NBIX Options History — September 2016

In September 2016, NBIX traded between $49.41 and $54.67. ATM implied volatility averaged 42.1%, placing in the 7.5% IV rank vs the trailing year. The 30-day expected move averaged 11.7%. IV traded above realized volatility by 10.2% (HV 20d: 31.9%). Max pain ranged from $45.00 to $50.00. Net GEX was positive for 21 of 21 trading days. Term structure was in contango for 17 of 21 days. Put/call ratio averaged 1.10.

Notable Days

  • 2016-09-12: Highest Volume — 1,532 contracts
  • 2016-09-12: Largest IV spike — 124.8% change
  • 2016-09-12: Highest IV Rank — 43.1%
  • 2016-09-09: Largest Expected Move — 13.5%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$51.93$49.41$54.67$49.94$50.56
Max Pain$47.86$45.00$50.00$50.00$50.00
ATM IV42.1%31.4%93.3%31.4%46.5%
Expected Move11.7%9.0%13.5%9.0%13.3%
HV 20d31.9%26.5%36.0%34.3%28.0%
HV 60d32.2%28.8%36.0%36.0%29.0%
IV Rank7.5%0.0%43.1%0.0%10.5%
IV Percentile10.9%0.0%92.1%0.0%19.4%
Term Structure4.2%-7.2%22.4%11.9%-7.2%
VWIV40.1%33.2%45.1%33.2%43.4%
Skew 25d5.1%-1.8%20.6%20.6%2.3%
Skew 10d8.9%-3.3%21.6%10.1%7.2%
Call IV 25d38.4%30.5%43.8%30.8%39.9%
Put IV 25d43.5%39.1%51.6%51.5%42.1%
Bid-Ask Spread %98.9673.93114.44114.16105.76
Gamma HHI0.360.340.400.350.36
Net GEX1.1M946.7K1.4M971.5K1.0M
Net DEX-24.1M-32.6M-18.0M-18.2M-20.9M
Net VEX-86.9K-90.3K-80.9K-89.7K-85.9K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.100.532.330.691.33
Total Volume1,221.4298061,5321,3501,304
Total OI12,682.95211,73913,64412,41513,078

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2016-09-01$49.94$50.0031.4%9.0%34.3%0.0%33.2%20.6%11.9%971.5K-18.2M-89.7K0.69114.16N/AN/A80055010,3082,107
2016-09-02$49.41$50.0035.9%10.3%34.5%3.2%40.0%-0.3%11.8%970.6K-18.7M-90.2K0.73114.44N/AN/A75055010,5532,147
2016-09-06$50.69$45.0036.8%12.7%34.0%3.8%40.0%7.4%2.3%1.1M-21.5M-90.3K0.6973.93N/AN/A79255010,7212,147
2016-09-07$50.66$45.0040.3%13.2%34.0%6.2%43.1%10.5%6.2%1.1M-21.2M-90.2K0.76105.24N/AN/A71454610,8052,147
2016-09-08$50.57$45.0038.0%12.5%31.8%4.6%39.7%3.7%3.6%1.1M-21.1M-89.5K0.8991.79N/AN/A59853110,8602,149
2016-09-09$49.49$45.0041.5%13.5%32.6%7.1%43.6%-0.1%-5.2%1.1M-18.0M-84.7K0.5487.27N/AN/A98652910,8672,154
2016-09-12$51.11$45.0093.3%12.6%34.4%43.1%38.3%2.5%13.1%1.2M-21.2M-81.0K0.53100.66N/AN/A1,00153110,8532,155
2016-09-13$50.42$45.0051.5%13.0%34.8%14.0%43.1%5.8%1.4%1.3M-22.5M-89.5K0.8997.21N/AN/A56049711,4262,159
2016-09-14$51.52$45.0032.6%9.4%35.1%0.9%38.7%20.5%22.4%1.4M-23.8M-84.2K1.08114.03N/AN/A46149711,4542,159
2016-09-15$52.72$45.0036.8%10.5%35.3%3.8%37.0%-0.3%-3.8%1.3M-27.1M-86.5K0.9798.83N/AN/A51249611,4772,159
2016-09-16$53.98$45.0039.6%11.4%36.0%5.8%40.4%5.3%2.9%971.5K-32.6M-87.0K0.5979.01N/AN/A87852011,4872,157
2016-09-19$54.10$50.0036.8%10.6%35.9%3.8%36.1%5.5%3.5%975.2K-28.5M-87.1K1.44103.03N/AN/A3314759,7921,947
2016-09-20$54.67$50.0040.9%11.7%30.8%6.6%40.3%6.1%2.0%987.0K-30.2M-87.4K1.3399.68N/AN/A6078069,8391,947
2016-09-21$54.27$50.0044.8%12.9%31.0%9.4%45.1%8.3%3.5%1.0M-27.9M-87.6K1.65107.35N/AN/A43071110,0931,777
2016-09-22$54.13$50.0040.5%11.6%27.1%6.4%37.9%0.8%2.8%1.1M-29.3M-88.6K1.44106.90N/AN/A46667210,1551,957
2016-09-23$53.96$50.0039.0%11.2%26.5%5.3%39.2%1.9%3.8%1.0M-28.7M-87.8K1.6191.77N/AN/A41767310,1661,969
2016-09-26$53.26$50.0042.2%12.1%26.9%7.6%43.2%0.5%-0.1%946.7K-26.0M-87.7K1.5495.27N/AN/A42765710,1661,980
2016-09-27$53.21$50.0040.9%11.7%26.8%6.6%41.0%-1.8%3.2%1.1M-26.2M-85.5K2.3392.36N/AN/A28766810,1771,986
2016-09-28$51.49$50.0040.1%11.5%29.8%6.1%41.3%1.5%3.3%1.1M-22.0M-80.9K1.0593.55N/AN/A69472610,1881,992
2016-09-29$50.42$50.0035.0%10.0%30.0%2.5%37.1%6.5%7.6%991.6K-20.9M-83.0K1.03105.95N/AN/A71473610,5872,095
2016-09-30$50.56$50.0046.5%13.3%28.0%10.5%43.4%2.3%-7.2%1.0M-20.9M-85.9K1.33105.76N/AN/A55974510,9732,105