NBIX Options History — March 2007

In March 2007, NBIX traded between $10.87 and $12.85. ATM implied volatility averaged 51.2%. The 30-day expected move averaged 15.4%. IV traded above realized volatility by 7.1% (HV 20d: 44.1%). Max pain ranged from $10.00 to $12.50. Net GEX was positive for 22 of 22 trading days. Term structure was in contango for 19 of 22 days. Put/call ratio averaged 0.48.

Notable Days

  • 2007-03-05: Highest Volume — 9,869 contracts
  • 2007-03-02: Largest IV spike — 22.5% change
  • 2007-03-05: Largest Expected Move — 17.9%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$11.54$10.87$12.85$12.04$12.50
Max Pain$12.39$10.00$12.50$12.50$12.50
ATM IV51.2%39.9%59.7%42.8%41.9%
Expected Move15.4%12.0%17.9%12.3%12.0%
HV 20d44.1%35.0%64.7%41.7%57.0%
HV 60d49.4%45.6%53.8%48.9%52.2%
Term Structure4.8%-0.9%14.5%12.2%14.0%
VWIV53.2%41.9%60.2%48.2%41.9%
Skew 25d-1.0%-15.9%5.9%-0.5%-9.6%
Skew 10d-4.2%-24.9%56.0%2.1%-15.1%
Call IV 25d54.4%40.1%61.4%40.1%48.9%
Put IV 25d53.4%34.9%62.4%39.5%39.3%
Bid-Ask Spread %10.395.6816.307.377.03
Gamma HHI0.190.160.230.230.20
Net GEX111.9K77.0K162.4K113.9K161.3K
Net DEX-9.8M-16.5M-6.5M-11.1M-12.3M
Net VEX-161.3K-198.5K-135.9K-147.9K-183.3K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.480.002.040.290.34
Total Volume1,967.4093419,869449665
Total OI56,473.22751,76465,14951,76462,000

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2007-03-01$12.04$12.5042.8%12.3%41.7%0.0%48.2%-0.5%12.2%113.9K-11.1M-147.9K0.297.37N/AN/A34710236,68615,078
2007-03-02$11.28$12.5052.4%15.0%43.6%0.0%52.0%1.0%4.7%98.9K-8.5M-141.3K0.497.07N/AN/A76437436,77715,066
2007-03-05$10.94$12.5053.4%17.9%35.0%0.0%57.4%-1.7%2.1%91.0K-7.2M-135.9K0.0613.09N/AN/A9,28958037,08315,344
2007-03-06$11.34$12.5055.5%16.6%38.4%0.0%55.3%2.0%3.1%137.7K-14.6M-177.4K0.6511.68N/AN/A38625045,43215,564
2007-03-07$11.36$12.5056.1%15.2%37.1%0.0%53.0%1.1%5.3%105.0K-8.6M-149.3K2.0414.40N/AN/A45192037,83915,348
2007-03-08$11.29$12.5047.7%15.4%36.1%0.0%53.6%1.4%5.9%98.7K-7.9M-151.2K0.2616.30N/AN/A1,44038037,91815,995
2007-03-09$11.44$12.5046.1%14.2%36.9%0.0%52.4%4.5%9.2%104.2K-8.4M-153.6K0.2014.62N/AN/A4659338,70816,152
2007-03-12$11.38$12.5039.9%15.4%36.6%0.0%54.0%2.2%5.1%100.7K-8.2M-151.0K1.1014.85N/AN/A40244137,99316,083
2007-03-13$11.05$12.5044.6%17.1%37.4%0.0%60.2%-2.6%-0.6%92.0K-7.0M-149.6K0.0014.71N/AN/A885038,25016,496
2007-03-14$10.87$12.5049.3%16.4%37.4%0.0%57.3%-1.0%0.4%84.2K-6.5M-143.8K1.129.31N/AN/A1,3221,48038,59116,412
2007-03-15$11.03$12.5056.4%16.2%36.8%0.0%54.9%0.5%1.0%77.3K-7.3M-150.4K0.536.79N/AN/A26113938,44117,268
2007-03-16$10.98$12.5056.7%16.3%36.0%0.0%56.6%1.0%-0.9%77.0K-7.5M-149.6K0.246.62N/AN/A2746738,45717,066
2007-03-19$11.00$12.5059.7%17.1%36.2%0.0%54.5%5.9%-0.3%79.3K-7.8M-152.6K0.128.55N/AN/A82610036,18316,730
2007-03-20$11.02$12.5057.4%16.4%35.5%0.0%54.3%2.9%0.0%82.7K-7.5M-149.0K0.169.65N/AN/A3,21951636,61916,827
2007-03-21$11.07$12.5055.3%15.9%35.8%0.0%55.2%1.4%3.2%95.8K-8.5M-160.2K0.097.91N/AN/A6936239,41117,026
2007-03-22$11.30$12.5049.6%14.2%37.1%0.0%48.7%5.2%6.0%104.2K-9.4M-162.9K0.908.84N/AN/A58152539,64417,045
2007-03-23$12.85$12.5057.5%16.5%60.9%0.0%58.6%2.4%0.6%157.7K-16.5M-184.7K0.2713.79N/AN/A3,35691239,86417,524
2007-03-26$12.13$10.0051.6%14.8%64.1%0.0%50.7%4.2%9.4%162.4K-13.6M-180.4K0.8612.61N/AN/A3,2552,81541,54118,196
2007-03-27$12.37$12.5055.8%16.0%64.7%0.0%56.2%-15.9%3.8%148.6K-13.9M-194.4K0.0211.35N/AN/A2,7945342,37420,697
2007-03-28$12.39$12.5052.0%14.9%64.0%0.0%52.0%-10.8%5.9%137.3K-11.8M-198.5K0.065.68N/AN/A7084141,90923,240
2007-03-29$12.26$12.5043.8%12.6%61.9%0.0%44.2%-15.5%14.5%151.0K-11.1M-182.1K0.806.45N/AN/A58346740,77420,760
2007-03-30$12.50$12.5041.9%12.0%57.0%0.0%41.9%-9.6%14.0%161.3K-12.3M-183.3K0.347.03N/AN/A49517040,92721,073