NBIX Options History — June 2016

In June 2016, NBIX traded between $41.75 and $52.01. ATM implied volatility averaged 54.6%, placing in the 13.2% IV rank vs the trailing year. The 30-day expected move averaged 15.6%. IV traded above realized volatility by 5.8% (HV 20d: 48.9%). Max pain ranged from $42.00 to $49.00. Net GEX was positive for 22 of 22 trading days. Term structure was in contango for 14 of 22 days. Put/call ratio averaged 1.57.

Notable Days

  • 2016-06-23: Highest Volume — 7,667 contracts
  • 2016-06-27: Largest IV spike — 44.9% change
  • 2016-06-27: Highest IV Rank — 25.2%
  • 2016-06-27: Largest Expected Move — 20.3%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$46.71$41.75$52.01$49.42$45.37
Max Pain$46.59$42.00$49.00$42.00$44.00
ATM IV54.6%46.9%70.8%57.1%48.7%
Expected Move15.6%13.4%20.3%16.4%14.0%
HV 20d48.9%46.6%51.5%50.0%47.3%
HV 60d49.1%44.8%52.3%52.3%44.8%
IV Rank13.2%5.0%25.2%15.4%5.0%
IV Percentile19.6%3.2%70.6%23.8%4.4%
Term Structure1.1%-5.6%11.9%-0.3%4.0%
VWIV56.7%47.3%64.0%60.9%48.1%
Skew 25d9.1%3.2%20.1%7.8%7.9%
Skew 10d17.5%11.7%25.7%25.7%13.9%
Call IV 25d49.8%40.0%54.7%52.8%48.1%
Put IV 25d58.8%50.9%69.6%60.5%56.0%
Bid-Ask Spread %55.4535.89107.8778.38107.87
Gamma HHI0.230.120.340.310.17
Net GEX953.5K447.7K1.6M739.8K1.6M
Net DEX-24.6M-42.0M-9.1M-28.0M-28.1M
Net VEX-119.0K-151.2K-96.4K-101.9K-148.9K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.570.433.871.303.43
Total Volume4,000.3182,9707,6673,5662,994
Total OI19,955.68214,04024,93515,81624,765

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2016-06-01$49.42$42.0057.1%16.4%50.0%15.4%60.9%7.8%-0.3%739.8K-28.0M-101.9K1.3078.38N/AN/A1,5502,01611,4794,337
2016-06-02$50.76$48.0053.9%16.0%46.6%13.1%64.0%8.9%1.0%789.8K-31.8M-104.0K1.0537.45N/AN/A1,8841,98411,7744,323
2016-06-03$49.65$49.0055.4%15.8%47.6%14.2%62.8%7.9%2.0%800.7K-30.5M-111.8K1.5537.90N/AN/A1,2571,95112,3954,356
2016-06-06$51.93$49.0057.4%15.9%49.3%15.6%60.5%8.5%1.2%855.9K-37.9M-108.0K0.9939.75N/AN/A2,0081,97912,4474,353
2016-06-07$51.25$49.0057.1%15.8%47.9%15.4%62.6%7.3%0.3%915.0K-38.3M-116.5K0.9545.17N/AN/A2,0271,93413,2484,419
2016-06-08$52.01$48.0053.3%15.3%47.8%12.6%61.6%7.7%1.4%972.9K-42.0M-125.0K1.3944.95N/AN/A1,5692,17513,9914,439
2016-06-09$50.00$48.0052.9%15.2%47.1%12.4%59.0%7.9%0.2%1.1M-35.7M-124.2K1.6148.57N/AN/A1,3592,18614,3184,658
2016-06-10$48.35$48.0054.3%15.6%49.3%13.4%61.8%9.9%0.4%1.0M-28.3M-120.8K1.6741.85N/AN/A1,3602,26914,3624,683
2016-06-13$46.53$48.0057.7%16.5%51.5%15.8%57.0%9.0%-0.8%866.4K-21.4M-110.7K0.8235.89N/AN/A2,7452,26114,3594,707
2016-06-14$46.45$48.0058.1%16.7%49.1%16.1%57.9%10.5%-0.3%992.8K-23.4M-118.8K1.2938.34N/AN/A1,7172,20916,3564,935
2016-06-15$46.57$48.0057.0%16.3%49.0%15.3%58.0%8.1%-0.6%1.0M-24.6M-117.1K1.2842.04N/AN/A1,7082,19116,4024,955
2016-06-16$46.14$48.0058.2%16.7%49.2%16.2%57.0%9.5%-0.2%756.8K-20.7M-109.9K1.0936.43N/AN/A1,7641,91516,4184,959
2016-06-17$44.34$48.0059.3%17.0%49.4%17.0%58.0%8.2%-1.2%463.2K-14.1M-101.4K2.6338.22N/AN/A8682,28216,4244,921
2016-06-20$44.32$49.0052.0%14.9%48.8%11.7%49.6%7.8%0.7%447.7K-11.3M-98.7K0.6543.39N/AN/A2,9851,95510,8923,148
2016-06-21$42.78$47.0050.9%14.6%49.9%11.0%47.9%10.1%0.3%557.9K-9.1M-96.4K0.5340.25N/AN/A4,3282,27713,2413,512
2016-06-22$42.75$44.0051.2%14.7%49.2%11.1%47.3%7.4%-0.1%834.8K-13.2M-113.8K1.3846.88N/AN/A1,3511,86915,8783,938
2016-06-23$44.57$44.0046.9%13.4%49.4%8.0%48.2%6.6%2.6%1.1M-19.5M-127.1K0.4355.52N/AN/A5,3562,31116,4484,009
2016-06-24$43.29$44.0048.8%14.0%50.2%9.4%56.6%3.2%11.9%1.2M-19.7M-142.6K1.4195.19N/AN/A1,6282,29120,4264,091
2016-06-27$41.75$44.0070.8%20.3%51.4%25.2%60.9%17.3%6.5%1.1M-18.3M-136.5K2.5793.24N/AN/A9082,33820,6584,277
2016-06-28$43.94$44.0050.1%14.4%46.8%8.5%56.6%20.1%-5.6%1.3M-18.2M-132.9K3.8792.09N/AN/A6102,36020,5594,265
2016-06-29$45.38$44.0051.2%14.7%48.7%9.3%50.6%7.7%0.7%1.6M-28.1M-151.2K2.6380.55N/AN/A9032,37520,5904,310
2016-06-30$45.37$44.0048.7%14.0%47.3%5.0%48.1%7.9%4.0%1.6M-28.1M-148.9K3.43107.87N/AN/A6762,31820,4554,310