NBIX Options History — March 2014

In March 2014, NBIX traded between $15.24 and $17.84. ATM implied volatility averaged 55.7%, placing in the 15.4% IV rank vs the trailing year. The 30-day expected move averaged 20.0%. IV traded above realized volatility by 2.6% (HV 20d: 53.1%). Max pain ranged from $8.00 to $8.00. Net GEX was positive for 6 of 21 trading days. Term structure was in contango for 20 of 21 days. Put/call ratio averaged 2.54.

Notable Days

  • 2014-03-12: Highest Volume — 4,869 contracts
  • 2014-03-28: Largest IV spike — 15.0% change
  • 2014-03-06: Highest IV Rank — 17.3%
  • 2014-03-14: Largest Expected Move — 22.0%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$16.88$15.24$17.84$16.67$16.10
Max Pain$8.00$8.00$8.00$8.00$8.00
ATM IV55.7%50.1%60.1%54.1%53.7%
Expected Move20.0%19.0%22.0%19.5%19.7%
HV 20d53.1%46.8%60.5%59.2%51.9%
HV 60d139.9%139.2%141.0%139.2%141.0%
IV Rank15.4%11.1%17.3%17.0%12.2%
IV Percentile53.7%32.9%75.0%49.6%42.5%
Term Structure5.2%-5.0%12.0%5.3%6.9%
VWIV72.5%65.1%90.4%68.9%69.5%
Skew 25d5.0%-1.2%19.2%3.3%7.3%
Skew 10d8.8%-25.9%35.1%-13.1%2.6%
Call IV 25d55.0%48.4%59.5%53.2%50.6%
Put IV 25d60.0%52.4%67.5%56.5%57.9%
Bid-Ask Spread %48.2027.3182.4039.4352.25
Gamma HHI0.250.120.550.350.14
Net GEX-149.7K-488.0K26.7K-130.2K18.8K
Net DEX-3.5M-5.9M1.1M-2.1M-3.5M
Net VEX-40.8K-45.2K-36.3K-39.7K-38.3K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio2.540.0218.480.720.46
Total Volume821144,8691,710505
Total OI18,439.95212,64321,69217,10914,439

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2014-03-03$16.67$8.0054.1%19.5%59.2%17.0%68.9%3.3%5.3%-130.2K-2.1M-39.7K0.7239.43N/AN/A9967148,8118,298
2014-03-04$17.82$8.0050.1%19.2%60.5%14.2%72.3%0.5%7.8%-73.9K-5.9M-42.9K17.1040.93N/AN/A2183,7279,5528,420
2014-03-05$17.84$8.0051.6%20.7%57.0%15.3%0.0%-0.1%5.6%-176.8K-5.2M-44.9K0.4042.35N/AN/A1049,54111,438
2014-03-06$17.02$8.0054.5%19.5%58.0%17.3%0.0%-1.2%7.3%-282.1K-2.0M-45.2K0.2042.07N/AN/A101209,55011,440
2014-03-07$17.50$8.0053.1%19.2%57.7%16.3%0.0%4.3%2.8%-255.3K-3.8M-43.8K0.0237.36N/AN/A8429,64311,459
2014-03-10$17.61$8.0053.2%19.2%55.1%16.4%0.0%1.6%4.2%-255.1K-4.7M-41.4K6.8927.31N/AN/A614209,66611,461
2014-03-11$17.46$8.0053.5%19.6%54.6%16.6%90.4%2.3%2.1%-285.2K-4.0M-42.7K0.9443.32N/AN/A1671579,68111,861
2014-03-12$17.70$8.0052.8%19.8%54.4%16.1%0.0%6.5%5.1%-225.9K-5.0M-42.5K18.4846.58N/AN/A2504,6199,75011,942
2014-03-13$17.03$8.0059.6%21.9%55.9%16.6%69.1%1.5%6.3%-186.0K-2.6M-43.6K0.6257.27N/AN/A4853029,9819,987
2014-03-14$16.99$8.0060.0%22.0%55.9%16.8%0.0%8.4%4.3%-209.4K-2.5M-44.4K1.5352.98N/AN/A8112410,33510,135
2014-03-17$17.16$8.0059.8%19.4%54.5%16.7%0.0%4.8%3.4%-256.0K-2.7M-42.6K0.4752.67N/AN/A1165510,35310,152
2014-03-18$17.52$8.0057.7%20.4%53.8%15.1%0.0%4.9%6.1%-126.0K-4.6M-42.3K0.0356.02N/AN/A3241010,38510,167
2014-03-19$17.43$8.0059.1%20.5%51.5%16.2%0.0%5.7%4.6%-139.6K-5.2M-40.7K0.0782.40N/AN/A1801310,58710,174
2014-03-20$17.23$8.0057.8%19.9%47.2%15.2%0.0%5.3%4.2%-488.0K-4.1M-39.1K2.0054.26N/AN/A204010,39810,132
2014-03-21$16.47$8.0059.2%20.8%47.2%16.3%65.1%4.1%5.0%-170.3K1.1M-36.3K0.1748.28N/AN/A86614610,41110,172
2014-03-24$16.08$8.0057.0%19.6%47.2%14.6%0.0%7.2%5.0%23.1K-3.7M-36.3K0.7844.03N/AN/A2051597,8394,804
2014-03-25$16.10$8.0055.1%19.6%46.8%13.3%0.0%4.2%7.2%23.3K-3.8M-36.8K1.1849.06N/AN/A2272687,9304,960
2014-03-26$15.50$8.0054.6%19.0%47.2%12.9%0.0%2.5%8.2%17.5K-3.2M-37.4K0.3345.40N/AN/A210698,1215,225
2014-03-27$16.00$8.0052.2%19.7%48.4%11.1%0.0%13.3%12.0%26.7K-3.5M-38.3K0.7646.71N/AN/A4933778,3265,294
2014-03-28$15.24$8.0060.1%21.6%50.8%16.9%0.0%19.2%-5.0%6.6K-2.6M-37.9K0.2951.56N/AN/A322948,7585,661
2014-03-31$16.10$8.0053.7%19.7%51.9%12.2%69.5%7.3%6.9%18.8K-3.5M-38.3K0.4652.25N/AN/A3461598,7785,661