NBIX Options History — July 2017

In July 2017, NBIX traded between $45.39 and $49.33. ATM implied volatility averaged 47.1%, placing in the 15.9% IV rank vs the trailing year. The 30-day expected move averaged 13.6%. IV traded above realized volatility by 13.3% (HV 20d: 33.8%). Max pain ranged from $45.00 to $47.00. Net GEX was positive for 19 of 20 trading days. Term structure was in contango for 11 of 20 days. Put/call ratio averaged 1.77.

Notable Days

  • 2017-07-27: Highest Volume — 4,983 contracts
  • 2017-07-05: Largest IV drop — 21.8% change
  • 2017-07-31: Highest IV Rank — 30.2%
  • 2017-07-31: Largest Expected Move — 17.6%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$47.53$45.39$49.33$46.77$48.19
Max Pain$45.20$45.00$47.00$47.00$45.00
ATM IV47.1%39.5%61.3%51.2%61.3%
Expected Move13.6%11.5%17.6%14.7%17.6%
HV 20d33.8%29.6%37.5%34.0%31.6%
HV 60d43.8%39.2%59.3%58.8%40.7%
IV Rank15.9%8.2%30.2%20.1%30.2%
IV Percentile37.8%10.7%74.6%51.6%74.6%
Term Structure-1.1%-13.6%5.7%-13.6%-12.2%
VWIV50.1%37.4%68.1%59.3%64.7%
Skew 25d10.0%4.2%36.9%36.9%13.9%
Skew 10d20.1%3.8%41.2%34.3%10.4%
Call IV 25d45.5%39.7%59.2%48.9%59.2%
Put IV 25d55.5%46.7%85.8%85.8%73.1%
Bid-Ask Spread %88.7175.92118.37118.3779.89
Gamma HHI0.200.160.260.190.20
Net GEX180.8K-135.6K451.3K86.2K331.6K
Net DEX-2.4M-8.8M2.5M-535.4K-5.2M
Net VEX-51.7K-66.4K-41.9K-66.4K-48.7K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.770.222.661.780.90
Total Volume1,676.91,0944,9831,3951,878
Total OI12,104.6510,06912,79212,31612,666

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2017-07-03$46.77$47.0051.2%14.7%34.0%20.1%59.3%36.9%-13.6%86.2K-535.4K-66.4K1.78118.37N/AN/A5018945,7066,610
2017-07-05$48.07$47.0040.0%11.5%35.2%8.8%37.4%5.1%5.7%224.8K-3.5M-59.7K2.20107.53N/AN/A4048885,7066,711
2017-07-06$46.73$45.0039.5%12.7%36.3%8.2%46.8%7.1%1.6%173.2K-2.0M-58.5K2.2075.92N/AN/A3647995,7136,711
2017-07-07$46.83$45.0047.2%12.4%35.1%16.0%44.2%8.3%5.1%110.1K-1.1M-59.1K1.5085.41N/AN/A6951,0405,7266,761
2017-07-10$45.79$45.0044.1%13.8%36.3%12.9%42.6%14.3%-3.2%35.4K1.8M-56.2K1.4086.26N/AN/A7431,0405,6316,910
2017-07-11$45.39$45.0046.1%12.8%36.4%14.9%45.9%5.7%1.7%-135.6K2.5M-54.5K1.3878.17N/AN/A7451,0305,7306,832
2017-07-12$46.38$45.0047.9%13.7%36.9%16.8%49.7%11.6%-0.4%79.0K870.0K-53.2K1.3488.11N/AN/A7501,0075,7306,845
2017-07-13$47.50$45.0045.6%13.1%37.5%14.4%45.9%4.4%0.4%214.3K-2.4M-52.4K2.6681.45N/AN/A3801,0125,7466,833
2017-07-14$48.10$45.0046.2%13.2%34.7%15.0%47.3%8.3%-0.8%369.9K-3.1M-55.3K2.3380.90N/AN/A4531,0545,7676,832
2017-07-17$46.91$45.0046.9%13.4%34.1%15.7%48.0%6.5%0.8%233.1K-2.0M-50.0K2.3282.88N/AN/A4511,0455,8166,866
2017-07-18$47.17$45.0045.9%13.2%32.7%14.7%46.2%4.7%-1.1%197.4K-1.5M-47.5K2.2983.03N/AN/A4571,0455,8676,867
2017-07-19$47.74$45.0047.0%13.5%32.9%15.8%52.2%15.1%1.5%326.9K-2.9M-49.0K2.2581.39N/AN/A4691,0575,8866,867
2017-07-20$47.81$45.0044.1%12.6%29.6%12.8%49.0%8.6%2.1%287.1K-2.5M-47.4K2.1487.77N/AN/A4559735,9116,881
2017-07-21$46.65$45.0042.7%12.2%30.9%11.5%47.6%11.4%3.2%48.6K-515.6K-44.4K1.5089.85N/AN/A4386565,9246,868
2017-07-24$48.75$45.0047.9%13.7%34.7%16.8%48.8%6.0%2.0%57.7K-2.4M-44.1K1.8092.32N/AN/A5009014,5075,638
2017-07-25$48.80$45.0045.9%13.2%34.7%14.7%54.5%13.3%-1.5%133.4K-3.6M-45.0K2.1187.67N/AN/A4128694,5855,484
2017-07-26$48.98$45.0044.2%12.7%31.9%13.0%46.1%4.8%0.0%196.9K-5.0M-41.9K2.1798.12N/AN/A3978614,6145,494
2017-07-27$48.72$45.0050.3%14.4%30.7%19.1%57.6%4.2%-5.1%194.3K-6.1M-44.5K0.2292.94N/AN/A4,1018824,6255,504
2017-07-28$49.33$45.0058.6%16.8%30.3%27.5%68.1%10.2%-9.1%451.3K-8.8M-55.4K0.8796.18N/AN/A1,0108827,2105,513
2017-07-31$48.19$45.0061.3%17.6%31.6%30.2%64.7%13.9%-12.2%331.6K-5.2M-48.7K0.9079.89N/AN/A9908887,1535,513