NBIX Options History — August 2017

In August 2017, NBIX traded between $48.12 and $56.65. ATM implied volatility averaged 47.1%, placing in the 15.9% IV rank vs the trailing year. The 30-day expected move averaged 13.3%. IV traded above realized volatility by 8.6% (HV 20d: 38.5%). Max pain ranged from $40.00 to $50.00. Net GEX was positive for 23 of 23 trading days. Term structure was in contango for 18 of 23 days. Put/call ratio averaged 1.55.

Notable Days

  • 2017-08-08: Highest Volume — 5,299 contracts
  • 2017-08-04: Largest IV drop — 21.8% change
  • 2017-08-01: Highest IV Rank — 32.7%
  • 2017-08-01: Largest Expected Move — 18.3%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$52.94$48.12$56.65$48.12$56.65
Max Pain$46.00$40.00$50.00$45.00$50.00
ATM IV47.1%40.4%63.7%63.7%43.4%
Expected Move13.3%11.6%18.3%18.3%12.4%
HV 20d38.5%27.9%42.7%31.3%41.5%
HV 60d39.5%34.1%43.9%40.6%35.3%
IV Rank15.9%9.1%32.7%32.7%12.2%
IV Percentile34.7%11.5%78.6%78.6%21.4%
Term Structure1.9%-14.1%8.5%-13.6%4.2%
VWIV48.6%43.0%65.1%64.9%43.5%
Skew 25d4.8%0.3%13.8%6.3%2.6%
Skew 10d15.3%-15.8%37.9%7.4%4.2%
Call IV 25d47.2%40.7%63.6%63.2%42.0%
Put IV 25d52.0%44.6%77.4%69.6%44.6%
Bid-Ask Spread %71.8550.3288.2480.2585.41
Gamma HHI0.290.190.430.190.28
Net GEX831.9K272.2K1.8M322.3K432.0K
Net DEX-16.8M-29.8M-6.2M-6.2M-15.0M
Net VEX-77.6K-98.9K-40.3K-47.3K-96.0K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.550.243.600.501.97
Total Volume1,700.2178915,2992,6551,430
Total OI13,677.6528,97719,56312,6349,979

Daily Data (23 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2017-08-01$48.12$45.0063.7%18.3%31.3%32.7%64.9%6.3%-13.6%322.3K-6.2M-47.3K0.5080.25N/AN/A1,7658907,0815,553
2017-08-02$48.40$45.0062.0%17.8%29.8%31.0%65.1%13.8%-14.1%409.9K-6.6M-47.9K0.5186.80N/AN/A1,7318907,3685,553
2017-08-03$48.74$40.0061.1%13.7%27.9%30.1%56.8%2.8%-0.7%419.5K-6.4M-44.3K1.6866.42N/AN/A7021,1827,4765,553
2017-08-04$53.51$40.0047.8%11.8%42.7%16.6%43.0%6.5%4.8%1.1M-19.5M-40.3K2.3654.81N/AN/A5801,3707,5205,853
2017-08-07$54.01$40.0044.6%12.1%41.3%13.4%44.4%2.5%4.0%1.1M-19.6M-45.1K1.2169.53N/AN/A7869547,5176,368
2017-08-08$53.75$40.0040.5%12.6%41.1%9.2%43.8%1.1%2.5%1.2M-18.9M-43.9K0.2463.22N/AN/A4,2621,0377,5496,378
2017-08-09$54.68$40.0045.5%13.1%41.0%14.3%45.8%6.5%4.8%1.4M-29.8M-88.5K0.2764.03N/AN/A1,52041611,3986,477
2017-08-10$53.94$40.0046.5%13.3%41.3%15.3%46.9%2.9%5.0%1.5M-29.3M-98.4K0.7267.62N/AN/A60643412,1136,488
2017-08-11$54.19$40.0043.6%12.5%41.2%12.4%56.5%0.9%4.4%1.6M-29.2M-98.9K1.0385.81N/AN/A43945212,2496,488
2017-08-14$53.94$48.0045.1%12.9%39.8%13.9%54.1%13.1%7.5%1.6M-29.4M-91.1K1.0270.64N/AN/A45146212,2376,543
2017-08-15$54.30$48.0046.5%13.3%39.8%15.3%49.3%1.1%1.4%1.8M-28.2M-90.9K1.0159.59N/AN/A45846212,2116,553
2017-08-16$53.61$48.0045.9%13.2%40.3%14.7%47.9%3.8%8.5%1.7M-27.2M-88.2K0.6871.94N/AN/A1,27386112,2256,557
2017-08-17$53.37$48.0046.8%13.4%40.5%15.6%47.5%4.9%8.1%1.8M-25.4M-91.6K1.0257.94N/AN/A84986912,5776,986
2017-08-18$52.31$48.0047.6%13.7%40.0%16.4%47.8%3.9%3.3%272.2K-23.3M-86.6K1.0780.56N/AN/A81387112,5646,986
2017-08-21$52.44$48.0047.8%13.7%37.4%16.6%45.7%6.7%2.9%281.3K-8.8M-85.4K2.4678.16N/AN/A3588806,2342,743
2017-08-22$52.68$50.0044.1%12.6%37.4%12.8%44.8%5.2%0.4%297.8K-8.0M-84.2K3.0062.93N/AN/A2958866,2932,902
2017-08-23$52.24$50.0045.7%13.1%37.6%14.5%44.6%5.8%2.1%278.7K-8.1M-85.9K2.5567.92N/AN/A3468846,3282,928
2017-08-24$53.90$50.0042.0%12.0%38.8%10.8%43.5%3.3%1.4%330.6K-9.8M-89.0K2.8088.24N/AN/A3168846,3522,941
2017-08-25$53.04$50.0040.4%11.6%39.4%9.1%44.4%11.4%-0.4%311.3K-9.9M-87.5K2.3186.92N/AN/A3818816,4002,941
2017-08-28$52.87$50.0042.2%12.1%38.2%11.0%43.2%4.4%3.2%302.1K-9.1M-84.7K2.4179.04N/AN/A3668816,4012,949
2017-08-29$52.76$50.0046.7%13.4%38.2%15.5%46.9%0.3%-0.7%302.5K-8.7M-83.4K3.6074.40N/AN/A2529066,4122,950
2017-08-30$54.08$50.0043.9%12.6%38.8%12.7%46.4%0.7%4.2%348.8K-10.5M-86.7K1.2450.32N/AN/A7929826,4282,984
2017-08-31$56.65$50.0043.4%12.4%41.5%12.2%43.5%2.6%4.2%432.0K-15.0M-96.0K1.9785.41N/AN/A4829486,8073,172