NBIX Options History — October 2018 In October 2018, NBIX traded between $101.69 and $124.44. ATM implied volatility averaged 49.3%, placing in the 70.0% IV rank vs the trailing year. The 30-day expected move averaged 14.4%. IV traded above realized volatility by 11.1% (HV 20d: 38.2%). Max pain ranged from $95.00 to $120.00. Net GEX was positive for 6 of 23 trading days. Term structure was in contango for 3 of 23 days. Put/call ratio averaged 0.86.
Notable Days 2018-10-09 : Highest Volume — 4,276 contracts2018-10-10 : Largest IV spike — 17.9% change2018-10-29 : Highest IV Rank — 100.0%2018-10-29 : Largest Expected Move — 18.5%Monthly Statistics Metric Avg Min Max Open Close Price $111.14 $101.69 $124.44 $124.44 $107.86 Max Pain $103.70 $95.00 $120.00 $115.00 $105.00 ATM IV 49.3% 32.5% 64.7% 32.5% 61.1% Expected Move 14.4% 9.3% 18.5% 9.3% 17.5% HV 20d 38.2% 32.2% 45.7% 32.2% 45.6% HV 60d 39.4% 33.8% 42.0% 38.0% 34.8% IV Rank 70.0% 26.0% 100.0% 26.0% 91.4% IV Percentile 80.0% 17.1% 100.0% 17.1% 99.2% Term Structure -4.6% -13.4% 6.2% 6.2% -12.1% VWIV 50.4% 33.2% 64.7% 33.2% 61.4% Skew 25d 4.8% 1.2% 8.1% 1.2% 6.6% Skew 10d 9.9% 3.3% 17.5% 3.3% 14.3% Call IV 25d 48.3% 32.4% 60.0% 32.4% 59.7% Put IV 25d 53.1% 33.6% 67.9% 33.6% 66.2% Bid-Ask Spread % 34.49 17.98 63.78 63.78 38.21 Gamma HHI 0.13 0.09 0.15 0.15 0.12 Net GEX -101.5K -583.5K 1.1M 1.1M -85.9K Net DEX -4.8M -38.7M 12.7M -38.7M -2.9M Net VEX -260.9K -285.9K -232.1K -232.1K -281.4K Div Yield 0.0% 0.0% 0.0% 0.0% 0.0% P/C Ratio 0.86 0.36 1.92 0.92 0.36 Total Volume 2,758.391 2,082 4,276 2,594 2,606 Total OI 18,220.435 15,300 20,382 15,300 18,914
Daily Data (23 trading days) Date Price Max Pain ATM IV Exp Move HV 20d IV Rank VWIV Skew 25d Term Str GEX DEX VEX P/C Spread % Call Wall Put Wall Call Vol Put Vol Call OI Put OI 2018-10-01 $124.44 $115.00 32.5% 9.3% 32.2% 26.0% 33.2% 1.2% 6.2% 1.1M -38.7M -232.1K 0.92 63.78 N/A N/A 1,351 1,243 7,736 7,564 2018-10-02 $119.22 $120.00 35.5% 10.2% 34.9% 34.3% 35.2% 3.9% 3.8% 543.2K -23.4M -232.9K 1.14 27.35 N/A N/A 972 1,110 7,924 8,010 2018-10-03 $119.01 $120.00 34.3% 9.8% 32.8% 31.0% 34.5% 2.5% 5.9% 524.3K -23.0M -240.3K 1.03 31.93 N/A N/A 1,024 1,059 8,154 8,080 2018-10-04 $113.54 $95.00 36.6% 11.7% 36.5% 37.1% 41.8% 3.1% -0.6% 177.5K -9.6M -234.6K 1.04 25.44 N/A N/A 1,112 1,159 8,353 8,111 2018-10-05 $115.75 $95.00 36.8% 12.3% 34.5% 37.8% 43.0% 3.2% -1.1% 300.7K -16.0M -248.7K 1.19 26.39 N/A N/A 1,062 1,262 