/A22536511,5967,901
2014-04-17$13.45$8.0057.3%21.5%54.9%14.8%63.3%2.5%2.0%-12.4K-200.1K-40.8K2.8693.99N/AN/A8624611,8208,029
2014-04-21$14.17$8.0056.4%18.3%58.0%14.1%0.0%17.5%-12.5%-570-1.3M-40.9K0.0576.29N/AN/A2331110,2317,466
2014-04-22$14.80$8.0055.3%19.9%60.3%13.4%59.5%3.6%-0.3%6.4K-3.3M-43.4K0.4189.18N/AN/A46619010,3017,469
2014-04-23$13.78$8.0056.7%19.9%64.8%14.4%0.0%-6.8%-1.3%5.4K-1.7M-41.4K1.3388.69N/AN/A273610,5217,566
2014-04-24$13.79$8.0056.1%19.3%63.9%14.0%40.9%3.1%-7.4%1.0K-1.2M-40.7K0.8554.21N/AN/A36330910,5367,602
2014-04-25$13.27$8.0058.8%20.5%63.3%15.9%0.0%7.2%-0.2%3.9K-429.8K-41.0K0.6066.10N/AN/A22013110,8697,864
2014-04-28$13.30$8.0064.0%21.0%61.6%19.9%73.7%11.2%-4.8%641-157.5K-39.9K1.5070.44N/AN/A7010510,7997,951
2014-04-29$13.84$8.0058.4%18.4%59.8%15.7%0.0%15.6%-0.8%-335-988.1K-41.7K1.5878.42N/AN/A193010,8678,035
2014-04-30$14.02$8.0063.0%18.8%60.3%19.1%69.1%22.9%-9.1%-820-1.2M-41.9K0.6697.70N/AN/A15510210,8708,055