NBIX Options History — February 2020

In February 2020, NBIX traded between $92.03 and $107.48. ATM implied volatility averaged 36.4%, placing in the 34.9% IV rank vs the trailing year. The 30-day expected move averaged 10.4%. IV traded above realized volatility by 2.1% (HV 20d: 34.4%). Max pain ranged from $100.00 to $105.00. Net GEX was positive for 13 of 19 trading days. Term structure was in contango for 12 of 19 days. Put/call ratio averaged 0.94.

Notable Days

  • 2020-02-19: Highest Volume — 1,497 contracts
  • 2020-02-05: Largest IV drop — 23.3% change
  • 2020-02-27: Highest IV Rank — 64.8%
  • 2020-02-27: Largest Expected Move — 13.6%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$101.56$92.03$107.48$100.83$93.09
Max Pain$103.42$100.00$105.00$105.00$105.00
ATM IV36.4%31.0%47.5%47.3%45.9%
Expected Move10.4%8.9%13.6%13.5%13.2%
HV 20d34.4%25.4%46.8%46.2%31.6%
HV 60d33.0%31.6%34.8%34.6%34.4%
IV Rank34.9%20.0%64.8%64.2%60.6%
IV Percentile33.3%7.5%91.3%89.3%80.6%
Term Structure1.1%-7.6%5.7%-7.6%-0.4%
VWIV35.9%29.8%48.1%45.9%48.1%
Skew 25d3.4%1.3%5.8%3.1%4.7%
Skew 10d7.0%-1.0%20.1%6.9%-1.0%
Call IV 25d34.5%28.7%45.3%45.3%43.6%
Put IV 25d37.9%31.8%50.0%48.4%48.3%
Bid-Ask Spread %73.4467.4282.2768.1578.98
Gamma HHI0.240.140.360.240.15
Net GEX454.9K-593.6K2.1M614.2K-439.2K
Net DEX1.3M-21.1M20.6M2.1M19.6M
Net VEX-251.2K-288.4K-216.9K-273.5K-235.8K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.940.064.490.803.28
Total Volume776.6322401,4972401,095
Total OI20,098.52612,75924,07320,73215,561

Daily Data (19 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2020-02-03$100.83$105.0047.3%13.5%46.2%64.2%45.9%3.1%-7.6%614.2K2.1M-273.5K0.8068.15N/AN/A13310713,2317,501
2020-02-04$103.01$105.0044.8%12.8%46.8%57.4%46.2%4.4%-6.6%1.0M-7.4M-288.4K0.3369.99N/AN/A87529213,2787,575
2020-02-05$103.13$105.0034.3%9.8%46.8%29.1%32.3%2.0%-1.6%280.3K1.4M-260.4K0.1779.51N/AN/A5619713,4807,709
2020-02-06$102.50$100.0032.5%9.5%46.5%24.2%31.8%4.0%2.8%221.1K3.1M-259.3K0.5368.90N/AN/A32016813,5297,770
2020-02-07$103.98$100.0031.3%9.1%46.1%20.9%33.2%3.4%3.7%613.3K-2.5M-268.3K0.3768.37N/AN/A2258413,6147,888
2020-02-10$105.19$100.0034.8%9.3%46.4%30.3%30.5%4.2%5.7%1.1M-9.8M-268.4K0.4769.53N/AN/A44720913,7067,879
2020-02-11$107.05$100.0032.7%9.0%31.8%24.8%30.4%3.8%4.7%1.9M-18.4M-276.5K0.3669.89N/AN/A32311513,9588,034
2020-02-12$107.48$100.0031.0%8.9%25.5%20.0%29.8%3.1%4.6%2.1M-21.1M-270.0K0.6072.00N/AN/A22413414,0548,018
2020-02-13$106.08$100.0031.5%9.0%25.8%21.5%31.3%2.9%3.6%1.4M-13.0M-262.3K1.0570.69N/AN/A35937813,9948,028
2020-02-14$104.28$105.0032.4%9.3%26.2%24.0%31.6%2.1%5.2%326.0K-1.5M-251.8K0.1082.27N/AN/A9419614,0928,277
2020-02-18$104.73$105.0031.6%9.0%25.8%21.6%30.0%4.0%4.9%411.7K-3.0M-244.4K0.7175.49N/AN/A27219314,7898,333
2020-02-19$104.31$105.0031.3%9.0%25.8%20.8%30.3%3.5%4.7%159.5K-294.1K-239.5K0.3478.75N/AN/A1,11538214,8188,414
2020-02-20$102.83$105.0031.3%9.0%25.4%21.0%30.3%3.5%5.1%-593.6K6.7M-246.2K0.0678.52N/AN/A6524215,2568,769
2020-02-21$103.82$105.0031.9%9.1%25.5%22.4%32.0%3.3%4.8%448.1K3.2M-244.8K1.1480.37N/AN/A57565415,4658,608
2020-02-24$97.24$105.0036.7%10.5%32.9%35.4%36.6%2.5%0.1%-14.5K9.7M-221.1K1.6370.32N/AN/A5609147,5725,187
2020-02-25$94.38$105.0041.8%12.0%34.4%49.3%43.3%2.9%-4.3%-212.8K16.4M-216.9K1.1772.37N/AN/A5166057,9275,857
2020-02-26$93.73$105.0042.1%12.1%32.2%50.1%41.3%1.3%-2.8%-315.2K18.0M-226.0K0.2567.42N/AN/A232598,3386,418
2020-02-27$92.03$105.0047.5%13.6%31.5%64.8%46.6%5.8%-5.8%-324.9K20.6M-219.2K4.4973.85N/AN/A1466568,4846,461
2020-02-28$93.09$105.0045.9%13.2%31.6%60.6%48.1%4.7%-0.4%-439.2K19.6M-235.8K3.2878.98N/AN/A2568398,5277,034