NBIX Options History — March 2011

In March 2011, NBIX traded between $6.47 and $7.59. ATM implied volatility averaged 49.1%, placing in the 10.0% IV rank vs the trailing year. The 30-day expected move averaged 14.3%. IV traded below realized volatility by 5.5% (HV 20d: 54.6%). Max pain ranged from $7.00 to $7.00. Net GEX was positive for 23 of 23 trading days. Term structure was in contango for 21 of 23 days. Put/call ratio averaged 0.25.

Notable Days

  • 2011-03-28: Highest Volume — 440 contracts
  • 2011-03-03: Largest IV spike — 35.9% change
  • 2011-03-16: Highest IV Rank — 20.7%
  • 2011-03-16: Largest Expected Move — 19.6%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$6.84$6.47$7.59$6.56$7.59
Max Pain$7.00$7.00$7.00$7.00$7.00
ATM IV49.1%36.2%68.3%41.7%47.2%
Expected Move14.3%10.4%19.6%12.0%13.5%
HV 20d54.6%46.8%59.0%47.7%47.6%
HV 60d43.3%39.4%46.1%39.5%44.4%
IV Rank10.0%2.9%20.7%5.9%9.0%
IV Percentile15.9%1.2%64.7%2.4%9.1%
Term Structure5.5%-3.8%26.0%26.0%-3.8%
VWIV48.7%32.6%63.6%50.0%32.6%
Skew 25d12.2%-18.3%37.2%14.3%-18.3%
Skew 10d20.4%-19.0%68.9%25.7%-11.2%
Call IV 25d40.0%27.7%56.2%34.1%49.6%
Put IV 25d52.2%31.2%69.2%48.3%31.2%
Bid-Ask Spread %79.5061.93107.15107.1597.69
Gamma HHI0.500.410.680.680.57
Net GEX33.7K22.5K66.2K22.5K66.2K
Net DEX-798.7K-1.6M-511.6K-576.6K-1.6M
Net VEX-5.1K-6.1K-4.1K-4.9K-6.1K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.250.001.360.030.29
Total Volume136.391144016445
Total OI6,076.7395,1876,7915,1876,791

Daily Data (23 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2011-03-01$6.56$7.0041.7%12.0%47.7%5.9%0.0%14.3%26.0%22.5K-576.6K-4.9K0.03107.15N/AN/A16044,349838
2011-03-02$6.57$7.0039.3%11.3%46.8%4.6%0.0%9.9%23.4%24.3K-618.2K-4.9K0.01106.46N/AN/A33644,509842
2011-03-03$7.00$7.0053.4%15.3%52.7%12.4%0.0%15.7%1.8%30.0K-927.4K-5.7K0.0097.25N/AN/A34104,715846
2011-03-04$6.94$7.0053.0%16.1%52.5%12.2%50.0%12.8%4.5%30.4K-936.0K-5.7K0.0764.28N/AN/A1414,987846
2011-03-07$6.69$7.0054.6%16.6%53.7%13.1%0.0%1.6%2.9%27.2K-744.2K-5.3K1.3666.97N/AN/A771054,990847
2011-03-08$7.02$7.0045.9%16.4%56.9%8.3%0.0%31.6%3.4%30.0K-860.9K-5.5K0.0072.29N/AN/A1905,051947
2011-03-09$7.10$7.0049.7%15.4%57.1%10.3%0.0%37.2%6.7%32.6K-1.0M-5.8K0.0474.55N/AN/A13055,036947
2011-03-10$6.87$7.0050.7%14.5%58.1%10.9%0.0%20.0%4.8%32.9K-819.0K-5.3K0.0364.63N/AN/A23685,150946
2011-03-11$6.84$7.0051.6%14.8%58.0%11.4%0.0%13.5%3.2%34.4K-843.3K-5.4K0.0073.09N/AN/A1605,342950
2011-03-14$6.55$7.0055.1%15.8%53.4%13.3%63.6%24.3%2.6%28.8K-631.8K-4.8K0.2062.08N/AN/A54115,342950
2011-03-15$6.80$7.0058.9%16.9%55.5%15.4%0.0%26.3%0.2%32.4K-721.9K-4.9K0.0064.11N/AN/A105,383961
2011-03-16$6.47$7.0068.3%19.6%57.6%20.7%58.1%25.9%-3.3%27.7K-629.9K-4.9K0.0061.93N/AN/A805,383961
2011-03-17$6.56$7.0053.9%15.5%58.1%12.7%61.4%16.7%2.0%27.7K-560.2K-4.6K0.3263.31N/AN/A38125,387961
2011-03-18$6.69$7.0055.0%15.8%58.8%13.3%52.9%16.6%2.5%31.0K-572.8K-4.6K0.8366.54N/AN/A12105,389973
2011-03-21$6.76$7.0045.7%13.1%59.0%8.1%45.7%-0.9%4.2%30.0K-671.1K-4.5K0.9070.79N/AN/A67604,915852
2011-03-22$6.58$7.0047.8%13.7%58.2%9.3%45.4%12.7%2.8%27.4K-577.4K-4.5K0.2268.51N/AN/A77174,977912
2011-03-23$6.62$7.0041.4%11.9%58.2%5.7%53.9%8.2%8.1%26.1K-511.6K-4.3K0.4465.70N/AN/A1674,968929
2011-03-24$6.69$7.0042.9%12.3%58.4%6.6%44.3%10.4%4.5%27.0K-521.7K-4.1K0.7084.80N/AN/A1711204,978935
2011-03-25$6.79$7.0036.2%10.4%57.8%2.9%36.0%-9.6%13.2%35.6K-650.7K-4.5K0.0199.31N/AN/A17325,144943
2011-03-28$6.82$7.0045.9%13.2%48.0%8.2%45.9%-12.7%5.5%38.9K-744.1K-4.8K0.0099.63N/AN/A44005,312944
2011-03-29$7.23$7.0049.9%14.3%50.8%10.5%50.0%12.1%0.5%51.3K-1.1M-5.3K0.0996.20N/AN/A151145,673944
2011-03-30$7.50$7.0041.5%11.9%52.0%5.8%41.7%11.8%11.0%60.9K-1.5M-6.0K0.14101.31N/AN/A153225,783937
2011-03-31$7.59$7.0047.2%13.5%47.6%9.0%32.6%-18.3%-3.8%66.2K-1.6M-6.1K0.2997.69N/AN/A35105,856935