NBIX Options History — December 2015

In December 2015, NBIX traded between $50.92 and $57.06. ATM implied volatility averaged 73.8%, placing in the 14.6% IV rank vs the trailing year. The 30-day expected move averaged 21.5%. IV traded above realized volatility by 24.2% (HV 20d: 49.6%). Max pain ranged from $35.00 to $55.00. Net GEX was positive for 22 of 22 trading days. Term structure was in contango for 12 of 22 days. Put/call ratio averaged 1.73.

Notable Days

  • 2015-12-18: Highest Volume — 2,478 contracts
  • 2015-12-07: Largest IV spike — 19.9% change
  • 2015-12-14: Highest IV Rank — 17.6%
  • 2015-12-07: Largest Expected Move — 23.5%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$52.95$50.92$57.06$53.25$57.06
Max Pain$38.45$35.00$55.00$55.00$40.00
ATM IV73.8%61.4%81.4%62.4%81.3%
Expected Move21.5%17.6%23.5%17.9%23.3%
HV 20d49.6%40.7%54.1%40.7%51.1%
HV 60d69.2%54.5%75.2%74.6%54.5%
IV Rank14.6%9.9%17.6%10.3%17.6%
IV Percentile79.8%62.3%89.3%65.9%89.3%
Term Structure0.4%-8.8%14.0%9.2%-0.8%
VWIV80.6%65.0%89.3%65.0%83.3%
Skew 25d13.6%-0.8%24.9%7.1%7.0%
Skew 10d27.7%13.4%65.6%15.9%18.0%
Call IV 25d69.8%58.9%77.1%61.4%73.2%
Put IV 25d83.4%68.5%90.3%68.5%80.2%
Bid-Ask Spread %82.9774.2794.5776.1394.57
Gamma HHI0.270.170.550.260.21
Net GEX497.0K226.7K1.0M638.8K395.3K
Net DEX-29.3M-36.9M-22.7M-33.3M-34.9M
Net VEX-65.9K-89.7K-43.3K-89.7K-43.5K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.730.482.550.482.55
Total Volume1,950.6361752,4781752,375
Total OI19,065.77315,51621,13520,35616,707

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2015-12-01$53.25$55.0062.4%17.9%40.7%10.3%65.0%7.1%9.2%638.8K-33.3M-89.7K0.4876.13N/AN/A1185713,5286,828
2015-12-02$52.70$55.0061.4%17.6%40.7%9.9%68.8%9.7%14.0%625.1K-32.8M-86.9K1.6974.27N/AN/A7491,26813,5096,870
2015-12-03$50.92$35.0067.0%21.1%41.8%12.0%81.6%8.2%0.5%474.7K-26.3M-85.0K1.4477.42N/AN/A8951,28813,4306,975
2015-12-04$53.41$35.0061.8%20.6%45.4%10.0%79.3%-0.8%2.2%626.3K-31.4M-79.6K1.4879.18N/AN/A8461,25213,4887,038
2015-12-07$51.42$35.0074.1%23.5%47.4%14.8%81.3%11.7%-8.8%508.8K-27.4M-78.7K2.0477.33N/AN/A11723913,5207,098
2015-12-08$53.04$35.0069.6%21.5%48.4%13.1%88.9%19.4%-4.5%644.2K-30.5M-81.6K1.6479.45N/AN/A7491,22913,5367,135
2015-12-09$51.55$35.0079.6%22.8%49.4%16.9%84.5%12.5%-8.8%541.5K-27.8M-78.9K1.5479.62N/AN/A7361,13513,5687,160
2015-12-10$53.00$35.0078.0%22.4%50.4%16.3%82.1%10.6%-6.3%642.5K-30.7M-80.1K1.5681.73N/AN/A7811,21913,5827,241
2015-12-11$51.52$35.0078.9%22.6%51.3%16.6%84.6%14.1%0.2%524.7K-27.7M-77.5K1.6780.89N/AN/A7291,21513,6287,245
2015-12-14$51.14$35.0081.4%23.3%51.3%17.6%89.3%13.3%-7.4%485.5K-26.8M-72.3K1.7579.53N/AN/A7321,28313,6257,250
2015-12-15$52.86$35.0077.9%22.3%52.7%16.3%85.2%12.6%1.5%666.8K-28.7M-66.8K1.6380.50N/AN/A7621,24113,6267,316
2015-12-16$55.44$35.0076.4%21.9%53.0%15.7%82.5%18.7%2.7%1.0M-36.9M-60.7K1.2286.09N/AN/A1,0511,27913,6557,318
2015-12-17$52.66$35.0071.7%20.5%54.1%13.8%76.4%24.9%8.1%784.2K-29.2M-59.7K1.1282.92N/AN/A1,0561,18713,7107,425
2015-12-18$52.05$35.0073.6%21.1%51.4%14.6%77.4%16.0%-0.7%296.1K-25.9M-56.8K1.3084.95N/AN/A1,0781,40013,6317,444
2015-12-21$51.24$36.0073.6%21.1%51.5%14.6%77.2%17.2%5.7%259.8K-23.8M-55.6K2.2583.78N/AN/A6321,4239,4816,035
2015-12-22$51.06$40.0072.4%20.7%51.2%14.1%78.3%13.8%6.2%226.7K-22.9M-53.5K2.2481.54N/AN/A6381,4299,4876,381
2015-12-23$51.07$40.0074.5%21.4%51.2%14.9%78.5%17.1%-3.6%244.1K-22.7M-57.1K2.0985.16N/AN/A6251,3049,4896,448
2015-12-24$53.25$40.0074.3%21.3%53.0%14.9%79.4%18.0%0.4%259.4K-27.4M-48.6K1.7288.73N/AN/A7551,3019,4906,483
2015-12-28$53.20$40.0076.9%22.1%51.6%15.9%82.5%20.3%6.9%303.6K-27.7M-46.9K2.2889.71N/AN/A6091,3919,6676,509
2015-12-29$56.42$40.0076.4%21.9%52.0%15.6%79.4%11.1%-0.2%370.3K-34.6M-43.3K2.0488.75N/AN/A7601,5539,6696,606
2015-12-30$56.69$40.0079.5%22.8%51.3%16.8%86.8%17.4%-6.8%382.8K-34.7M-46.6K2.3093.06N/AN/A7351,6939,8616,755
2015-12-31$57.06$40.0081.3%23.3%51.1%17.6%83.3%7.0%-0.8%395.3K-34.9M-43.5K2.5594.57N/AN/A6691,7069,7876,920