NBIX Options History — April 2016

In April 2016, NBIX traded between $41.59 and $49.03. ATM implied volatility averaged 56.6%, placing in the 15.0% IV rank vs the trailing year. The 30-day expected move averaged 16.1%. IV traded above realized volatility by 1.3% (HV 20d: 55.3%). Max pain ranged from $36.00 to $45.00. Net GEX was positive for 21 of 21 trading days. Term structure was in contango for 19 of 21 days. Put/call ratio averaged 1.06.

Notable Days

  • 2016-04-18: Highest Volume — 6,368 contracts
  • 2016-04-11: Largest IV spike — 24.4% change
  • 2016-04-11: Highest IV Rank — 21.9%
  • 2016-04-27: Largest Expected Move — 17.9%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$45.95$41.59$49.03$41.59$45.64
Max Pain$44.10$36.00$45.00$36.00$45.00
ATM IV56.6%48.6%66.1%48.6%61.5%
Expected Move16.1%13.9%17.9%13.9%17.6%
HV 20d55.3%42.8%63.6%63.6%42.8%
HV 60d65.0%57.6%72.6%72.0%57.9%
IV Rank15.0%9.3%21.9%9.3%18.5%
IV Percentile32.7%13.5%61.1%13.5%43.7%
Term Structure2.6%-0.8%8.4%8.4%3.3%
VWIV62.0%50.4%66.1%50.4%66.1%
Skew 25d9.3%6.3%12.4%7.5%7.6%
Skew 10d22.6%15.8%32.6%27.9%18.9%
Call IV 25d52.1%46.2%59.3%46.4%59.3%
Put IV 25d61.4%54.0%67.0%54.0%67.0%
Bid-Ask Spread %62.1050.9472.4772.4769.37
Gamma HHI0.150.090.220.110.21
Net GEX451.2K243.6K620.1K243.6K518.4K
Net DEX-20.4M-28.8M-8.2M-8.2M-19.9M
Net VEX-88.3K-110.3K-59.7K-60.1K-102.1K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.060.532.532.530.58
Total Volume4,918.3333,5486,3683,7155,420
Total OI17,855.61913,75320,08213,75320,065

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2016-04-01$41.59$36.0048.6%13.9%63.6%9.3%50.4%7.5%8.4%243.6K-8.2M-60.1K2.5372.47N/AN/A1,0512,6647,5346,219
2016-04-04$42.95$44.0049.5%15.9%62.8%9.9%62.3%8.9%2.8%266.7K-11.3M-59.7K1.9751.29N/AN/A1,4792,9127,6656,366
2016-04-05$42.90$44.0050.5%15.9%62.8%10.6%63.7%10.0%3.2%265.3K-10.5M-60.7K1.1050.94N/AN/A2,2742,4947,9686,723
2016-04-06$46.26$44.0052.2%15.2%60.9%11.8%63.6%9.4%2.8%339.7K-19.8M-73.8K1.0853.48N/AN/A2,2462,4209,0456,734
2016-04-07$45.20$44.0058.5%16.4%62.0%16.4%63.2%9.1%0.1%424.5K-19.0M-83.2K1.3052.25N/AN/A1,5762,05410,1637,120
2016-04-08$45.52$44.0053.1%15.2%61.9%12.5%61.2%10.4%2.4%466.8K-19.6M-83.8K1.3354.50N/AN/A1,5242,03410,5627,262
2016-04-11$43.91$44.0066.1%16.1%62.9%21.9%61.7%10.4%1.8%431.5K-15.5M-80.2K1.4257.24N/AN/A1,5282,17210,5777,150
2016-04-12$44.61$44.0064.5%15.8%62.9%20.7%63.6%11.8%-0.1%399.9K-17.0M-78.2K1.6755.71N/AN/A1,3792,30410,7007,340
2016-04-13$46.08$44.0052.6%15.1%60.0%12.2%61.2%12.4%1.4%396.4K-21.0M-76.8K1.3957.09N/AN/A1,4822,06610,7117,546
2016-04-14$46.78$44.0051.1%14.6%59.6%11.0%56.6%7.7%1.7%516.0K-24.2M-75.0K1.2360.48N/AN/A2,1552,66010,7067,468
2016-04-15$46.40$44.0051.6%14.8%58.4%11.4%54.0%8.9%-0.8%346.1K-22.6M-84.2K0.8164.94N/AN/A3,3712,72511,1917,927
2016-04-18$46.63$45.0055.3%15.9%56.4%14.1%58.3%9.9%0.6%403.6K-20.1M-91.6K0.5565.97N/AN/A4,1082,2609,8876,695
2016-04-19$46.40$45.0059.7%17.1%56.4%17.2%64.7%9.8%4.4%406.0K-19.7M-96.9K0.5366.46N/AN/A4,1402,18710,3986,887
2016-04-20$47.07$45.0059.8%17.1%54.3%17.3%65.5%10.1%3.0%528.3K-24.1M-107.6K0.7362.92N/AN/A2,8762,08911,7797,006
2016-04-21$49.03$45.0057.2%16.4%45.2%15.4%63.7%7.9%4.6%593.1K-28.8M-107.1K0.7165.18N/AN/A3,3552,37911,8797,008
2016-04-22$48.57$45.0057.1%16.4%45.4%15.4%62.6%6.3%3.1%601.8K-28.0M-110.3K0.7167.65N/AN/A3,3472,37912,2807,338
2016-04-25$48.56$45.0058.7%16.8%45.5%16.5%64.3%8.8%2.4%620.1K-28.0M-107.6K0.7169.84N/AN/A3,3252,37012,2987,342
2016-04-26$47.72$45.0059.9%17.2%45.4%17.4%64.7%10.9%3.4%581.9K-25.7M-106.8K0.6768.16N/AN/A3,4082,26712,3187,343
2016-04-27$46.29$45.0062.3%17.9%47.9%19.1%65.9%8.2%2.0%546.0K-22.4M-103.8K0.5768.25N/AN/A3,4311,96712,3407,346
2016-04-28$46.83$45.0059.3%17.0%44.1%16.9%65.3%9.3%3.1%579.4K-23.8M-104.5K0.5769.94N/AN/A3,4501,95712,5257,557
2016-04-29$45.64$45.0061.5%17.6%42.8%18.5%66.1%7.6%3.3%518.4K-19.9M-102.1K0.5869.37N/AN/A3,4291,99112,4847,581