NBIX Options History — March 2013

In March 2013, NBIX traded between $10.89 and $12.16. ATM implied volatility averaged 41.1%, placing in the 17.5% IV rank vs the trailing year. The 30-day expected move averaged 13.0%. IV traded above realized volatility by 4.5% (HV 20d: 36.6%). Max pain ranged from $9.00 to $10.00. Net GEX was positive for 20 of 20 trading days. Term structure was in contango for 20 of 20 days. Put/call ratio averaged 0.32.

Notable Days

  • 2013-03-15: Highest Volume — 1,213 contracts
  • 2013-03-11: Largest IV spike — 40.1% change
  • 2013-03-19: Highest IV Rank — 26.8%
  • 2013-03-19: Largest Expected Move — 13.8%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$11.25$10.89$12.16$10.94$12.16
Max Pain$9.95$9.00$10.00$9.00$10.00
ATM IV41.1%30.0%48.2%35.0%42.8%
Expected Move13.0%10.0%13.8%10.0%12.3%
HV 20d36.6%28.4%55.4%55.2%35.9%
HV 60d41.8%40.9%42.8%40.9%42.7%
IV Rank17.5%1.7%26.8%8.5%21.3%
IV Percentile27.1%0.4%63.9%0.4%28.6%
Term Structure11.0%6.1%16.1%10.2%13.0%
VWIV44.6%35.0%51.9%35.0%36.9%
Skew 25d3.8%-0.8%14.1%2.1%1.5%
Skew 10d7.3%-2.9%18.4%3.8%7.9%
Call IV 25d43.6%30.9%48.3%30.9%45.6%
Put IV 25d47.4%33.0%50.7%33.0%47.1%
Bid-Ask Spread %86.259.92100.4399.1289.76
Gamma HHI0.300.150.580.350.19
Net GEX101.3K67.1K211.5K96.1K100.6K
Net DEX-4.5M-6.3M-3.7M-3.7M-6.3M
Net VEX-16.2K-21.8K-12.9K-13.3K-21.8K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.320.001.850.380.27
Total Volume360.25371,21366346
Total OI8,672.757,68510,5237,68510,523

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2013-03-01$10.94$9.0035.0%10.0%55.2%8.5%35.0%2.1%10.2%96.1K-3.7M-13.3K0.3899.12N/AN/A48186,3821,303
2013-03-04$10.89$10.0037.5%13.7%55.4%12.0%0.0%0.8%6.1%98.5K-3.8M-13.0K0.0088.93N/AN/A3906,4071,305
2013-03-05$11.12$10.0038.7%13.5%55.0%13.6%0.0%6.8%7.6%103.1K-4.0M-13.2K0.0882.66N/AN/A6056,4371,305
2013-03-06$11.16$10.0036.6%13.8%37.6%10.7%0.0%6.5%7.2%107.8K-4.1M-13.2K0.1089.39N/AN/A103106,4681,310
2013-03-07$11.11$10.0033.8%13.1%37.6%6.9%49.1%5.9%10.2%117.7K-4.1M-13.0K1.4586.65N/AN/A691006,5211,320
2013-03-08$11.24$10.0031.0%13.5%34.5%3.1%47.0%3.5%7.4%118.9K-4.4M-13.1K0.439.92N/AN/A129556,5551,420
2013-03-11$11.05$10.0043.5%13.3%29.0%20.2%0.0%4.2%9.3%119.0K-4.1M-12.9K0.0090.11N/AN/A14406,6611,447
2013-03-12$11.50$10.0030.0%13.3%32.1%1.7%47.6%-0.8%8.7%103.1K-4.9M-12.9K0.0286.93N/AN/A741146,7051,447
2013-03-13$11.14$10.0040.6%13.5%33.6%16.2%46.5%2.1%8.2%144.3K-4.6M-14.2K0.0379.37N/AN/A3617,2841,461
2013-03-14$11.40$10.0046.0%13.2%34.3%23.7%47.6%-0.1%8.8%100.6K-5.1M-14.0K0.0091.97N/AN/A1,13807,2611,408
2013-03-15$11.15$10.0044.9%12.9%35.0%22.1%46.4%4.2%10.6%211.5K-5.1M-16.5K0.0284.18N/AN/A1,191228,2821,408
2013-03-18$11.05$10.0045.2%13.0%35.1%22.5%44.7%4.7%13.7%67.1K-4.0M-17.1K0.4285.81N/AN/A202847,1031,055
2013-03-19$11.19$10.0048.2%13.8%35.4%26.8%51.9%3.4%11.9%67.7K-4.1M-18.0K0.1892.92N/AN/A206377,2481,139
2013-03-20$11.33$10.0046.0%13.2%35.6%24.7%44.5%3.1%12.5%73.5K-4.5M-18.0K1.8591.57N/AN/A53987,4341,176
2013-03-21$11.35$10.0045.4%13.0%33.3%24.0%45.5%0.4%14.1%72.4K-4.5M-18.3K0.0389.07N/AN/A454127,4611,271
2013-03-22$11.32$10.0044.6%12.8%31.8%22.9%43.7%2.1%14.5%76.3K-4.6M-19.3K0.3988.56N/AN/A3601407,8321,276
2013-03-25$11.19$10.0046.1%13.2%28.5%26.3%45.7%6.0%15.4%78.5K-4.6M-20.0K0.27100.43N/AN/A359988,1651,411
2013-03-26$11.24$10.0042.4%12.2%28.4%20.7%41.1%5.5%16.1%83.3K-4.7M-20.6K0.5298.41N/AN/A3291708,4921,486
2013-03-27$11.39$10.0043.3%12.4%28.6%22.2%40.4%14.1%14.2%86.5K-5.0M-21.2K0.0299.32N/AN/A32868,6301,656
2013-03-28$12.16$10.0042.8%12.3%35.9%21.3%36.9%1.5%13.0%100.6K-6.3M-21.8K0.2789.76N/AN/A272748,8611,662