NBIX Options History — March 2008

In March 2008, NBIX traded between $4.93 and $5.70. ATM implied volatility averaged 85.7%, placing in the 19.4% IV rank vs the trailing year. The 30-day expected move averaged 24.8%. IV traded above realized volatility by 52.6% (HV 20d: 33.1%). Max pain ranged from $5.00 to $5.00. Net GEX was positive for 20 of 20 trading days. Term structure was in contango for 16 of 20 days. Put/call ratio averaged 0.16.

Notable Days

  • 2008-03-11: Highest Volume — 1,179 contracts
  • 2008-03-10: Largest IV spike — 31.7% change
  • 2008-03-18: Highest IV Rank — 23.8%
  • 2008-03-18: Largest Expected Move — 28.4%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$5.19$4.93$5.70$5.05$5.40
Max Pain$5.00$5.00$5.00$5.00$5.00
ATM IV85.7%73.6%99.1%87.6%89.1%
Expected Move24.8%21.4%28.4%25.1%25.6%
HV 20d33.1%23.2%41.6%39.9%41.6%
HV 60d80.3%44.1%145.7%145.6%45.6%
IV Rank19.4%15.5%23.8%20.0%20.5%
IV Percentile79.9%71.4%89.7%81.7%81.0%
Term Structure4.7%-8.8%15.1%3.9%6.5%
VWIV92.0%74.7%119.3%79.6%119.3%
Skew 25d-15.0%-25.7%-5.0%-14.6%-12.6%
Skew 10d-14.4%-30.6%16.5%-29.1%-5.0%
Call IV 25d106.4%88.9%114.7%113.6%114.1%
Put IV 25d91.3%82.8%102.6%99.0%101.5%
Bid-Ask Spread %24.1617.0434.1531.0130.72
Gamma HHI0.290.200.620.200.31
Net GEX27.7K15.7K72.3K19.8K21.2K
Net DEX-385.8K-862.2K2.8K-148.0K-507.4K
Net VEX-30.9K-33.4K-28.6K-29.7K-31.6K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.160.000.800.020.12
Total Volume490691,1791,081244
Total OI29,836.328,02531,32228,85729,530

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2008-03-03$5.05$5.0087.6%25.1%39.9%20.0%79.6%-14.6%3.9%19.8K-148.0K-29.7K0.0231.01N/AN/A1,0612019,4839,374
2008-03-04$5.10$5.0083.4%23.9%39.9%18.7%77.3%-16.5%-1.9%21.7K-226.2K-30.0K0.4128.63N/AN/A1476019,6409,394
2008-03-05$5.06$5.0080.8%23.2%33.1%17.8%80.8%-9.3%8.7%23.2K-301.8K-30.5K0.0117.04N/AN/A7341019,7039,433
2008-03-06$5.01$5.0074.7%21.4%33.0%15.9%74.7%-18.8%15.1%26.2K-362.1K-30.7K0.0317.27N/AN/A4381220,1609,440
2008-03-07$5.02$5.0073.6%24.7%26.6%15.5%86.0%-18.3%4.6%25.6K-305.0K-31.6K0.4523.22N/AN/A1788020,2539,452
2008-03-10$4.97$5.0097.0%25.7%23.6%23.1%88.4%-5.2%6.1%21.3K-116.9K-29.8K0.0420.88N/AN/A5382420,2739,532
2008-03-11$5.00$5.0078.8%23.8%23.7%17.2%84.9%-5.0%11.0%25.6K-196.7K-30.2K0.0617.73N/AN/A1,1116820,3699,515
2008-03-12$5.00$5.0075.8%24.6%23.2%16.2%103.3%-15.2%8.2%23.3K-281.8K-30.3K0.1620.34N/AN/A4737420,6709,571
2008-03-13$5.16$5.0089.0%25.5%25.5%20.5%98.4%-16.3%6.5%26.2K-588.9K-32.4K0.1028.47N/AN/A5104921,1059,605
2008-03-14$5.10$5.0089.1%25.5%25.6%20.5%89.9%-18.2%10.5%28.7K-728.9K-32.8K0.1227.52N/AN/A1692121,4219,646
2008-03-17$4.93$5.0092.7%26.6%28.4%21.7%92.1%-13.9%1.1%28.5K-189.6K-29.6K0.1031.71N/AN/A83821,4689,667
2008-03-18$5.21$5.0099.1%28.4%33.4%23.8%99.9%-10.4%-8.8%32.4K-568.9K-30.7K0.0034.15N/AN/A69021,4869,670
2008-03-19$5.11$5.0084.2%24.1%33.1%18.9%84.0%-23.5%9.0%48.5K-480.4K-29.7K0.1222.38N/AN/A3634421,4959,670
2008-03-20$5.00$5.0083.3%23.9%34.1%18.6%83.5%-20.9%3.6%72.3K-49.1K-28.6K0.0624.67N/AN/A5242921,6269,696
2008-03-24$5.25$5.0081.5%23.4%36.8%18.0%96.8%-23.8%3.9%15.7K2.8K-29.7K0.0720.44N/AN/A6735018,9109,115
2008-03-25$5.48$5.0085.2%24.4%39.3%19.2%91.0%-6.5%0.7%20.2K-349.4K-30.8K0.4027.12N/AN/A30912519,4349,165
2008-03-26$5.65$5.0092.8%26.6%40.2%21.7%100.0%-14.8%-1.7%23.4K-679.1K-32.3K0.8018.22N/AN/A19815819,7109,290
2008-03-27$5.70$5.0091.9%26.4%39.7%21.4%93.7%-11.1%-3.8%25.3K-862.2K-33.4K0.0522.73N/AN/A7423519,8379,339
2008-03-28$5.53$5.0084.0%24.1%40.4%18.9%116.5%-25.7%10.5%23.9K-775.7K-32.8K0.0618.87N/AN/A3482120,2249,355
2008-03-31$5.40$5.0089.1%25.6%41.6%20.5%119.3%-12.6%6.5%21.2K-507.4K-31.6K0.1230.72N/AN/A2182620,1789,352