NBIX Options History — October 2019 In October 2019, NBIX traded between $86.97 and $99.56. ATM implied volatility averaged 43.5%, placing in the 22.2% IV rank vs the trailing year. The 30-day expected move averaged 12.8%. IV traded above realized volatility by 11.9% (HV 20d: 31.6%). Max pain ranged from $95.00 to $95.00. Net GEX was positive for 13 of 23 trading days. Term structure was in contango for 2 of 23 days. Put/call ratio averaged 0.65.
Notable Days 2019-10-31 : Highest Volume — 3,752 contracts2019-10-09 : Largest IV spike — 11.5% change2019-10-31 : Highest IV Rank — 29.7%2019-10-31 : Largest Expected Move — 13.6%Monthly Statistics Metric Avg Min Max Open Close Price $93.51 $86.97 $99.56 $89.14 $99.56 Max Pain $95.00 $95.00 $95.00 $95.00 $95.00 ATM IV 43.5% 35.4% 47.6% 37.7% 47.6% Expected Move 12.8% 10.8% 13.6% 10.8% 13.6% HV 20d 31.6% 23.0% 37.5% 36.1% 23.0% HV 60d 33.1% 28.3% 35.6% 35.1% 28.6% IV Rank 22.2% 7.3% 29.7% 11.5% 29.7% IV Percentile 50.9% 7.9% 72.6% 26.6% 72.6% Term Structure -4.8% -9.7% 7.1% 7.1% -9.7% VWIV 44.8% 38.5% 47.8% 38.5% 45.5% Skew 25d 2.1% 0.2% 4.1% 1.2% 2.4% Skew 10d 5.2% 0.1% 11.6% 0.1% 3.0% Call IV 25d 44.0% 38.1% 47.2% 38.1% 46.0% Put IV 25d 46.1% 39.4% 48.7% 39.4% 48.4% Bid-Ask Spread % 41.11 28.46 53.85 28.46 35.12 Gamma HHI 0.16 0.13 0.23 0.14 0.23 Net GEX 345.6K -374.9K 1.6M -218.9K 1.6M Net DEX 5.9M -21.5M 27.5M 23.0M -21.5M Net VEX -194.9K -241.6K -150.7K -166.5K -236.0K Div Yield 0.0% 0.0% 0.0% 0.0% 0.0% P/C Ratio 0.65 0.06 3.71 0.91 0.78 Total Volume 806 49 3,752 180 3,752 Total OI 20,437.348 18,779 23,482 18,779 22,904
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 2019-10-01 $89.14 $95.00 37.7% 10.8% 36.1% 11.5% 38.5% 1.2% 7.1% -218.9K 23.0M -166.5K 0.91 28.46 N/A N/A 94 86 10,251 8,528 2019-10-02 $87.82 $95.00 40.2% 11.5% 36.3% 16.2% 40.3% 1.4% 5.0% -245.2K 25.1M -160.5K 3.71 33.25 N/A N/A 73 271 10,284 8,529 2019-10-03 $89.78 $95.00 37.7% 12.9% 37.5% 11.6% 45.2% 1.6% -3.2% -135.3K 21.0M -169.1K 0.55 44.80 N/A N/A 129 71 10,280 8,500 2019-10-04 $89.83 $95.00 35.4% 12.7% 37.2% 7.3% 45.0% 3.3% -3.2% -177.2K 21.8M -165.4K 0.14 41.10 N/A N/A 265 36 10,349 8,521 2019-10-07 $88.04 $95.00 38.7% 12.6% 36.8% 13.4% 43.0% 3.7% -3.1% -288.6K 25.5M -154.9K 0.92 53.85 N/A N/A 133 123 10,491 8,532 2019-10-08 $87.08 $95.00 