NBIX Options History — March 2018

In March 2018, NBIX traded between $81.30 and $92.44. ATM implied volatility averaged 30.0%, placing in the 6.0% IV rank vs the trailing year. The 30-day expected move averaged 8.5%. IV traded below realized volatility by 0.1% (HV 20d: 30.1%). Max pain ranged from $80.00 to $85.00. Net GEX was positive for 21 of 21 trading days. Term structure was in contango for 19 of 21 days. Put/call ratio averaged 0.69.

Notable Days

  • 2018-03-05: Highest Volume — 2,765 contracts
  • 2018-03-27: Largest IV spike — 23.1% change
  • 2018-03-27: Highest IV Rank — 10.6%
  • 2018-03-01: Largest Expected Move — 9.9%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$87.16$81.30$92.44$84.18$83.14
Max Pain$84.52$80.00$85.00$80.00$85.00
ATM IV30.0%22.9%34.6%34.6%26.7%
Expected Move8.5%7.0%9.9%9.9%7.6%
HV 20d30.1%23.7%35.3%28.9%35.3%
HV 60d39.5%38.1%40.3%39.4%39.9%
IV Rank6.0%0.0%10.6%9.3%3.5%
IV Percentile2.8%0.0%9.1%2.8%0.8%
Term Structure9.3%-1.5%14.8%-0.4%13.0%
VWIV29.8%23.0%34.6%34.2%28.6%
Skew 25d2.7%-2.3%9.0%0.8%-0.6%
Skew 10d4.6%-2.4%8.8%5.8%3.6%
Call IV 25d28.7%21.8%34.7%34.2%28.3%
Put IV 25d31.3%23.5%40.5%35.0%27.7%
Bid-Ask Spread %71.9541.2797.1741.2768.20
Gamma HHI0.330.210.500.310.24
Net GEX1.9M601.4K3.6M984.5K1.3M
Net DEX-31.3M-59.2M-2.6M-17.1M-10.4M
Net VEX-259.4K-287.5K-229.6K-260.8K-236.7K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.690.301.250.471.25
Total Volume1,623.2381,0082,7652,2041,161
Total OI20,600.38118,57622,26219,52420,510

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2018-03-01$84.18$80.0034.6%9.9%28.9%9.3%34.2%0.8%-0.4%984.5K-17.1M-260.8K0.4741.27N/AN/A1,50070411,3648,160
2018-03-02$85.96$80.0032.8%9.4%29.9%7.6%27.5%9.0%-1.5%1.5M-26.5M-268.2K0.7760.15N/AN/A1,00978011,8588,161
2018-03-05$90.24$85.0033.9%9.0%32.4%8.7%32.8%4.2%7.9%2.0M-43.9M-267.6K0.3353.72N/AN/A2,07968611,9698,227
2018-03-06$90.06$85.0032.8%8.3%31.3%7.6%31.0%3.5%10.2%2.4M-47.0M-275.6K0.4062.13N/AN/A1,61264012,8668,255
2018-03-07$91.36$85.0033.6%8.0%31.4%8.4%29.9%7.0%11.3%2.7M-53.6M-287.5K0.4974.28N/AN/A1,57177213,4448,268
2018-03-08$91.86$85.0026.7%7.0%31.4%1.9%23.0%1.7%14.7%2.8M-55.8M-278.7K0.5974.18N/AN/A91053513,2858,355
2018-03-09$92.44$85.0026.8%7.0%23.7%1.9%26.1%-1.6%14.8%2.8M-59.2M-273.9K0.6276.60N/AN/A86654013,2308,415
2018-03-12$90.66$85.0027.2%8.8%25.6%2.3%30.0%4.9%9.3%3.2M-50.5M-273.0K0.7078.94N/AN/A83758513,2838,457
2018-03-13$90.24$85.0022.9%7.8%24.3%0.0%25.7%2.2%9.6%3.6M-50.2M-268.7K0.6897.17N/AN/A84657713,3178,514
2018-03-14$92.31$85.0027.3%7.8%24.8%4.1%30.4%-0.2%14.6%3.1M-58.6M-270.8K0.7966.47N/AN/A91972813,3978,545
2018-03-15$91.69$85.0030.8%8.8%24.0%7.3%29.5%1.6%8.8%3.0M-56.9M-269.6K0.6678.82N/AN/A1,02767713,4488,740
2018-03-16$87.96$85.0030.2%8.7%28.8%6.8%31.7%-1.8%10.6%1.6M-34.8M-268.9K0.9181.73N/AN/A83775813,4828,780
2018-03-19$85.01$85.0032.1%9.2%31.5%8.6%34.6%5.8%9.2%1.1M-17.3M-255.8K0.5472.67N/AN/A1,18964711,1867,390
2018-03-20$84.86$85.0028.8%8.3%31.3%5.5%28.5%3.3%10.6%1.3M-16.5M-249.3K0.3075.57N/AN/A1,68750311,3707,570
2018-03-21$84.92$85.0029.1%8.3%31.2%5.7%28.0%4.8%9.8%1.4M-17.0M-256.3K0.6987.97N/AN/A72049711,9067,663
2018-03-22$84.18$85.0027.6%7.9%31.3%4.4%28.1%-2.3%6.7%1.3M-14.1M-249.8K0.8695.31N/AN/A58049811,9187,674
2018-03-23$81.61$85.0032.9%9.4%32.8%9.2%32.1%2.3%8.7%601.4K-2.6M-229.6K0.8486.85N/AN/A56247011,9247,762
2018-03-26$83.14$85.0027.9%8.0%33.5%4.6%30.4%1.7%12.2%996.5K-9.1M-234.9K0.9776.57N/AN/A51149712,0117,777
2018-03-27$81.30$85.0034.3%9.8%34.1%10.6%31.1%4.5%6.4%681.3K-3.9M-230.0K0.5356.45N/AN/A94250212,0027,789
2018-03-28$83.27$85.0031.4%9.0%35.3%7.8%31.7%5.1%9.0%1.2M-11.7M-241.5K1.0245.84N/AN/A55856912,5427,794
2018-03-29$83.14$85.0026.7%7.6%35.3%3.5%28.6%-0.6%13.0%1.3M-10.4M-236.7K1.2568.20N/AN/A51764412,5337,977