NBIX Options History — November 2019

In November 2019, NBIX traded between $102.32 and $117.77. ATM implied volatility averaged 30.5%, placing in the 4.5% IV rank vs the trailing year. The 30-day expected move averaged 8.3%. IV traded above realized volatility by 1.5% (HV 20d: 29.1%). Max pain ranged from $95.00 to $105.00. Net GEX was positive for 20 of 20 trading days. Term structure was in contango for 18 of 20 days. Put/call ratio averaged 0.27.

Notable Days

  • 2019-11-11: Highest Volume — 6,373 contracts
  • 2019-11-05: Largest IV drop — 43.5% change
  • 2019-11-04: Highest IV Rank — 44.9%
  • 2019-11-01: Largest Expected Move — 13.0%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$110.73$102.32$117.77$103.61$116.76
Max Pain$102.75$95.00$105.00$95.00$105.00
ATM IV30.5%23.6%55.8%45.3%25.0%
Expected Move8.3%6.8%13.0%13.0%7.2%
HV 20d29.1%23.8%31.4%26.0%31.4%
HV 60d30.7%28.6%31.8%28.9%31.8%
IV Rank4.5%0.0%44.9%25.5%2.3%
IV Percentile8.1%0.0%87.7%59.1%0.8%
Term Structure3.6%-8.8%7.6%-8.8%7.6%
VWIV29.1%24.1%46.0%46.0%24.5%
Skew 25d2.5%1.3%3.8%1.3%2.4%
Skew 10d5.6%3.3%8.5%4.4%4.8%
Call IV 25d28.1%23.5%45.9%45.9%24.1%
Put IV 25d30.7%25.5%47.2%47.2%26.5%
Bid-Ask Spread %29.7425.2534.4634.4630.08
Gamma HHI0.320.250.450.300.33
Net GEX5.4M2.6M7.3M2.6M6.1M
Net DEX-105.2M-154.9M-42.1M-48.2M-139.6M
Net VEX-330.4K-390.1K-252.0K-283.3K-349.4K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.270.030.720.120.45
Total Volume1,908.851216,3732,149282
Total OI33,141.726,43139,37226,43135,018

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2019-11-01$103.61$95.0045.3%13.0%26.0%25.5%46.0%1.3%-8.8%2.6M-48.2M-283.3K0.1234.46N/AN/A1,92022915,78410,647
2019-11-04$102.82$100.0055.8%11.2%24.6%44.9%40.6%3.7%-1.8%2.7M-46.8M-288.7K0.4429.48N/AN/A2,3891,06216,86310,697
2019-11-05$102.32$100.0031.6%8.9%24.1%0.2%31.5%2.5%1.7%4.5M-44.1M-260.2K0.2325.25N/AN/A1,87543818,01911,352
2019-11-06$102.53$100.0031.0%8.4%24.0%0.0%29.2%1.8%1.5%4.5M-42.1M-252.0K0.0929.81N/AN/A2,44023017,56711,469
2019-11-07$103.65$100.0030.9%8.7%23.8%0.0%30.1%2.5%0.8%5.9M-60.2M-281.7K0.1732.22N/AN/A1,97934219,63811,470
2019-11-08$110.67$100.0032.9%8.6%30.8%3.7%30.0%2.3%1.5%5.6M-128.6M-289.1K0.1232.21N/AN/A2,46029320,32311,694
2019-11-11$110.79$100.0034.6%8.5%30.9%6.8%28.9%2.4%2.0%5.7M-127.9M-281.4K0.1929.55N/AN/A5,3471,02620,62511,798
2019-11-12$111.82$100.0033.8%8.0%30.2%5.4%27.8%2.8%3.4%6.6M-147.7M-326.6K0.7026.59N/AN/A91164024,36712,499
2019-11-13$110.74$105.0028.5%8.2%30.8%0.0%27.9%2.8%5.1%7.3M-132.1M-328.5K0.0931.75N/AN/A2,77524124,30513,170
2019-11-14$109.66$105.0029.2%8.4%29.6%1.1%30.0%2.8%4.9%6.8M-122.6M-345.0K0.7228.54N/AN/A84260925,41913,249
2019-11-15$112.51$105.0027.1%7.8%29.5%0.0%28.3%2.4%4.7%4.8M-154.9M-368.0K0.0627.89N/AN/A1,80710025,61513,757
2019-11-18$114.94$105.0027.0%7.7%29.8%0.0%27.4%2.7%5.5%5.3M-115.2M-379.5K0.3829.06N/AN/A1,42253820,51311,734
2019-11-19$112.83$105.0026.3%7.5%31.3%0.0%26.4%3.8%6.5%5.2M-95.3M-379.5K0.6029.15N/AN/A81448920,61612,042
2019-11-20$113.34$105.0026.3%7.5%30.7%0.0%26.9%3.0%7.1%5.2M-98.7M-390.1K0.2432.28N/AN/A2435920,89112,471
2019-11-21$114.01$105.0026.4%7.6%30.7%0.3%27.3%2.7%4.8%5.4M-107.7M-378.2K0.0331.25N/AN/A1,3904121,02112,526
2019-11-22$114.19$105.0026.2%7.5%30.8%0.0%26.3%2.7%4.6%5.6M-110.9M-378.5K0.2731.26N/AN/A952621,36812,527
2019-11-25$114.94$105.0025.0%7.2%30.6%0.0%25.2%1.9%6.4%5.9M-120.8M-356.3K0.2230.84N/AN/A56512421,36212,516
2019-11-26$114.69$105.0024.5%7.0%30.7%0.0%24.5%1.8%6.9%5.9M-115.9M-352.2K0.1627.49N/AN/A1862921,32312,621
2019-11-27$117.77$105.0023.6%6.8%31.0%0.0%24.1%2.4%7.3%5.6M-145.4M-339.4K0.0925.71N/AN/A1,76715221,32112,637
2019-11-29$116.76$105.0025.0%7.2%31.4%2.3%24.5%2.4%7.6%6.1M-139.6M-349.4K0.4530.08N/AN/A1948822,31912,699