NBIX Options History — May 2015

In May 2015, NBIX traded between $35.53 and $44.01. ATM implied volatility averaged 51.6%, placing in the 7.5% IV rank vs the trailing year. The 30-day expected move averaged 14.5%. IV traded below realized volatility by 6.9% (HV 20d: 58.4%). Max pain ranged from $33.00 to $38.00. Net GEX was positive for 20 of 20 trading days. Term structure was in contango for 16 of 20 days. Put/call ratio averaged 0.73.

Notable Days

  • 2015-05-14: Highest Volume — 3,739 contracts
  • 2015-05-13: Largest IV drop — 31.4% change
  • 2015-05-12: Highest IV Rank — 13.9%
  • 2015-05-07: Largest Expected Move — 17.7%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$40.60$35.53$44.01$35.53$44.01
Max Pain$37.35$33.00$38.00$33.00$38.00
ATM IV51.6%41.4%68.5%57.9%41.4%
Expected Move14.5%11.9%17.7%16.6%11.9%
HV 20d58.4%35.0%64.3%58.7%35.0%
HV 60d53.7%52.5%54.5%54.4%53.5%
IV Rank7.5%3.6%13.9%9.9%3.6%
IV Percentile37.5%0.8%87.7%73.4%0.8%
Term Structure4.0%-7.9%16.5%-2.3%6.8%
VWIV49.0%40.2%61.4%56.1%43.2%
Skew 25d10.2%1.4%38.5%13.9%6.7%
Skew 10d18.6%-2.1%45.0%38.1%19.6%
Call IV 25d47.2%28.5%63.3%52.0%42.5%
Put IV 25d57.4%47.8%86.9%65.8%49.2%
Bid-Ask Spread %96.7978.01117.3991.83100.69
Gamma HHI0.190.130.250.130.18
Net GEX501.4K320.7K977.7K358.3K358.4K
Net DEX-28.5M-40.7M-18.9M-18.9M-28.8M
Net VEX-132.3K-137.8K-125.9K-126.9K-137.1K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.730.121.100.910.65
Total Volume1,921.05273,7392,4042,161
Total OI19,348.715,62022,69721,80316,299

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2015-05-01$35.53$33.0057.9%16.6%58.7%9.9%56.1%13.9%-2.3%358.3K-18.9M-126.9K0.9191.83N/AN/A1,2601,14415,1956,608
2015-05-04$36.08$36.0064.0%16.4%59.2%12.2%55.0%13.6%2.6%435.6K-20.1M-125.9K0.5790.90N/AN/A472715,3516,614
2015-05-05$35.64$36.0047.1%15.6%57.9%5.8%47.9%3.8%6.5%442.1K-21.1M-127.3K1.0097.40N/AN/A1,1111,11315,3906,639
2015-05-06$36.57$36.0057.8%17.0%56.3%9.8%53.2%9.0%4.9%547.8K-21.7M-126.6K1.0997.39N/AN/A1,0221,11315,4056,658
2015-05-07$37.43$36.0061.7%17.7%57.3%11.3%61.4%38.5%-4.7%646.0K-23.8M-128.1K1.1098.65N/AN/A9831,07915,4366,658
2015-05-08$39.55$38.0048.6%13.5%60.8%6.3%47.8%5.0%11.2%809.3K-29.3M-129.0K0.1490.55N/AN/A1602215,4256,664
2015-05-11$39.63$38.0061.6%15.4%60.0%11.3%53.3%8.7%3.6%872.2K-31.3M-131.4K0.5190.65N/AN/A512615,4546,673
2015-05-12$40.16$38.0068.5%16.2%60.3%13.9%51.9%9.9%-2.4%977.7K-32.0M-130.0K1.05112.06N/AN/A1,0371,09315,4436,686
2015-05-13$42.29$38.0047.0%13.5%63.5%5.7%55.5%6.3%16.5%800.7K-40.7M-130.2K0.84100.30N/AN/A1,2381,03915,3746,686
2015-05-14$41.78$38.0049.1%14.1%63.6%6.5%47.8%6.4%8.8%742.8K-40.7M-131.1K0.7178.01N/AN/A2,1851,55415,4636,697
2015-05-15$41.61$38.0045.1%12.9%62.9%5.0%45.2%1.4%13.2%320.7K-39.7M-134.7K0.8780.69N/AN/A1,7331,50515,4897,208
2015-05-18$43.14$38.0043.2%12.4%64.2%4.3%46.3%19.7%9.8%326.4K-27.3M-135.6K0.12105.98N/AN/A2653311,3524,268
2015-05-19$43.01$38.0049.6%14.2%63.8%6.7%40.2%24.0%0.9%335.5K-28.6M-136.4K0.13117.39N/AN/A24311,4994,290
2015-05-20$43.03$38.0059.0%16.9%63.7%10.3%47.5%5.8%-7.9%344.3K-28.1M-137.8K0.83113.81N/AN/A1,5111,24711,5014,293
2015-05-21$42.05$38.0043.6%12.5%64.1%4.5%53.1%5.7%0.7%332.6K-27.3M-136.2K0.87111.70N/AN/A1,5141,31311,5544,355
2015-05-22$42.60$38.0046.7%13.4%64.3%5.6%42.6%5.3%1.1%342.2K-27.9M-136.4K0.9292.14N/AN/A1,4441,32411,5644,419
2015-05-26$42.31$38.0048.3%13.9%52.8%6.2%45.3%8.8%2.9%342.8K-26.8M-134.3K0.9384.81N/AN/A1,4121,31811,5864,445
2015-05-27$42.92$38.0044.1%12.6%50.2%4.6%42.7%5.7%5.5%347.5K-28.0M-135.5K0.5996.39N/AN/A1,41182811,5954,567
2015-05-28$42.73$38.0046.5%13.3%49.9%5.6%44.5%5.9%2.4%345.5K-27.3M-136.3K0.7084.45N/AN/A1,22085111,5964,575
2015-05-29$44.01$38.0041.4%11.9%35.0%3.6%43.2%6.7%6.8%358.4K-28.8M-137.1K0.65100.69N/AN/A1,30885311,6204,679