NBIX Options History — March 2015

In March 2015, NBIX traded between $36.37 and $44.25. ATM implied volatility averaged 46.9%, placing in the 5.7% IV rank vs the trailing year. The 30-day expected move averaged 13.4%. IV traded above realized volatility by 7.8% (HV 20d: 39.2%). Max pain ranged from $36.00 to $40.00. Net GEX was positive for 22 of 22 trading days. Term structure was in contango for 21 of 22 days. Put/call ratio averaged 1.03.

Notable Days

  • 2015-03-31: Highest Volume — 3,615 contracts
  • 2015-03-19: Largest IV spike — 37.4% change
  • 2015-03-19: Highest IV Rank — 8.2%
  • 2015-03-19: Largest Expected Move — 15.3%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$40.79$36.37$44.25$40.53$39.57
Max Pain$37.68$36.00$40.00$36.00$37.00
ATM IV46.9%38.9%53.4%44.6%47.2%
Expected Move13.4%11.1%15.3%12.8%13.5%
HV 20d39.2%28.3%62.6%40.0%62.6%
HV 60d68.5%62.3%73.1%73.1%69.3%
IV Rank5.7%2.6%8.2%4.8%5.8%
IV Percentile17.3%0.4%50.8%3.6%15.5%
Term Structure6.7%-3.4%18.9%0.2%14.9%
VWIV45.7%40.7%51.7%45.9%45.6%
Skew 25d0.9%-18.8%11.9%6.8%-9.6%
Skew 10d7.4%-52.3%47.0%22.9%-6.9%
Call IV 25d45.7%40.1%57.5%43.0%57.5%
Put IV 25d46.5%30.1%54.7%49.8%48.0%
Bid-Ask Spread %85.9768.8499.5686.7797.35
Gamma HHI0.310.170.450.360.21
Net GEX451.5K291.9K642.9K364.6K463.7K
Net DEX-25.2M-36.3M-14.8M-21.2M-23.5M
Net VEX-93.8K-111.0K-68.3K-68.3K-105.8K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.030.044.610.702.01
Total Volume1,348.045463,6152,7203,615
Total OI16,294.54512,62618,37912,62617,991

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2015-03-02$40.53$36.0044.6%12.8%40.0%4.8%45.9%6.8%0.2%364.6K-21.2M-68.3K0.7086.77N/AN/A1,5991,1218,0904,536
2015-03-03$40.90$36.0045.0%12.9%37.7%5.0%40.7%1.8%-3.4%466.4K-24.4M-72.7K0.7598.46N/AN/A1,7161,2849,1074,564
2015-03-04$41.27$36.0043.5%12.5%37.6%4.4%47.5%1.9%0.5%440.8K-26.1M-72.6K1.7281.33N/AN/A7541,2949,3344,777
2015-03-05$40.96$36.0042.8%12.2%38.0%4.1%42.7%0.6%10.4%467.3K-26.4M-73.2K1.5569.72N/AN/A8571,3269,3794,779
2015-03-06$40.66$37.0041.9%12.8%36.1%3.8%45.2%4.0%5.4%480.5K-24.8M-74.7K4.6168.84N/AN/A5962,7509,4234,742
2015-03-09$39.66$37.0050.8%11.9%37.0%7.2%45.2%1.5%11.1%446.7K-21.7M-90.2K2.2983.19N/AN/A14329,4566,085
2015-03-10$40.44$37.0046.0%13.2%36.6%5.4%48.8%0.1%5.8%476.9K-22.4M-90.5K0.0487.08N/AN/A17889,4656,111
2015-03-11$40.53$37.0043.9%12.6%30.8%4.5%42.8%2.9%3.8%497.3K-22.9M-89.4K0.0874.76N/AN/A208169,5136,118
2015-03-12$40.45$37.0044.6%12.8%30.2%4.8%40.8%3.4%10.7%535.5K-23.7M-87.8K1.5284.98N/AN/A21329,6266,134
2015-03-13$40.96$37.0044.1%12.6%30.2%4.6%45.9%3.8%1.8%532.7K-25.4M-86.6K0.1579.44N/AN/A1,6192489,6396,161
2015-03-16$41.91$39.0046.6%13.3%30.9%5.6%46.0%6.2%2.2%642.9K-29.6M-101.9K0.8782.36N/AN/A534611,0766,382
2015-03-17$42.53$39.0048.4%13.9%31.0%6.3%42.4%11.9%5.8%520.9K-30.7M-103.6K0.3576.73N/AN/A1414911,0906,403
2015-03-18$42.49$39.0038.9%11.1%29.8%2.6%41.0%-1.0%18.9%497.7K-31.8M-103.1K0.2487.96N/AN/A1533711,1256,409
2015-03-19$44.25$39.0053.4%15.3%31.7%8.2%49.9%6.8%6.1%365.3K-35.4M-101.0K0.1784.21N/AN/A1,29121411,1426,424
2015-03-20$43.60$39.0048.2%13.8%28.3%6.2%43.7%4.4%4.6%391.6K-36.3M-105.7K0.3093.27N/AN/A2668111,8476,532
2015-03-23$41.67$39.0047.7%13.7%33.2%6.0%45.6%-17.8%14.9%426.5K-26.2M-109.5K0.3899.56N/AN/A26810110,8056,062
2015-03-24$41.02$40.0046.7%13.4%33.5%5.6%46.7%-0.2%3.3%437.1K-26.2M-105.7K1.2194.11N/AN/A809710,9586,140
2015-03-25$36.37$40.0053.1%15.2%54.1%8.0%49.8%-18.8%8.3%329.0K-16.3M-101.4K0.9791.59N/AN/A68966811,0196,173
2015-03-26$37.42$38.0052.6%15.1%55.2%7.8%49.9%-1.4%6.0%291.9K-14.8M-102.3K1.1389.29N/AN/A1,3711,54811,2526,567
2015-03-27$38.78$37.0053.0%15.2%56.5%8.0%51.7%4.0%3.0%395.6K-19.0M-107.1K0.5085.88N/AN/A35117511,3766,608
2015-03-30$41.49$37.0049.4%14.1%60.3%6.6%48.6%7.5%11.8%462.6K-26.4M-111.0K1.0394.55N/AN/A1,3231,36711,4636,597
2015-03-31$39.57$37.0047.2%13.5%62.6%5.8%45.6%-9.6%14.9%463.7K-23.5M-105.8K2.0197.35N/AN/A1,2002,41511,3956,596