NBIX Options History — March 2020

In March 2020, NBIX traded between $73.19 and $97.51. ATM implied volatility averaged 61.6%, placing in the 73.5% IV rank vs the trailing year. The 30-day expected move averaged 17.5%. IV traded above realized volatility by 6.2% (HV 20d: 55.4%). Max pain ranged from $90.00 to $105.00. Net GEX was positive for 8 of 22 trading days. Term structure was in contango for 7 of 22 days. Put/call ratio averaged 0.70.

Notable Days

  • 2020-03-04: Highest Volume — 2,421 contracts
  • 2020-03-09: Largest IV spike — 35.3% change
  • 2020-03-09: Highest IV Rank — 100.0%
  • 2020-03-18: Largest Expected Move — 24.2%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$86.60$73.19$97.51$95.92$86.72
Max Pain$95.23$90.00$105.00$105.00$90.00
ATM IV61.6%40.2%84.4%44.9%40.2%
Expected Move17.5%11.5%24.2%12.9%11.5%
HV 20d55.4%33.6%75.5%33.6%75.5%
HV 60d44.4%35.0%54.1%35.0%54.1%
IV Rank73.5%27.4%100.0%57.7%27.4%
IV Percentile91.7%49.2%100.0%76.6%49.2%
Term Structure-1.8%-7.7%15.1%-0.4%15.1%
VWIV59.8%40.2%85.2%44.6%40.2%
Skew 25d5.0%-5.0%21.6%2.9%2.3%
Skew 10d13.4%2.3%41.7%2.3%16.7%
Call IV 25d57.6%39.0%77.2%43.2%39.0%
Put IV 25d62.6%41.3%80.6%46.1%41.3%
Bid-Ask Spread %72.9335.89103.6735.89103.67
Gamma HHI0.170.100.290.150.29
Net GEX-140.4K-750.1K586.3K-544.2K535.4K
Net DEX19.6M-4.6M38.6M15.8M7.1M
Net VEX-225.1K-274.4K-158.2K-253.2K-241.8K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.700.014.120.850.24
Total Volume580.455762,421344738
Total OI17,456.09114,84919,54716,41718,365

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2020-03-02$95.92$105.0044.9%12.9%33.6%57.7%44.6%2.9%-0.4%-544.2K15.8M-253.2K0.8535.89N/AN/A1861588,6237,794
2020-03-03$92.81$105.0044.8%12.8%35.1%57.6%44.8%2.0%1.5%-750.1K24.1M-233.0K0.4582.49N/AN/A109498,6947,788
2020-03-04$97.51$105.0042.1%12.1%39.0%50.2%43.1%2.9%1.3%-492.8K12.5M-253.4K0.0177.17N/AN/A2,392298,7387,826
2020-03-05$94.26$95.0049.9%14.8%40.5%71.3%49.9%1.5%-1.7%-465.3K16.9M-254.7K0.1759.62N/AN/A65119,4357,837
2020-03-06$92.16$95.0052.8%16.0%41.0%79.2%56.3%3.6%-5.3%-531.0K21.0M-244.9K0.4961.59N/AN/A51259,4427,844
2020-03-09$89.60$95.0071.5%16.9%41.1%100.0%61.0%3.8%-0.6%-478.2K23.8M-233.2K0.6659.33N/AN/A118789,4847,856
2020-03-10$91.78$95.0058.1%16.4%42.1%72.1%56.6%3.9%-3.5%-590.3K22.1M-239.4K0.9047.22N/AN/A71649,5367,860
2020-03-11$86.35$95.0061.2%17.5%45.1%78.5%59.5%4.7%-4.6%-555.1K31.0M-210.5K4.1245.15N/AN/A994089,5617,841
2020-03-12$82.07$95.0068.8%19.7%46.9%94.5%66.9%6.2%-6.4%-458.1K35.4M-191.7K0.1958.49N/AN/A5371009,5928,101
2020-03-13$84.36$95.0070.5%20.2%49.1%98.1%71.1%-5.0%-6.6%-416.1K30.6M-207.8K1.3174.76N/AN/A19024810,0208,170
2020-03-16$78.53$95.0074.6%21.4%53.6%100.0%74.1%1.2%-4.2%-287.6K38.6M-176.4K0.6570.49N/AN/A26717410,1418,307
2020-03-17$78.93$95.0079.4%22.8%53.6%100.0%79.5%5.6%-7.4%-326.5K34.3M-183.7K0.5659.69N/AN/A20611610,3018,043
2020-03-18$73.19$95.0084.4%24.2%57.7%100.0%85.2%3.5%-7.4%-78.3K37.2M-158.2K0.0375.29N/AN/A1,1844110,4498,029
2020-03-19$78.30$95.0076.9%22.0%65.1%87.6%70.9%7.6%-7.7%-28.9K35.0M-184.5K0.6494.11N/AN/A1338511,1458,024
2020-03-20$80.74$95.0071.4%20.5%66.6%78.7%68.6%2.8%0.4%115.4K29.5M-213.1K0.1280.30N/AN/A3043611,5897,958
2020-03-23$77.78$95.0072.6%20.8%64.3%80.7%72.4%6.0%-2.3%103.6K16.7M-189.2K1.8482.23N/AN/A1302399,0275,822
2020-03-24$82.90$95.0064.9%18.6%69.1%68.0%59.1%13.1%-1.4%136.5K13.2M-211.3K0.3791.11N/AN/A1,1104169,1046,046
2020-03-25$89.76$90.0058.0%16.6%75.5%56.5%55.1%9.0%1.2%426.9K-3.2M-262.2K0.7881.42N/AN/A47637110,0616,483
2020-03-26$89.78$90.0054.5%15.6%75.3%50.8%47.0%1.8%4.7%487.2K-2.0M-263.7K0.0486.08N/AN/A6942610,4796,817
2020-03-27$90.51$90.0061.3%17.6%75.2%62.1%58.9%21.6%-5.7%521.9K-4.6M-274.4K0.5294.92N/AN/A37819810,9436,834
2020-03-30$91.15$90.0052.0%14.9%74.4%46.7%51.8%8.4%1.7%586.3K-4.6M-272.6K0.3483.51N/AN/A34311711,0386,987
2020-03-31$86.72$90.0040.2%11.5%75.5%27.4%40.2%2.3%15.1%535.4K7.1M-241.8K0.24103.67N/AN/A59314511,2907,075