NBIX Options History — December 2018

In December 2018, NBIX traded between $68.36 and $89.88. ATM implied volatility averaged 58.2%, placing in the 59.2% IV rank vs the trailing year. The 30-day expected move averaged 15.8%. IV traded below realized volatility by 7.9% (HV 20d: 66.2%). Max pain ranged from $75.00 to $95.00. Net GEX was positive for 10 of 20 trading days. Term structure was in contango for 11 of 20 days. Put/call ratio averaged 0.76.

Notable Days

  • 2018-12-12: Highest Volume — 15,305 contracts
  • 2018-12-12: Largest IV drop — 32.5% change
  • 2018-12-10: Highest IV Rank — 100.0%
  • 2018-12-10: Largest Expected Move — 18.3%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$76.42$68.36$89.88$89.88$70.98
Max Pain$82.00$75.00$95.00$95.00$75.00
ATM IV58.2%47.6%85.7%56.8%56.8%
Expected Move15.8%13.6%18.3%16.3%16.3%
HV 20d66.2%59.2%82.9%67.8%60.4%
HV 60d55.9%51.1%59.0%51.2%58.4%
IV Rank59.2%39.2%100.0%63.3%53.9%
IV Percentile88.5%79.0%100.0%91.3%88.1%
Term Structure1.0%-6.5%8.6%-3.1%-1.8%
VWIV55.4%46.5%63.9%58.1%60.0%
Skew 25d4.7%0.8%6.3%4.6%6.1%
Skew 10d9.8%3.1%23.6%9.8%9.6%
Call IV 25d53.6%45.8%62.4%55.7%54.4%
Put IV 25d58.2%49.8%67.8%60.3%60.5%
Bid-Ask Spread %57.2328.3578.0267.6550.81
Gamma HHI0.190.120.560.130.20
Net GEX-120.5K-1.9M654.8K-379.4K654.8K
Net DEX19.8M-562.2K55.4M21.9M-562.2K
Net VEX-210.6K-229.2K-127.1K-215.5K-225.9K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.760.072.971.191.53
Total Volume2,648.529415,305351626
Total OI30,419.722,69740,08625,59324,219

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2018-12-03$89.88$95.0056.8%16.3%67.8%63.3%58.1%4.6%-3.1%-379.4K21.9M-215.5K1.1967.65N/AN/A16019113,37912,214
2018-12-04$86.76$95.0057.9%16.6%67.3%65.4%58.8%6.0%-2.0%-626.0K29.3M-200.0K0.1968.80N/AN/A3516513,42512,035
2018-12-05$86.00$95.0062.9%18.0%66.7%74.8%57.9%5.7%-6.5%-682.8K31.1M-190.5K0.1978.02N/AN/A3626713,42512,035
2018-12-06$86.65$90.0075.1%17.6%66.2%97.7%63.0%4.0%-4.0%-453.1K26.4M-209.9K0.0828.35N/AN/A2,56519413,55611,985
2018-12-07$84.86$90.0072.9%17.7%66.0%93.5%63.9%5.7%-3.7%-311.1K29.6M-198.8K0.0746.65N/AN/A2,69919715,42911,916
2018-12-10$86.02$90.0085.7%18.3%66.2%100.0%63.1%5.5%-5.6%-79.2K22.1M-210.5K0.3229.21N/AN/A69022216,19412,137
2018-12-11$85.99$90.0081.0%17.7%66.2%92.4%60.8%4.0%-4.8%-59.4K23.5M-197.8K0.1036.46N/AN/A2,43123316,70212,112
2018-12-12$73.93$90.0054.7%15.7%82.9%50.5%57.2%6.3%-2.0%-1.1M55.4M-127.1K0.7764.52N/AN/A8,6236,68218,51812,161
2018-12-13$73.15$80.0047.9%13.7%70.1%39.8%47.4%5.7%3.3%176.6K27.8M-203.8K0.8674.35N/AN/A4,4293,80625,14312,307
2018-12-14$71.08$75.0047.6%13.6%66.8%39.2%46.5%3.5%5.1%212.5K23.5M-223.4K1.9169.06N/AN/A2,1084,02126,75812,063
2018-12-17$71.49$75.0048.4%13.9%67.1%40.5%48.6%3.5%8.6%271.0K16.4M-229.2K2.9758.45N/AN/A7422027,49111,616
2018-12-18$71.22$75.0048.9%14.0%66.6%41.3%49.3%3.8%6.0%214.6K17.9M-224.7K0.2861.88N/AN/A88825127,52111,579
2018-12-19$71.83$75.0048.5%13.9%65.9%40.7%46.9%3.8%7.9%104.3K15.3M-228.0K0.3957.34N/AN/A1,30350928,19411,624
2018-12-20$70.48$75.0048.9%14.0%65.4%41.3%49.6%4.8%8.0%-246.1K18.3M-228.1K0.2064.07N/AN/A1,37627628,18411,786
2018-12-21$70.21$75.0049.6%14.2%65.3%42.5%50.6%4.1%6.9%-1.9M17.2M-221.6K0.4967.54N/AN/A1,43469628,24811,838
2018-12-24$68.65$75.0052.5%15.0%64.8%47.0%55.1%0.8%4.8%419.7K6.5M-215.6K2.4661.56N/AN/A6591,62314,5178,180
2018-12-26$70.42$75.0055.4%15.9%62.7%51.7%55.7%4.8%0.2%470.7K3.8M-223.0K0.5956.45N/AN/A24314314,5598,452
2018-12-27$70.51$75.0058.1%16.7%59.3%56.0%59.6%6.1%0.3%482.3K3.1M-225.6K0.3851.98N/AN/A65925114,6488,530
2018-12-28$68.36$75.0055.5%15.9%59.2%51.9%55.8%5.0%1.6%419.3K8.0M-213.3K0.2651.49N/AN/A1,30234115,1278,587
2018-12-31$70.98$75.0056.8%16.3%60.4%53.9%60.0%6.1%-1.8%654.8K-562.2K-225.9K1.5350.81N/AN/A24737915,6338,586