NBIX Options History — June 2018

In June 2018, NBIX traded between $96.97 and $105.27. ATM implied volatility averaged 36.8%, placing in the 32.1% IV rank vs the trailing year. The 30-day expected move averaged 10.6%. IV traded above realized volatility by 16.5% (HV 20d: 20.4%). Max pain ranged from $80.00 to $95.00. Net GEX was positive for 21 of 21 trading days. Term structure was in contango for 17 of 21 days. Put/call ratio averaged 0.92.

Notable Days

  • 2018-06-11: Highest Volume — 4,036 contracts
  • 2018-06-04: Largest IV spike — 23.0% change
  • 2018-06-27: Highest IV Rank — 47.3%
  • 2018-06-27: Largest Expected Move — 12.1%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$100.21$96.97$105.27$98.50$98.56
Max Pain$94.05$80.00$95.00$80.00$95.00
ATM IV36.8%28.0%42.3%28.0%39.3%
Expected Move10.6%8.0%12.1%8.0%11.3%
HV 20d20.4%17.0%23.6%22.7%22.5%
HV 60d31.4%27.7%33.6%33.5%27.7%
IV Rank32.1%10.0%47.3%10.0%40.1%
IV Percentile27.3%3.6%48.8%3.6%35.7%
Term Structure1.1%-0.8%3.4%3.4%0.8%
VWIV38.2%31.4%43.7%31.4%42.4%
Skew 25d2.6%0.9%4.4%4.4%2.2%
Skew 10d6.5%3.0%10.9%10.9%3.0%
Call IV 25d37.2%27.4%43.2%27.4%41.4%
Put IV 25d39.8%31.9%44.6%31.9%43.6%
Bid-Ask Spread %31.9021.1547.6222.4834.56
Gamma HHI0.320.190.650.320.20
Net GEX2.8M1.2M5.9M3.7M1.5M
Net DEX-60.8M-102.0M-24.8M-65.4M-32.0M
Net VEX-229.8K-243.3K-215.3K-227.1K-225.8K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.920.331.570.971.03
Total Volume2,255.0481,3374,0361,6731,337
Total OI21,618.90518,41025,52821,08320,837

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2018-06-01$98.50$80.0028.0%8.0%22.7%10.0%31.4%4.4%3.4%3.7M-65.4M-227.1K0.9722.48N/AN/A85182213,1737,910
2018-06-04$100.05$95.0034.4%10.8%21.5%22.8%37.6%3.3%0.1%3.4M-76.2M-216.1K0.3328.11N/AN/A2,83993113,2367,909
2018-06-05$99.42$90.0034.8%9.9%22.2%23.4%35.4%2.3%2.6%4.0M-76.6M-234.0K0.6627.05N/AN/A1,41493414,4267,835
2018-06-06$99.67$95.0033.5%10.2%21.6%20.8%36.0%0.9%1.9%4.1M-78.4M-230.1K0.8527.89N/AN/A1,3081,11614,3377,855
2018-06-07$98.81$95.0033.6%10.2%19.6%21.1%36.6%2.8%1.9%4.3M-73.4M-243.3K0.9126.57N/AN/A97288214,7788,079
2018-06-08$99.26$95.0032.7%10.0%19.4%19.3%36.6%2.5%2.2%4.8M-77.8M-240.9K1.5728.24N/AN/A52983015,1528,101
2018-06-11$99.54$95.0036.7%10.0%17.1%27.2%37.3%3.5%1.8%5.1M-81.2M-224.2K0.8038.14N/AN/A2,2421,79415,1858,114
2018-06-12$101.28$95.0037.3%10.2%17.6%28.4%36.5%2.9%1.4%3.8M-88.3M-229.9K0.5440.54N/AN/A2,4551,32814,8619,140
2018-06-13$98.87$95.0036.3%10.4%19.7%32.7%36.3%2.7%1.0%4.4M-73.9M-234.9K0.8544.45N/AN/A94880815,3619,195
2018-06-14$100.17$95.0035.9%10.3%19.6%31.7%36.5%3.8%1.4%5.9M-84.9M-231.0K1.1030.92N/AN/A9991,09815,6549,205
2018-06-15$101.36$95.0036.0%10.3%18.6%31.9%35.9%2.2%1.8%1.5M-102.0M-226.7K0.6240.64N/AN/A1,28079416,0239,505
2018-06-18$102.30$95.0036.1%10.3%18.6%32.2%36.4%2.9%0.3%1.7M-48.1M-221.9K0.8136.29N/AN/A74760610,3048,188
2018-06-19$102.93$95.0033.5%9.6%17.0%25.9%34.5%2.5%3.2%1.8M-50.3M-215.3K1.0021.15N/AN/A1,0291,03310,2118,199
2018-06-20$105.27$95.0039.0%11.2%17.6%39.4%41.0%3.5%-0.2%1.5M-55.6M-224.2K0.3637.86N/AN/A2,9621,07310,2688,581
2018-06-21$103.30$95.0039.1%11.2%19.7%39.6%40.0%3.0%-0.1%1.7M-48.5M-235.2K0.8547.62N/AN/A1,06590011,3588,611
2018-06-22$101.51$95.0040.3%11.6%21.2%42.6%40.7%1.8%-0.2%1.5M-42.0M-238.6K0.8829.71N/AN/A1,00488011,5648,638
2018-06-25$100.01$95.0042.0%12.0%22.0%46.6%43.7%1.2%-0.8%1.4M-35.0M-235.0K1.5326.11N/AN/A8301,26911,6078,680
2018-06-26$99.15$95.0041.1%11.8%22.3%44.5%42.6%1.3%0.1%1.4M-32.5M-233.3K1.1231.99N/AN/A88499211,6978,822
2018-06-27$96.97$95.0042.3%12.1%23.6%47.3%43.4%2.1%0.1%1.2M-24.8M-231.8K1.2523.03N/AN/A8071,01111,8188,825
2018-06-28$97.49$95.0042.0%12.0%23.4%46.6%42.1%2.3%1.0%1.3M-29.1M-225.7K1.3926.66N/AN/A7331,02011,8978,858
2018-06-29$98.56$95.0039.3%11.3%22.5%40.1%42.4%2.2%0.8%1.5M-32.0M-225.8K1.0334.56N/AN/A65967811,9308,907