NBIX Options History — September 2017

In September 2017, NBIX traded between $56.28 and $61.24. ATM implied volatility averaged 45.1%, placing in the 11.6% IV rank vs the trailing year. The 30-day expected move averaged 13.4%. IV traded above realized volatility by 18.9% (HV 20d: 26.1%). Max pain ranged from $50.00 to $55.00. Net GEX was positive for 20 of 20 trading days. Term structure was in contango for 20 of 20 days. Put/call ratio averaged 1.34.

Notable Days

  • 2017-09-26: Highest Volume — 1,909 contracts
  • 2017-09-05: Largest IV spike — 20.1% change
  • 2017-09-12: Highest IV Rank — 17.0%
  • 2017-09-12: Largest Expected Move — 14.1%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$57.87$56.28$61.24$56.90$61.24
Max Pain$54.50$50.00$55.00$50.00$55.00
ATM IV45.1%36.6%49.3%36.8%46.7%
Expected Move13.4%10.6%14.1%10.6%13.4%
HV 20d26.1%24.4%27.1%26.3%25.6%
HV 60d33.0%31.4%35.1%34.8%32.1%
IV Rank11.6%4.1%17.0%5.5%12.3%
IV Percentile29.2%2.8%45.2%4.8%32.9%
Term Structure5.7%0.6%12.0%11.0%1.9%
VWIV47.6%39.4%50.8%39.4%45.3%
Skew 25d3.2%1.1%6.2%1.1%5.4%
Skew 10d6.2%-8.2%17.3%1.9%7.7%
Call IV 25d45.6%38.2%48.6%38.2%43.4%
Put IV 25d48.8%39.3%50.7%39.3%48.8%
Bid-Ask Spread %54.7535.4475.8675.8666.10
Gamma HHI0.330.250.400.280.40
Net GEX449.6K247.1K689.1K454.8K689.1K
Net DEX-16.6M-25.7M-11.9M-15.6M-25.7M
Net VEX-95.8K-99.9K-91.4K-95.4K-98.3K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.340.362.702.081.05
Total Volume1,256.97121,9091,3171,119
Total OI11,374.7510,08612,80810,08612,752

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2017-09-01$56.90$50.0036.8%10.6%26.3%5.5%39.4%1.1%11.0%454.8K-15.6M-95.4K2.0875.86N/AN/A4278906,8943,192
2017-09-05$58.08$50.0044.2%13.9%26.9%11.9%48.0%3.2%8.0%501.3K-17.1M-95.7K1.3535.44N/AN/A6478756,9773,219
2017-09-06$58.58$55.0043.3%13.5%26.8%10.9%47.3%2.9%5.7%573.9K-19.5M-95.9K2.3642.17N/AN/A5361,2677,2153,261
2017-09-07$57.73$55.0036.6%13.8%27.1%4.1%48.8%3.3%3.5%555.0K-17.3M-98.9K2.7044.86N/AN/A5141,3907,3433,654
2017-09-08$57.85$55.0038.0%13.7%26.5%5.5%49.5%2.0%0.7%556.8K-16.7M-99.0K2.3642.39N/AN/A5551,3097,3623,774
2017-09-11$57.58$55.0043.7%13.7%26.6%11.4%49.8%2.8%5.4%537.2K-16.0M-97.0K0.7148.76N/AN/A6634697,4023,805
2017-09-12$57.44$55.0049.3%14.1%26.5%17.0%50.2%2.7%6.1%473.9K-15.6M-96.1K0.8554.84N/AN/A5474647,3273,934
2017-09-13$57.36$55.0047.7%13.7%26.5%15.4%46.9%1.7%5.9%521.8K-15.9M-95.6K0.7843.92N/AN/A5844557,4303,934
2017-09-14$56.87$55.0046.6%13.4%26.3%14.3%50.4%3.3%12.0%334.1K-15.1M-95.0K0.8259.02N/AN/A5524517,4243,933
2017-09-15$56.72$55.0047.3%13.6%26.2%13.0%48.5%2.3%9.2%329.9K-14.6M-93.1K2.2656.72N/AN/A4651,0537,4283,932
2017-09-18$56.64$55.0046.5%13.3%24.8%12.1%50.8%3.2%7.9%247.1K-12.6M-94.3K1.9953.35N/AN/A5221,0376,6304,433
2017-09-19$56.28$55.0046.5%13.3%25.1%12.1%47.7%6.2%3.5%252.5K-11.9M-94.0K0.5663.47N/AN/A6813786,6494,474
2017-09-20$56.80$55.0047.0%13.5%25.2%12.7%46.8%2.1%9.1%303.7K-12.7M-93.8K0.5566.80N/AN/A7384046,8914,468
2017-09-21$58.85$55.0043.8%12.5%27.1%9.2%44.3%5.1%7.3%353.7K-16.6M-95.7K0.9756.02N/AN/A3993896,9454,516
2017-09-22$58.99$55.0045.1%12.9%25.4%10.6%45.9%5.1%4.4%394.8K-17.1M-95.3K1.1161.27N/AN/A3383747,0494,527
2017-09-25$58.81$55.0047.6%13.7%24.4%13.3%47.9%1.6%3.7%392.3K-17.2M-93.5K1.2270.14N/AN/A3294007,0574,524
2017-09-26$57.46$55.0048.8%14.0%26.3%14.5%45.7%4.2%1.1%339.5K-15.4M-91.4K0.3665.00N/AN/A1,4085017,0514,551
2017-09-27$58.71$55.0047.8%13.7%26.9%13.5%50.2%3.0%6.8%570.7K-19.7M-99.9K1.4652.27N/AN/A4136048,1424,666
2017-09-28$58.57$55.0047.8%13.7%26.0%13.4%47.9%2.6%0.6%609.9K-20.1M-98.1K1.3436.60N/AN/A4235688,1504,580
2017-09-29$61.24$55.0046.7%13.4%25.6%12.3%45.3%5.4%1.9%689.1K-25.7M-98.3K1.0566.10N/AN/A5475728,1894,563