NBIX Options History — June 2014

In June 2014, NBIX traded between $13.91 and $15.50. ATM implied volatility averaged 51.6%, placing in the 10.6% IV rank vs the trailing year. The 30-day expected move averaged 19.4%. IV traded above realized volatility by 19.8% (HV 20d: 31.7%). Max pain ranged from $10.00 to $12.00. Net GEX was positive for 21 of 21 trading days. Term structure was in contango for 20 of 21 days. Put/call ratio averaged 0.62.

Notable Days

  • 2014-06-16: Highest Volume — 716 contracts
  • 2014-06-11: Largest IV spike — 79.5% change
  • 2014-06-11: Highest IV Rank — 38.8%
  • 2014-06-23: Largest Expected Move — 21.5%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$14.90$13.91$15.50$13.91$14.84
Max Pain$10.50$10.00$12.00$10.00$12.00
ATM IV51.6%46.4%89.4%46.7%47.5%
Expected Move19.4%17.0%21.5%18.2%21.1%
HV 20d31.7%23.8%41.6%41.3%23.8%
HV 60d48.4%44.0%50.1%49.3%44.0%
IV Rank10.6%6.7%38.8%7.0%7.5%
IV Percentile22.2%9.5%92.5%9.5%10.7%
Term Structure5.7%-1.1%13.4%1.3%12.3%
VWIV67.6%60.4%78.8%64.7%67.8%
Skew 25d7.2%-2.8%23.5%8.0%5.7%
Skew 10d12.5%-3.3%34.8%18.7%10.1%
Call IV 25d46.2%33.5%53.3%50.6%45.9%
Put IV 25d53.4%44.2%59.1%58.6%51.6%
Bid-Ask Spread %55.5722.63101.7667.7427.12
Gamma HHI0.220.170.460.170.19
Net GEX126.2K61.1K329.6K61.2K80.4K
Net DEX-5.3M-7.1M-3.0M-3.0M-4.3M
Net VEX-40.9K-45.3K-37.9K-41.0K-37.9K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.620.022.480.300.83
Total Volume163.762337164884
Total OI17,644.42916,19918,92117,53816,838

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2014-06-02$13.91$10.0046.7%18.2%41.3%7.0%64.7%8.0%1.3%61.2K-3.0M-41.0K0.3067.74N/AN/A371110,9366,602
2014-06-03$13.94$10.0048.4%18.3%39.4%8.2%60.7%11.5%0.9%69.2K-3.3M-41.2K0.5185.57N/AN/A723710,9726,605
2014-06-04$14.13$10.0049.1%20.1%38.7%8.7%65.8%6.9%1.8%70.5K-3.4M-40.5K0.1084.91N/AN/A81810,9896,637
2014-06-05$14.80$10.0046.4%18.8%41.6%6.7%0.0%23.5%3.8%91.0K-5.0M-41.9K1.5465.12N/AN/A528011,0496,645
2014-06-06$14.93$10.0055.7%17.0%41.0%13.6%0.0%5.1%-1.1%89.1K-5.4M-42.8K1.5496.18N/AN/A132011,0866,715
2014-06-09$15.38$10.0047.9%18.9%38.4%7.9%72.3%12.2%5.5%118.4K-6.6M-42.8K0.3656.80N/AN/A1906811,0966,721
2014-06-10$15.50$10.0049.8%19.5%35.5%9.3%65.6%5.0%6.4%115.1K-7.1M-42.7K0.8766.48N/AN/A13511711,0536,720
2014-06-11$15.44$10.0089.4%20.3%33.1%38.8%0.0%11.1%3.6%114.8K-6.8M-45.3K0.0289.10N/AN/A62111,1886,837
2014-06-12$15.19$10.0051.3%18.9%33.5%10.4%0.0%18.1%6.6%115.9K-6.2M-44.1K0.7551.45N/AN/A322411,2186,838
2014-06-13$14.97$10.0050.0%18.7%31.4%9.4%0.0%3.1%6.7%139.8K-6.0M-42.4K2.4848.37N/AN/A276711,2456,861
2014-06-16$14.99$10.0052.8%18.0%30.1%11.5%0.0%0.2%4.5%153.1K-5.8M-40.8K0.0834.80N/AN/A6625411,2716,909
2014-06-17$15.00$10.0052.2%18.2%30.1%11.1%60.4%5.7%6.7%184.9K-6.4M-42.0K0.2135.64N/AN/A1022111,8836,950
2014-06-18$15.22$10.0050.1%19.6%26.2%9.5%0.0%14.7%9.6%293.9K-6.6M-40.2K0.87101.76N/AN/A696011,9516,970
2014-06-19$15.11$10.0048.6%18.7%26.5%8.4%0.0%-2.8%13.4%307.5K-6.8M-40.2K0.0958.43N/AN/A80711,8836,489
2014-06-20$15.19$10.0051.4%18.4%26.6%10.4%62.4%6.6%8.8%329.6K-7.1M-40.6K0.4141.44N/AN/A2088511,9526,491
2014-06-23$14.92$0.0050.2%21.5%28.1%9.5%77.6%-1.3%5.6%61.8K-4.4M-39.1K0.6747.20N/AN/A15010110,1216,078
2014-06-24$14.87$12.0050.4%20.7%26.9%9.7%0.0%0.7%2.4%64.9K-4.3M-38.7K0.3233.93N/AN/A31810210,2436,161
2014-06-25$14.82$12.0048.0%20.7%26.1%7.9%78.8%0.7%8.6%64.5K-4.1M-38.8K0.5929.11N/AN/A462710,5426,184
2014-06-26$14.86$12.0046.9%20.8%24.2%7.1%0.0%8.6%8.8%61.1K-4.0M-38.4K0.2523.08N/AN/A481210,5726,204
2014-06-27$14.85$12.0049.9%20.7%23.8%9.3%0.0%8.5%3.3%64.3K-4.1M-38.4K0.2522.63N/AN/A551410,6146,214
2014-06-30$14.84$12.0047.5%21.1%23.8%7.5%67.8%5.7%12.3%80.4K-4.3M-37.9K0.8327.12N/AN/A463810,6146,224