NBIX Options History — September 2014

In September 2014, NBIX traded between $15.10 and $16.39. ATM implied volatility averaged 52.7%, placing in the 28.2% IV rank vs the trailing year. The 30-day expected move averaged 24.7%. IV traded above realized volatility by 16.0% (HV 20d: 36.7%). Max pain ranged from $15.00 to $15.00. Net GEX was positive for 21 of 21 trading days. Term structure was in contango for 20 of 21 days. Put/call ratio averaged 5.86.

Notable Days

  • 2014-09-24: Highest Volume — 4,517 contracts
  • 2014-09-11: Largest IV spike — 37.9% change
  • 2014-09-29: Highest IV Rank — 46.7%
  • 2014-09-26: Largest Expected Move — 27.1%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$15.93$15.10$16.39$16.14$15.67
Max Pain$15.00$15.00$15.00$15.00$15.00
ATM IV52.7%43.9%61.5%51.6%44.3%
Expected Move24.7%21.8%27.1%21.8%25.9%
HV 20d36.7%28.8%43.3%42.6%42.1%
HV 60d41.9%39.7%44.8%40.1%44.7%
IV Rank28.2%10.3%46.7%14.1%19.6%
IV Percentile33.9%0.8%81.3%22.2%1.2%
Term Structure6.9%-21.7%21.2%1.0%3.2%
VWIV88.0%77.5%96.8%87.1%88.7%
Skew 25d11.5%-0.1%31.3%10.0%17.2%
Skew 10d23.9%3.3%44.4%20.5%34.4%
Call IV 25d50.4%37.0%61.3%41.1%57.3%
Put IV 25d61.9%46.6%92.6%51.1%74.6%
Bid-Ask Spread %64.7241.73104.6391.3977.97
Gamma HHI0.150.110.260.140.22
Net GEX119.3K44.5K189.7K140.2K142.0K
Net DEX-9.5M-12.7M-6.4M-11.3M-10.5M
Net VEX-69.2K-82.4K-53.0K-54.6K-80.3K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio5.860.0254.570.050.02
Total Volume1,059.952354,517256385
Total OI27,989.38120,32533,65420,32533,654

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2014-09-02$16.14$15.0051.6%21.8%42.6%14.1%87.1%10.0%1.0%140.2K-11.3M-54.6K0.0591.39N/AN/A2431313,9976,328
2014-09-03$15.99$15.0049.3%23.1%43.0%12.5%82.7%8.9%16.3%146.9K-11.0M-53.0K0.3860.67N/AN/A1987614,0046,330
2014-09-04$15.89$15.0052.4%23.3%43.3%14.7%0.0%8.5%21.2%133.4K-10.6M-54.1K54.57104.63N/AN/A492,67414,2016,406
2014-09-05$15.62$15.0050.4%23.2%41.2%13.3%89.2%5.9%5.6%106.0K-9.4M-58.8K16.6843.51N/AN/A1612,68614,2419,069
2014-09-08$16.12$15.0052.9%22.8%41.7%15.1%0.0%11.1%6.3%113.7K-9.5M-63.2K0.9150.38N/AN/A464214,38511,713
2014-09-09$15.82$15.0046.2%23.6%28.8%10.3%0.0%31.3%1.4%123.1K-9.4M-64.9K0.2590.57N/AN/A28714,40511,742
2014-09-10$16.32$15.0043.9%24.0%30.0%19.0%0.0%20.8%3.5%104.2K-10.0M-64.8K43.6169.42N/AN/A642,79114,43311,749
2014-09-11$16.39$15.0060.6%24.1%29.8%45.2%0.0%6.5%8.5%131.2K-9.1M-72.6K0.6695.47N/AN/A20013214,47314,474
2014-09-12$16.14$15.0059.0%24.1%29.9%42.7%0.0%7.6%5.3%125.5K-8.8M-72.1K0.4044.98N/AN/A1445714,63414,564
2014-09-15$15.57$15.0060.4%25.6%32.8%44.9%89.9%-0.1%12.8%81.8K-8.1M-70.3K0.3741.73N/AN/A2278314,71114,618
2014-09-16$15.60$15.0060.9%24.9%32.0%45.7%91.7%9.1%2.9%76.9K-7.3M-71.6K0.5854.68N/AN/A32518914,92114,629
2014-09-17$15.99$15.0055.7%25.0%32.9%37.5%82.2%11.9%3.0%125.4K-8.4M-71.3K0.4049.60N/AN/A48919415,16414,794
2014-09-18$16.39$15.0057.4%24.5%32.9%40.2%0.0%10.5%11.4%149.4K-9.3M-71.3K0.4847.58N/AN/A64130515,26714,876
2014-09-19$16.02$15.0049.7%25.4%33.7%28.0%86.5%4.0%10.1%127.8K-9.3M-70.4K0.2373.84N/AN/A73716715,21214,882
2014-09-22$15.56$15.0048.5%25.9%35.3%26.2%84.6%19.0%10.9%52.5K-7.6M-69.3K0.3474.72N/AN/A71424114,10712,684
2014-09-23$15.10$15.0056.3%26.3%36.4%38.4%95.1%8.8%7.5%44.5K-6.4M-70.0K0.7853.58N/AN/A1,18192314,60112,890
2014-09-24$15.97$15.0053.0%25.8%39.2%33.3%96.8%16.3%9.1%49.4K-7.6M-75.0K0.3358.30N/AN/A3,4091,10815,37613,753
2014-09-25$16.36$15.0047.2%26.1%39.8%24.1%92.1%7.1%11.0%182.9K-12.7M-82.4K0.9442.30N/AN/A21620418,47014,850
2014-09-26$15.84$15.0044.6%27.1%41.6%20.0%0.0%9.4%15.5%189.7K-12.2M-81.8K0.6555.72N/AN/A23415318,61514,958
2014-09-29$16.07$15.0061.5%25.3%41.3%46.7%77.5%18.0%-21.7%159.1K-11.5M-81.8K0.3778.19N/AN/A38114218,56615,031
2014-09-30$15.67$15.0044.3%25.9%42.1%19.6%88.7%17.2%3.2%142.0K-10.5M-80.3K0.0277.97N/AN/A376918,48915,165