NBIX Options History — April 2017

In April 2017, NBIX traded between $39.98 and $53.84. ATM implied volatility averaged 70.9%, placing in the 45.7% IV rank vs the trailing year. The 30-day expected move averaged 18.5%. IV traded above realized volatility by 1.6% (HV 20d: 69.3%). Max pain ranged from $41.00 to $50.00. Net GEX was positive for 19 of 19 trading days. Term structure was in contango for 4 of 19 days. Put/call ratio averaged 1.06.

Notable Days

  • 2017-04-10: Highest Volume — 13,763 contracts
  • 2017-04-12: Largest IV drop — 55.7% change
  • 2017-04-07: Highest IV Rank — 100.0%
  • 2017-04-05: Largest Expected Move — 28.3%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$48.48$39.98$53.84$43.32$53.40
Max Pain$45.32$41.00$50.00$42.00$49.00
ATM IV70.9%46.8%130.3%77.0%49.5%
Expected Move18.5%13.4%28.3%22.1%14.2%
HV 20d69.3%41.5%87.0%41.5%82.4%
HV 60d53.3%42.9%59.8%45.9%57.0%
IV Rank45.7%15.6%100.0%63.7%18.3%
IV Percentile60.7%27.0%100.0%95.6%33.3%
Term Structure-7.4%-27.0%5.0%-6.8%-1.6%
VWIV67.8%52.4%101.2%81.9%59.7%
Skew 25d10.1%-3.8%40.2%40.2%2.4%
Skew 10d29.5%-3.2%97.2%52.1%4.3%
Call IV 25d62.2%47.0%90.9%70.9%47.9%
Put IV 25d72.3%44.0%116.1%111.1%50.3%
Bid-Ask Spread %82.6253.2796.8088.7796.16
Gamma HHI0.170.120.350.130.17
Net GEX441.6K6.8K1.7M193.3K349.2K
Net DEX-29.1M-71.9M2.9M-6.9M-17.8M
Net VEX-81.0K-97.9K-57.2K-57.2K-79.5K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.060.582.401.020.84
Total Volume4,015.3161,71813,7631,7182,002
Total OI25,325.47412,86940,23812,86916,402

Daily Data (19 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2017-04-03$43.32$42.0077.0%22.1%41.5%63.7%81.9%40.2%-6.8%193.3K-6.9M-57.2K1.0288.77N/AN/A8528667,4255,444
2017-04-04$43.19$42.0080.5%23.1%41.5%68.6%79.5%-0.0%-10.4%170.7K-6.8M-58.6K1.1886.76N/AN/A2,4342,8807,5745,651
2017-04-05$40.84$42.0098.7%28.3%44.9%94.0%88.0%10.1%-22.6%80.6K-2.4M-62.1K1.4079.48N/AN/A1,2291,7179,1327,676
2017-04-06$39.98$41.00102.2%22.3%45.0%98.9%81.5%11.3%-10.9%6.8K2.9M-69.8K0.5867.96N/AN/A2,9281,6939,7018,663
2017-04-07$40.63$41.00111.2%24.7%43.8%100.0%101.2%29.2%-22.5%31.0K187.1K-73.8K2.4078.88N/AN/A8532,04410,0278,959
2017-04-10$40.44$41.00130.3%25.9%43.2%100.0%92.7%18.6%-24.4%45.4K-761.4K-72.5K1.0775.35N/AN/A6,6487,11510,2229,559
2017-04-11$41.44$41.00127.3%26.9%43.5%97.0%92.6%17.4%-27.0%171.7K-1.5M-97.9K1.0967.87N/AN/A1,6441,79416,07615,353
2017-04-12$51.12$41.0056.4%16.2%87.0%25.3%54.1%4.8%-4.1%1.7M-59.9M-70.5K0.9353.27N/AN/A6,4145,96916,75915,557
2017-04-13$53.50$45.0050.9%14.6%86.1%19.7%52.6%-0.1%-2.4%771.9K-71.9M-94.0K0.8678.68N/AN/A2,0781,78118,68819,963
2017-04-17$53.49$47.0049.3%14.1%85.6%18.2%52.4%3.6%-6.7%1.1M-69.1M-92.6K1.0994.88N/AN/A1,6341,77418,49020,242
2017-04-18$52.25$47.0054.5%15.6%86.1%23.4%54.1%16.8%-5.0%610.0K-65.6M-87.0K0.6688.92N/AN/A2,8561,89618,44320,290
2017-04-19$51.96$50.0052.9%15.2%83.3%21.7%52.6%4.6%-2.5%1.2M-64.4M-93.4K1.0882.14N/AN/A1,0951,18619,29920,813
2017-04-20$51.46$50.0053.5%15.3%83.5%22.4%57.7%5.5%0.6%445.4K-62.7M-92.1K1.3288.35N/AN/A9221,21519,30420,932
2017-04-21$51.15$50.0049.0%14.0%83.7%17.8%54.0%8.5%5.0%248.8K-61.8M-94.5K0.8390.46N/AN/A1,4061,16819,26320,975
2017-04-24$51.83$47.0054.5%15.6%83.7%23.4%57.7%4.0%3.9%268.0K-12.8M-86.6K0.7877.65N/AN/A1,1519037,9587,562
2017-04-25$53.69$48.0051.3%14.7%84.1%20.2%58.4%9.9%-1.9%338.0K-17.7M-84.8K1.2791.55N/AN/A9741,2418,1207,913
2017-04-26$53.84$48.0051.8%14.9%83.7%20.7%56.9%8.9%-2.1%324.8K-17.0M-87.2K0.8485.85N/AN/A1,0989208,2298,117
2017-04-27$53.67$49.0046.8%13.4%83.6%15.6%60.4%-3.8%1.3%388.9K-17.8M-84.2K0.9296.80N/AN/A9949178,2178,186
2017-04-28$53.40$49.0049.5%14.2%82.4%18.3%59.7%2.4%-1.6%349.2K-17.8M-79.5K0.8496.16N/AN/A1,0909128,2118,191