NBIX Options History — August 2019 In August 2019, NBIX traded between $93.10 and $99.00. ATM implied volatility averaged 38.5%, placing in the 16.5% IV rank vs the trailing year. The 30-day expected move averaged 10.5%. IV traded below realized volatility by 0.9% (HV 20d: 39.5%). Max pain ranged from $85.00 to $105.00. Net GEX was positive for 21 of 22 trading days. Term structure was in contango for 18 of 22 days. Put/call ratio averaged 0.65.
Notable Days 2019-08-16 : Highest Volume — 1,617 contracts2019-08-05 : Largest IV spike — 14.3% change2019-08-12 : Highest IV Rank — 31.2%2019-08-01 : Largest Expected Move — 11.6%Monthly Statistics Metric Avg Min Max Open Close Price $96.47 $93.10 $99.00 $95.58 $98.91 Max Pain $100.68 $85.00 $105.00 $85.00 $100.00 ATM IV 38.5% 32.3% 46.9% 40.4% 32.3% Expected Move 10.5% 9.2% 11.6% 11.6% 9.2% HV 20d 39.5% 22.8% 44.2% 42.9% 22.8% HV 60d 34.8% 31.9% 37.0% 37.0% 31.9% IV Rank 16.5% 5.4% 31.2% 19.7% 5.4% IV Percentile 29.0% 2.0% 63.9% 39.7% 2.0% Term Structure 1.3% -2.7% 4.4% -2.6% 2.1% VWIV 36.7% 32.4% 39.7% 38.9% 32.4% Skew 25d 2.0% -1.1% 3.5% -0.2% 2.2% Skew 10d 3.8% -2.3% 8.1% -2.3% 0.5% Call IV 25d 35.8% 31.6% 41.7% 41.7% 31.6% Put IV 25d 37.8% 33.8% 41.4% 41.4% 33.8% Bid-Ask Spread % 54.31 41.79 63.09 50.93 53.86 Gamma HHI 0.23 0.10 0.55 0.32 0.11 Net GEX 1.1M -73.4K 2.3M 1.6M 360.3K Net DEX -12.9M -34.7M 720.2K -25.8M -3.6M Net VEX -202.9K -231.5K -187.1K -231.5K -197.9K Div Yield 0.0% 0.0% 0.0% 0.0% 0.0% P/C Ratio 0.65 0.06 4.00 1.09 1.49 Total Volume 429.227 61 1,617 1,455 425 Total OI 18,709.545 13,616 22,800 21,739 15,276
Daily Data (22 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 2019-08-01 $95.58 $85.00 40.4% 11.6% 42.9% 19.7% 38.9% -0.2% -2.6% 1.6M -25.8M -231.5K 1.09 50.93 N/A N/A 697 758 11,882 9,857 2019-08-02 $94.16 $85.00 39.7% 11.4% 43.4% 18.5% 39.7% -1.1% -2.7% 1.6M -19.2M -224.5K 0.49 41.79 N/A N/A 366 181 11,875 9,944 2019-08-05 $93.10 $105.00 45.4% 11.0% 43.3% 28.5% 38.8% 2.8% 2.4% 1.4M -14.6M -222.7K 0.45 53.40 N/A N/A 164 74 12,007 10,049 2019-08-06 $94.82 $105.00 41.8% 10.7% 42.4% 22.3% 36.8% 3.3% 3.0% 1.8M -19.6M -218.3K 0.18 54.67 N/A N/A 222 39 11,972 10,074 2019-08-07 $94.65 $105.00 43.0% 10.8% 42.5% 24.4% 37.4% 3.5% 2.8% 