NBIX Options History — May 2017

In May 2017, NBIX traded between $43.26 and $54.46. ATM implied volatility averaged 47.0%, placing in the 15.8% IV rank vs the trailing year. The 30-day expected move averaged 13.5%. IV traded below realized volatility by 5.2% (HV 20d: 52.2%). Max pain ranged from $49.00 to $50.00. Net GEX was positive for 19 of 22 trading days. Term structure was in contango for 6 of 22 days. Put/call ratio averaged 1.19.

Notable Days

  • 2017-05-24: Highest Volume — 4,613 contracts
  • 2017-05-08: Largest IV spike — 67.6% change
  • 2017-05-08: Highest IV Rank — 28.9%
  • 2017-05-08: Largest Expected Move — 16.3%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$51.61$43.26$54.46$54.46$43.40
Max Pain$49.91$49.00$50.00$49.00$50.00
ATM IV47.0%35.8%60.0%49.1%41.3%
Expected Move13.5%10.8%16.3%14.1%11.8%
HV 20d52.2%28.6%82.3%81.9%49.2%
HV 60d57.4%55.5%60.9%57.1%60.9%
IV Rank15.8%4.5%28.9%17.9%10.0%
IV Percentile29.3%2.0%67.5%32.1%13.1%
Term Structure-1.3%-9.2%11.1%-1.9%-0.4%
VWIV47.3%37.8%55.8%55.8%39.8%
Skew 25d5.1%-2.0%12.2%1.7%3.5%
Skew 10d8.4%-4.8%18.9%18.9%17.1%
Call IV 25d44.5%32.8%49.9%46.1%41.6%
Put IV 25d49.6%40.7%56.1%47.8%45.0%
Bid-Ask Spread %72.6845.0296.2496.2470.96
Gamma HHI0.280.180.560.180.19
Net GEX303.4K-95.4K683.8K412.9K-95.4K
Net DEX-11.8M-19.5M5.4M-19.1M5.4M
Net VEX-65.5K-81.2K-47.3K-81.2K-77.2K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.190.331.760.981.13
Total Volume2,058.1829484,6132,0712,892
Total OI15,191.8647,06318,62416,56612,833

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2017-05-01$54.46$49.0049.1%14.1%81.9%17.9%55.8%1.7%-1.9%412.9K-19.1M-81.2K0.9896.24N/AN/A1,0451,0268,3678,199
2017-05-02$53.64$49.0050.8%14.6%82.3%19.6%52.1%4.9%-2.6%408.0K-18.4M-75.6K0.7493.31N/AN/A1,2289138,4708,234
2017-05-03$53.72$50.0048.1%13.8%82.3%17.0%51.9%3.6%-5.3%408.8K-17.8M-74.0K1.6096.13N/AN/A6311,0108,4028,273
2017-05-04$53.37$50.0044.5%13.2%78.7%13.3%46.3%3.4%-1.0%462.5K-19.5M-71.7K1.7673.30N/AN/A6231,0998,4288,417
2017-05-05$53.73$50.0035.8%12.7%77.7%4.5%48.7%-2.0%0.4%468.7K-18.8M-76.1K1.5979.66N/AN/A6341,0088,4288,515
2017-05-08$51.48$50.0060.0%16.3%80.3%28.9%54.3%3.1%-8.8%290.5K-11.8M-73.8K1.5077.79N/AN/A6981,0478,4738,539
2017-05-09$52.28$50.0059.5%15.2%80.1%28.5%51.4%8.0%-2.1%378.7K-14.2M-69.6K0.8971.83N/AN/A1,4161,2638,4858,525
2017-05-10$53.48$50.0051.3%14.7%80.1%20.2%48.0%8.5%-0.9%473.6K-18.4M-69.2K1.7671.15N/AN/A6721,1839,1609,223
2017-05-11$52.09$50.0053.0%15.2%33.0%21.9%49.4%0.5%-4.5%351.9K-13.1M-71.9K1.1676.99N/AN/A9861,1399,1219,424
2017-05-12$53.56$50.0048.4%13.9%30.3%17.3%46.0%7.4%-2.8%525.0K-19.2M-65.0K1.1270.52N/AN/A8299289,1799,392
2017-05-15$53.00$50.0044.0%12.6%30.5%12.8%45.5%11.0%3.0%514.7K-17.6M-60.8K1.3768.77N/AN/A6388759,2089,409
2017-05-16$53.92$50.0047.8%13.7%29.9%16.6%47.3%4.8%-1.7%617.5K-18.6M-57.8K1.2665.38N/AN/A7108969,2339,391
2017-05-17$52.98$50.0046.7%13.4%30.6%15.5%47.0%4.1%0.9%633.3K-16.3M-55.1K1.7272.63N/AN/A6541,1289,2689,330
2017-05-18$53.57$50.0047.5%13.6%30.5%16.3%47.6%5.6%-0.8%683.8K-16.9M-52.1K0.8371.61N/AN/A8256889,2579,245
2017-05-19$52.77$50.0049.8%14.3%31.0%18.6%49.4%4.2%-3.2%25.6K-15.9M-51.7K1.1666.07N/AN/A7668859,2789,244
2017-05-22$53.66$50.0047.9%13.7%31.2%16.7%48.8%3.5%-1.3%39.9K-4.2M-47.5K0.9059.01N/AN/A5264722,6994,364
2017-05-23$53.43$50.0044.6%12.8%28.6%13.4%47.8%8.0%-1.2%54.7K-4.5M-47.3K1.0269.47N/AN/A4694792,8274,376
2017-05-24$48.85$50.0040.2%11.5%42.6%9.0%40.0%2.6%1.1%-50.6K-271.8K-47.6K0.4045.02N/AN/A3,2961,3172,9034,431
2017-05-25$48.64$50.0038.0%10.9%42.6%6.7%37.8%4.3%3.0%73.1K-3.4M-70.8K0.3346.08N/AN/A2,3457735,1855,317
2017-05-26$46.19$50.0048.2%13.8%45.8%17.0%40.3%12.2%-9.2%67.4K-382.9K-71.8K1.5976.37N/AN/A9301,4805,6715,283
2017-05-30$43.26$50.0037.6%10.8%49.0%6.3%45.7%9.1%11.1%-69.4K4.1M-73.4K1.3180.70N/AN/A1,2391,6196,1276,088
2017-05-31$43.40$50.0041.3%11.8%49.2%10.0%39.8%3.5%-0.4%-95.4K5.4M-77.2K1.1370.96N/AN/A1,3551,5376,4316,402