NBIX Options History — August 2015

In August 2015, NBIX traded between $41.47 and $50.41. ATM implied volatility averaged 59.0%, placing in the 9.0% IV rank vs the trailing year. The 30-day expected move averaged 16.8%. IV traded above realized volatility by 15.6% (HV 20d: 43.4%). Max pain ranged from $40.00 to $50.00. Net GEX was positive for 21 of 21 trading days. Term structure was in contango for 17 of 21 days. Put/call ratio averaged 0.84.

Notable Days

  • 2015-08-05: Highest Volume — 3,923 contracts
  • 2015-08-24: Largest IV spike — 25.3% change
  • 2015-08-24: Highest IV Rank — 17.4%
  • 2015-08-24: Largest Expected Move — 23.2%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$46.17$41.47$50.41$48.99$46.45
Max Pain$45.67$40.00$50.00$40.00$44.00
ATM IV59.0%46.2%81.0%48.8%63.4%
Expected Move16.8%13.8%23.2%14.0%18.2%
HV 20d43.4%38.1%51.1%39.5%50.5%
HV 60d43.4%41.3%46.1%42.5%43.9%
IV Rank9.0%4.0%17.4%5.1%10.7%
IV Percentile65.2%15.5%90.9%31.0%81.3%
Term Structure5.6%-11.8%16.9%4.9%-0.8%
VWIV59.0%45.3%84.1%51.6%65.2%
Skew 25d6.9%-2.9%32.9%-1.9%6.2%
Skew 10d19.7%-7.8%50.1%-7.8%20.2%
Call IV 25d56.4%43.0%78.5%51.6%56.1%
Put IV 25d63.3%49.5%101.0%49.6%62.3%
Bid-Ask Spread %83.5263.4997.8597.8586.30
Gamma HHI0.160.150.200.170.18
Net GEX1.0M282.9K1.9M971.2K512.0K
Net DEX-38.8M-56.6M-19.4M-51.2M-31.7M
Net VEX-134.5K-144.8K-120.7K-133.5K-130.1K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.840.061.440.061.32
Total Volume2,544.6191073,9237132,091
Total OI23,638.23818,03527,56822,38619,333

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2015-08-03$48.99$40.0048.8%14.0%39.5%5.1%51.6%-1.9%4.9%971.2K-51.2M-133.5K0.0697.85N/AN/A6743916,0956,291
2015-08-04$49.61$40.0050.1%14.4%39.8%5.5%51.6%9.2%2.7%1.1M-51.9M-138.1K1.0792.70N/AN/A1,0971,17516,6926,323
2015-08-05$50.41$40.0048.2%13.8%38.1%4.8%48.7%3.4%2.9%977.6K-56.6M-136.4K0.5189.95N/AN/A2,5951,32816,7896,385
2015-08-06$47.26$50.0046.2%15.2%44.4%4.0%45.3%10.5%16.9%1.3M-47.5M-142.8K0.6684.84N/AN/A1,9471,28117,8826,517
2015-08-07$46.45$50.0055.4%16.1%44.7%7.6%49.8%13.7%14.2%1.2M-41.3M-144.8K0.5780.30N/AN/A2,2721,28818,4616,515
2015-08-10$46.23$50.0068.3%16.2%41.2%12.5%54.6%12.1%8.5%1.2M-42.4M-142.2K0.9771.44N/AN/A1,4361,39618,8266,536
2015-08-11$45.64$50.0067.1%17.3%39.1%12.1%55.2%1.1%5.1%1.2M-39.8M-141.2K0.1177.32N/AN/A1671818,8826,685
2015-08-12$46.07$50.0058.9%16.9%39.4%8.9%54.3%1.5%11.1%1.3M-38.1M-138.7K1.0267.14N/AN/A1,4411,47318,9376,704
2015-08-13$46.91$50.0056.4%16.2%38.9%8.0%56.9%7.9%12.4%1.4M-43.7M-142.7K1.1763.49N/AN/A1,2961,51519,0046,856
2015-08-14$45.81$49.0056.0%16.1%39.1%7.8%54.7%-2.4%-0.6%1.3M-38.5M-139.1K0.6795.51N/AN/A2,3391,56219,1856,907
2015-08-17$47.94$45.0052.0%14.9%43.1%6.3%52.8%6.4%6.8%1.9M-48.2M-135.3K0.6285.83N/AN/A2,3381,45820,2036,951
2015-08-18$47.03$45.0057.6%16.5%43.4%8.4%60.3%2.0%7.3%1.9M-52.1M-137.1K0.6180.09N/AN/A2,3701,44820,3427,010
2015-08-19$46.75$45.0055.3%15.8%43.0%7.5%58.4%5.0%7.1%1.9M-46.2M-136.2K0.3482.90N/AN/A802720,4267,012
2015-08-20$44.45$45.0055.8%16.0%45.5%7.7%56.9%2.8%11.1%1.7M-36.4M-128.6K0.5488.29N/AN/A2,3971,29520,5017,027
2015-08-21$43.91$45.0064.7%18.5%45.4%11.1%65.4%1.6%8.3%361.0K-27.9M-126.1K0.9493.79N/AN/A1,5021,40520,5367,032
2015-08-24$41.74$45.0081.0%23.2%46.3%17.4%84.1%26.4%-11.8%282.9K-19.4M-120.7K1.0986.95N/AN/A1,0951,19213,0524,983
2015-08-25$41.47$44.0068.3%19.6%40.7%12.5%70.9%3.0%9.2%319.6K-20.8M-121.8K1.1689.26N/AN/A1,0141,18113,3725,143
2015-08-26$43.93$44.0069.5%19.9%47.3%13.0%71.6%32.9%-4.9%371.8K-22.9M-125.6K1.4280.69N/AN/A8541,21113,6705,141
2015-08-27$46.00$44.0063.4%18.2%50.8%10.7%69.0%-2.9%0.9%439.6K-28.6M-131.4K1.2967.74N/AN/A9251,19013,7845,178
2015-08-28$46.55$44.0051.9%14.9%51.1%6.3%61.9%5.3%7.0%456.9K-29.8M-131.9K1.4491.60N/AN/A8291,19614,0005,235
2015-08-31$46.45$44.0063.4%18.2%50.5%10.7%65.2%6.2%-0.8%512.0K-31.7M-130.1K1.3286.30N/AN/A9021,18914,0685,265