NBIX Options History — December 2016

In December 2016, NBIX traded between $37.85 and $45.08. ATM implied volatility averaged 68.0%, placing in the 32.9% IV rank vs the trailing year. The 30-day expected move averaged 17.5%. IV traded above realized volatility by 16.8% (HV 20d: 51.2%). Max pain ranged from $39.00 to $48.00. Net GEX was positive for 16 of 21 trading days. Term structure was in contango for 19 of 21 days. Put/call ratio averaged 2.12.

Notable Days

  • 2016-12-27: Highest Volume — 4,997 contracts
  • 2016-12-08: Largest IV spike — 72.3% change
  • 2016-12-08: Highest IV Rank — 64.3%
  • 2016-12-02: Largest Expected Move — 22.9%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$41.42$37.85$45.08$43.37$38.59
Max Pain$43.52$39.00$48.00$48.00$39.00
ATM IV68.0%55.2%103.0%67.3%69.4%
Expected Move17.5%15.7%22.9%19.3%19.9%
HV 20d51.2%40.0%71.1%71.1%40.0%
HV 60d52.0%50.6%53.3%50.7%53.3%
IV Rank32.9%21.4%64.3%32.3%34.2%
IV Percentile66.9%45.2%97.6%75.8%82.5%
Term Structure16.2%-26.0%33.1%-19.7%18.8%
VWIV59.6%50.9%68.8%50.9%68.8%
Skew 25d6.9%-10.1%44.7%-1.8%1.6%
Skew 10d14.5%-19.2%68.0%51.7%2.7%
Call IV 25d58.0%49.5%67.4%52.6%65.9%
Put IV 25d64.9%50.7%94.2%50.7%67.5%
Bid-Ask Spread %75.3361.66104.6597.9965.90
Gamma HHI0.170.090.240.210.23
Net GEX15.8K-189.2K108.3K108.3K-160.4K
Net DEX3.2M-124.7K9.2M-124.7K8.2M
Net VEX-50.0K-56.6K-43.4K-55.3K-56.6K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio2.120.346.675.640.58
Total Volume2,616.7621,3964,9973,7072,019
Total OI11,314.198,81115,38010,01715,380

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2016-12-01$43.37$48.0067.3%19.3%71.1%32.3%50.9%-1.8%-19.7%108.3K-124.7K-55.3K5.6497.99N/AN/A5583,1496,2563,761
2016-12-02$43.18$46.0079.8%22.9%67.1%43.5%63.6%44.7%-26.0%79.8K1.6M-52.9K4.26104.65N/AN/A6622,8236,4123,782
2016-12-05$43.42$45.0059.3%16.4%66.6%25.1%55.9%19.8%16.4%84.2K1.3M-52.2K4.2378.24N/AN/A6162,6046,5593,823
2016-12-06$45.08$45.0076.7%15.7%63.7%40.7%59.5%1.7%19.4%100.4K1.2M-52.5K4.3193.01N/AN/A6042,6046,6303,835
2016-12-07$42.97$45.0059.8%17.4%64.4%25.5%60.0%10.3%13.1%69.7K1.9M-51.3K6.6774.58N/AN/A3962,6436,6743,846
2016-12-08$41.70$45.00103.0%18.3%49.9%64.3%61.3%15.5%9.0%63.9K1.3M-53.5K1.2495.07N/AN/A6788416,6903,891
2016-12-09$41.74$45.0074.9%18.2%47.1%39.1%63.2%17.9%12.4%39.7K1.6M-52.4K1.2588.79N/AN/A6818496,6643,934
2016-12-12$42.15$45.0099.3%17.5%47.7%61.0%64.7%-10.1%26.2%25.7K3.1M-47.6K1.4989.12N/AN/A6861,0236,6863,944
2016-12-13$43.36$45.0098.7%19.0%46.4%60.4%64.7%18.3%0.5%24.0K2.5M-48.7K1.4388.13N/AN/A7151,0236,7164,053
2016-12-14$43.34$45.0055.2%15.8%45.7%21.4%57.5%2.3%17.8%30.6K2.4M-47.3K2.4062.64N/AN/A4119856,7454,046
2016-12-15$43.49$43.0055.7%16.0%45.7%21.9%56.2%3.5%20.8%41.8K1.8M-48.4K2.6964.97N/AN/A4071,0946,7714,101
2016-12-16$42.45$43.0056.4%16.2%45.4%22.5%56.6%3.2%17.0%16.4K2.3M-47.2K2.4263.40N/AN/A4431,0736,7824,240
2016-12-19$40.47$43.0057.7%16.6%47.2%23.7%57.4%2.5%25.9%-29.3K3.0M-43.5K0.3464.33N/AN/A2,5038434,8623,949
2016-12-20$41.50$43.0055.5%15.9%48.9%21.6%55.5%3.8%23.2%100.9K2.0M-50.3K0.3463.60N/AN/A2,6308836,8064,077
2016-12-21$40.35$43.0056.9%16.3%48.2%22.9%54.6%0.6%33.1%79.0K2.4M-48.1K0.5064.88N/AN/A1,8179096,9164,112
2016-12-22$38.98$43.0055.9%16.0%47.0%22.0%54.3%1.6%33.1%22.6K4.2M-44.4K0.7066.52N/AN/A1,5401,0806,9424,231
2016-12-23$39.55$43.0056.8%16.3%46.8%22.8%53.7%4.0%22.9%2.8K4.7M-45.4K0.6466.26N/AN/A1,6711,0756,9544,549
2016-12-27$38.31$42.0061.3%17.6%46.0%26.9%63.9%1.1%26.0%-18.4K4.8M-43.4K2.0361.66N/AN/A1,6473,3507,1114,568
2016-12-28$37.96$39.0064.4%18.5%46.0%29.7%64.7%3.8%26.0%-160.4K8.1M-54.9K0.7964.25N/AN/A1,6131,2787,9547,023
2016-12-29$37.85$39.0063.6%18.2%44.5%28.9%65.4%1.4%24.3%-189.2K9.2M-54.9K0.5664.01N/AN/A1,6229047,9767,347
2016-12-30$38.59$39.0069.4%19.9%40.0%34.2%68.8%1.6%18.8%-160.4K8.2M-56.6K0.5865.90N/AN/A1,2757447,9987,382