NBIX Options History — February 2017

In February 2017, NBIX traded between $41.16 and $45.12. ATM implied volatility averaged 62.9%, placing in the 43.1% IV rank vs the trailing year. The 30-day expected move averaged 18.1%. IV traded above realized volatility by 14.7% (HV 20d: 48.2%). Max pain ranged from $43.00 to $45.00. Net GEX was positive for 11 of 19 trading days. Term structure was in contango for 19 of 19 days. Put/call ratio averaged 1.12.

Notable Days

  • 2017-02-15: Highest Volume — 4,541 contracts
  • 2017-02-03: Largest IV spike — 28.7% change
  • 2017-02-23: Highest IV Rank — 55.7%
  • 2017-02-23: Largest Expected Move — 20.4%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$43.27$41.16$45.12$42.39$44.13
Max Pain$43.68$43.00$45.00$45.00$43.00
ATM IV62.9%54.5%72.7%58.4%60.1%
Expected Move18.1%15.6%20.4%16.7%17.2%
HV 20d48.2%40.4%62.8%62.8%45.6%
HV 60d51.4%49.2%57.3%57.3%49.9%
IV Rank43.1%32.3%55.7%35.4%40.1%
IV Percentile70.8%44.0%91.7%55.2%65.1%
Term Structure16.7%2.6%40.6%8.5%18.0%
VWIV63.0%56.9%68.2%57.7%59.2%
Skew 25d4.5%-8.8%36.2%-5.3%6.7%
Skew 10d13.9%-18.6%50.3%18.3%10.9%
Call IV 25d61.1%52.8%69.1%57.1%58.8%
Put IV 25d65.6%50.8%91.8%51.8%65.4%
Bid-Ask Spread %81.7764.20110.8888.8697.65
Gamma HHI0.150.120.190.120.16
Net GEX20.7K-128.9K135.3K-80.0K135.3K
Net DEX-2.0M-6.6M5.2M2.0M-6.6M
Net VEX-42.8K-47.4K-32.6K-46.5K-46.4K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.120.651.591.221.02
Total Volume2,061.6321,3214,5411,6911,400
Total OI11,485.1056,11715,88512,7787,386

Daily Data (19 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2017-02-01$42.39$45.0058.4%16.7%62.8%35.4%57.7%-5.3%8.5%-80.0K2.0M-46.5K1.2288.86N/AN/A7629296,7756,003
2017-02-02$42.14$44.0056.5%18.2%57.7%32.9%65.3%3.7%18.8%-52.3K2.0M-45.4K1.1070.48N/AN/A7478256,7766,009
2017-02-03$43.20$43.0072.7%18.9%58.3%54.1%65.5%0.7%15.1%-241-343.0K-46.6K1.1468.09N/AN/A7558606,7616,004
2017-02-06$43.17$44.0064.4%18.9%53.5%43.2%66.1%3.6%15.5%8.1K-955.9K-44.0K1.1365.73N/AN/A7538536,7766,002
2017-02-07$43.51$44.0057.2%18.3%53.1%33.8%66.9%2.8%19.4%12.9K-1.8M-42.5K1.5975.24N/AN/A6581,0486,8056,002
2017-02-08$43.92$44.0065.7%18.8%49.4%45.0%66.6%4.6%16.0%-23.3K-1.2M-42.9K1.5470.74N/AN/A6601,0176,8106,267
2017-02-09$45.12$44.0057.9%16.6%46.5%37.1%67.1%2.5%20.0%69.9K-4.2M-40.6K1.5877.69N/AN/A6521,0276,8076,262
2017-02-10$44.38$44.0065.7%18.8%47.1%47.9%65.5%2.9%13.8%52.1K-4.2M-41.2K1.4964.20N/AN/A7001,0466,8496,299
2017-02-13$42.23$44.0067.0%19.2%49.8%49.7%67.4%3.8%25.1%-43.1K-34.0K-34.7K1.5271.37N/AN/A6691,0146,8876,311
2017-02-14$41.16$44.0069.2%19.8%47.2%52.8%68.2%10.2%19.7%-128.9K5.2M-32.6K0.9166.25N/AN/A2,3692,1556,9006,391
2017-02-15$42.47$44.0064.5%18.5%45.3%46.3%63.4%36.2%10.4%-100.3K466.2K-47.4K0.91101.46N/AN/A2,3792,1628,4687,217
2017-02-16$42.97$44.0063.0%18.1%45.2%44.1%62.6%4.2%17.4%-21.6K-1.2M-43.6K0.6577.98N/AN/A2,0721,3408,5977,224
2017-02-17$43.93$44.0064.5%18.5%45.5%46.3%64.1%4.5%15.0%87.8K-1.2M-41.3K1.1666.24N/AN/A1,1851,3708,6667,219
2017-02-21$43.89$43.0067.0%19.2%40.4%49.8%59.4%8.6%2.6%94.1K-5.7M-41.8K1.2787.34N/AN/A7349303,9322,185
2017-02-22$42.76$43.0056.3%16.1%40.8%34.8%58.2%-7.0%12.5%89.3K-5.3M-43.1K0.84110.88N/AN/A7186034,1622,407
2017-02-23$43.17$43.0071.2%20.4%40.8%55.7%59.2%10.6%5.3%89.4K-4.5M-43.2K0.7796.69N/AN/A9187094,2202,443
2017-02-24$42.61$43.0058.8%16.9%41.1%38.3%57.8%1.4%23.5%92.4K-4.5M-45.5K0.7694.21N/AN/A9337094,6042,574
2017-02-27$45.03$43.0054.5%15.6%45.0%32.3%56.9%-8.8%40.6%111.9K-6.2M-43.3K0.72102.55N/AN/A8796314,6432,574
2017-02-28$44.13$43.0060.1%17.2%45.6%40.1%59.2%6.7%18.0%135.3K-6.6M-46.4K1.0297.65N/AN/A6947064,7822,604