NBIX Options History — July 2015

In July 2015, NBIX traded between $46.91 and $53.59. ATM implied volatility averaged 52.6%, placing in the 7.7% IV rank vs the trailing year. The 30-day expected move averaged 15.6%. IV traded above realized volatility by 14.8% (HV 20d: 37.8%). Max pain ranged from $36.00 to $42.00. Net GEX was positive for 22 of 22 trading days. Term structure was in contango for 19 of 22 days. Put/call ratio averaged 1.05.

Notable Days

  • 2015-07-30: Highest Volume — 3,568 contracts
  • 2015-07-13: Largest IV spike — 46.4% change
  • 2015-07-13: Highest IV Rank — 14.7%
  • 2015-07-28: Largest Expected Move — 18.5%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$50.38$46.91$53.59$47.51$50.18
Max Pain$36.64$36.00$42.00$41.00$39.00
ATM IV52.6%42.1%70.7%44.7%48.8%
Expected Move15.6%12.1%18.5%12.8%14.0%
HV 20d37.8%33.2%48.8%48.8%39.0%
HV 60d47.6%41.8%50.6%49.8%42.3%
IV Rank7.7%3.9%14.7%4.9%5.0%
IV Percentile44.9%3.2%88.5%10.7%30.6%
Term Structure4.0%-6.3%12.0%9.6%0.3%
VWIV55.4%40.5%66.8%43.1%48.8%
Skew 25d6.8%-12.8%23.0%4.9%6.8%
Skew 10d14.6%-1.4%29.7%15.4%26.2%
Call IV 25d51.0%37.3%66.4%37.3%43.7%
Put IV 25d57.8%42.1%76.5%42.1%50.5%
Bid-Ask Spread %88.5272.68100.68100.6896.08
Gamma HHI0.180.150.210.190.17
Net GEX890.3K695.4K1.2M998.7K903.4K
Net DEX-59.8M-77.6M-52.0M-53.6M-55.7M
Net VEX-137.4K-154.3K-124.7K-151.5K-135.0K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.050.671.730.951.30
Total Volume2,315.3181,9893,5682,2102,203
Total OI22,034.90920,51423,47622,12522,264

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2015-07-01$47.51$41.0044.7%12.8%48.8%4.9%43.1%4.9%9.6%998.7K-53.6M-151.5K0.95100.68N/AN/A1,1331,07717,0225,103
2015-07-02$47.35$42.0042.1%12.1%44.9%3.9%40.5%7.8%8.4%1.1M-52.0M-151.9K0.6795.92N/AN/A1,6321,08817,0525,158
2015-07-06$48.31$36.0047.0%16.9%42.4%5.7%50.1%9.3%3.1%1.1M-56.3M-154.3K1.0072.68N/AN/A1,1311,13317,5995,150
2015-07-07$48.42$36.0048.7%17.0%40.2%6.4%54.2%7.4%2.6%1.1M-57.0M-149.5K1.0078.19N/AN/A1,1221,11917,6335,188
2015-07-08$46.91$36.0045.5%17.0%37.0%5.1%58.6%4.7%3.1%1.1M-54.1M-146.8K1.0486.85N/AN/A1,1361,17717,6465,194
2015-07-09$47.99$36.0042.6%16.5%37.0%4.1%51.4%8.6%3.4%1.2M-54.9M-150.1K0.9479.14N/AN/A1,2401,16817,6815,275
2015-07-10$48.21$36.0048.3%16.0%36.6%6.2%62.9%23.0%3.6%1.2M-56.5M-146.4K0.9694.85N/AN/A1,2691,21317,8185,275
2015-07-13$50.40$36.0070.7%17.8%38.7%14.7%57.9%9.8%-2.5%879.7K-64.7M-138.7K1.0783.82N/AN/A1,1421,22617,8285,298
2015-07-14$52.00$36.0070.0%17.5%38.9%14.4%63.0%5.5%0.6%794.6K-70.9M-137.2K1.0684.13N/AN/A1,1591,23417,8515,353
2015-07-15$52.10$36.0054.8%15.7%33.9%8.7%63.3%0.6%2.1%739.1K-72.7M-133.6K1.0788.57N/AN/A1,1081,18617,9475,405
2015-07-16$53.34$36.0051.2%14.7%34.4%7.3%56.2%15.8%6.0%751.4K-75.8M-130.2K1.1194.36N/AN/A1,0841,20017,9895,419
2015-07-17$53.59$36.0050.5%14.5%33.2%7.1%51.2%1.5%8.2%738.0K-77.6M-125.9K0.8792.21N/AN/A1,3591,17918,0425,434
2015-07-20$52.50$36.0054.8%15.7%34.5%8.7%53.4%6.1%11.9%695.4K-61.4M-124.7K0.8988.77N/AN/A1,1751,04215,3335,181
2015-07-21$52.02$36.0051.7%14.8%33.9%7.5%52.6%5.6%6.5%779.5K-58.4M-130.6K1.0481.96N/AN/A9921,03615,3775,209
2015-07-22$52.56$36.0051.6%14.8%34.0%7.5%60.0%9.0%3.8%741.5K-58.5M-136.7K1.0994.14N/AN/A9531,03615,4345,262
2015-07-23$51.39$36.0053.2%15.2%35.2%8.1%49.6%5.5%2.2%738.6K-58.0M-129.1K1.0488.08N/AN/A1,0311,07515,4335,262
2015-07-24$51.43$36.0050.7%14.5%33.7%7.1%60.5%10.0%8.0%771.2K-57.2M-130.8K1.0684.79N/AN/A1,0121,06815,4955,288
2015-07-27$49.27$36.0053.9%15.5%37.1%8.3%56.7%-12.8%6.0%791.4K-54.0M-127.8K1.0696.91N/AN/A1,0181,08315,5605,310
2015-07-28$51.85$36.0064.7%18.5%39.9%12.4%66.8%11.0%-4.8%773.4K-56.8M-130.5K1.1083.63N/AN/A9851,08615,5885,328
2015-07-29$50.90$36.0059.7%17.1%38.6%10.5%65.2%6.0%-6.3%779.3K-55.0M-130.6K1.0890.74N/AN/A9891,07015,6555,343
2015-07-30$50.13$36.0052.0%14.9%39.0%6.3%52.7%3.4%12.0%879.9K-53.6M-130.7K1.7391.03N/AN/A1,3052,26315,6975,389
2015-07-31$50.18$39.0048.8%14.0%39.0%5.0%48.8%6.8%0.3%903.4K-55.7M-135.0K1.3096.08N/AN/A9591,24416,0416,223