NBIX Options History — November 2017

In November 2017, NBIX traded between $61.05 and $75.46. ATM implied volatility averaged 43.5%, placing in the 8.2% IV rank vs the trailing year. The 30-day expected move averaged 12.3%. IV traded below realized volatility by 21.5% (HV 20d: 65.0%). Max pain ranged from $55.00 to $70.00. Net GEX was positive for 19 of 21 trading days. Term structure was in contango for 14 of 21 days. Put/call ratio averaged 1.33.

Notable Days

  • 2017-11-02: Highest Volume — 6,236 contracts
  • 2017-11-02: Largest IV drop — 18.1% change
  • 2017-11-01: Highest IV Rank — 24.6%
  • 2017-11-01: Largest Expected Move — 16.9%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$72.14$61.05$75.46$61.05$71.90
Max Pain$68.81$55.00$70.00$55.00$70.00
ATM IV43.5%37.3%59.0%59.0%41.6%
Expected Move12.3%10.7%16.9%16.9%11.9%
HV 20d65.0%21.6%71.3%21.6%71.3%
HV 60d42.4%24.4%45.0%24.4%45.0%
IV Rank8.2%1.6%24.6%24.6%6.2%
IV Percentile19.0%2.4%70.2%70.2%11.9%
Term Structure0.0%-7.6%3.3%-7.6%-2.2%
VWIV43.7%39.1%58.5%58.5%42.6%
Skew 25d2.7%0.5%4.8%4.2%2.9%
Skew 10d4.6%-2.3%10.0%4.6%5.6%
Call IV 25d41.8%35.9%59.7%59.7%40.8%
Put IV 25d44.5%38.1%63.9%63.9%43.7%
Bid-Ask Spread %40.4521.9590.2190.2153.42
Gamma HHI0.270.200.390.370.24
Net GEX461.1K-251.8K1.0M842.7K134.8K
Net DEX-40.3M-67.5M-6.3M-21.1M-15.8M
Net VEX-88.7K-104.6K-71.3K-86.2K-88.3K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.330.412.840.910.95
Total Volume2,166.9058726,2361,8511,991
Total OI17,170.1912,03821,75614,22313,235

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2017-11-01$61.05$55.0059.0%16.9%21.6%24.6%58.5%4.2%-7.6%842.7K-21.1M-86.2K0.9190.21N/AN/A9708818,6755,548
2017-11-02$72.76$60.0048.3%13.0%66.3%13.3%47.0%2.5%0.7%742.9K-51.9M-71.3K1.2732.25N/AN/A2,7473,4899,0255,551
2017-11-03$73.11$70.0044.9%12.9%66.3%9.6%45.7%3.3%1.3%490.2K-53.4M-88.3K1.0042.90N/AN/A2,3392,33310,2978,479
2017-11-06$74.50$70.0047.5%12.8%66.3%12.5%45.3%4.8%1.5%794.7K-58.0M-104.6K1.6942.11N/AN/A7821,32311,5379,042
2017-11-07$74.46$70.0048.7%12.9%66.3%13.7%44.5%2.9%1.1%747.4K-59.5M-98.2K1.3152.69N/AN/A8791,15011,5629,068
2017-11-08$73.95$70.0044.5%12.8%66.3%9.3%45.8%1.2%1.7%710.2K-58.9M-98.0K0.6156.83N/AN/A1,7281,05411,6039,140
2017-11-09$75.46$70.0043.8%12.5%66.4%8.4%44.6%3.9%1.6%840.7K-67.5M-97.0K0.6344.86N/AN/A1,7571,11412,4889,161
2017-11-10$75.46$70.0044.8%12.9%66.3%9.6%43.7%3.2%-0.9%976.6K-67.0M-97.1K1.1626.19N/AN/A70081012,5179,193
2017-11-13$74.72$70.0043.8%12.6%66.0%8.5%44.8%3.0%0.5%820.8K-66.5M-91.1K1.9747.33N/AN/A39878612,5619,191
2017-11-14$74.17$70.0043.8%12.5%66.1%8.5%45.0%2.3%1.5%1.0M-62.0M-92.3K1.2939.04N/AN/A41754012,5539,188
2017-11-15$71.90$70.0043.9%12.6%66.6%8.6%43.3%3.9%2.2%690.2K-56.8M-87.1K1.2232.76N/AN/A44053812,5449,212
2017-11-16$72.31$70.0043.5%12.5%66.3%8.2%43.7%2.0%1.9%364.7K-58.9M-84.0K0.4129.49N/AN/A1,23250812,5459,211
2017-11-17$72.28$70.0039.8%11.4%66.3%4.3%40.3%1.9%3.3%284.3K-58.3M-79.9K0.8621.95N/AN/A2,5152,16412,2989,216
2017-11-20$71.86$70.0038.7%11.1%66.2%3.1%40.0%2.4%0.6%121.1K-14.9M-87.2K1.8547.70N/AN/A6771,2535,9016,137
2017-11-21$74.18$70.0038.3%11.0%66.6%2.6%40.5%2.9%-0.3%287.7K-19.5M-84.4K2.8423.92N/AN/A2858095,8876,217
2017-11-22$71.85$70.0037.6%10.8%68.3%2.0%39.1%2.3%0.8%129.0K-15.2M-84.9K1.9323.12N/AN/A3236245,9196,222
2017-11-24$71.18$70.0040.3%11.5%68.7%4.8%39.9%3.3%-1.6%57.5K-13.5M-86.5K2.3956.66N/AN/A2576155,9416,270
2017-11-27$71.36$70.0043.1%12.4%67.4%7.7%43.4%2.6%-3.2%82.5K-14.2M-82.4K0.9025.80N/AN/A6956275,9496,281
2017-11-28$68.19$70.0040.4%11.6%70.0%4.9%40.0%0.5%-2.9%-230.3K-7.0M-81.8K1.2228.51N/AN/A1,0841,3225,7946,291
2017-11-29$68.28$70.0037.3%10.7%70.0%1.6%39.7%1.2%0.6%-251.8K-6.3M-92.5K1.5231.64N/AN/A5358146,1626,963
2017-11-30$71.90$70.0041.6%11.9%71.3%6.2%42.6%2.9%-2.2%134.8K-15.8M-88.3K0.9553.42N/AN/A1,0209716,1977,038