NBIX Options History — June 2017

In June 2017, NBIX traded between $42.35 and $47.49. ATM implied volatility averaged 43.1%, placing in the 11.9% IV rank vs the trailing year. The 30-day expected move averaged 11.8%. IV traded below realized volatility by 4.0% (HV 20d: 47.1%). Max pain ranged from $46.00 to $50.00. Net GEX was positive for 10 of 22 trading days. Term structure was in contango for 16 of 22 days. Put/call ratio averaged 1.44.

Notable Days

  • 2017-06-05: Highest Volume — 2,990 contracts
  • 2017-06-12: Largest IV spike — 87.4% change
  • 2017-06-12: Highest IV Rank — 42.6%
  • 2017-06-15: Largest Expected Move — 14.0%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$45.35$42.35$47.49$44.96$46.12
Max Pain$47.68$46.00$50.00$50.00$47.00
ATM IV43.1%35.8%73.5%38.1%43.8%
Expected Move11.8%10.3%14.0%10.9%12.6%
HV 20d47.1%34.2%55.0%51.7%34.2%
HV 60d60.3%58.9%61.5%61.3%58.9%
IV Rank11.9%4.5%42.6%6.8%12.6%
IV Percentile20.7%2.0%90.9%6.3%27.4%
Term Structure2.6%-2.5%9.5%1.0%6.5%
VWIV44.2%35.8%55.4%41.3%39.5%
Skew 25d9.2%-6.4%29.1%9.7%2.7%
Skew 10d20.8%4.8%54.6%18.0%12.2%
Call IV 25d40.8%36.0%63.4%40.0%38.6%
Put IV 25d50.0%34.0%67.5%49.7%41.3%
Bid-Ask Spread %82.2157.9499.9791.2999.97
Gamma HHI0.190.160.230.180.20
Net GEX-31.5K-489.6K172.6K-41.9K83.8K
Net DEX1.9M-3.1M8.5M3.1M-978.0K
Net VEX-70.3K-78.1K-62.0K-78.1K-62.1K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.441.052.161.171.63
Total Volume2,102.9091,1772,9902,7791,443
Total OI12,877.04511,68414,00112,99212,306

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2017-06-01$44.96$50.0038.1%10.9%51.7%6.8%41.3%9.7%1.0%-41.9K3.1M-78.1K1.1791.29N/AN/A1,2781,5016,5036,489
2017-06-02$46.15$50.0041.7%12.0%53.2%10.5%35.8%-4.9%4.1%-5.2K333.3K-77.7K1.1674.10N/AN/A1,3411,5526,5296,488
2017-06-05$45.39$50.0045.3%12.0%53.1%14.1%45.2%10.0%1.0%24.9K1.5M-76.3K1.5464.55N/AN/A1,1761,8146,6476,549
2017-06-06$45.36$48.0039.1%12.1%51.5%7.8%42.2%6.0%2.7%-43.2K2.2M-77.0K1.2457.94N/AN/A1,3301,6436,6486,830
2017-06-07$44.66$48.0040.6%12.1%51.0%9.4%42.0%4.7%-0.4%-86.2K3.4M-74.9K1.2959.00N/AN/A1,2791,6526,6697,019
2017-06-08$43.63$50.0040.2%10.8%49.9%8.9%49.9%-6.4%6.9%-118.7K5.7M-72.8K1.0686.50N/AN/A1,2031,2796,6827,014
2017-06-09$43.67$48.0039.2%11.5%49.7%7.9%42.9%3.2%0.5%-160.8K5.3M-70.6K1.0568.59N/AN/A1,2061,2726,6877,041
2017-06-12$43.57$48.0073.5%12.8%47.8%42.6%50.0%23.6%3.1%-174.0K6.6M-71.7K1.3267.09N/AN/A1,1791,5576,6917,066
2017-06-13$44.14$48.0053.0%12.1%48.6%21.8%40.2%4.2%3.2%-193.5K5.6M-71.4K1.2063.46N/AN/A1,0431,2536,7057,240
2017-06-14$43.85$48.0042.3%12.1%47.6%11.1%39.9%3.1%9.5%-173.4K6.2M-73.1K1.2394.74N/AN/A1,0181,2536,7337,255
2017-06-15$42.35$48.0049.0%14.0%48.3%17.8%41.5%0.7%7.7%-199.5K8.5M-67.6K1.4095.07N/AN/A8301,1626,7467,255
2017-06-16$44.05$46.0043.0%12.3%51.0%11.8%55.4%29.1%-0.1%-489.6K6.2M-68.4K1.3183.22N/AN/A8491,1096,7497,137
2017-06-19$45.34$46.0044.4%12.7%52.7%13.2%45.8%7.0%-0.4%-20.4K1.9M-67.8K1.2278.28N/AN/A8229995,4236,261
2017-06-20$45.61$46.0041.2%11.8%52.2%9.9%45.5%8.2%0.3%43.1K-15.8K-69.1K1.1184.40N/AN/A8979925,4766,321
2017-06-21$47.49$46.0042.7%12.2%55.0%11.5%41.7%8.1%-2.1%102.6K-2.8M-67.8K1.1381.58N/AN/A9311,0555,4346,335
2017-06-22$47.26$47.0038.5%11.0%45.2%7.2%44.5%7.3%5.1%170.9K-3.1M-70.0K1.9582.99N/AN/A5069875,5486,403
2017-06-23$47.31$47.0036.5%10.5%45.2%5.2%54.0%26.3%-0.6%113.9K-2.7M-70.3K2.0996.00N/AN/A4769955,5776,410
2017-06-26$47.48$47.0036.0%10.3%41.2%4.7%43.4%27.2%2.9%172.6K-1.0M-66.0K2.1597.21N/AN/A4639955,5836,417
2017-06-27$45.83$47.0043.1%12.4%35.7%11.9%45.8%8.8%0.9%114.6K-598.4K-65.0K2.1690.95N/AN/A4671,0075,6436,417
2017-06-28$47.10$47.0035.8%10.3%36.7%4.5%44.3%16.2%6.9%89.1K-2.7M-66.7K1.5095.65N/AN/A4717065,6776,502
2017-06-29$46.41$47.0041.0%11.8%35.4%9.7%41.1%6.6%-2.5%97.4K-246.0K-62.0K1.6796.08N/AN/A4777965,6906,500
2017-06-30$46.12$47.0043.8%12.6%34.2%12.6%39.5%2.7%6.5%83.8K-978.0K-62.1K1.6399.97N/AN/A5498945,7066,600