NBIX Options History — October 2017

In October 2017, NBIX traded between $58.41 and $62.55. ATM implied volatility averaged 50.4%, placing in the 15.5% IV rank vs the trailing year. The 30-day expected move averaged 15.0%. IV traded above realized volatility by 26.8% (HV 20d: 23.7%). Max pain ranged from $50.00 to $60.00. Net GEX was positive for 22 of 22 trading days. Term structure was in contango for 9 of 22 days. Put/call ratio averaged 1.52.

Notable Days

  • 2017-10-24: Highest Volume — 3,804 contracts
  • 2017-10-11: Largest IV spike — 11.7% change
  • 2017-10-31: Highest IV Rank — 23.5%
  • 2017-10-10: Largest Expected Move — 16.9%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$61.08$58.41$62.55$61.88$62.19
Max Pain$52.50$50.00$60.00$60.00$55.00
ATM IV50.4%42.0%58.0%48.9%58.0%
Expected Move15.0%13.3%16.9%14.0%16.6%
HV 20d23.7%20.9%26.7%25.7%20.9%
HV 60d29.8%24.1%32.1%32.1%24.1%
IV Rank15.5%6.6%23.5%13.9%23.5%
IV Percentile47.0%10.3%67.9%44.0%67.9%
Term Structure-1.3%-10.2%8.1%8.1%-7.4%
VWIV52.5%46.3%57.2%48.8%57.2%
Skew 25d4.6%-5.1%13.3%2.7%1.2%
Skew 10d9.9%-12.7%26.3%1.4%4.4%
Call IV 25d50.2%40.0%60.4%48.0%56.5%
Put IV 25d54.8%46.6%58.5%50.7%57.7%
Bid-Ask Spread %79.4940.3695.4756.3587.62
Gamma HHI0.410.340.550.410.39
Net GEX846.1K541.2K1.3M743.6K854.0K
Net DEX-22.6M-29.5M-13.6M-26.7M-23.9M
Net VEX-90.8K-100.0K-78.0K-93.4K-83.9K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.520.732.211.181.06
Total Volume1,809.1361,0763,8041,1551,863
Total OI13,512.68211,45514,22212,95013,689

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2017-10-02$61.88$60.0048.9%14.0%25.7%13.9%48.8%2.7%8.1%743.6K-26.7M-93.4K1.1856.35N/AN/A5316248,2954,655
2017-10-03$61.97$60.0049.0%14.1%25.0%14.0%48.7%3.1%3.8%758.8K-28.0M-96.8K1.3140.36N/AN/A4696158,5194,713
2017-10-04$62.54$60.0046.4%13.3%25.0%11.3%46.3%0.7%6.7%777.0K-28.9M-96.6K0.9249.96N/AN/A5605168,4994,720
2017-10-05$62.55$50.0042.0%15.4%24.1%6.6%52.9%-5.1%0.7%827.2K-29.5M-96.3K0.8986.70N/AN/A1,2531,1148,5974,772
2017-10-06$62.41$50.0044.7%15.1%24.2%9.4%52.9%1.2%0.3%787.2K-27.0M-100.0K0.9282.93N/AN/A1,2071,1168,2845,477
2017-10-09$62.33$50.0049.3%16.1%24.1%14.3%51.7%-0.3%-2.1%782.0K-26.8M-97.9K2.1741.19N/AN/A5081,1028,2665,473
2017-10-10$62.28$50.0047.4%16.9%24.0%12.3%56.2%10.5%-10.2%804.3K-26.5M-96.6K2.2188.83N/AN/A5011,1078,2615,474
2017-10-11$61.84$50.0052.9%15.2%24.3%18.1%52.8%10.2%1.3%885.5K-25.0M-95.2K2.1587.50N/AN/A4961,0648,2715,479
2017-10-12$62.37$50.0050.7%14.5%23.9%15.8%52.3%9.8%-0.2%964.3K-26.4M-92.1K1.5289.92N/AN/A7881,1998,2765,461
2017-10-13$62.20$50.0048.8%14.0%23.9%13.7%51.3%13.3%1.3%996.0K-26.7M-93.9K1.8795.47N/AN/A6381,1938,4195,630
2017-10-16$61.14$50.0054.2%15.5%25.0%19.5%53.7%2.3%-2.9%981.0K-24.2M-92.6K1.9986.14N/AN/A6351,2648,4295,627
2017-10-17$60.87$50.0051.4%14.8%24.9%16.6%53.3%6.4%0.5%1.2M-23.2M-90.3K2.1393.53N/AN/A6251,3298,4335,620
2017-10-18$59.42$50.0051.0%14.6%26.7%16.1%54.0%2.2%0.4%1.3M-18.1M-89.8K1.9885.46N/AN/A6021,1928,4665,756
2017-10-19$58.96$50.0052.6%15.1%23.9%17.8%56.0%1.7%-2.7%1.1M-16.2M-88.8K1.9285.62N/AN/A6411,2288,4835,732
2017-10-20$58.95$50.0050.1%14.4%23.9%15.1%51.7%3.7%-1.0%541.2K-13.7M-83.8K1.2481.35N/AN/A7869788,4575,683
2017-10-23$58.41$50.0050.5%14.5%24.1%15.6%52.0%6.9%-3.8%549.5K-13.6M-78.0K1.5588.06N/AN/A5859046,8464,609
2017-10-24$58.87$50.0050.5%14.5%22.6%15.6%51.4%6.7%-2.5%556.0K-13.9M-80.1K0.8080.96N/AN/A2,1171,6876,8514,625
2017-10-25$59.02$55.0052.7%15.1%21.3%17.9%55.2%6.6%-5.2%623.9K-15.0M-88.5K1.8582.48N/AN/A4999247,9505,325
2017-10-26$59.41$55.0051.2%14.7%21.4%16.3%52.2%9.7%-4.9%670.4K-15.5M-87.5K0.7387.23N/AN/A1,2809347,9875,356
2017-10-27$62.06$55.0052.8%15.1%21.2%18.0%51.4%3.1%-3.5%981.5K-25.6M-90.6K1.4987.10N/AN/A6701,0008,7855,381
2017-10-30$62.10$55.0054.6%15.7%20.9%19.9%52.9%4.0%-5.3%883.6K-22.9M-84.8K1.5683.95N/AN/A5708878,2025,446
2017-10-31$62.19$55.0058.0%16.6%20.9%23.5%57.2%1.2%-7.4%854.0K-23.9M-83.9K1.0687.62N/AN/A9059588,2425,447