NBIX Options History — March 2016

In March 2016, NBIX traded between $33.16 and $39.55. ATM implied volatility averaged 63.2%, placing in the 19.8% IV rank vs the trailing year. The 30-day expected move averaged 18.0%. IV traded above realized volatility by 4.7% (HV 20d: 58.6%). Max pain ranged from $36.00 to $37.00. Net GEX was positive for 9 of 22 trading days. Term structure was in contango for 20 of 22 days. Put/call ratio averaged 1.48.

Notable Days

  • 2016-03-04: Highest Volume — 4,577 contracts
  • 2016-03-31: Largest IV drop — 15.0% change
  • 2016-03-08: Highest IV Rank — 29.2%
  • 2016-03-08: Largest Expected Move — 19.5%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$35.76$33.16$39.55$37.45$39.55
Max Pain$36.09$36.00$37.00$37.00$36.00
ATM IV63.2%52.6%76.4%60.5%52.6%
Expected Move18.0%15.1%19.5%17.3%15.1%
HV 20d58.6%50.0%69.9%69.9%65.4%
HV 60d70.3%68.9%72.4%69.4%71.1%
IV Rank19.8%12.2%29.2%17.8%12.2%
IV Percentile52.9%24.2%78.2%48.0%24.2%
Term Structure2.0%-0.5%6.9%-0.5%6.9%
VWIV62.4%56.9%68.8%68.8%59.7%
Skew 25d11.6%9.2%14.0%10.7%10.4%
Skew 10d24.6%19.4%28.9%28.9%24.2%
Call IV 25d56.5%48.5%62.4%55.3%48.5%
Put IV 25d68.1%58.9%74.6%66.0%58.9%
Bid-Ask Spread %52.6129.9771.8969.1568.38
Gamma HHI0.150.080.240.190.10
Net GEX-12.3K-589.2K906.1K648.9K170.8K
Net DEX2.3M-10.0M9.6M-4.6M-4.7M
Net VEX-63.8K-95.0K-50.6K-90.5K-59.5K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.480.812.690.862.69
Total Volume3,780.7273,2744,5774,1063,428
Total OI24,236.36412,33632,00529,43513,739

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2016-03-01$37.45$37.0060.5%17.3%69.9%17.8%68.8%10.7%-0.5%648.9K-4.6M-90.5K0.8669.15N/AN/A2,2121,89417,51211,923
2016-03-02$38.52$37.0058.8%16.9%62.8%16.6%67.0%11.6%-0.4%906.1K-10.0M-95.0K0.8171.89N/AN/A2,2131,80117,55212,073
2016-03-03$36.35$36.0062.1%17.6%65.9%19.0%58.1%9.5%1.9%381.9K-1.7M-84.6K0.8629.97N/AN/A2,1621,86517,55312,045
2016-03-04$35.31$36.0064.0%18.5%63.2%20.3%62.2%9.2%1.2%118.4K2.2M-78.8K0.9431.70N/AN/A2,3652,21217,55512,153
2016-03-07$35.98$36.0068.1%18.4%62.8%23.3%61.1%13.3%0.6%133.0K2.5M-74.3K1.0733.79N/AN/A1,7041,81617,54512,401
2016-03-08$33.76$36.0076.4%19.5%55.5%29.2%62.6%12.9%0.9%-243.5K7.5M-67.5K1.1839.41N/AN/A1,6761,97517,77612,511
2016-03-09$33.61$36.0067.2%19.3%55.4%22.6%65.8%11.7%1.0%-327.2K8.8M-64.4K1.3340.40N/AN/A1,5102,01417,87412,598
2016-03-10$33.62$36.0067.3%19.3%53.1%22.7%68.5%13.7%0.4%-373.2K8.3M-62.5K1.3342.51N/AN/A1,4121,87117,91612,701
2016-03-11$35.38$36.0062.6%18.0%52.8%19.4%64.7%10.0%3.1%-139.2K4.1M-62.8K1.2947.12N/AN/A1,4301,84417,93312,709
2016-03-14$35.57$36.0063.1%18.1%52.8%19.7%64.3%11.6%2.2%-41.8K2.6M-59.0K1.6831.12N/AN/A1,5612,62017,97512,753
2016-03-15$34.12$36.0066.0%18.9%53.6%21.8%63.5%12.6%1.0%-429.8K7.6M-58.0K1.5246.68N/AN/A1,6422,49418,26313,569
2016-03-16$33.98$36.0066.7%19.1%51.7%22.2%64.6%14.0%0.1%-519.1K8.1M-55.0K1.7754.30N/AN/A1,4172,50218,27513,604
2016-03-17$33.16$36.0066.8%19.1%50.0%22.3%63.8%13.9%0.8%-589.2K9.6M-50.6K1.7852.39N/AN/A1,4112,50518,29213,623
2016-03-18$35.15$36.0061.6%17.7%53.4%18.6%60.1%12.6%2.2%-53.9K4.3M-53.0K1.6356.77N/AN/A1,5172,48018,32713,678
2016-03-21$36.32$36.0061.2%17.5%54.9%18.3%61.2%10.4%2.9%-14.4K1.1M-55.1K1.6957.01N/AN/A1,2682,1476,4585,878
2016-03-22$38.30$36.0056.6%16.2%56.4%15.0%57.1%9.9%2.5%34.5K-1.3M-58.7K1.6360.49N/AN/A1,3932,2756,5605,948
2016-03-23$35.58$36.0059.2%17.0%61.7%16.9%59.7%11.0%3.9%-20.6K1.8M-53.9K1.4260.94N/AN/A1,5432,1896,6575,996
2016-03-24$35.34$36.0061.9%17.7%61.7%18.8%56.9%11.9%3.2%-30.9K2.8M-52.7K1.3262.83N/AN/A1,7662,3236,6356,072
2016-03-28$35.39$36.0065.6%18.8%61.0%21.5%62.6%12.3%1.6%-12.0K2.6M-53.5K1.4364.66N/AN/A1,6162,3157,1616,247
2016-03-29$37.08$36.0061.1%17.5%62.6%18.3%59.4%11.7%5.1%49.2K185.4K-56.1K1.9767.49N/AN/A1,1822,3297,2496,239
2016-03-30$37.22$36.0061.9%17.8%62.4%18.8%61.0%10.3%2.7%81.6K-874.3K-57.1K2.4468.31N/AN/A9532,3247,4316,241
2016-03-31$39.55$36.0052.6%15.1%65.4%12.2%59.7%10.4%6.9%170.8K-4.7M-59.5K2.6968.38N/AN/A9292,4997,4946,245