NBIX Options History — November 2018

In November 2018, NBIX traded between $85.13 and $115.13. ATM implied volatility averaged 57.2%, placing in the 66.1% IV rank vs the trailing year. The 30-day expected move averaged 15.6%. IV traded below realized volatility by 1.7% (HV 20d: 58.9%). Max pain ranged from $95.00 to $105.00. Net GEX was positive for 5 of 21 trading days. Term structure was in contango for 2 of 21 days. Put/call ratio averaged 0.93.

Notable Days

  • 2018-11-14: Highest Volume — 8,108 contracts
  • 2018-11-06: Largest IV drop — 31.8% change
  • 2018-11-05: Highest IV Rank — 100.0%
  • 2018-11-02: Largest Expected Move — 18.1%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$96.94$85.13$115.13$111.91$88.60
Max Pain$101.43$95.00$105.00$105.00$95.00
ATM IV57.2%41.7%76.3%61.7%57.9%
Expected Move15.6%11.7%18.1%17.7%16.6%
HV 20d58.9%45.0%70.1%45.0%68.7%
HV 60d44.1%35.7%51.5%35.7%51.5%
IV Rank66.1%35.1%100.0%92.9%65.5%
IV Percentile92.5%62.7%100.0%99.2%93.3%
Term Structure-4.8%-14.3%0.8%-13.5%-3.2%
VWIV54.5%40.5%66.1%62.5%56.3%
Skew 25d5.5%3.5%10.0%6.9%3.5%
Skew 10d12.6%8.1%20.8%16.0%10.1%
Call IV 25d52.6%39.3%62.0%58.5%57.9%
Put IV 25d58.1%43.3%72.0%65.3%61.4%
Bid-Ask Spread %43.2819.3569.2119.3567.33
Gamma HHI0.140.100.260.100.12
Net GEX-417.3K-1.5M534.2K307.1K-340.2K
Net DEX16.1M-24.0M48.0M-14.7M23.0M
Net VEX-241.5K-304.7K-192.9K-294.4K-217.4K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.930.402.070.521.49
Total Volume3,023.3811,7528,1082,0872,413
Total OI23,459.33319,43829,65019,43824,914

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2018-11-01$111.91$105.0061.7%17.7%45.0%92.9%62.5%6.9%-13.5%307.1K-14.7M-294.4K0.5219.35N/AN/A1,3737149,7819,657
2018-11-02$115.13$105.0063.2%18.1%45.7%96.3%65.5%10.0%-14.3%534.2K-24.0M-304.7K1.0145.79N/AN/A1,0651,0779,8479,664
2018-11-05$110.20$105.0076.3%15.1%46.4%100.0%52.4%4.5%-5.7%99.0K-9.7M-285.4K0.9335.95N/AN/A2,2322,0699,7639,962
2018-11-06$106.25$105.0052.0%12.8%47.6%54.5%44.2%5.2%-0.5%-456.1K3.5M-265.9K0.6332.28N/AN/A2,0291,27010,78811,178
2018-11-07$108.23$105.0042.7%11.9%47.4%37.1%41.4%4.4%0.2%50.4K-7.1M-271.1K0.7635.71N/AN/A1,6731,27111,66110,989
2018-11-08$108.72$105.0041.7%11.7%47.2%35.1%41.2%4.0%0.8%11.4K-6.5M-268.2K0.8828.78N/AN/A1,07594411,53111,111
2018-11-09$105.42$105.0043.5%12.0%47.4%38.4%40.5%4.6%-0.4%-731.3K5.8M-248.4K0.8636.57N/AN/A1,4061,21111,56611,164
2018-11-12$103.30$105.0053.9%12.8%47.8%58.0%44.3%5.5%-1.6%-1.2M14.2M-244.1K0.9033.11N/AN/A1,5341,38411,79611,308
2018-11-13$99.63$105.0058.1%13.6%47.7%65.9%45.8%4.8%-3.8%-1.5M25.6M-230.1K0.5041.53N/AN/A2,6521,33012,02311,324
2018-11-14$87.20$105.0062.4%17.9%65.1%74.0%66.1%6.2%-11.4%-571.7K48.0M-192.9K2.0767.62N/AN/A2,6395,46913,51611,217
2018-11-15$91.70$100.0060.2%17.3%68.9%69.7%60.8%4.8%-8.3%-714.0K40.5M-243.9K1.1442.43N/AN/A2,5482,91414,25014,471
2018-11-16$90.38$105.0057.2%16.4%68.9%64.2%57.6%4.6%-5.1%-821.1K41.6M-237.8K0.9951.31N/AN/A1,7741,74914,95614,694
2018-11-19$87.25$105.0058.1%16.7%69.1%65.8%54.2%6.9%-2.0%-595.4K29.9M-216.5K0.7730.59N/AN/A1,3531,04211,41511,192
2018-11-20$89.15$105.0057.6%16.5%70.1%64.8%55.9%6.4%-2.2%-433.0K23.4M-233.4K0.4044.00N/AN/A1,75270911,66411,234
2018-11-21$90.31$95.0057.5%16.5%67.2%64.8%57.6%5.5%-4.0%-329.8K21.2M-233.4K0.5041.62N/AN/A1,24062112,15811,317
2018-11-23$90.33$95.0059.4%17.0%64.5%68.3%59.5%5.8%-4.7%-334.0K21.4M-233.1K0.5851.54N/AN/A1,11064212,19011,273
2018-11-26$91.34$95.0059.4%17.0%64.6%68.2%58.8%6.7%-5.0%-299.6K18.9M-226.7K0.4537.77N/AN/A1,59070912,22511,334
2018-11-27$85.13$95.0060.3%17.3%67.8%70.0%59.7%4.5%-4.8%-521.1K30.0M-202.1K1.0545.04N/AN/A1,1471,20113,07411,115
2018-11-28$89.18$95.0057.6%16.5%70.1%64.9%56.9%5.5%-4.7%-306.2K21.9M-218.9K1.6251.36N/AN/A9031,46113,24711,298
2018-11-29$86.42$95.0060.4%17.3%69.7%70.2%63.2%6.1%-6.1%-559.9K30.5M-203.4K1.4769.21N/AN/A8881,30813,27911,500
2018-11-30$88.60$95.0057.9%16.6%68.7%65.5%56.3%3.5%-3.2%-340.2K23.0M-217.4K1.4967.33N/AN/A9701,44313,40811,506