NBIX Options History — July 2016

In July 2016, NBIX traded between $45.31 and $50.83. ATM implied volatility averaged 49.1%, placing in the 5.7% IV rank vs the trailing year. The 30-day expected move averaged 13.0%. IV traded above realized volatility by 9.8% (HV 20d: 39.2%). Max pain ranged from $38.00 to $44.00. Net GEX was positive for 20 of 20 trading days. Term structure was in contango for 13 of 20 days. Put/call ratio averaged 2.28.

Notable Days

  • 2016-07-26: Highest Volume — 5,079 contracts
  • 2016-07-07: Largest IV spike — 46.3% change
  • 2016-07-07: Highest IV Rank — 34.9%
  • 2016-07-05: Largest Expected Move — 15.8%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$48.20$45.31$50.83$45.31$50.21
Max Pain$40.80$38.00$44.00$44.00$42.00
ATM IV49.1%40.6%88.7%44.8%48.5%
Expected Move13.0%11.6%15.8%12.8%13.9%
HV 20d39.2%26.5%47.0%47.0%26.5%
HV 60d44.1%41.7%44.8%44.5%41.7%
IV Rank5.7%0.0%34.9%2.0%5.9%
IV Percentile11.9%0.0%89.3%0.8%7.1%
Term Structure2.6%-5.1%13.7%5.9%-4.5%
VWIV46.1%42.8%52.3%46.6%45.1%
Skew 25d2.0%-6.2%7.7%-2.4%-5.9%
Skew 10d12.4%-16.6%28.4%16.5%-16.6%
Call IV 25d46.5%42.9%51.1%51.1%48.3%
Put IV 25d48.4%41.5%56.4%48.8%42.4%
Bid-Ask Spread %92.1978.63105.0590.23105.05
Gamma HHI0.280.160.360.170.33
Net GEX1.8M1.1M2.9M1.7M1.5M
Net DEX-34.5M-48.2M-23.1M-27.3M-35.3M
Net VEX-129.2K-149.4K-114.4K-145.0K-115.0K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio2.280.343.162.871.19
Total Volume2,628.91,6155,0792,9952,361
Total OI21,711.217,97925,34924,83818,230

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2016-07-01$45.31$44.0044.8%12.8%47.0%2.0%46.6%-2.4%5.9%1.7M-27.3M-145.0K2.8790.23N/AN/A7732,22220,4974,341
2016-07-05$45.86$38.0049.9%15.8%43.7%5.5%52.3%3.9%-2.6%1.8M-28.2M-140.2K3.0892.72N/AN/A7222,22220,4544,352
2016-07-06$47.77$38.0060.6%14.4%46.7%13.6%52.0%6.0%1.4%2.1M-38.9M-148.7K2.6978.63N/AN/A8192,20120,4414,352
2016-07-07$47.97$38.0088.7%13.9%46.3%34.9%45.1%7.6%4.4%1.9M-42.6M-149.4K2.5694.50N/AN/A7902,02520,4424,337
2016-07-08$48.61$38.0073.1%13.0%44.7%23.1%43.4%6.4%3.2%2.0M-43.9M-148.4K2.5583.25N/AN/A8212,09320,4324,466
2016-07-11$48.70$38.0043.5%12.3%43.0%0.0%45.7%7.7%7.6%2.6M-48.2M-140.8K2.3887.95N/AN/A8822,09920,4784,426
2016-07-12$48.41$40.0043.8%13.2%40.6%0.2%48.7%3.5%5.6%2.9M-44.7M-136.0K3.0688.49N/AN/A7412,27120,6174,422
2016-07-13$46.56$41.0042.0%12.0%43.2%0.0%50.6%5.6%5.3%2.7M-35.6M-127.7K2.9488.75N/AN/A7262,13720,6774,404
2016-07-14$46.13$41.0042.9%12.3%43.3%0.7%44.1%2.3%8.8%2.3M-29.9M-123.0K2.9790.03N/AN/A6812,02420,7174,445
2016-07-15$46.37$41.0040.6%11.6%43.2%0.0%43.7%0.7%13.7%1.1M-26.6M-114.4K2.6998.80N/AN/A7632,05620,7084,641
2016-07-18$46.95$41.0044.8%12.8%40.7%3.1%42.8%4.3%-0.6%1.2M-23.1M-116.2K2.0390.49N/AN/A7171,45714,8483,131
2016-07-19$47.23$42.0041.7%12.0%40.7%0.8%45.2%2.5%10.9%1.2M-24.7M-120.5K2.2698.70N/AN/A5751,29914,9983,332
2016-07-20$48.85$42.0044.3%12.7%39.4%2.7%45.6%-6.2%-2.7%1.4M-28.8M-122.0K1.7898.61N/AN/A7301,29615,0593,387
2016-07-21$49.05$42.0045.3%13.0%39.3%3.5%44.9%3.3%-2.5%1.4M-33.2M-126.8K1.4194.77N/AN/A9231,29915,1783,387
2016-07-22$49.49$42.0043.9%12.6%37.1%2.4%45.9%1.0%2.3%1.4M-34.1M-125.8K2.5591.95N/AN/A5091,29915,3563,392
2016-07-25$49.73$42.0047.2%13.5%34.8%4.9%47.3%-0.0%-0.2%1.5M-35.3M-124.2K3.1687.30N/AN/A3881,22715,3403,392
2016-07-26$49.65$42.0044.5%12.8%31.1%2.9%44.7%0.9%0.4%1.5M-35.3M-123.2K0.3490.35N/AN/A3,7981,28115,3373,371
2016-07-27$50.83$42.0047.4%13.6%27.4%5.1%43.6%1.4%-5.1%1.7M-38.7M-118.1K1.7893.28N/AN/A7181,28015,2933,373
2016-07-28$50.23$42.0043.4%12.4%26.5%2.1%44.5%-3.5%1.4%1.5M-35.9M-118.8K1.2099.98N/AN/A1,0701,28314,8013,370
2016-07-29$50.21$42.0048.5%13.9%26.5%5.9%45.1%-5.9%-4.5%1.5M-35.3M-115.0K1.19105.05N/AN/A1,0781,28314,8633,367