NBIX Options History — April 2018

In April 2018, NBIX traded between $75.35 and $81.73. ATM implied volatility averaged 43.6%, placing in the 33.2% IV rank vs the trailing year. The 30-day expected move averaged 12.8%. IV traded above realized volatility by 5.4% (HV 20d: 38.2%). Max pain ranged from $75.00 to $85.00. Net GEX was positive for 18 of 21 trading days. Term structure was in contango for 6 of 21 days. Put/call ratio averaged 0.78.

Notable Days

  • 2018-04-26: Highest Volume — 3,924 contracts
  • 2018-04-30: Largest IV spike — 31.2% change
  • 2018-04-30: Highest IV Rank — 72.7%
  • 2018-04-30: Largest Expected Move — 17.1%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$78.46$75.35$81.73$78.25$81.38
Max Pain$76.43$75.00$85.00$85.00$75.00
ATM IV43.6%37.5%59.7%40.4%59.7%
Expected Move12.8%10.8%17.1%11.6%17.1%
HV 20d38.2%33.6%40.3%40.2%33.6%
HV 60d37.1%34.2%40.5%40.5%34.5%
IV Rank33.2%13.6%72.7%16.3%72.7%
IV Percentile46.5%17.9%97.6%28.6%97.6%
Term Structure-2.0%-17.6%7.0%6.5%-17.6%
VWIV44.3%32.1%50.6%40.4%50.6%
Skew 25d4.7%1.4%9.3%3.1%9.2%
Skew 10d9.6%4.9%16.1%6.4%16.1%
Call IV 25d43.2%33.6%50.4%40.3%50.4%
Put IV 25d47.9%40.7%59.6%43.3%59.6%
Bid-Ask Spread %37.6621.6869.4158.9744.37
Gamma HHI0.170.150.200.170.17
Net GEX531.1K-80.3K1.9M363.1K1.9M
Net DEX-641.0K-25.5M12.4M4.0M-25.5M
Net VEX-215.8K-256.8K-189.1K-215.8K-253.1K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.780.202.400.620.32
Total Volume2,273.0489773,9241,9213,727
Total OI23,270.33320,64926,44820,64926,448

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2018-04-02$78.25$85.0040.4%11.6%40.2%16.3%40.4%3.1%6.5%363.1K4.0M-215.8K0.6258.97N/AN/A1,18773412,5928,057
2018-04-03$77.28$85.0041.8%12.0%35.0%17.5%32.1%9.3%6.2%261.9K5.4M-209.5K0.9269.41N/AN/A50946813,3818,088
2018-04-04$80.06$85.0037.5%10.8%38.1%13.6%37.7%3.8%7.0%712.2K-2.2M-221.5K0.5328.14N/AN/A92149113,4118,090
2018-04-05$80.00$75.0037.7%12.9%37.5%13.7%43.6%4.1%-2.8%646.7K-1.9M-219.1K0.5026.44N/AN/A92646713,5198,097
2018-04-06$77.26$75.0039.0%13.2%38.5%14.9%46.8%5.3%-3.5%192.9K6.4M-203.7K0.4838.15N/AN/A99047113,7268,155
2018-04-09$78.87$75.0039.2%12.9%39.5%15.1%45.6%3.0%-3.0%430.9K1.7M-210.4K0.3224.85N/AN/A1,40645013,7918,161
2018-04-10$77.62$75.0038.0%11.9%39.4%14.0%42.9%2.5%1.7%203.7K6.5M-198.7K0.7839.04N/AN/A69854713,8678,223
2018-04-11$76.66$75.0043.6%12.5%39.4%19.3%43.9%4.0%1.5%-26.8K8.7M-193.6K0.6335.29N/AN/A1,46993113,9618,314
2018-04-12$76.04$75.0042.7%12.3%37.7%19.0%44.2%3.7%-0.5%39.3K9.1M-197.0K2.4046.42N/AN/A5241,25514,9248,680
2018-04-13$75.35$75.0042.3%12.1%37.7%38.3%44.3%1.4%-0.1%-70.7K12.4M-192.1K1.7137.19N/AN/A7061,21014,9288,871
2018-04-16$75.37$75.0043.8%12.6%35.9%41.4%44.8%3.9%-0.6%-80.3K12.4M-189.1K1.5324.71N/AN/A7951,21515,0448,931
2018-04-17$76.96$75.0041.9%12.0%35.8%37.4%43.3%3.7%2.0%74.0K7.5M-200.2K1.4224.94N/AN/A8951,27315,1068,949
2018-04-18$79.76$75.0044.3%12.7%38.6%42.2%43.2%4.7%-1.3%428.2K-2.2M-216.7K0.4449.23N/AN/A2,3431,03615,3148,982
2018-04-19$78.34$75.0045.1%12.9%39.0%43.9%45.4%4.3%-6.4%269.2K1.2M-217.5K0.7168.66N/AN/A1,05975016,4669,339
2018-04-20$79.64$75.0046.1%13.2%39.6%45.9%46.9%2.6%-3.8%68.8K-5.4M-226.2K0.5632.11N/AN/A1,30873116,8019,392
2018-04-23$81.15$75.0046.5%13.3%38.8%46.7%49.3%7.4%-4.3%1.1M-12.5M-230.5K1.6021.68N/AN/A7281,16613,0218,458
2018-04-24$78.54$75.0047.6%13.7%39.8%48.9%46.9%4.8%-5.9%727.9K-4.5M-223.1K0.2734.53N/AN/A2,32663813,1309,032
2018-04-25$77.87$75.0045.8%13.1%39.2%45.2%46.1%4.4%-5.8%849.9K-1.1M-222.1K0.2025.66N/AN/A3,10862814,4309,138
2018-04-26$79.54$75.0046.9%13.5%38.9%47.5%45.3%8.6%-7.1%1.3M-9.5M-234.8K0.2332.40N/AN/A3,20272215,2569,211
2018-04-27$81.73$75.0045.5%13.0%40.3%44.6%45.9%5.2%-4.2%1.8M-23.8M-256.8K0.2728.60N/AN/A2,92280216,0509,343
2018-04-30$81.38$75.0059.7%17.1%33.6%72.7%50.6%9.2%-17.6%1.9M-25.5M-253.1K0.3244.37N/AN/A2,81890917,0409,408