NBIX Options History — March 2012

In March 2012, NBIX traded between $7.33 and $9.06. ATM implied volatility averaged 70.8%, placing in the 65.6% IV rank vs the trailing year. The 30-day expected move averaged 22.0%. IV traded above realized volatility by 21.8% (HV 20d: 49.0%). Max pain ranged from $8.00 to $8.00. Net GEX was positive for 22 of 22 trading days. Term structure was in contango for 2 of 22 days. Put/call ratio averaged 0.34.

Notable Days

  • 2012-03-27: Highest Volume — 24,832 contracts
  • 2012-03-15: Largest IV spike — 103.7% change
  • 2012-03-15: Highest IV Rank — 100.0%
  • 2012-03-15: Largest Expected Move — 29.1%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$8.22$7.33$9.06$7.95$7.97
Max Pain$8.00$8.00$8.00$8.00$8.00
ATM IV70.8%49.8%101.5%52.4%52.7%
Expected Move22.0%15.0%29.1%15.0%15.1%
HV 20d49.0%41.1%72.9%42.8%72.9%
HV 60d44.5%39.6%54.0%39.6%54.0%
IV Rank65.6%38.9%100.0%46.0%39.1%
IV Percentile88.1%61.5%100.0%71.8%69.4%
Term Structure-7.1%-18.8%18.7%18.7%-5.1%
VWIV78.1%51.7%110.0%53.9%52.0%
Skew 25d4.9%-24.2%24.3%-19.4%7.4%
Skew 10d25.3%-17.7%69.8%-17.7%6.6%
Call IV 25d75.1%39.0%94.6%62.6%52.0%
Put IV 25d80.0%41.0%115.4%43.2%59.4%
Bid-Ask Spread %51.0523.17101.5197.0023.17
Gamma HHI0.390.350.530.430.37
Net GEX89.8K13.0K172.1K79.3K169.3K
Net DEX-2.8M-4.8M-747.0K-1.8M-3.8M
Net VEX-14.8K-23.2K-7.0K-7.7K-21.1K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.340.001.640.080.09
Total Volume2,422.7738524,83285561
Total OI15,652.2277,24425,4267,24419,817

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2012-03-01$7.95$8.0052.4%15.0%42.8%46.0%53.9%-19.4%18.7%79.3K-1.8M-7.7K0.0897.00N/AN/A7966,658586
2012-03-02$7.76$8.0059.2%17.0%42.1%56.1%59.7%-24.2%12.8%72.0K-1.7M-7.5K0.09101.51N/AN/A760666,680592
2012-03-05$7.80$8.0054.1%21.2%41.8%48.5%72.8%-3.7%-11.3%79.8K-1.6M-7.5K0.0885.88N/AN/A128107,270656
2012-03-06$7.33$8.0062.3%22.4%44.3%60.7%77.8%-7.5%-15.2%62.7K-1.3M-7.0K0.1585.22N/AN/A227357,369666
2012-03-07$7.74$8.0067.8%22.0%50.4%68.8%83.1%-5.1%-6.5%75.7K-1.7M-7.7K0.0991.97N/AN/A110107,574699
2012-03-08$7.87$8.0059.6%22.2%51.3%56.7%76.7%-1.3%-4.7%89.0K-2.0M-8.1K0.8341.65N/AN/A66557,644709
2012-03-09$7.99$8.0058.1%21.0%41.5%54.5%74.2%-0.1%-4.1%96.4K-2.1M-8.3K1.0043.27N/AN/A1131137,685764
2012-03-12$8.09$8.0058.7%21.3%41.7%55.4%73.5%3.1%-8.0%103.5K-2.1M-8.0K0.3645.92N/AN/A73267,759877
2012-03-13$7.99$8.0055.9%21.0%41.1%51.3%79.5%-5.4%-4.0%97.5K-2.0M-7.8K0.0055.31N/AN/A23707,821893
2012-03-14$8.16$8.0049.8%21.0%41.7%42.2%74.9%-1.6%-4.2%111.3K-2.2M-7.9K0.1246.33N/AN/A173208,022893
2012-03-15$8.50$8.00101.5%29.1%44.2%100.0%110.0%22.0%-18.8%119.9K-2.9M-8.4K1.6436.95N/AN/A6,40010,5098,125913
2012-03-16$8.51$8.0098.4%28.2%43.7%96.2%98.3%10.6%-14.9%108.4K-3.4M-22.3K0.0641.77N/AN/A1,4318913,44211,169
2012-03-19$8.89$8.0093.4%26.8%44.7%89.9%93.0%17.2%-13.6%51.5K-3.9M-22.0K0.3253.55N/AN/A1,14736311,58011,117
2012-03-20$8.74$8.0097.9%28.1%45.0%95.5%97.8%13.3%-17.7%49.1K-3.6M-22.9K0.1133.57N/AN/A8559712,20511,383
2012-03-21$9.06$8.0094.2%27.0%42.7%91.0%94.1%18.7%-13.0%67.0K-4.6M-23.2K0.1140.24N/AN/A6747312,74811,466
2012-03-22$8.83$8.0094.3%27.1%44.1%91.1%93.8%15.8%-11.0%65.4K-4.1M-23.0K0.1342.19N/AN/A3324413,10011,530
2012-03-23$9.01$8.0094.1%27.0%44.3%90.8%91.8%15.3%-14.2%79.6K-4.8M-22.4K0.0625.20N/AN/A9805413,23911,555
2012-03-26$8.99$8.0094.2%27.0%44.1%90.9%95.9%14.2%-14.7%82.1K-4.7M-21.8K1.0744.13N/AN/A25627413,47611,608
2012-03-27$7.78$8.0053.8%15.4%69.1%40.5%57.2%24.3%-3.1%13.0K-747.0K-19.1K0.7628.05N/AN/A14,07610,75613,59311,833
2012-03-28$8.14$8.0052.6%15.1%70.9%39.1%51.7%9.2%-2.1%172.1K-4.2M-21.9K0.3927.78N/AN/A56521816,2663,735
2012-03-29$7.77$8.0052.5%15.1%72.8%38.9%56.2%6.0%-0.8%130.5K-2.8M-19.0K0.0032.55N/AN/A1,235515,2503,382
2012-03-30$7.97$8.0052.7%15.1%72.9%39.1%52.0%7.4%-5.1%169.3K-3.8M-21.1K0.0923.17N/AN/A5144716,4363,381