NBIX Options History — May 2014

In May 2014, NBIX traded between $12.88 and $14.47. ATM implied volatility averaged 51.6%, placing in the 10.6% IV rank vs the trailing year. The 30-day expected move averaged 19.5%. IV traded below realized volatility by 2.1% (HV 20d: 53.8%). Max pain ranged from $10.00 to $10.00. Net GEX was positive for 10 of 21 trading days. Term structure was in contango for 16 of 21 days. Put/call ratio averaged 0.82.

Notable Days

  • 2014-05-01: Highest Volume — 2,247 contracts
  • 2014-05-29: Largest IV drop — 16.9% change
  • 2014-05-01: Highest IV Rank — 15.0%
  • 2014-05-14: Largest Expected Move — 21.2%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$13.43$12.88$14.47$13.36$13.89
Max Pain$10.00$10.00$10.00$10.00$10.00
ATM IV51.6%45.1%57.5%57.5%49.0%
Expected Move19.5%17.5%21.2%20.4%18.6%
HV 20d53.8%41.9%61.1%61.1%41.9%
HV 60d53.3%50.0%55.3%54.7%50.1%
IV Rank10.6%5.8%15.0%15.0%8.7%
IV Percentile28.9%6.0%55.2%55.2%14.7%
Term Structure1.7%-4.5%7.2%-0.5%4.4%
VWIV66.5%62.1%73.7%62.5%63.3%
Skew 25d7.3%-4.7%21.4%5.5%2.9%
Skew 10d15.0%-21.9%52.3%5.0%21.7%
Call IV 25d48.6%32.8%58.3%57.2%54.5%
Put IV 25d56.0%39.4%63.8%62.7%57.4%
Bid-Ask Spread %75.3549.2594.8450.1068.69
Gamma HHI0.190.140.320.140.16
Net GEX-1.5K-40.0K59.9K-1.5K59.9K
Net DEX-1.2M-3.1M-85.8K-247.9K-3.1M
Net VEX-40.3K-42.9K-35.8K-39.8K-42.0K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.820.055.751.430.15
Total Volume526.429522,2472,247239
Total OI18,601.85715,33720,76419,03117,417

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2014-05-01$13.36$10.0057.5%20.4%61.1%15.0%62.5%5.5%-0.5%-1.5K-247.9K-39.8K1.4350.10N/AN/A9241,32310,9498,082
2014-05-02$13.13$10.0051.5%19.5%59.9%10.6%67.3%3.3%3.9%-7.3K-85.8K-41.4K1.5773.34N/AN/A14522711,7508,744
2014-05-05$13.62$10.0052.3%19.5%60.8%11.1%0.0%13.6%1.2%-8.3K-492.6K-41.6K0.4977.08N/AN/A39919411,6798,729
2014-05-06$13.34$10.0054.2%20.3%60.4%12.5%0.0%5.6%3.4%-5.5K-886.5K-42.3K5.7594.51N/AN/A169211,7328,766
2014-05-07$13.33$10.0053.5%17.5%60.2%12.0%70.2%2.8%0.3%-23.6K-361.3K-40.1K0.8676.27N/AN/A30326011,7328,789
2014-05-08$13.14$10.0052.3%20.9%58.9%11.1%73.7%-1.1%-0.5%-7.6K-523.7K-41.3K0.3188.21N/AN/A1183611,8868,816
2014-05-09$13.84$10.0048.6%18.7%57.2%8.4%0.0%15.2%0.7%-1.0K-952.5K-42.1K0.1789.03N/AN/A5559411,8748,837
2014-05-12$14.47$10.0052.0%19.1%57.3%10.9%65.8%10.3%-1.0%113-2.6M-42.9K0.0591.25N/AN/A2591411,8098,851
2014-05-13$14.01$10.0051.2%19.4%58.8%10.3%68.5%7.8%4.3%3.4K-2.0M-41.7K0.1049.25N/AN/A2142111,8508,854
2014-05-14$13.86$10.0048.3%21.2%58.8%8.2%0.0%7.9%4.9%-2.4K-1.4M-40.7K0.6371.77N/AN/A322011,9018,863
2014-05-15$13.42$10.0055.8%20.6%57.8%13.8%67.9%-3.2%4.5%-22.4K-748.7K-36.5K0.2149.53N/AN/A2374911,4038,298
2014-05-16$13.17$10.0053.3%19.6%57.3%11.9%0.0%13.0%0.7%-40.0K-184.5K-35.8K0.2164.17N/AN/A1,22725211,4368,313
2014-05-19$13.35$10.0054.1%20.1%54.1%12.5%0.0%10.3%0.1%-12.8K-1.4M-39.9K0.7194.84N/AN/A7465288,9776,360
2014-05-20$12.90$10.0051.3%19.8%52.3%10.4%63.9%-4.7%0.0%3.1K-1.3M-39.8K0.5752.72N/AN/A3071759,6036,365
2014-05-21$12.88$10.0051.4%18.6%46.4%10.5%62.1%-3.6%1.2%3.2K-1.2M-39.5K1.1479.13N/AN/A50579,7076,480
2014-05-22$12.98$10.0050.5%20.1%46.5%9.8%0.0%10.9%-2.3%3.7K-1.4M-39.5K1.4893.72N/AN/A2063049,7366,483
2014-05-23$13.03$10.0046.1%20.1%44.6%6.5%0.0%9.4%4.6%3.1K-1.3M-39.4K0.3993.18N/AN/A38159,7846,555
2014-05-27$13.43$10.0052.1%18.5%46.0%11.0%0.0%21.4%2.7%7.4K-1.8M-39.8K0.3879.30N/AN/A63249,7926,565
2014-05-28$13.24$10.0054.3%19.3%43.8%12.6%0.0%21.3%-4.5%6.1K-1.8M-39.3K0.5381.81N/AN/A94509,8406,589
2014-05-29$13.67$10.0045.1%18.3%45.2%5.8%0.0%5.3%7.2%10.2K-2.2M-39.7K0.0764.40N/AN/A1,068809,8406,603
2014-05-30$13.89$10.0049.0%18.6%41.9%8.7%63.3%2.9%4.4%59.9K-3.1M-42.0K0.1568.69N/AN/A2073210,8276,590