NBIX Options History — December 2019

In December 2019, NBIX traded between $105.98 and $118.81. ATM implied volatility averaged 32.7%, placing in the 22.0% IV rank vs the trailing year. The 30-day expected move averaged 9.7%. IV traded above realized volatility by 8.7% (HV 20d: 24.0%). Max pain ranged from $105.00 to $110.00. Net GEX was positive for 21 of 21 trading days. Term structure was in contango for 14 of 21 days. Put/call ratio averaged 1.82.

Notable Days

  • 2019-12-17: Highest Volume — 3,145 contracts
  • 2019-12-09: Largest IV spike — 20.7% change
  • 2019-12-31: Highest IV Rank — 37.9%
  • 2019-12-31: Largest Expected Move — 10.8%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$111.26$105.98$118.81$116.80$107.47
Max Pain$109.29$105.00$110.00$105.00$110.00
ATM IV32.7%26.7%37.6%27.3%37.6%
Expected Move9.7%7.7%10.8%7.8%10.8%
HV 20d24.0%19.0%29.9%29.1%22.7%
HV 60d28.9%26.9%31.8%31.8%26.9%
IV Rank22.0%4.9%37.9%6.0%37.9%
IV Percentile14.0%3.2%39.3%4.0%39.3%
Term Structure1.3%-1.8%7.2%7.2%-1.8%
VWIV33.9%27.8%38.9%27.8%34.6%
Skew 25d3.9%2.4%6.8%2.4%4.5%
Skew 10d8.5%4.5%17.2%4.5%9.4%
Call IV 25d32.2%26.4%35.4%26.4%34.5%
Put IV 25d36.0%28.8%39.4%28.8%39.0%
Bid-Ask Spread %48.9923.4980.6425.6842.18
Gamma HHI0.300.230.500.330.26
Net GEX3.8M1.0M6.3M6.1M1.0M
Net DEX-65.0M-156.4M-9.5M-139.5M-9.8M
Net VEX-277.6K-341.7K-225.5K-340.6K-238.3K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.820.089.292.560.08
Total Volume1,104.6671063,145584106
Total OI31,556.52416,44939,37135,16417,768

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2019-12-02$116.80$105.0027.3%7.8%29.1%6.0%27.8%2.4%7.2%6.1M-139.5M-340.6K2.5625.68N/AN/A16442022,39512,769
2019-12-03$117.65$105.0026.7%7.7%28.7%5.0%29.6%2.5%7.2%6.3M-145.0M-341.7K0.5524.52N/AN/A27114922,39112,976
2019-12-04$118.81$105.0028.4%8.1%28.4%7.8%29.9%2.5%5.8%5.8M-156.4M-328.3K0.6123.49N/AN/A69642222,42112,984
2019-12-05$116.50$110.0029.8%10.1%29.9%10.1%35.7%3.6%0.4%5.9M-131.0M-335.2K0.7953.60N/AN/A67553022,27613,293
2019-12-06$116.85$110.0026.7%9.9%29.9%4.9%34.9%3.0%0.9%5.8M-131.7M-324.5K0.4052.01N/AN/A90836421,96513,698
2019-12-09$113.82$110.0032.2%10.5%22.5%13.8%37.6%4.5%-0.7%5.5M-98.5M-323.8K4.7753.99N/AN/A4242,02222,18814,023
2019-12-10$113.32$110.0032.7%10.5%22.6%14.7%38.9%4.2%-0.1%5.0M-90.8M-322.4K3.3253.34N/AN/A12541522,30915,050
2019-12-11$112.42$110.0037.4%10.7%22.6%24.0%37.3%3.5%-0.3%4.7M-76.4M-316.2K3.5956.51N/AN/A4111,47522,33515,355
2019-12-12$111.65$110.0036.9%10.6%22.4%36.0%36.4%4.0%-0.9%4.6M-69.8M-298.8K2.7952.95N/AN/A13136522,48215,523
2019-12-13$110.40$110.0035.1%10.1%22.5%31.3%36.7%4.7%-0.2%3.8M-54.5M-270.3K9.2959.77N/AN/A1521,41222,46915,367
2019-12-16$109.21$110.0033.9%9.7%20.7%27.9%34.8%6.8%3.1%2.3M-37.2M-244.1K0.4280.64N/AN/A1,52064122,48316,045
2019-12-17$108.33$110.0033.9%9.7%19.0%28.0%33.9%3.4%0.5%3.1M-37.8M-248.9K4.5557.93N/AN/A5672,57823,76415,607
2019-12-18$105.98$110.0034.4%9.8%19.4%29.2%32.2%4.7%0.9%4.1M-20.9M-238.2K0.4853.45N/AN/A86541724,03914,850
2019-12-19$106.15$110.0033.6%9.6%19.3%27.2%33.4%3.7%1.3%5.1M-30.0M-238.0K0.4455.09N/AN/A29813224,77014,499
2019-12-20$110.18$110.0030.0%8.6%23.9%17.3%30.1%3.6%3.6%5.4M-76.3M-236.8K0.4047.29N/AN/A1,68167724,78114,396
2019-12-23$108.10$110.0032.7%9.4%24.7%24.6%33.1%3.4%0.8%1.2M-11.3M-229.9K1.2147.41N/AN/A28334210,5095,940
2019-12-24$108.87$110.0032.7%9.4%24.7%24.8%33.7%4.0%0.8%1.3M-13.3M-234.1K1.0251.09N/AN/A10710910,6076,139
2019-12-26$107.98$110.0033.6%9.6%24.8%27.2%34.0%3.1%0.6%1.1M-9.5M-225.5K0.1150.76N/AN/A96910610,6226,178
2019-12-27$108.70$110.0033.7%9.7%22.5%27.4%32.1%4.2%0.4%1.4M-16.4M-253.8K0.3545.48N/AN/A963411,4696,223
2019-12-30$107.29$110.0037.4%10.7%22.7%37.5%35.5%4.6%-1.7%1.0M-9.8M-241.3K0.4941.71N/AN/A934611,4916,238
2019-12-31$107.47$110.0037.6%10.8%22.7%37.9%34.6%4.5%-1.8%1.0M-9.8M-238.3K0.0842.18N/AN/A98811,5126,256