NBIX Options History — February 2018

In February 2018, NBIX traded between $78.96 and $85.87. ATM implied volatility averaged 41.9%, placing in the 10.1% IV rank vs the trailing year. The 30-day expected move averaged 12.0%. IV traded below realized volatility by 0.3% (HV 20d: 42.2%). Max pain ranged from $80.00 to $90.00. Net GEX was positive for 19 of 19 trading days. Term structure was in contango for 11 of 19 days. Put/call ratio averaged 0.69.

Notable Days

  • 2018-02-23: Highest Volume — 3,152 contracts
  • 2018-02-06: Largest IV spike — 25.1% change
  • 2018-02-06: Highest IV Rank — 21.7%
  • 2018-02-09: Largest Expected Move — 15.0%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$83.65$78.96$85.87$85.87$84.59
Max Pain$82.11$80.00$90.00$90.00$80.00
ATM IV41.9%24.8%54.7%51.3%24.8%
Expected Move12.0%7.1%15.0%14.3%7.1%
HV 20d42.2%29.4%50.3%50.3%29.4%
HV 60d41.9%39.6%43.1%41.0%39.6%
IV Rank10.1%0.0%21.7%18.2%0.0%
IV Percentile34.5%0.0%81.0%72.6%0.0%
Term Structure1.1%-4.8%10.1%-3.1%1.1%
VWIV42.6%27.2%50.8%49.2%27.2%
Skew 25d5.4%1.5%9.0%6.3%4.8%
Skew 10d12.1%2.0%16.8%16.1%10.5%
Call IV 25d41.1%27.8%51.8%48.3%27.8%
Put IV 25d46.4%31.9%57.2%54.6%32.6%
Bid-Ask Spread %65.3535.2997.6635.2989.00
Gamma HHI0.230.180.390.220.31
Net GEX1.2M455.3K2.7M1.4M1.0M
Net DEX-34.7M-65.4M-11.3M-51.2M-19.5M
Net VEX-243.7K-262.6K-233.6K-244.3K-262.6K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.690.441.160.630.90
Total Volume2,215.1051,2683,1522,3081,956
Total OI22,055.78915,56526,10122,92819,477

Daily Data (19 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2018-02-01$85.87$90.0051.3%14.3%50.3%18.2%49.2%6.3%-3.1%1.4M-51.2M-244.3K0.6335.29N/AN/A1,41489412,88510,043
2018-02-02$83.39$90.0048.2%13.7%49.8%15.0%48.0%7.7%0.8%1.3M-44.5M-241.7K0.9238.36N/AN/A1,01393513,12610,101
2018-02-05$81.75$90.0043.7%13.8%50.0%10.4%49.3%5.4%0.6%1.2M-40.8M-239.1K0.5997.66N/AN/A1,62195513,16310,173
2018-02-06$82.52$90.0054.7%14.0%46.5%21.7%50.8%8.8%-0.4%1.3M-38.1M-236.9K0.4665.53N/AN/A1,93989313,44110,246
2018-02-07$83.02$80.0046.9%13.4%45.9%13.6%48.5%3.1%-0.1%1.6M-46.2M-248.3K0.4461.88N/AN/A1,99187214,43910,309
2018-02-08$78.96$80.0049.1%14.1%49.5%15.9%50.3%9.0%1.5%1.2M-29.1M-239.3K0.7175.54N/AN/A1,5931,12614,40910,314
2018-02-09$79.72$80.0052.3%15.0%49.4%19.2%50.0%7.0%-4.8%1.2M-29.4M-246.7K0.5679.64N/AN/A1,14864415,11910,591
2018-02-12$82.14$80.0047.4%13.6%49.6%14.2%46.6%5.9%-0.7%1.6M-40.2M-245.4K0.5776.90N/AN/A1,27572315,18910,660
2018-02-13$83.45$80.0046.9%13.4%43.5%13.6%49.5%4.5%-0.3%1.7M-47.3M-247.8K0.5973.86N/AN/A1,27275615,20110,742
2018-02-14$85.54$80.0045.1%12.9%43.9%11.8%43.9%4.9%-0.2%2.5M-58.8M-242.4K0.8176.28N/AN/A1,20897515,28510,792
2018-02-15$85.54$80.0040.9%11.7%42.6%7.4%42.6%6.7%4.5%2.7M-59.6M-239.9K0.7053.88N/AN/A1,14079815,36410,697
2018-02-16$85.27$80.0042.0%12.0%41.9%8.6%44.6%5.5%1.9%525.2K-65.4M-233.6K1.1657.29N/AN/A1,2391,44215,33610,765
2018-02-20$84.52$80.0041.0%11.8%37.3%7.5%43.8%8.8%1.5%473.6K-13.9M-240.8K0.4560.14N/AN/A9684378,2067,359
2018-02-21$85.08$80.0037.8%10.8%35.5%4.2%36.5%3.7%2.6%590.7K-15.8M-241.6K0.8064.78N/AN/A7035658,4297,412
2018-02-22$85.44$80.0028.5%8.2%35.3%0.0%29.8%1.5%10.1%612.0K-16.8M-238.9K0.9862.09N/AN/A9989808,5487,548
2018-02-23$84.19$80.0029.6%8.5%34.9%1.1%30.3%3.3%5.1%455.3K-11.3M-239.1K0.5552.22N/AN/A2,0321,1208,7677,830
2018-02-26$83.70$80.0033.1%9.5%33.6%4.6%36.8%2.3%2.2%584.3K-13.4M-248.0K0.6374.27N/AN/A1,36985610,1028,173
2018-02-27$84.63$80.0032.4%9.3%32.8%3.9%32.5%3.0%-1.6%849.9K-17.4M-254.0K0.6847.09N/AN/A1,33290510,6168,203
2018-02-28$84.59$80.0024.8%7.1%29.4%0.0%27.2%4.8%1.1%1.0M-19.5M-262.6K0.9089.00N/AN/A1,03192511,1948,283