NBIX Options History — February 2015

In February 2015, NBIX traded between $32.88 and $39.99. ATM implied volatility averaged 50.7%, placing in the 7.1% IV rank vs the trailing year. The 30-day expected move averaged 14.6%. IV traded below realized volatility by 1.1% (HV 20d: 51.8%). Max pain ranged from $17.00 to $36.00. Net GEX was positive for 19 of 19 trading days. Term structure was in contango for 15 of 19 days. Put/call ratio averaged 1.04.

Notable Days

  • 2015-02-18: Highest Volume — 6,101 contracts
  • 2015-02-03: Largest IV spike — 23.3% change
  • 2015-02-04: Highest IV Rank — 12.0%
  • 2015-02-04: Largest Expected Move — 18.2%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$36.56$32.88$39.99$32.88$39.18
Max Pain$31.05$17.00$36.00$17.00$36.00
ATM IV50.7%42.7%63.6%51.4%42.7%
Expected Move14.6%12.2%18.2%14.7%12.2%
HV 20d51.8%38.7%94.9%94.9%39.8%
HV 60d73.3%72.3%73.7%73.5%73.1%
IV Rank7.1%4.1%12.0%7.4%4.1%
IV Percentile27.7%0.4%83.3%30.2%0.4%
Term Structure3.0%-4.9%10.4%-4.9%10.4%
VWIV51.0%43.1%58.0%52.8%43.1%
Skew 25d7.3%0.4%13.3%13.3%8.7%
Skew 10d15.2%2.7%29.4%2.7%14.1%
Call IV 25d47.0%38.0%52.2%47.6%43.2%
Put IV 25d54.3%47.0%63.7%61.0%52.0%
Bid-Ask Spread %83.8665.0899.3499.3495.53
Gamma HHI0.220.130.350.140.35
Net GEX225.2K143.4K328.1K162.3K319.7K
Net DEX-26.7M-39.9M-18.6M-23.2M-19.9M
Net VEX-52.4K-71.4K-31.9K-34.0K-69.8K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.040.352.070.631.72
Total Volume2,519.3161846,1011841,653
Total OI16,785.94711,94223,02016,08012,583

Daily Data (19 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2015-02-02$32.88$17.0051.4%14.7%94.9%7.4%52.8%13.3%-4.9%162.3K-23.2M-34.0K0.6399.34N/AN/A113718,9597,121
2015-02-03$32.92$17.0063.3%18.2%90.3%11.9%55.0%12.1%-3.0%157.8K-23.1M-34.2K1.8390.58N/AN/A5369808,9457,167
2015-02-04$32.92$17.0063.6%18.2%87.6%12.0%56.6%5.1%-2.5%149.9K-23.0M-33.4K1.8594.79N/AN/A5309818,9417,180
2015-02-05$34.47$32.0053.3%15.2%86.7%8.1%55.5%6.5%4.0%152.5K-25.3M-32.5K1.7477.28N/AN/A6731,1708,9477,204
2015-02-06$33.90$32.0053.7%15.5%41.8%8.3%55.9%8.3%3.9%149.5K-24.2M-34.0K0.9565.83N/AN/A1,0359828,8587,414
2015-02-09$33.60$32.0057.9%16.5%41.6%9.9%58.0%9.1%2.2%151.7K-23.8M-34.0K1.1365.08N/AN/A9341,0578,8637,442
2015-02-10$35.77$32.0052.5%15.5%44.4%7.8%55.7%9.1%6.9%143.4K-27.0M-31.9K0.4471.48N/AN/A3,0171,3218,9067,501
2015-02-11$36.65$32.0047.2%13.5%44.6%5.8%56.6%13.2%9.9%181.0K-32.1M-49.8K0.4791.14N/AN/A2,7161,26410,6697,824
2015-02-12$37.01$33.0053.3%15.3%44.1%8.1%51.3%6.4%-1.0%208.5K-33.7M-54.9K0.5787.42N/AN/A2,2141,25211,3027,874
2015-02-13$37.25$33.0050.6%14.5%43.4%7.1%46.4%5.0%5.9%228.6K-34.1M-55.3K0.6086.59N/AN/A2,1881,30711,3957,902
2015-02-17$37.26$33.0049.8%14.3%42.8%6.8%51.4%5.6%1.7%201.2K-34.3M-54.5K0.7095.04N/AN/A3,4932,43911,4168,005
2015-02-18$36.62$33.0047.3%13.6%43.1%5.9%49.6%3.5%5.8%263.9K-33.9M-68.6K1.0391.12N/AN/A3,0103,09112,7629,113
2015-02-19$37.42$34.0047.7%13.7%38.7%6.0%51.7%0.4%5.3%304.1K-31.4M-65.9K0.3586.12N/AN/A78027112,83910,181
2015-02-20$39.40$34.0048.4%13.9%41.4%6.3%47.6%10.2%0.7%286.5K-39.9M-66.6K0.3776.47N/AN/A41715613,0709,325
2015-02-23$39.04$35.0046.6%13.4%42.1%5.6%47.9%6.7%5.1%293.8K-19.7M-67.1K0.7170.99N/AN/A1,5361,0947,8654,077
2015-02-24$38.64$36.0044.3%12.7%38.9%4.7%46.3%3.5%2.4%278.3K-18.6M-71.4K0.6782.00N/AN/A1,4971,0068,0104,365
2015-02-25$39.65$36.0045.4%13.0%39.3%5.1%43.3%6.9%2.0%318.5K-19.7M-69.4K2.0783.61N/AN/A4871,0078,0374,381
2015-02-26$39.99$36.0044.2%12.7%39.0%4.7%44.1%4.2%1.4%328.1K-20.5M-68.9K2.0282.94N/AN/A5271,0628,0604,430
2015-02-27$39.18$36.0042.7%12.2%39.8%4.1%43.1%8.7%10.4%319.7K-19.9M-69.8K1.7295.53N/AN/A6081,0458,0744,509