NBIX Options History — May 2016

In May 2016, NBIX traded between $42.65 and $49.77. ATM implied volatility averaged 63.2%, placing in the 19.7% IV rank vs the trailing year. The 30-day expected move averaged 18.1%. IV traded above realized volatility by 20.3% (HV 20d: 42.8%). Max pain ranged from $35.00 to $45.00. Net GEX was positive for 21 of 21 trading days. Term structure was in contango for 6 of 21 days. Put/call ratio averaged 1.19.

Notable Days

  • 2016-05-31: Highest Volume — 5,439 contracts
  • 2016-05-31: Largest IV drop — 6.4% change
  • 2016-05-04: Highest IV Rank — 22.9%
  • 2016-05-05: Largest Expected Move — 19.4%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$45.50$42.65$49.77$46.76$49.77
Max Pain$39.71$35.00$45.00$45.00$40.00
ATM IV63.2%54.9%67.5%62.4%54.9%
Expected Move18.1%15.7%19.4%17.9%15.7%
HV 20d42.8%38.1%52.0%42.2%52.0%
HV 60d52.6%50.7%56.7%56.5%52.3%
IV Rank19.7%13.8%22.9%19.2%13.8%
IV Percentile49.0%21.0%65.1%50.4%21.0%
Term Structure-1.8%-4.5%1.5%1.0%0.6%
VWIV64.8%56.3%72.0%67.1%56.3%
Skew 25d9.4%7.3%10.8%9.3%7.3%
Skew 10d21.0%15.2%34.1%18.1%23.5%
Call IV 25d58.8%53.6%63.2%59.2%53.6%
Put IV 25d68.2%60.9%72.5%68.5%60.9%
Bid-Ask Spread %59.9045.7570.7868.1269.45
Gamma HHI0.240.170.390.220.39
Net GEX591.0K381.6K1.1M579.2K706.0K
Net DEX-18.0M-30.1M-9.9M-22.5M-25.2M
Net VEX-82.8K-98.5K-75.2K-98.5K-75.7K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.190.631.930.630.81
Total Volume4,089.9052,4205,4395,1825,439
Total OI18,628.09512,04522,29920,14113,267

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2016-05-02$46.76$45.0062.4%17.9%42.2%19.2%67.1%9.3%1.0%579.2K-22.5M-98.5K0.6368.12N/AN/A3,1772,00512,5267,615
2016-05-03$45.08$45.0064.7%18.6%44.6%20.9%68.3%9.3%1.5%516.0K-18.8M-96.4K0.6570.78N/AN/A3,0431,98712,5197,619
2016-05-04$42.99$45.0067.5%19.4%38.9%22.9%72.0%10.0%0.5%399.8K-12.5M-90.5K0.6768.76N/AN/A3,0212,01912,5357,635
2016-05-05$42.72$35.0067.3%19.4%38.3%22.7%66.5%9.2%-4.5%381.9K-11.4M-87.5K0.6746.74N/AN/A3,0112,01612,5207,660
2016-05-06$42.79$35.0066.3%19.3%38.1%22.0%65.6%10.6%-4.5%384.6K-11.4M-86.6K0.6445.75N/AN/A3,0031,92812,5747,682
2016-05-09$44.83$35.0066.6%19.0%39.9%22.2%66.5%10.8%-3.9%522.0K-17.6M-88.4K1.5949.74N/AN/A1,3152,08812,6327,693
2016-05-10$44.60$37.0065.1%18.9%39.6%21.1%66.5%10.3%-4.1%523.7K-16.0M-85.9K1.6551.35N/AN/A1,3192,17912,6857,855
2016-05-11$42.65$37.0066.2%19.0%40.6%21.9%66.5%8.8%-3.2%400.8K-10.7M-80.2K1.9350.35N/AN/A1,3612,62212,7508,086
2016-05-12$42.95$40.0066.0%18.9%40.2%21.8%66.1%10.8%-3.0%381.6K-9.9M-80.7K1.7149.45N/AN/A1,4582,49812,8418,506
2016-05-13$43.67$40.0064.6%18.5%40.9%20.8%65.7%8.6%-2.9%465.7K-12.0M-80.3K1.2854.31N/AN/A1,9552,49613,0428,506
2016-05-16$45.68$40.0064.2%18.4%44.2%20.5%66.3%10.6%-3.5%818.4K-20.2M-82.4K1.4158.01N/AN/A1,8962,66913,5868,503
2016-05-17$45.29$40.0065.2%18.7%44.3%21.2%66.0%9.9%-3.5%767.8K-18.3M-79.5K1.4163.79N/AN/A1,8962,66913,3938,454
2016-05-18$45.35$40.0065.3%18.7%43.9%21.2%65.8%8.5%-3.0%846.7K-18.9M-77.6K1.0559.57N/AN/A2,1582,27213,3978,411
2016-05-19$46.98$40.0062.5%17.9%43.3%19.3%64.3%10.0%-1.7%1.1M-26.2M-83.5K1.1459.69N/AN/A1,9742,26013,7988,494
2016-05-20$47.86$40.0060.7%17.4%43.8%17.9%63.1%8.5%-0.8%591.9K-30.1M-80.8K1.2360.19N/AN/A1,8382,26313,8038,496
2016-05-23$48.09$40.0062.3%17.9%43.8%19.1%64.3%9.2%-2.8%614.7K-21.8M-78.5K1.0463.98N/AN/A1,1841,2369,3792,666
2016-05-24$48.89$40.0058.6%16.8%43.7%16.5%60.0%9.0%0.0%648.4K-23.3M-78.5K1.1069.06N/AN/A1,2791,4139,4052,746
2016-05-25$46.54$40.0058.0%16.6%46.0%16.0%59.1%8.4%0.3%602.0K-18.0M-76.7K1.0966.25N/AN/A1,4251,5539,4442,947
2016-05-26$45.91$40.0059.2%17.0%46.0%16.9%62.9%9.8%-0.4%579.8K-16.5M-75.9K1.4665.65N/AN/A1,1591,6919,4723,143
2016-05-27$46.12$40.0058.7%16.8%45.1%16.5%61.3%8.8%-0.4%589.5K-16.3M-75.2K1.7566.98N/AN/A1,1301,9839,5093,396
2016-05-31$49.77$40.0054.9%15.7%52.0%13.8%56.3%7.3%0.6%706.0K-25.2M-75.7K0.8169.45N/AN/A3,0112,4289,5243,743