NBIX Options History — September 2018

In September 2018, NBIX traded between $116.64 and $125.46. ATM implied volatility averaged 34.5%, placing in the 31.4% IV rank vs the trailing year. The 30-day expected move averaged 9.9%. IV traded above realized volatility by 6.5% (HV 20d: 28.0%). Max pain ranged from $110.00 to $120.00. Net GEX was positive for 19 of 19 trading days. Term structure was in contango for 19 of 19 days. Put/call ratio averaged 0.84.

Notable Days

  • 2018-09-12: Highest Volume — 5,916 contracts
  • 2018-09-06: Largest IV spike — 6.9% change
  • 2018-09-17: Highest IV Rank — 37.6%
  • 2018-09-11: Largest Expected Move — 10.7%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$120.54$116.64$125.46$125.46$123.16
Max Pain$117.63$110.00$120.00$110.00$115.00
ATM IV34.5%31.4%36.8%31.4%33.5%
Expected Move9.9%9.0%10.7%9.0%9.6%
HV 20d28.0%19.6%32.1%19.6%32.1%
HV 60d37.7%36.1%38.4%36.1%38.4%
IV Rank31.4%22.9%37.6%22.9%28.7%
IV Percentile26.9%11.5%36.5%11.5%22.6%
Term Structure2.9%0.3%5.5%0.3%5.1%
VWIV35.8%32.0%39.2%32.0%33.5%
Skew 25d2.0%1.1%3.0%1.4%1.7%
Skew 10d4.7%3.0%8.2%3.0%3.4%
Call IV 25d33.9%30.5%36.0%30.5%32.8%
Put IV 25d35.9%32.0%38.0%32.0%34.5%
Bid-Ask Spread %22.2114.3946.8216.7620.18
Gamma HHI0.290.130.490.350.14
Net GEX2.1M676.5K3.8M2.2M942.3K
Net DEX-39.5M-62.8M-25.2M-62.8M-34.4M
Net VEX-228.0K-251.3K-161.7K-161.7K-231.0K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.840.281.231.210.42
Total Volume2,088.9471,4785,9162,9822,659
Total OI17,271.31614,04820,19914,71015,010

Daily Data (19 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2018-09-04$125.46$110.0031.4%9.0%19.6%22.9%32.0%1.4%0.3%2.2M-62.8M-161.7K1.2116.76N/AN/A1,3511,6317,9676,743
2018-09-05$121.26$110.0032.0%9.2%23.3%24.6%32.4%2.1%0.4%2.2M-45.5M-217.6K0.5218.18N/AN/A1,2886678,5807,626
2018-09-06$122.12$120.0034.2%9.9%23.3%30.6%35.8%2.1%2.5%2.5M-50.9M-233.1K1.1517.59N/AN/A6988039,3057,715
2018-09-07$117.22$120.0034.1%9.9%26.7%30.3%36.5%2.8%2.8%2.1M-29.5M-236.8K1.2316.18N/AN/A7318969,4977,932
2018-09-10$118.24$120.0035.3%10.2%26.7%33.6%38.3%2.6%2.4%2.3M-33.8M-240.4K1.1114.39N/AN/A9061,0029,7388,089
2018-09-11$121.00$120.0034.3%10.7%27.0%31.0%39.2%3.0%0.4%2.9M-46.8M-246.0K1.2335.66N/AN/A79297210,0408,239
2018-09-12$122.03$120.0035.2%10.1%27.1%33.5%37.8%2.4%2.6%3.1M-52.6M-243.6K0.2815.86N/AN/A4,6301,28610,2268,298
2018-09-13$121.06$120.0035.2%10.1%26.0%33.5%36.1%2.1%2.7%3.8M-56.2M-251.3K1.0622.78N/AN/A9651,01911,5108,689
2018-09-14$118.56$120.0035.1%10.1%27.3%33.1%37.0%1.5%2.7%2.7M-39.2M-242.0K0.8916.48N/AN/A82973410,4638,812
2018-09-17$117.32$120.0036.8%10.5%27.4%37.6%38.8%1.5%2.6%2.4M-31.2M-234.1K0.9820.69N/AN/A74873010,5218,837
2018-09-18$119.98$120.0036.5%10.5%28.2%37.0%38.7%1.5%2.0%3.2M-46.1M-228.9K0.8216.42N/AN/A84369410,5868,857
2018-09-19$116.64$120.0036.6%10.5%30.1%37.2%36.8%1.1%2.5%2.5M-29.4M-222.7K0.7826.14N/AN/A89069510,6958,884
2018-09-20$120.07$120.0035.7%10.2%31.0%34.8%36.9%1.4%3.3%1.9M-42.3M-222.2K0.5018.82N/AN/A1,3806859,8068,910
2018-09-21$119.20$120.0034.9%10.0%31.2%32.5%35.6%1.7%4.4%2.6M-39.3M-223.7K0.6634.65N/AN/A1,32187610,1918,976
2018-09-24$120.93$115.0034.8%10.0%31.4%32.3%36.0%2.5%3.2%676.5K-25.2M-225.2K0.7517.68N/AN/A9767346,7847,264
2018-09-25$122.87$115.0032.9%9.4%31.2%27.2%32.9%1.7%4.9%820.4K-29.9M-223.5K1.0119.02N/AN/A8118186,8957,299
2018-09-26$122.30$115.0033.6%9.6%31.3%29.1%32.8%2.8%5.5%862.4K-29.3M-221.6K0.9346.82N/AN/A7827277,1037,387
2018-09-27$120.84$115.0033.1%9.5%31.4%27.7%33.0%1.9%5.4%781.4K-25.6M-227.1K0.5427.65N/AN/A1,3807417,2517,430
2018-09-28$123.16$115.0033.5%9.6%32.1%28.7%33.5%1.7%5.1%942.3K-34.4M-231.0K0.4220.18N/AN/A1,8707897,5657,445