NBIX Options History — October 2016

In October 2016, NBIX traded between $42.34 and $51.21. ATM implied volatility averaged 49.4%, placing in the 15.8% IV rank vs the trailing year. The 30-day expected move averaged 14.3%. IV traded above realized volatility by 10.9% (HV 20d: 38.5%). Max pain ranged from $44.00 to $50.00. Net GEX was positive for 21 of 21 trading days. Term structure was in contango for 6 of 21 days. Put/call ratio averaged 0.58.

Notable Days

  • 2016-10-07: Highest Volume — 2,806 contracts
  • 2016-10-27: Largest IV drop — 26.1% change
  • 2016-10-31: Highest IV Rank — 27.9%
  • 2016-10-31: Largest Expected Move — 17.9%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$45.68$42.34$51.21$50.04$43.91
Max Pain$45.24$44.00$50.00$50.00$45.00
ATM IV49.4%36.1%62.5%36.1%62.5%
Expected Move14.3%10.3%17.9%10.3%17.9%
HV 20d38.5%26.4%44.8%27.9%43.8%
HV 60d33.7%29.0%35.8%29.0%35.7%
IV Rank15.8%3.3%27.9%3.3%27.9%
IV Percentile28.0%2.4%64.3%2.4%64.3%
Term Structure-2.9%-21.7%12.3%-2.8%-21.7%
VWIV49.7%35.9%56.5%35.9%55.1%
Skew 25d7.0%-5.3%20.9%15.4%1.8%
Skew 10d28.4%-0.2%68.0%66.1%21.3%
Call IV 25d46.8%38.2%58.6%38.9%55.1%
Put IV 25d53.8%44.3%66.1%54.3%56.9%
Bid-Ask Spread %96.1782.10116.62114.4392.77
Gamma HHI0.320.270.390.340.31
Net GEX779.2K442.4K1.1M991.4K619.9K
Net DEX-11.0M-22.7M-3.6M-21.2M-6.9M
Net VEX-69.5K-87.4K-49.8K-85.8K-52.8K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.580.351.131.080.38
Total Volume2,171.1431,3892,8061,4182,320
Total OI16,005.14313,25217,36213,25216,773

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2016-10-03$50.04$50.0036.1%10.3%27.9%3.3%35.9%15.4%-2.8%991.4K-21.2M-85.8K1.08114.43N/AN/A68273611,1372,115
2016-10-04$50.25$50.0045.4%13.0%26.4%9.8%41.8%5.8%-8.4%1.1M-18.9M-81.5K1.13116.62N/AN/A65273711,4262,117
2016-10-05$51.21$50.0042.5%12.2%27.3%7.7%43.0%1.0%6.7%1.0M-22.7M-87.4K1.09114.33N/AN/A69575811,6202,118
2016-10-06$47.70$45.0043.6%13.4%37.3%8.5%45.4%14.4%-3.6%947.6K-15.7M-78.2K0.6990.47N/AN/A1,32792211,8412,122
2016-10-07$46.91$45.0049.5%13.8%37.0%16.3%43.2%3.5%-1.6%822.9K-10.1M-66.3K0.4997.78N/AN/A1,88292412,0972,095
2016-10-10$46.62$45.0044.1%14.8%34.6%11.5%48.2%2.8%-4.3%917.0K-14.1M-83.3K1.0994.05N/AN/A75081413,6422,096
2016-10-11$44.98$45.0042.1%13.1%36.3%9.6%45.8%9.3%8.4%832.5K-10.5M-71.0K1.0593.78N/AN/A68972413,6662,107
2016-10-12$43.17$45.0052.4%15.0%36.8%18.9%49.9%14.8%-3.4%600.0K-7.7M-66.7K0.3593.45N/AN/A1,81963613,6912,144
2016-10-13$44.14$45.0042.6%12.2%36.7%10.1%52.2%6.0%12.3%606.5K-7.1M-70.1K0.3596.04N/AN/A1,80263214,8042,159
2016-10-14$42.49$44.0049.8%14.3%36.0%16.6%53.0%9.3%-4.2%671.2K-9.8M-75.8K0.4391.92N/AN/A1,67572514,8222,165
2016-10-17$42.34$44.0050.6%14.5%35.8%17.3%53.3%9.7%3.7%442.4K-3.6M-56.3K0.4588.83N/AN/A1,63774314,8332,221
2016-10-18$44.67$44.0053.1%15.2%42.1%19.5%49.7%2.3%-4.8%559.2K-5.5M-59.1K0.4488.42N/AN/A1,71574714,9062,258
2016-10-19$44.47$44.0054.9%15.7%42.1%21.1%54.2%-5.3%-7.1%700.0K-8.7M-68.6K0.42103.70N/AN/A1,79374714,9902,258
2016-10-20$45.60$44.0055.9%16.0%43.9%22.0%52.9%1.1%-8.2%812.7K-10.4M-72.0K0.4586.75N/AN/A1,72977515,0802,258
2016-10-21$45.61$44.0051.5%14.8%44.0%18.1%52.2%3.7%-3.2%875.0K-11.2M-73.7K0.3882.10N/AN/A1,70365115,0682,294
2016-10-24$45.12$44.0049.5%14.2%43.9%16.2%52.0%5.0%3.8%827.7K-10.3M-66.2K0.3689.22N/AN/A1,66659514,5132,061
2016-10-25$45.90$44.0053.8%15.4%44.8%20.1%53.4%1.8%-5.2%808.8K-9.9M-63.5K0.3586.29N/AN/A1,71759514,5382,040
2016-10-26$44.92$44.0062.0%17.8%44.1%27.5%56.5%20.9%-15.1%885.7K-11.3M-65.9K0.3698.94N/AN/A1,66060314,5692,037
2016-10-27$44.87$44.0045.8%13.1%43.8%13.0%52.5%18.9%1.9%828.4K-10.4M-64.5K0.3796.01N/AN/A1,67962914,5922,063
2016-10-28$44.45$45.0049.7%14.3%43.7%16.5%54.0%5.8%-4.6%457.7K-4.9M-49.8K0.37103.74N/AN/A1,68062914,6622,110
2016-10-31$43.91$45.0062.5%17.9%43.8%27.9%55.1%1.8%-21.7%619.9K-6.9M-52.8K0.3892.77N/AN/A1,68763314,6732,100