NBIX Options History — November 2016

In November 2016, NBIX traded between $40.26 and $54.58. ATM implied volatility averaged 55.0%, placing in the 21.2% IV rank vs the trailing year. The 30-day expected move averaged 15.1%. IV traded below realized volatility by 3.7% (HV 20d: 58.7%). Max pain ranged from $45.00 to $48.00. Net GEX was positive for 21 of 21 trading days. Term structure was in contango for 8 of 21 days. Put/call ratio averaged 1.27.

Notable Days

  • 2016-11-30: Highest Volume — 3,627 contracts
  • 2016-11-29: Largest IV spike — 52.3% change
  • 2016-11-07: Highest IV Rank — 44.3%
  • 2016-11-30: Largest Expected Move — 20.7%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$48.69$40.26$54.58$44.67$46.42
Max Pain$46.43$45.00$48.00$45.00$47.00
ATM IV55.0%39.5%80.7%54.0%72.0%
Expected Move15.1%11.3%20.7%15.5%20.7%
HV 20d58.7%43.7%68.2%44.4%68.2%
HV 60d45.0%35.5%48.9%35.5%48.9%
IV Rank21.2%7.3%44.3%20.3%36.5%
IV Percentile42.4%6.3%90.9%38.5%80.2%
Term Structure-2.8%-23.0%11.8%-4.6%-16.7%
VWIV53.6%44.3%69.3%53.4%58.3%
Skew 25d5.2%-5.2%25.2%0.3%-0.7%
Skew 10d17.6%-11.9%82.9%1.4%56.4%
Call IV 25d48.9%39.6%69.9%56.4%49.1%
Put IV 25d54.1%43.9%74.2%56.7%48.4%
Bid-Ask Spread %97.2280.34107.1188.88104.73
Gamma HHI0.360.220.540.290.31
Net GEX1.0M236.3K3.0M571.9K346.2K
Net DEX-17.6M-45.3M-1.3M-6.3M-6.6M
Net VEX-52.3K-77.8K-38.1K-50.3K-41.6K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.270.486.590.636.59
Total Volume2,133.8571,1373,6272,6993,627
Total OI14,273.3817,42918,17216,7677,695

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2016-11-01$44.67$45.0054.0%15.5%44.4%20.3%53.4%0.3%-4.6%571.9K-6.3M-50.3K0.6388.88N/AN/A1,6561,04314,6652,102
2016-11-02$42.88$45.0068.6%19.7%45.1%33.4%68.8%-5.2%-1.8%545.6K-5.5M-51.4K0.9394.67N/AN/A1,6231,51114,7212,501
2016-11-03$40.26$45.0064.0%16.5%43.7%29.3%49.4%4.3%-0.1%259.8K-2.5M-40.9K0.6091.48N/AN/A1,63698814,7442,269
2016-11-04$41.33$45.0072.6%15.6%45.2%37.0%47.6%13.8%-0.7%236.3K-1.3M-38.1K0.5480.34N/AN/A1,65689914,7722,281
2016-11-07$44.14$45.0080.7%16.5%52.0%44.3%55.0%23.8%-8.6%560.7K-5.2M-46.1K0.52107.11N/AN/A1,72489614,8012,310
2016-11-08$45.85$45.0059.3%17.4%52.3%25.1%57.3%5.3%-12.9%733.7K-8.1M-48.9K0.4890.50N/AN/A1,92492514,9002,322
2016-11-09$51.05$45.0054.6%15.7%62.2%20.9%49.5%6.1%-7.0%2.0M-26.7M-67.4K0.8195.46N/AN/A1,17095115,1842,364
2016-11-10$52.90$46.0049.2%14.1%62.7%16.0%45.8%0.3%4.0%2.3M-40.1M-76.8K0.85100.18N/AN/A1,1991,01515,5432,406
2016-11-11$52.49$46.0047.5%13.6%60.6%14.5%54.8%7.8%1.5%2.2M-34.3M-77.8K0.86100.89N/AN/A1,16199815,6372,472
2016-11-14$54.58$47.0045.5%13.1%61.2%12.7%51.5%-1.2%11.8%3.0M-45.3M-68.5K0.84103.23N/AN/A1,1961,00415,6322,484
2016-11-15$52.76$47.0042.3%12.1%61.3%9.8%46.8%6.6%1.9%2.7M-35.6M-60.0K0.8898.35N/AN/A1,10897015,6532,484
2016-11-16$51.56$48.0050.3%14.4%62.2%17.0%49.7%-2.4%-5.2%1.9M-31.2M-55.8K0.5998.51N/AN/A1,64296215,6582,514
2016-11-17$52.12$48.0039.5%11.3%61.8%7.3%44.3%3.2%4.4%1.5M-32.2M-52.0K0.8697.57N/AN/A1,12696515,5432,515
2016-11-18$50.97$48.0048.3%13.8%62.6%15.2%65.9%25.2%-8.0%490.1K-32.5M-50.1K0.82100.43N/AN/A1,17696015,5462,516
2016-11-21$50.79$47.0054.8%15.7%62.4%21.0%63.3%7.6%-5.3%461.9K-10.6M-49.2K1.57101.13N/AN/A4687375,9461,483
2016-11-22$48.88$47.0045.7%13.1%64.2%12.9%45.4%5.5%1.4%438.2K-8.8M-45.6K1.5486.64N/AN/A4787345,9791,483
2016-11-23$50.22$47.0046.6%13.3%64.0%13.6%47.4%-0.8%-0.1%446.2K-9.5M-45.8K1.4594.39N/AN/A5087356,1041,492
2016-11-25$51.06$47.0043.1%12.4%64.1%10.6%48.7%-0.6%3.5%482.6K-10.8M-46.0K1.83103.83N/AN/A4027356,1391,497
2016-11-28$48.92$47.0045.9%13.2%66.3%13.0%52.8%-0.3%6.7%489.1K-9.3M-42.0K1.7296.77N/AN/A4277336,1621,497
2016-11-29$48.55$48.0069.9%20.0%66.1%34.6%69.3%10.3%-23.0%388.9K-8.2M-43.5K1.79106.48N/AN/A4097346,2251,500
2016-11-30$46.42$47.0072.0%20.7%68.2%36.5%58.3%-0.7%-16.7%346.2K-6.6M-41.6K6.59104.73N/AN/A4783,1496,1941,501