NBIX Options History — February 2016

In February 2016, NBIX traded between $32.23 and $43.07. ATM implied volatility averaged 75.7%, placing in the 28.7% IV rank vs the trailing year. The 30-day expected move averaged 21.1%. IV traded below realized volatility by 2.4% (HV 20d: 78.1%). Max pain ranged from $37.00 to $48.00. Net GEX was positive for 13 of 20 trading days. Term structure was in contango for 6 of 20 days. Put/call ratio averaged 1.30.

Notable Days

  • 2016-02-18: Highest Volume — 9,183 contracts
  • 2016-02-10: Largest IV drop — 31.9% change
  • 2016-02-09: Highest IV Rank — 51.8%
  • 2016-02-09: Largest Expected Move — 27.8%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$36.81$32.23$43.07$43.07$36.88
Max Pain$40.40$37.00$48.00$48.00$37.00
ATM IV75.7%59.5%107.8%85.4%63.4%
Expected Move21.1%17.0%27.8%24.5%18.2%
HV 20d78.1%68.7%91.1%83.8%69.6%
HV 60d68.1%61.6%70.1%61.6%69.3%
IV Rank28.7%17.1%51.8%35.7%19.9%
IV Percentile71.4%46.8%96.8%91.3%56.3%
Term Structure-3.1%-12.4%2.2%-8.5%-2.2%
VWIV77.0%67.5%93.7%88.8%69.3%
Skew 25d13.4%9.4%22.9%12.4%13.4%
Skew 10d28.6%22.0%49.6%25.5%24.2%
Call IV 25d66.7%52.3%86.8%80.4%56.3%
Put IV 25d80.2%66.2%107.6%92.8%69.7%
Bid-Ask Spread %51.6826.9369.1160.0767.30
Gamma HHI0.210.100.320.120.23
Net GEX219.0K-119.5K664.2K2.6K504.8K
Net DEX1.8M-6.9M11.5M2.0M-4.6M
Net VEX-80.7K-108.1K-35.0K-51.9K-88.5K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.300.332.001.321.62
Total Volume6,055.91,0989,1831,1818,300
Total OI24,209.111,00633,39011,00627,392

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2016-02-01$43.07$48.0085.4%24.5%83.8%35.7%88.8%12.4%-8.5%2.6K2.0M-51.9K1.3260.07N/AN/A5106716,2204,786
2016-02-02$39.20$48.0093.3%26.8%84.4%41.4%90.2%10.1%-12.4%-62.5K5.1M-44.9K0.9954.72N/AN/A5515476,3084,785
2016-02-03$39.39$47.0093.2%26.7%84.2%41.3%93.7%14.6%-11.1%-72.9K5.6M-43.9K1.4243.90N/AN/A5237456,4264,778
2016-02-04$37.06$46.0095.7%24.0%84.9%43.1%82.4%11.5%-5.3%-96.6K7.4M-39.2K1.4126.93N/AN/A5587846,4944,882
2016-02-05$36.05$46.0088.9%24.4%84.4%38.2%84.9%15.7%-5.0%-115.8K8.7M-35.0K1.0629.76N/AN/A3,7033,9096,5504,923
2016-02-08$32.53$43.00105.7%26.6%89.9%50.3%89.5%21.4%-7.3%-94.9K11.5M-48.5K0.6829.58N/AN/A4,5603,0819,7058,034
2016-02-09$32.23$43.00107.8%27.8%89.7%51.8%93.5%22.9%-10.1%-64.0K10.3M-75.1K0.7330.54N/AN/A4,5613,35213,67910,164
2016-02-10$33.68$43.0073.4%21.0%91.1%27.1%67.9%13.9%-1.2%-119.5K11.3M-83.1K0.3347.17N/AN/A6,6472,22015,78712,410
2016-02-11$35.52$37.0074.2%21.3%89.3%27.7%74.0%12.1%-3.0%89.1K4.5M-103.0K0.9047.39N/AN/A3,5923,24818,04013,098
2016-02-12$35.82$37.0066.9%19.2%71.7%22.4%67.5%12.6%1.7%157.4K3.3M-105.0K0.7649.24N/AN/A3,8932,96518,78513,234
2016-02-16$36.85$37.0067.6%19.4%73.2%22.9%70.0%11.8%2.0%278.3K572.5K-106.0K0.8353.98N/AN/A3,4732,88719,29213,529
2016-02-17$38.12$37.0064.7%18.5%74.8%20.8%67.6%13.2%1.2%425.9K-3.4M-108.1K1.0053.34N/AN/A2,6502,66119,37913,484
2016-02-18$36.42$37.0064.5%18.5%68.7%20.7%67.8%9.4%0.4%319.1K1.7M-97.9K1.6455.55N/AN/A3,4845,69919,69313,493
2016-02-19$37.60$37.0060.3%17.3%70.7%17.7%70.0%12.3%2.1%544.8K-1.3M-106.2K1.9859.32N/AN/A3,0115,97020,67012,720
2016-02-22$37.43$37.0060.9%17.5%70.1%18.1%68.8%11.4%-1.3%566.6K-6.5M-99.9K1.5862.52N/AN/A2,6324,15116,05710,693
2016-02-23$36.04$37.0063.7%18.3%70.3%20.1%71.6%11.7%-2.3%375.0K-2.9M-93.7K1.8362.75N/AN/A2,2724,15916,20710,710
2016-02-24$37.07$37.0063.0%18.1%71.5%19.6%73.4%11.3%-0.6%544.5K-5.4M-95.9K2.0066.34N/AN/A2,1334,27516,39210,727
2016-02-25$37.20$37.0061.6%17.6%69.7%18.6%73.9%12.6%-1.2%534.6K-5.4M-94.8K1.9664.05N/AN/A2,1464,20816,45910,840
2016-02-26$38.02$37.0059.5%17.0%69.2%17.1%74.5%14.6%2.2%664.2K-6.9M-94.3K1.9369.11N/AN/A2,1784,20916,46910,888
2016-02-29$36.88$37.0063.4%18.2%69.6%19.9%69.3%13.4%-2.2%504.8K-4.6M-88.5K1.6267.30N/AN/A3,1645,13616,48810,904