NBIX Options History — November 2014

In November 2014, NBIX traded between $17.42 and $19.95. ATM implied volatility averaged 53.7%, placing in the 34.0% IV rank vs the trailing year. The 30-day expected move averaged 27.6%. IV traded above realized volatility by 10.7% (HV 20d: 43.0%). Max pain ranged from $15.00 to $15.00. Net GEX was positive for 19 of 19 trading days. Term structure was in contango for 18 of 19 days. Put/call ratio averaged 1.76.

Notable Days

  • 2014-11-12: Highest Volume — 9,586 contracts
  • 2014-11-20: Largest IV spike — 40.8% change
  • 2014-11-21: Highest IV Rank — 62.8%
  • 2014-11-20: Largest Expected Move — 30.5%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$18.93$17.42$19.95$18.11$19.93
Max Pain$15.00$15.00$15.00$15.00$15.00
ATM IV53.7%45.1%72.2%55.8%53.0%
Expected Move27.6%23.9%30.5%27.6%28.1%
HV 20d43.0%37.5%51.8%47.2%37.6%
HV 60d42.6%40.7%44.0%44.0%43.0%
IV Rank34.0%20.6%62.8%37.2%32.8%
IV Percentile33.9%2.4%95.2%46.0%36.1%
Term Structure37.5%-4.4%64.5%0.0%54.4%
VWIV100.9%91.7%126.2%100.0%105.7%
Skew 25d16.3%2.6%49.3%15.3%13.8%
Skew 10d27.3%1.4%59.8%20.3%29.8%
Call IV 25d47.4%35.3%58.5%54.0%42.2%
Put IV 25d63.7%54.3%97.4%69.2%56.1%
Bid-Ask Spread %65.2043.8297.7369.4761.76
Gamma HHI0.140.110.180.120.12
Net GEX178.4K73.0K252.5K179.0K87.8K
Net DEX-18.9M-21.8M-14.1M-17.8M-20.9M
Net VEX-88.1K-97.7K-78.1K-94.5K-79.1K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.760.094.533.200.18
Total Volume4,490.9471019,5867,123270
Total OI43,968.05340,08346,06544,05440,755

Daily Data (19 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2014-11-03$18.11$15.0055.8%27.6%47.2%37.2%100.0%15.3%0.0%179.0K-17.8M-94.5K3.2069.47N/AN/A1,6945,42921,57822,476
2014-11-04$17.59$15.0066.7%27.6%48.7%54.3%126.2%13.2%7.5%113.9K-15.2M-97.7K2.8887.94N/AN/A1,9365,56721,41122,801
2014-11-05$17.42$15.0059.8%28.4%46.8%43.5%102.3%15.4%-4.4%123.2K-14.1M-94.3K3.1857.60N/AN/A1,7125,44521,27322,771
2014-11-06$18.70$15.0046.4%27.4%51.6%22.6%99.9%11.4%7.6%185.0K-17.9M-88.6K0.9346.66N/AN/A1,8541,72621,29622,772
2014-11-07$18.57$15.0045.1%23.9%51.8%20.6%99.8%2.6%49.2%192.6K-17.3M-93.5K0.8664.94N/AN/A1,8871,62921,36322,876
2014-11-10$18.95$15.0047.7%28.1%49.2%24.6%99.1%8.8%42.8%231.0K-18.4M-90.4K0.9164.12N/AN/A1,6641,50921,47322,917
2014-11-11$19.20$15.0050.3%27.0%47.2%28.7%99.2%25.1%55.7%252.5K-21.4M-86.1K1.1043.82N/AN/A1,5871,75021,58122,232
2014-11-12$19.34$15.0048.4%26.3%46.6%25.8%96.4%8.2%55.8%241.8K-21.8M-86.3K4.2272.62N/AN/A1,8387,74821,49222,983
2014-11-13$19.12$15.0050.4%28.1%44.8%28.8%99.0%11.5%57.4%230.1K-21.2M-90.2K4.5356.24N/AN/A1,7117,75021,79123,581
2014-11-14$18.92$15.0049.4%27.0%37.9%27.3%98.4%3.9%60.1%215.4K-19.5M-91.8K0.1258.97N/AN/A901121,83123,900
2014-11-17$18.93$15.0051.0%27.4%38.0%29.8%97.9%12.0%57.0%245.3K-19.5M-89.6K2.0253.65N/AN/A2,2754,58921,83623,896
2014-11-18$19.23$15.0050.3%28.1%38.1%28.7%98.3%5.9%64.5%251.5K-20.3M-87.6K1.9257.02N/AN/A2,2674,35721,79023,988
2014-11-19$19.03$15.0051.2%29.0%38.4%30.1%100.5%19.1%64.3%220.1K-20.8M-86.3K0.0973.82N/AN/A2532421,85724,208
2014-11-20$18.53$15.0072.2%30.5%38.6%62.7%109.7%49.3%0.4%157.0K-17.3M-89.9K3.2487.34N/AN/A1,3464,35721,71524,036
2014-11-21$19.02$15.0072.2%26.7%38.9%62.8%101.4%47.8%0.7%220.6K-19.0M-88.5K1.6897.73N/AN/A2,6274,41121,70024,040
2014-11-24$19.68$15.0046.3%27.6%40.3%22.4%91.7%16.7%55.4%73.0K-18.3M-79.2K0.4760.21N/AN/A32315219,27420,809
2014-11-25$19.46$15.0051.4%28.4%37.5%30.4%98.2%10.6%37.6%82.6K-18.4M-82.4K1.5565.68N/AN/A1,1331,75119,53120,828
2014-11-26$19.95$15.0052.3%27.8%37.7%31.8%93.2%19.4%46.6%87.8K-19.9M-78.1K0.2959.13N/AN/A50914719,72021,012
2014-11-28$19.93$15.0053.0%28.1%37.6%32.8%105.7%13.8%54.4%87.8K-20.9M-79.1K0.1861.76N/AN/A2284219,62921,126