NBIX Options History — August 2014

In August 2014, NBIX traded between $13.33 and $16.31. ATM implied volatility averaged 55.8%, placing in the 17.2% IV rank vs the trailing year. The 30-day expected move averaged 22.0%. IV traded above realized volatility by 10.3% (HV 20d: 45.5%). Max pain ranged from $15.00 to $19.00. Net GEX was positive for 20 of 21 trading days. Term structure was in contango for 21 of 21 days. Put/call ratio averaged 1.15.

Notable Days

  • 2014-08-11: Highest Volume — 4,365 contracts
  • 2014-08-14: Largest IV spike — 43.6% change
  • 2014-08-15: Highest IV Rank — 26.8%
  • 2014-08-28: Largest Expected Move — 23.1%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$14.96$13.33$16.31$13.46$16.31
Max Pain$18.62$15.00$19.00$19.00$15.00
ATM IV55.8%45.6%69.2%54.2%56.5%
Expected Move22.0%21.0%23.1%22.0%22.0%
HV 20d45.5%41.9%55.3%48.5%42.1%
HV 60d39.8%36.7%41.1%39.3%40.1%
IV Rank17.2%9.8%26.8%16.0%17.6%
IV Percentile44.6%2.4%88.9%40.5%49.6%
Term Structure7.9%1.8%14.9%14.6%7.1%
VWIV75.1%67.3%83.8%74.9%83.8%
Skew 25d11.8%2.1%42.1%20.5%8.7%
Skew 10d21.5%-10.4%38.6%23.4%31.6%
Call IV 25d55.4%38.7%68.5%41.9%46.4%
Put IV 25d67.2%55.1%80.8%62.4%55.1%
Bid-Ask Spread %51.4031.42111.2161.5456.90
Gamma HHI0.150.120.250.120.13
Net GEX61.8K-5.6K122.4K8.5K122.4K
Net DEX-6.5M-10.4M-1.9M-1.9M-10.4M
Net VEX-47.1K-52.9K-35.1K-35.7K-52.7K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.150.0210.890.310.09
Total Volume552.238394,365130506
Total OI19,659.8117,39523,86517,39519,850

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2014-08-01$13.46$19.0054.2%22.0%48.5%16.0%0.0%20.5%14.6%8.5K-1.9M-35.7K0.3161.54N/AN/A993110,5416,854
2014-08-04$13.64$19.0050.7%22.5%48.4%13.5%0.0%42.1%7.7%15.7K-2.5M-35.9K0.15111.21N/AN/A881310,6096,872
2014-08-05$13.65$19.0046.4%21.8%41.9%10.4%0.0%11.1%7.1%8.3K-2.0M-35.1K0.4166.45N/AN/A1837510,6276,885
2014-08-06$13.82$19.0062.4%22.0%41.9%21.9%0.0%7.0%6.9%12.6K-2.0M-35.8K10.8943.35N/AN/A6166410,8086,930
2014-08-07$13.33$19.0058.7%22.6%43.2%19.2%74.9%9.2%5.7%-5.6K-1.9M-35.1K0.0242.87N/AN/A1,6803010,8487,570
2014-08-08$13.67$19.0046.4%21.0%44.3%10.4%69.9%29.0%7.6%3.3K-2.8M-39.5K0.3678.53N/AN/A833012,3207,598
2014-08-11$14.98$19.0053.2%23.0%55.3%15.3%0.0%12.0%10.7%62.2K-6.0M-42.6K1.0552.21N/AN/A2,1292,23612,3357,628
2014-08-12$14.81$19.0052.4%21.9%49.1%14.7%76.4%2.1%11.9%39.4K-6.6M-52.5K3.9733.11N/AN/A5823014,3389,527
2014-08-13$15.01$19.0045.6%22.9%47.4%9.8%0.0%7.8%7.0%62.8K-7.1M-52.4K1.7038.39N/AN/A9115514,3799,394
2014-08-14$15.33$19.0065.5%21.7%46.9%24.1%0.0%8.0%9.6%66.8K-7.6M-52.5K0.1037.63N/AN/A2502514,3679,239
2014-08-15$15.46$19.0069.2%21.7%45.0%26.8%75.7%6.6%14.9%99.7K-8.6M-52.6K0.0465.93N/AN/A3481314,5299,241
2014-08-18$15.77$19.0062.7%21.6%44.5%22.1%0.0%9.1%1.8%66.6K-8.2M-52.3K0.0745.84N/AN/A6844511,8486,101
2014-08-19$15.59$19.0058.5%21.3%44.5%19.0%0.0%7.9%7.2%82.8K-8.5M-52.5K1.7931.42N/AN/A386812,4556,134
2014-08-20$15.28$19.0059.4%21.4%45.5%19.7%67.3%4.5%5.6%74.9K-7.7M-52.1K0.0344.02N/AN/A38112,4666,185
2014-08-21$15.08$19.0058.6%22.4%45.9%19.2%68.1%10.3%3.8%75.4K-7.6M-51.4K1.2952.38N/AN/A21427612,5626,186
2014-08-22$15.30$19.0056.3%22.0%45.6%17.5%79.1%8.5%6.2%75.1K-7.7M-51.2K0.3538.99N/AN/A682412,7036,180
2014-08-25$15.56$19.0055.4%22.0%44.1%16.8%74.9%12.9%13.4%89.7K-8.4M-51.4K1.1537.94N/AN/A263012,7196,189
2014-08-26$16.19$19.0051.1%21.3%44.2%13.7%0.0%11.4%10.6%103.6K-9.3M-50.9K0.1542.00N/AN/A1482212,7416,212
2014-08-27$15.99$19.0055.4%22.0%44.5%16.8%75.1%13.3%4.9%113.3K-9.7M-51.5K0.1139.85N/AN/A6607112,8596,233
2014-08-28$15.99$15.0053.9%23.1%42.4%15.7%81.0%6.8%2.2%119.9K-10.2M-52.9K0.0958.80N/AN/A97913,5066,288
2014-08-29$16.31$15.0056.5%22.0%42.1%17.6%83.8%8.7%7.1%122.4K-10.4M-52.7K0.0956.90N/AN/A4644213,5536,297