1.8M -20.3M -215.5K 0.16 51.09 N/A N/A 58 9 12,059 10,078 2019-08-08 $97.88 $105.00 41.2% 10.6% 43.3% 21.2% 35.3% 2.3% 3.3% 2.2M -34.7M -216.7K 0.13 63.09 N/A N/A 520 70 12,064 10,087 2019-08-09 $95.90 $105.00 42.1% 10.7% 44.2% 22.7% 37.2% 3.1% 3.1% 2.1M -26.5M -210.9K 1.43 54.01 N/A N/A 65 93 12,271 10,077 2019-08-12 $95.07 $105.00 46.9% 11.0% 44.1% 31.2% 38.6% 2.9% 2.5% 2.1M -20.8M -199.0K 0.84 59.60 N/A N/A 113 95 12,300 10,108 2019-08-13 $94.99 $105.00 42.7% 10.8% 43.9% 23.8% 37.5% 2.1% 2.1% 2.3M -20.9M -191.0K 0.09 62.38 N/A N/A 206 19 12,304 10,116 2019-08-14 $94.39 $105.00 38.8% 11.1% 43.9% 16.9% 37.5% 2.6% 2.3% 2.1M -17.8M -190.3K 0.21 56.14 N/A N/A 469 99 12,352 10,119 2019-08-15 $94.66 $105.00 38.5% 11.0% 43.8% 16.3% 39.6% 1.7% 2.0% 2.2M -18.4M -189.6K 0.61 57.21 N/A N/A 162 99 12,667 10,105 2019-08-16 $97.04 $105.00 35.6% 10.2% 42.4% 11.3% 35.5% 1.3% 4.4% -73.4K -30.9M -188.5K 0.25 56.07 N/A N/A 1,292 325 12,691 10,109 2019-08-19 $98.63 $95.00 35.8% 10.2% 42.5% 11.5% 35.7% 1.9% 1.1% 86.7K -1.7M -195.7K 0.06 55.60 N/A N/A 570 32 6,414 7,202 2019-08-20 $97.14 $100.00 37.3% 10.7% 42.7% 14.2% 36.1% 1.5% 0.4% 108.4K 720.2K -198.5K 0.07 60.33 N/A N/A 457 33 6,779 7,229 2019-08-21 $98.40 $100.00 34.0% 9.7% 42.7% 8.4% 33.9% 2.6% 1.2% 209.1K -2.5M -201.7K 0.07 57.54 N/A N/A 117 8 6,993 7,233 2019-08-22 $97.51 $100.00 35.0% 10.0% 42.5% 10.2% 34.8% 2.1% 0.6% 166.1K -322.7K -197.9K 0.07 54.98 N/A N/A 57 4 6,967 7,238 2019-08-23 $97.45 $100.00 37.5% 10.7% 42.0% 14.6% 38.1% 1.9% -0.5% 166.0K -443.7K -198.0K 0.06 50.32 N/A N/A 438 28 6,969 7,240 2019-08-26 $99.00 $100.00 36.2% 10.4% 41.7% 12.3% 37.1% 2.6% -0.3% 275.3K -3.7M -199.5K 0.42 46.22 N/A N/A 76 32 7,274 7,247 2019-08-27 $97.81 $100.00 35.9% 10.3% 24.3% 11.8% 37.5% 2.0% 0.9% 234.5K -1.2M -194.9K 1.91 52.86 N/A N/A 35 67 7,301 7,258 2019-08-28 $97.35 $100.00 34.9% 10.0% 23.9% 10.0% 34.2% 2.4% 0.8% 202.5K 411.3K -187.1K 0.12 54.42 N/A N/A 672 82 7,307 7,307 2019-08-29 $98.01 $100.00 33.6% 9.6% 23.5% 7.7% 34.8% 1.8% 0.1% 291.1K -1.4M -193.8K 4.00 48.39 N/A N/A 23 92 7,828 7,381 2019-08-30 $98.91 $100.00 32.3% 9.2% 22.8% 5.4% 32.4% 2.2% 2.1% 360.3K -3.6M -197.9K 1.49 53.86 N/A N/A 171 254 7,844 7,432
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