NBIX Options History — March 2009

In March 2009, NBIX traded between $3.04 and $3.98. ATM implied volatility averaged 85.4%, placing in the 34.3% IV rank vs the trailing year. The 30-day expected move averaged 24.8%. IV traded below realized volatility by 21.0% (HV 20d: 106.3%). Max pain ranged from $2.50 to $5.00. Net GEX was positive for 22 of 22 trading days. Term structure was in contango for 18 of 22 days. Put/call ratio averaged 0.26.

Notable Days

  • 2009-03-23: Highest Volume — 522 contracts
  • 2009-03-23: Largest IV spike — 75.5% change
  • 2009-03-23: Highest IV Rank — 48.0%
  • 2009-03-23: Largest Expected Move — 30.9%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$3.55$3.04$3.98$3.04$3.55
Max Pain$3.98$2.50$5.00$5.00$5.00
ATM IV85.4%61.4%107.8%93.9%83.1%
Expected Move24.8%17.6%30.9%26.9%23.8%
HV 20d106.3%86.5%128.7%91.4%115.7%
HV 60d104.3%99.3%111.0%105.7%100.2%
IV Rank34.3%19.7%48.0%39.5%33.0%
IV Percentile56.5%23.8%81.0%71.4%53.6%
Term Structure11.6%-21.5%39.2%21.1%27.3%
VWIV83.7%66.9%107.8%66.9%77.6%
Skew 25d-7.1%-66.8%32.1%32.1%-66.8%
Skew 10d-6.3%-80.1%42.2%42.2%-80.1%
Call IV 25d92.2%64.5%149.9%67.8%149.9%
Put IV 25d85.0%49.6%117.7%99.9%83.2%
Bid-Ask Spread %16.795.9934.9611.0510.99
Gamma HHI0.280.210.410.230.33
Net GEX2.5K1.2K3.8K1.6K2.9K
Net DEX-38.6K-154.4K41.3K41.3K-71.2K
Net VEX-3.3K-3.8K-2.8K-2.8K-3.2K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.260.002.000.050.00
Total Volume66.86405225827
Total OI5,502.4555,0085,6365,3885,469

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2009-03-02$3.04$5.0093.9%26.9%91.4%39.5%0.0%32.1%21.1%1.6K41.3K-2.8K0.0511.05N/AN/A5534,0871,301
2009-03-03$3.17$5.00103.1%29.5%88.2%45.1%0.0%29.3%12.5%2.0K29.2K-2.9K0.1611.96N/AN/A70114,1261,304
2009-03-04$3.33$5.0071.6%20.5%90.0%25.9%66.9%7.2%30.2%1.3K22.0K-3.0K0.736.55N/AN/A55404,1461,315
2009-03-05$3.25$5.0082.0%23.5%89.3%32.3%0.0%-0.4%15.4%1.8K19.9K-3.1K0.0012.63N/AN/A3404,1911,345
2009-03-06$3.21$2.5081.2%27.4%86.5%31.8%0.0%29.3%4.9%1.7K23.5K-2.9K0.0029.74N/AN/A004,1911,345
2009-03-09$3.22$2.5089.7%30.8%86.6%37.0%0.0%-2.4%9.6%1.2K34.4K-2.8K0.0019.31N/AN/A2304,1911,345
2009-03-10$3.51$2.5091.8%26.0%92.1%38.2%0.0%10.4%20.5%2.0K-6.5K-3.2K0.0034.96N/AN/A2004,2141,345
2009-03-11$3.28$2.5089.7%23.9%91.5%37.0%0.0%6.4%21.7%1.8K9.2K-3.1K0.0023.47N/AN/A5404,2141,343
2009-03-12$3.81$2.5085.2%24.4%106.0%34.2%0.0%25.9%3.4%2.6K-57.7K-3.6K2.0022.08N/AN/A14284,2681,343
2009-03-13$3.83$2.5083.4%23.9%105.1%33.1%0.0%-15.7%5.8%2.7K-69.5K-3.7K0.0021.21N/AN/A1404,2711,335
2009-03-16$3.54$2.5062.2%17.8%108.4%20.2%0.0%-28.9%39.2%2.3K-36.7K-3.4K1.256.82N/AN/A8104,2811,335
2009-03-17$3.98$2.5087.8%25.2%115.8%35.8%0.0%-8.5%-2.0%3.0K-79.6K-3.8K0.0025.04N/AN/A2304,2871,325
2009-03-18$3.92$2.5083.9%24.1%115.7%33.4%82.6%-7.8%3.5%2.8K-63.9K-3.6K0.2024.69N/AN/A1024,2981,325
2009-03-19$3.80$5.0087.3%25.0%113.9%35.5%0.0%-30.7%7.1%2.7K-57.6K-3.5K0.065.99N/AN/A1814,3081,327
2009-03-20$3.45$5.0061.4%17.6%119.4%19.7%0.0%-51.8%28.2%2.1K-7.5K-3.1K0.026.28N/AN/A21354,3081,328
2009-03-23$3.95$5.00107.8%30.9%128.7%48.0%107.8%-18.9%-21.5%3.8K-154.4K-3.8K0.0217.52N/AN/A51483,8271,181
2009-03-24$3.78$5.00103.7%29.7%121.9%45.5%0.0%-54.2%-9.5%3.5K-145.5K-3.7K0.4024.25N/AN/A25104,2471,175
2009-03-25$3.97$5.0095.0%27.2%115.2%40.2%0.0%14.5%-7.2%3.8K-145.2K-3.8K0.0023.92N/AN/A4104,2271,185
2009-03-26$3.59$5.0076.3%21.9%121.3%28.8%77.6%-31.8%10.2%3.6K-61.1K-3.2K0.277.82N/AN/A74204,2681,185
2009-03-27$3.51$5.0079.0%22.6%120.1%30.4%0.0%2.5%16.0%3.2K-41.4K-3.1K0.0012.10N/AN/A4104,2881,191
2009-03-30$3.50$5.0079.0%22.7%116.4%30.5%0.0%3.2%19.8%3.0K-30.5K-3.0K0.0011.01N/AN/A004,2781,191
2009-03-31$3.55$5.0083.1%23.8%115.7%33.0%0.0%-66.8%27.3%2.9K-71.2K-3.2K0.0010.99N/AN/A2704,2781,191