NBIX Options History — April 2015

In April 2015, NBIX traded between $34.09 and $43.74. ATM implied volatility averaged 53.5%, placing in the 8.2% IV rank vs the trailing year. The 30-day expected move averaged 15.4%. IV traded below realized volatility by 5.4% (HV 20d: 58.9%). Max pain ranged from $30.00 to $38.00. Net GEX was positive for 21 of 21 trading days. Term structure was in contango for 16 of 21 days. Put/call ratio averaged 0.96.

Notable Days

  • 2015-04-30: Highest Volume — 5,318 contracts
  • 2015-04-02: Largest IV spike — 26.2% change
  • 2015-04-29: Highest IV Rank — 13.3%
  • 2015-04-29: Largest Expected Move — 19.2%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$41.34$34.09$43.74$39.76$34.09
Max Pain$31.52$30.00$38.00$38.00$33.00
ATM IV53.5%42.8%67.0%42.8%63.5%
Expected Move15.4%12.3%19.2%12.3%18.2%
HV 20d58.9%39.9%64.8%62.6%56.1%
HV 60d50.7%45.4%67.6%67.6%53.8%
IV Rank8.2%4.1%13.3%4.1%12.0%
IV Percentile48.8%1.6%87.7%1.6%85.3%
Term Structure4.0%-16.1%12.9%2.6%-16.1%
VWIV53.6%45.9%69.0%51.7%69.0%
Skew 25d3.4%-13.8%20.0%-0.1%-8.6%
Skew 10d14.2%-5.9%34.0%-5.9%3.3%
Call IV 25d51.6%41.9%70.8%44.4%68.9%
Put IV 25d54.9%44.3%63.3%44.3%60.3%
Bid-Ask Spread %96.3682.04114.94109.09105.46
Gamma HHI0.160.110.180.160.11
Net GEX469.9K199.5K608.2K292.4K199.5K
Net DEX-27.3M-34.6M-10.4M-21.7M-10.4M
Net VEX-101.2K-112.1K-89.9K-110.1K-91.6K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.960.281.271.120.28
Total Volume2,449.476625,3182,4995,318
Total OI18,828.85716,92919,69719,07318,700

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2015-04-01$39.76$38.0042.8%12.3%62.6%4.1%51.7%-0.1%2.6%292.4K-21.7M-110.1K1.12109.09N/AN/A1,1781,32111,4097,664
2015-04-02$39.54$30.0054.0%16.5%62.5%8.4%53.9%6.3%-0.8%340.3K-20.1M-109.3K1.1188.16N/AN/A1,1911,31811,4117,656
2015-04-06$39.18$30.0058.1%16.6%62.6%9.9%58.0%4.4%12.6%335.9K-20.2M-104.8K1.0992.10N/AN/A1,1801,28511,4427,653
2015-04-07$40.33$30.0055.4%15.2%62.8%8.9%54.6%10.5%12.9%377.9K-22.1M-105.4K0.9888.95N/AN/A1,3031,27211,4497,769
2015-04-08$42.09$30.0053.7%15.4%64.3%8.3%52.2%-2.5%8.0%551.4K-27.8M-96.8K0.7795.79N/AN/A352711,4887,777
2015-04-09$41.96$30.0057.3%16.4%64.3%9.6%51.4%8.5%-0.7%516.4K-28.1M-99.4K1.0182.04N/AN/A1,2811,29011,4687,791
2015-04-10$42.64$30.0053.4%15.3%64.5%8.1%51.9%8.6%4.7%588.8K-31.3M-96.8K1.0884.06N/AN/A1,1971,29811,5097,792
2015-04-13$43.67$30.0054.9%15.7%64.8%8.7%55.5%12.1%4.0%532.5K-34.0M-93.4K0.9584.91N/AN/A1,3131,24711,5357,798
2015-04-14$43.63$30.0055.9%16.0%64.4%9.1%54.0%3.5%2.7%584.0K-34.0M-92.7K1.0391.91N/AN/A1,2411,28311,6077,803
2015-04-15$43.64$31.0049.8%14.3%64.3%6.8%52.8%5.2%5.5%608.2K-34.6M-89.9K1.2288.42N/AN/A1,0941,33011,6177,830
2015-04-16$43.69$32.0047.6%13.6%64.3%6.0%50.9%8.5%12.3%556.0K-34.4M-92.5K1.2082.19N/AN/A1,0521,26611,7817,882
2015-04-17$42.50$32.0049.4%14.2%63.3%6.6%48.5%3.6%8.1%378.6K-31.7M-92.1K0.5692.36N/AN/A2,0531,14211,8027,895
2015-04-20$42.92$32.0049.8%14.3%63.2%6.8%52.3%-1.8%4.3%464.6K-29.0M-99.6K0.61108.10N/AN/A1,6591,01010,7336,196
2015-04-21$43.74$32.0045.5%13.0%61.3%5.2%45.9%0.0%3.9%541.3K-32.4M-109.7K0.5497.91N/AN/A1,8731,01111,7186,202
2015-04-22$43.28$32.0043.0%12.3%61.1%4.2%48.7%-2.9%5.1%516.0K-32.6M-111.7K1.19101.88N/AN/A8651,02811,9556,206
2015-04-23$43.68$32.0051.1%14.7%40.3%7.3%48.9%-13.8%1.9%569.0K-32.8M-108.4K1.27106.33N/AN/A8121,02811,9606,228
2015-04-24$43.48$32.0055.6%15.9%39.9%9.0%56.3%0.8%11.9%512.4K-32.3M-112.1K1.21104.99N/AN/A8601,03711,9856,236
2015-04-27$39.35$32.0060.9%17.5%53.8%11.0%51.8%20.0%-2.9%495.4K-25.7M-103.9K1.11101.80N/AN/A9691,07712,0576,247
2015-04-28$37.78$32.0055.6%15.9%49.5%9.0%56.8%2.9%10.9%469.7K-20.1M-102.9K1.04102.19N/AN/A1,0541,09712,1656,374
2015-04-29$37.29$32.0067.0%19.2%47.0%13.3%59.8%5.5%-5.7%438.5K-17.5M-101.5K0.84114.94N/AN/A1,3831,16112,1956,421
2015-04-30$34.09$33.0063.5%18.2%56.1%12.0%69.0%-8.6%-16.1%199.5K-10.4M-91.6K0.28105.46N/AN/A4,1541,16412,2036,497