41.4% 13.4% 33.1% 18.4% 46.3% 2.5% -4.2% -350.5K 27.3M -153.1K 0.09 36.42 N/A N/A 69 6 10,507 8,592 2019-10-09 $86.97 $95.00 46.2% 13.3% 32.8% 27.2% 46.6% 2.5% -3.7% -359.0K 27.5M -150.7K 0.40 46.51 N/A N/A 35 14 10,515 8,595 2019-10-10 $88.27 $95.00 44.8% 12.8% 33.2% 24.6% 45.2% 3.7% -3.1% -374.9K 26.0M -151.3K 0.87 32.95 N/A N/A 370 322 10,509 8,598 2019-10-11 $90.69 $95.00 43.3% 12.4% 33.4% 21.8% 43.1% 2.8% -3.4% -295.4K 20.5M -164.4K 0.06 52.71 N/A N/A 655 37 10,827 8,904 2019-10-14 $90.97 $95.00 43.0% 12.3% 32.7% 21.3% 43.2% 2.6% -3.5% -138.6K 20.0M -160.3K 0.70 44.51 N/A N/A 84 59 11,210 8,905 2019-10-15 $93.52 $95.00 42.8% 12.3% 31.7% 20.9% 42.0% 2.4% -3.5% 144.8K 13.2M -165.5K 0.06 52.25 N/A N/A 1,865 107 11,229 8,939 2019-10-16 $93.65 $95.00 41.4% 11.9% 31.7% 18.4% 43.1% 4.1% -4.2% 86.7K 11.7M -184.6K 1.96 49.74 N/A N/A 48 94 11,855 9,012 2019-10-17 $97.05 $95.00 43.6% 12.5% 34.7% 22.4% 43.7% 2.3% -4.5% 245.1K -1.8M -197.6K 0.09 45.51 N/A N/A 3,308 287 11,875 9,057 2019-10-18 $95.81 $95.00 46.0% 13.2% 34.8% 26.9% 46.4% 1.8% -6.2% 923.4K -5.7M -223.4K 0.57 30.96 N/A N/A 543 310 14,298 9,184 2019-10-21 $97.20 $95.00 47.0% 13.5% 35.3% 28.7% 45.0% 1.5% -7.5% 457.6K -6.4M -226.2K 0.52 39.12 N/A N/A 987 517 10,645 8,562 2019-10-22 $98.06 $95.00 47.5% 13.6% 32.2% 29.6% 47.8% 2.0% -8.6% 720.2K -11.7M -241.6K 0.14 43.14 N/A N/A 447 64 11,776 8,850 2019-10-23 $97.15 $95.00 46.4% 13.3% 32.2% 27.5% 46.5% 0.9% -7.3% 706.7K -8.7M -236.9K 0.08 42.23 N/A N/A 642 54 11,986 8,873 2019-10-24 $97.99 $95.00 45.4% 13.0% 25.0% 25.8% 46.8% 1.6% -8.9% 931.4K -13.4M -240.7K 0.44 36.06 N/A N/A 132 58 12,435 8,876 2019-10-25 $98.21 $95.00 46.0% 13.2% 24.8% 26.8% 47.5% 0.2% -7.8% 947.7K -13.1M -237.2K 0.25 40.81 N/A N/A 542 138 12,427 8,872 2019-10-28 $98.14 $95.00 46.2% 13.3% 24.8% 27.2% 46.5% 1.5% -8.2% 1.1M -13.9M -231.6K 0.12 40.39 N/A N/A 694 85 12,940 8,891 2019-10-29 $98.16 $95.00 45.7% 13.1% 24.1% 26.2% 45.7% 1.7% -9.1% 1.3M -15.1M -232.2K 0.28 42.60 N/A N/A 622 172 13,368 8,917 2019-10-30 $97.68 $95.00 46.0% 13.2% 23.3% 26.8% 47.3% 0.8% -9.3% 1.3M -14.7M -232.9K 1.23 33.11 N/A N/A 62 76 13,805 9,056 2019-10-31 $99.56 $95.00 47.6% 13.6% 23.0% 29.7% 45.5% 2.4% -9.7% 1.6M -21.5M -236.0K 0.78 35.12 N/A N/A 2,106 1,646 13,810 9,094
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