8,684 8,270 2018-10-08 $111.47 $100.00 42.4% 13.5% 36.7% 53.1% 46.9% 3.9% -1.3% -8.9K -4.0M -248.7K 1.35 34.19 N/A N/A 1,645 2,228 8,675 8,591 2018-10-09 $109.16 $100.00 42.8% 14.0% 35.9% 53.9% 52.2% 5.0% -3.2% -223.3K 3.3M -242.9K 1.92 33.47 N/A N/A 1,465 2,811 8,799 9,004 2018-10-10 $106.70 $100.00 50.4% 14.5% 36.1% 74.8% 51.4% 4.5% -4.4% -583.5K 12.7M -254.7K 1.28 37.01 N/A N/A 1,275 1,633 8,650 10,299 2018-10-11 $108.17 $100.00 50.3% 14.4% 36.8% 74.6% 50.5% 4.7% -3.6% -553.9K 8.8M -254.2K 0.84 41.25 N/A N/A 1,370 1,152 8,541 10,370 2018-10-12 $111.00 $100.00 50.4% 14.4% 37.9% 74.7% 51.4% 4.6% -2.2% -478.0K 2.0M -274.2K 0.60 35.34 N/A N/A 1,662 1,002 8,792 10,505 2018-10-15 $110.97 $100.00 52.0% 14.9% 37.8% 79.2% 52.3% 2.5% -5.2% -440.6K 2.0M -275.9K 0.66 33.89 N/A N/A 1,447 955 9,134 10,567 2018-10-16 $114.00 $100.00 49.3% 14.1% 38.3% 71.8% 51.2% 5.2% -4.1% -283.7K -8.6M -271.6K 0.87 45.32 N/A N/A 1,434 1,252 9,187 10,547 2018-10-17 $114.85 $100.00 49.7% 14.2% 37.2% 72.7% 50.8% 5.0% -5.8% -380.0K -10.7M -276.4K 1.02 21.01 N/A N/A 1,254 1,283 9,330 10,793 2018-10-18 $114.53 $100.00 50.8% 14.6% 35.5% 75.8% 52.1% 6.3% -6.1% -509.8K -9.8M -275.4K 0.97 39.67 N/A N/A 1,216 1,177 9,434 10,843 2018-10-19 $112.63 $100.00 50.2% 14.4% 35.8% 74.1% 51.3% 4.7% -5.8% 3.5K -4.0M -270.9K 0.75 25.79 N/A N/A 2,063 1,548 9,511 10,871 2018-10-22 $109.29 $105.00 53.2% 15.3% 36.4% 82.4% 51.9% 5.7% -6.7% -118.3K -3.1M -268.5K 0.78 21.42 N/A N/A 1,175 919 8,074 9,252 2018-10-23 $108.68 $105.00 53.5% 15.3% 35.6% 83.1% 51.1% 4.9% -7.0% -127.8K -2.7M -269.5K 0.74 17.98 N/A N/A 1,247 920 8,327 9,276 2018-10-24 $101.69 $105.00 59.0% 16.9% 41.5% 98.0% 54.2% 7.2% -10.1% -462.7K 11.5M -252.6K 0.74 52.54 N/A N/A 1,228 907 8,352 9,308 2018-10-25 $106.36 $105.00 56.1% 16.1% 45.7% 90.4% 56.6% 5.7% -7.0% -255.3K 2.0M -263.3K 0.37 24.05 N/A N/A 2,631 973 8,405 9,306 2018-10-26 $107.35 $105.00 58.7% 16.8% 45.1% 97.4% 59.2% 6.0% -8.6% -68.9K -2.2M -285.9K 0.38 41.24 N/A N/A 2,698 1,023 9,270 9,509 2018-10-29 $103.85 $105.00 64.7% 18.5% 45.6% 100.0% 64.7% 8.1% -13.4% -238.7K 4.8M -268.8K 0.39 56.76 N/A N/A 2,556 985 9,278 9,586 2018-10-30 $105.70 $105.00 62.9% 18.0% 44.7% 95.8% 62.2% 7.0% -12.8% -178.5K 1.4M -276.6K 0.54 19.28 N/A N/A 1,523 826 9,267 9,617 2018-10-31 $107.86 $105.00 61.1% 17.5% 45.6% 91.4% 61.4% 6.6% -12.1% -85.9K -2.9M -281.4K 0.36 38.21 N/A N/A 1,923 683 9,263 9,651
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