NBIX Options History — September 2019

In September 2019, NBIX traded between $90.23 and $101.65. ATM implied volatility averaged 36.2%, placing in the 8.9% IV rank vs the trailing year. The 30-day expected move averaged 10.3%. IV traded above realized volatility by 8.7% (HV 20d: 27.5%). Max pain ranged from $95.00 to $100.00. Net GEX was positive for 13 of 20 trading days. Term structure was in contango for 19 of 20 days. Put/call ratio averaged 0.87.

Notable Days

  • 2019-09-17: Highest Volume — 2,310 contracts
  • 2019-09-10: Largest IV spike — 19.3% change
  • 2019-09-10: Highest IV Rank — 18.2%
  • 2019-09-27: Largest Expected Move — 11.1%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$97.01$90.23$101.65$97.91$90.23
Max Pain$98.50$95.00$100.00$100.00$95.00
ATM IV36.2%31.4%41.3%35.7%36.9%
Expected Move10.3%9.5%11.1%10.2%10.6%
HV 20d27.5%17.8%36.6%22.7%36.0%
HV 60d33.6%31.9%35.4%31.9%35.1%
IV Rank8.9%0.0%18.2%11.4%10.1%
IV Percentile17.1%0.0%41.3%14.7%20.6%
Term Structure4.3%-0.2%7.3%-0.2%6.9%
VWIV36.0%33.0%38.2%37.8%36.2%
Skew 25d1.8%-1.0%3.4%2.5%-1.0%
Skew 10d4.9%-0.5%10.2%6.1%6.1%
Call IV 25d35.6%32.5%38.3%35.2%38.3%
Put IV 25d37.4%34.3%40.3%37.8%37.3%
Bid-Ask Spread %49.1333.4858.1443.8435.95
Gamma HHI0.160.110.230.110.13
Net GEX306.8K-327.7K1.3M285.3K-120.0K
Net DEX1.8M-17.6M20.0M-673.2K20.0M
Net VEX-198.8K-231.0K-170.6K-194.4K-170.6K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.870.025.371.090.85
Total Volume674.7962,310249215
Total OI17,863.5515,55420,65715,56718,687

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2019-09-03$97.91$100.0035.7%10.2%22.7%11.4%37.8%2.5%-0.2%285.3K-673.2K-194.4K1.0943.84N/AN/A1191307,9467,621
2019-09-04$97.33$100.0034.7%9.9%22.1%6.2%33.0%2.0%0.1%287.0K870.0K-187.2K0.6946.39N/AN/A67467,9927,633
2019-09-05$97.64$100.0032.8%9.5%22.1%1.6%35.9%1.5%3.9%323.7K19.7K-186.3K2.7157.27N/AN/A28767,9907,565
2019-09-06$98.44$100.0031.4%9.5%18.8%0.0%33.3%1.8%3.7%399.1K-1.6M-185.2K0.5151.34N/AN/A136698,0057,549
2019-09-09$99.96$100.0034.6%9.8%17.8%5.9%34.6%3.0%4.5%509.2K-5.8M-189.2K5.3755.18N/AN/A3371,8088,1137,582
2019-09-10$95.06$100.0041.3%10.5%25.6%18.2%36.0%3.4%3.5%-263.7K13.7M-191.2K2.2452.65N/AN/A2936568,1648,928
2019-09-11$95.69$100.0035.9%10.3%25.7%8.2%35.0%2.6%3.7%-295.6K11.9M-196.0K0.1558.05N/AN/A7231088,2409,284
2019-09-12$94.12$100.0036.2%10.4%26.3%8.8%34.5%2.9%3.2%-327.7K15.6M-192.2K0.1947.68N/AN/A81158,6669,354
2019-09-13$96.57$100.0035.1%10.1%27.8%6.8%33.2%3.3%4.6%-59.9K7.5M-199.4K0.0755.01N/AN/A566378,7029,261
2019-09-16$98.20$100.0035.0%10.0%27.1%6.6%36.1%2.3%4.1%238.6K1.0M-203.1K0.4258.14N/AN/A7042959,1259,248
2019-09-17$101.65$95.0038.0%10.9%29.2%12.2%37.9%1.6%3.7%769.7K-13.6M-219.1K0.0246.77N/AN/A2,266449,5669,454
2019-09-18$101.43$95.0037.3%10.7%28.5%10.8%37.0%1.8%4.7%1.3M-17.6M-231.0K0.3453.13N/AN/A34411611,1969,461
2019-09-19$101.65$95.0037.5%10.8%28.2%11.3%37.5%0.8%4.4%1.1M-17.3M-226.3K0.0651.04N/AN/A2151210,9229,482
2019-09-20$100.98$95.0035.5%10.2%28.1%7.6%35.3%1.5%5.5%839.4K-17.1M-221.4K0.3348.82N/AN/A93231111,0259,491
2019-09-23$100.50$100.0036.4%10.4%28.2%9.2%37.4%0.5%5.3%718.0K-9.1M-222.8K0.4749.22N/AN/A2901369,6568,263
2019-09-24$96.42$100.0037.3%10.7%31.5%10.8%37.5%1.1%5.5%361.6K2.9M-208.6K0.3043.83N/AN/A4081239,8088,291
2019-09-25$95.58$100.0035.9%10.3%31.4%8.3%36.3%0.7%6.2%277.8K6.4M-201.4K1.1242.71N/AN/A991119,8518,345
2019-09-26$90.56$100.0036.7%10.5%36.6%9.7%37.2%1.3%7.3%-146.2K19.4M-174.2K0.3952.10N/AN/A5151999,8748,361
2019-09-27$90.24$95.0038.8%11.1%36.3%13.5%38.2%2.1%5.2%-75.5K19.3M-176.1K0.1433.48N/AN/A76110310,1528,418
2019-09-30$90.23$95.0036.9%10.6%36.0%10.1%36.2%-1.0%6.9%-120.0K20.0M-170.6K0.8535.95N/AN/A1169910,2318,456