NBIX Options History — March 2010

In March 2010, NBIX traded between $2.30 and $2.74. ATM implied volatility averaged 73.5%, placing in the 24.5% IV rank vs the trailing year. The 30-day expected move averaged 20.4%. IV traded above realized volatility by 13.4% (HV 20d: 60.1%). Max pain ranged from $2.50 to $2.50. Net GEX was positive for 23 of 23 trading days. Term structure was in contango for 10 of 23 days. Put/call ratio averaged 0.38.

Notable Days

  • 2010-03-17: Highest Volume — 444 contracts
  • 2010-03-29: Largest IV spike — 48.3% change
  • 2010-03-18: Highest IV Rank — 41.1%
  • 2010-03-18: Largest Expected Move — 26.9%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$2.57$2.30$2.74$2.55$2.55
Max Pain$2.50$2.50$2.50$2.50$2.50
ATM IV73.5%48.8%93.7%48.8%89.9%
Expected Move20.4%13.2%26.9%14.0%25.8%
HV 20d60.1%55.9%66.8%56.4%61.6%
HV 60d62.5%57.1%66.1%63.7%58.6%
IV Rank24.5%4.3%41.1%4.3%38.0%
IV Percentile45.0%3.6%81.3%3.6%76.6%
Term Structure-3.2%-26.3%22.6%1.8%-20.3%
VWIV73.9%57.3%88.6%57.3%88.6%
Bid-Ask Spread %57.7032.2991.3688.8758.46
Gamma HHI0.630.480.730.540.66
Net GEX2.1K6093.5K6092.8K
Net DEX-140.5K-242.9K-41.3K-44.3K-170.6K
Net VEX-843-1.1K-499-499-1.1K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.380.005.100.000.79
Total Volume86.17404445750
Total OI1,980.2171,2572,6551,2572,655

Daily Data (23 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2010-03-01$2.55$2.5048.8%14.0%56.4%4.3%0.0%0.0%1.8%609-44.3K-4990.0088.87N/AN/A570955302
2010-03-02$2.56$2.5061.3%17.6%56.1%14.5%0.0%0.0%-11.9%706-51.0K-5260.0090.84N/AN/A001,012302
2010-03-03$2.63$2.5055.4%15.9%55.9%9.7%0.0%0.0%6.8%861-69.6K-5890.1055.57N/AN/A97101,012302
2010-03-04$2.60$2.5058.0%16.6%56.1%11.8%0.0%0.0%12.0%1.3K-79.6K-6160.0091.36N/AN/A1001,105292
2010-03-05$2.30$2.5061.1%15.7%66.7%14.3%57.3%0.0%9.3%1.1K-41.3K-5050.2932.29N/AN/A245721,115292
2010-03-08$2.34$2.5069.1%13.2%66.8%20.9%0.0%0.0%22.6%1.3K-56.4K-6420.0077.45N/AN/A401,264364
2010-03-09$2.36$2.5064.8%14.6%60.6%17.4%0.0%0.0%12.6%1.3K-54.1K-6280.0074.73N/AN/A401,268364
2010-03-10$2.38$2.5076.3%19.0%60.7%26.8%66.5%0.0%-0.5%1.2K-63.9K-6500.0133.96N/AN/A38621,272364
2010-03-11$2.48$2.5075.2%21.6%61.0%25.9%75.2%0.0%-9.7%1.7K-115.5K-8880.0042.59N/AN/A501,582366
2010-03-12$2.50$2.5071.7%20.5%60.0%23.0%72.3%0.0%-12.1%1.9K-127.3K-8870.0041.00N/AN/A1301,586366
2010-03-15$2.41$2.5080.3%23.0%61.3%30.1%80.5%0.0%-12.5%1.7K-118.4K-8800.1142.47N/AN/A4551,589366
2010-03-16$2.46$2.5076.9%22.0%58.3%27.3%76.9%0.0%-5.9%1.9K-123.2K-8910.0038.74N/AN/A1101,634371
2010-03-17$2.58$2.5088.6%25.4%60.9%36.9%88.6%0.0%1.5%2.0K-154.3K-9370.0137.91N/AN/A44041,645371
2010-03-18$2.69$2.5093.7%26.9%62.4%41.1%0.0%0.0%-9.0%2.9K-219.4K-1.0K0.0744.84N/AN/A5541,881375
2010-03-19$2.72$2.5088.8%25.5%61.3%37.1%0.0%0.0%-9.6%3.2K-214.2K-9820.0043.37N/AN/A001,870371
2010-03-22$2.73$2.5068.6%19.7%61.3%20.5%0.0%0.0%13.3%3.3K-242.9K-9850.0046.58N/AN/A021,870366
2010-03-23$2.70$2.5071.4%20.5%61.4%22.8%0.0%0.0%7.2%3.5K-226.0K-9530.2445.22N/AN/A2151,870368
2010-03-24$2.74$2.5070.2%20.1%61.3%21.8%0.0%0.0%-16.9%3.4K-231.9K-9705.1072.09N/AN/A492501,885373
2010-03-25$2.67$2.5092.7%26.6%58.5%40.3%0.0%0.0%-26.3%2.6K-200.2K-1.1K0.0060.25N/AN/A001,910623
2010-03-26$2.70$2.5062.0%17.8%58.5%15.1%0.0%0.0%1.2%3.2K-212.4K-1.1K0.0075.08N/AN/A801,910623
2010-03-29$2.70$2.5092.0%26.4%57.6%39.7%0.0%0.0%-23.3%2.8K-189.7K-1.0K0.1058.41N/AN/A6061,918623
2010-03-30$2.72$2.5073.5%21.1%57.6%24.5%0.0%0.0%-2.9%3.0K-226.1K-1.1K0.4875.08N/AN/A42201,970623
2010-03-31$2.55$2.5089.9%25.8%61.6%38.0%0.0%0.0%-20.3%2.8K-170.6K-1.1K0.7958.46N/AN/A28222,012643