NBIX Options History — December 2017

In December 2017, NBIX traded between $68.93 and $77.54. ATM implied volatility averaged 39.7%, placing in the 4.6% IV rank vs the trailing year. The 30-day expected move averaged 10.7%. IV traded above realized volatility by 1.1% (HV 20d: 38.6%). Max pain ranged from $65.00 to $70.00. Net GEX was positive for 11 of 20 trading days. Term structure was in contango for 19 of 20 days. Put/call ratio averaged 2.50.

Notable Days

  • 2017-12-15: Highest Volume — 2,932 contracts
  • 2017-12-11: Largest IV spike — 31.5% change
  • 2017-12-12: Highest IV Rank — 14.2%
  • 2017-12-01: Largest Expected Move — 11.5%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$71.88$68.93$77.54$73.76$77.54
Max Pain$68.25$65.00$70.00$70.00$70.00
ATM IV39.7%33.7%49.1%40.1%33.7%
Expected Move10.7%9.7%11.5%11.5%9.7%
HV 20d38.6%34.0%41.4%35.5%34.0%
HV 60d46.5%45.1%47.2%45.1%46.9%
IV Rank4.6%0.0%14.2%4.6%0.0%
IV Percentile13.0%0.0%51.6%7.9%0.0%
Term Structure4.1%-3.4%8.7%-3.4%6.9%
VWIV38.1%34.7%46.3%46.3%34.9%
Skew 25d3.7%2.1%6.0%5.0%3.5%
Skew 10d8.3%4.5%18.7%18.7%11.1%
Call IV 25d36.1%33.5%39.2%39.2%33.5%
Put IV 25d39.8%36.9%44.2%44.2%36.9%
Bid-Ask Spread %42.4824.2159.4345.7526.09
Gamma HHI0.220.150.320.240.19
Net GEX58.5K-222.8K578.7K305.4K204.1K
Net DEX-13.9M-22.2M-5.6M-19.7M-22.2M
Net VEX-81.9K-92.1K-70.9K-90.3K-81.8K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio2.500.616.520.921.50
Total Volume1,691.457772,9321,9482,103
Total OI12,0598,46614,08613,52511,477

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2017-12-01$73.76$70.0040.1%11.5%35.5%4.6%46.3%5.0%-3.4%305.4K-19.7M-90.3K0.9245.75N/AN/A1,0129366,5197,006
2017-12-04$71.99$65.0047.4%11.3%36.6%12.4%40.5%4.2%3.5%125.2K-15.2M-92.1K1.3741.71N/AN/A7301,0006,7737,063
2017-12-05$70.94$65.0045.6%11.4%36.1%10.4%38.7%6.0%0.7%147.5K-14.4M-90.0K1.2152.51N/AN/A7439006,7837,019
2017-12-06$69.88$65.0043.3%11.1%36.4%8.0%39.9%5.0%2.8%-87.2K-10.6M-88.4K1.2431.07N/AN/A7569396,7377,121
2017-12-07$72.30$65.0046.2%11.4%38.7%11.1%38.8%5.7%3.2%312.2K-18.1M-83.9K1.9957.04N/AN/A6621,3196,6987,257
2017-12-08$73.58$65.0036.8%10.7%38.5%1.1%38.4%3.7%3.3%578.7K-21.9M-77.8K1.1541.50N/AN/A8589906,6986,866
2017-12-11$70.50$65.0048.4%10.9%41.2%13.4%39.9%2.7%4.6%-18.7K-12.9M-78.6K1.3733.24N/AN/A6949516,7937,293
2017-12-12$70.18$65.0049.1%11.1%41.1%14.2%39.7%3.0%3.4%51.9K-12.1M-77.7K2.1724.21N/AN/A5551,2066,7996,436
2017-12-13$70.97$70.0038.6%11.1%41.4%3.0%39.7%3.6%3.3%275.1K-15.5M-73.7K1.9833.42N/AN/A4879666,7966,375
2017-12-14$70.50$70.0037.7%10.8%40.0%2.1%38.6%3.1%4.1%200.2K-14.0M-72.6K1.8441.46N/AN/A5621,0346,7896,384
2017-12-15$70.38$70.0038.0%10.9%39.9%2.3%38.3%3.3%3.8%86.8K-18.0M-70.9K1.0144.39N/AN/A1,4571,4756,7986,381
2017-12-18$70.49$70.0035.7%10.2%40.0%0.0%35.6%2.6%5.7%-9.1K-11.2M-72.9K5.1051.47N/AN/A3401,7343,9844,482
2017-12-19$68.93$70.0036.0%10.3%40.6%0.4%38.5%4.2%6.3%-222.8K-5.6M-84.8K5.6859.43N/AN/A2661,5124,0105,771
2017-12-20$71.41$70.0037.2%10.7%41.0%1.6%37.4%3.5%2.2%-179.8K-9.2M-81.1K6.5244.91N/AN/A1851,2074,0165,802
2017-12-21$71.66$70.0036.0%10.3%39.5%0.3%35.1%3.8%7.7%-195.8K-8.9M-87.2K4.4735.95N/AN/A1988864,0246,113
2017-12-22$71.84$70.0034.5%9.9%39.4%0.0%34.7%3.5%8.7%-186.0K-9.5M-86.2K4.5048.33N/AN/A1948734,0486,165
2017-12-26$71.73$70.0038.5%11.0%39.4%4.2%36.3%2.1%4.1%-185.8K-9.6M-82.6K4.1657.48N/AN/A2138864,0786,174
2017-12-27$73.72$70.0036.5%10.5%36.5%2.1%36.3%3.0%5.1%-124.8K-12.4M-80.2K0.6140.54N/AN/A1,3848394,1256,183
2017-12-28$75.31$70.0035.3%10.1%37.0%0.8%34.7%3.2%6.6%92.9K-17.6M-85.1K1.2139.07N/AN/A3524255,1236,221
2017-12-29$77.54$70.0033.7%9.7%34.0%0.0%34.9%3.5%6.9%204.1K-22.2M-81.8K1.5026.09N/AN/A8411,2625,2456,232