NBIX Options History — November 2015

In November 2015, NBIX traded between $51.56 and $57.63. ATM implied volatility averaged 61.4%, placing in the 9.9% IV rank vs the trailing year. The 30-day expected move averaged 17.5%. IV traded above realized volatility by 11.3% (HV 20d: 50.1%). Max pain ranged from $45.00 to $55.00. Net GEX was positive for 20 of 20 trading days. Term structure was in contango for 16 of 20 days. Put/call ratio averaged 1.21.

Notable Days

  • 2015-11-20: Highest Volume — 7,373 contracts
  • 2015-11-10: Largest IV spike — 8.6% change
  • 2015-11-11: Highest IV Rank — 11.1%
  • 2015-11-11: Largest Expected Move — 18.5%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$53.74$51.56$57.63$52.37$54.37
Max Pain$48.40$45.00$55.00$45.00$55.00
ATM IV61.4%57.7%64.6%64.5%63.8%
Expected Move17.5%16.5%18.5%18.5%18.3%
HV 20d50.1%38.8%74.1%74.1%44.6%
HV 60d75.0%73.7%76.2%76.2%74.5%
IV Rank9.9%8.5%11.1%11.1%10.8%
IV Percentile64.7%55.2%71.4%71.0%70.2%
Term Structure4.7%-4.9%15.7%0.9%9.5%
VWIV64.1%56.7%68.8%63.7%63.3%
Skew 25d7.4%5.2%11.7%6.8%5.8%
Skew 10d15.5%10.7%28.0%25.7%14.9%
Call IV 25d57.8%54.3%61.4%60.5%61.4%
Put IV 25d65.3%61.6%67.3%67.3%67.3%
Bid-Ask Spread %70.2959.4289.4077.8976.51
Gamma HHI0.290.190.700.190.21
Net GEX1.1M285.4K1.8M1.3M443.3K
Net DEX-62.0M-90.5M-31.3M-63.3M-32.7M
Net VEX-95.5K-131.9K-72.2K-131.9K-82.2K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.210.052.741.800.09
Total Volume2,903.051697,3733,0332,380
Total OI32,408.416,47538,46137,49718,252

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2015-11-02$52.37$45.0064.5%18.5%74.1%11.1%63.7%6.8%0.9%1.3M-63.3M-131.9K1.8077.89N/AN/A1,0851,94823,65313,844
2015-11-03$52.90$45.0061.5%17.6%68.4%9.9%62.4%8.8%-1.8%1.3M-68.3M-127.1K2.0588.68N/AN/A9832,02023,61513,832
2015-11-04$53.90$45.0059.3%17.0%66.5%9.1%62.8%11.7%3.2%1.4M-73.2M-116.7K2.3589.40N/AN/A7741,82223,63013,913
2015-11-05$53.60$48.0063.8%16.8%56.9%10.8%66.6%8.8%-0.6%1.3M-71.7M-121.4K2.4568.53N/AN/A7541,84523,64313,942
2015-11-06$53.49$48.0062.1%17.0%54.3%10.1%64.7%7.6%8.0%1.3M-72.5M-116.4K0.2067.74N/AN/A2014023,64213,954
2015-11-09$52.52$48.0059.1%17.4%54.9%9.0%0.0%5.2%0.6%1.4M-68.8M-104.1K0.5266.03N/AN/A1115823,65613,958
2015-11-10$52.45$48.0064.1%18.2%54.9%10.9%64.5%8.5%-4.0%1.4M-67.0M-104.0K2.0371.51N/AN/A8431,71323,63413,985
2015-11-11$52.02$48.0064.6%18.5%53.7%11.1%66.5%6.5%-4.9%1.4M-65.7M-104.1K2.0371.10N/AN/A8431,71323,68814,094
2015-11-12$51.56$48.0063.0%18.1%44.7%10.5%66.0%7.6%4.0%1.4M-63.5M-97.9K2.0959.42N/AN/A8131,70223,66114,226
2015-11-13$52.05$48.0062.1%17.8%44.1%10.1%65.3%5.5%3.7%1.4M-67.9M-94.1K1.3361.33N/AN/A1,3331,77323,68314,256
2015-11-16$51.92$48.0062.0%17.8%43.4%10.1%62.3%6.2%7.7%1.4M-65.4M-80.5K0.1963.51N/AN/A61411823,63414,239
2015-11-17$54.30$48.0058.9%16.9%40.4%8.9%67.1%7.4%9.5%1.8M-82.5M-73.1K0.3665.67N/AN/A4,8911,76424,12214,339
2015-11-18$56.44$48.0058.6%16.8%41.8%8.8%68.8%6.1%10.7%1.5M-90.5M-72.2K0.5966.24N/AN/A2,9551,73421,73014,344
2015-11-19$53.69$48.0060.1%17.2%46.8%9.4%62.4%6.5%2.5%1.7M-76.9M-73.0K0.6162.72N/AN/A4,5132,73421,73014,366
2015-11-20$54.07$50.0057.7%16.5%46.6%8.5%65.2%7.0%15.7%285.4K-75.7M-81.8K0.5766.61N/AN/A4,6902,68322,64115,353
2015-11-23$54.84$50.0061.1%17.5%45.0%9.8%56.7%9.3%5.6%322.6K-31.6M-82.7K1.1267.72N/AN/A9510610,0536,422
2015-11-24$54.77$50.0061.9%17.7%43.3%10.1%61.1%8.8%5.8%325.2K-31.3M-81.8K0.0568.31N/AN/A2821510,1146,459
2015-11-25$55.90$50.0061.7%17.7%39.4%10.0%67.9%6.0%6.9%378.1K-33.1M-83.5K2.7470.91N/AN/A6511,78310,3726,474
2015-11-27$57.63$50.0059.2%17.0%38.8%9.0%60.2%8.2%10.9%404.0K-37.8M-82.0K1.1275.95N/AN/A1,7371,94210,5016,514
2015-11-30$54.37$55.0063.8%18.3%44.6%10.8%63.3%5.8%9.5%443.3K-32.7M-82.2K0.0976.51N/AN/A2,18119911,5626,690