NBIX Options History — April 2020

In April 2020, NBIX traded between $84.67 and $102.01. ATM implied volatility averaged 50.2%, placing in the 43.8% IV rank vs the trailing year. The 30-day expected move averaged 14.8%. IV traded below realized volatility by 7.4% (HV 20d: 57.7%). Max pain ranged from $90.00 to $100.00. Net GEX was positive for 21 of 21 trading days. Term structure was in contango for 3 of 21 days. Put/call ratio averaged 0.32.

Notable Days

  • 2020-04-27: Highest Volume — 2,167 contracts
  • 2020-04-08: Largest IV spike — 10.4% change
  • 2020-04-29: Highest IV Rank — 51.7%
  • 2020-04-02: Largest Expected Move — 17.1%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$95.27$84.67$102.01$84.67$98.99
Max Pain$93.57$90.00$100.00$90.00$100.00
ATM IV50.2%43.5%55.0%53.2%52.6%
Expected Move14.8%13.8%17.1%15.3%15.1%
HV 20d57.7%39.9%75.6%73.2%39.9%
HV 60d52.8%51.5%56.0%54.1%53.2%
IV Rank43.8%32.8%51.7%48.7%47.7%
IV Percentile86.5%65.5%93.7%90.5%90.9%
Term Structure-4.3%-12.0%7.1%7.1%-7.9%
VWIV51.2%46.2%58.4%58.4%55.3%
Skew 25d5.5%0.8%28.8%28.8%2.2%
Skew 10d9.7%5.1%16.9%5.9%6.2%
Call IV 25d49.3%44.0%54.5%54.5%51.6%
Put IV 25d54.9%49.9%83.3%83.3%53.8%
Bid-Ask Spread %54.7436.9394.9694.9646.60
Gamma HHI0.200.140.340.290.15
Net GEX1.0M482.8K1.6M482.8K1.4M
Net DEX-17.7M-36.7M7.3M7.3M-24.3M
Net VEX-273.8K-298.4K-238.9K-238.9K-283.0K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.320.011.860.030.24
Total Volume657.3331062,167913610
Total OI19,581.71417,70720,50518,85120,505

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2020-04-01$84.67$90.0053.2%15.3%73.2%48.7%58.4%28.8%7.1%482.8K7.3M-238.9K0.0394.96N/AN/A8902311,7647,087
2020-04-02$85.63$90.0049.8%17.1%72.8%43.2%54.6%7.7%-6.2%610.6K6.5M-247.7K0.0863.32N/AN/A1621312,2597,103
2020-04-03$85.65$90.0048.4%16.7%72.5%40.8%56.7%6.0%-4.4%613.8K6.8M-247.0K0.0268.12N/AN/A162412,2767,114
2020-04-06$89.88$90.0043.5%13.8%74.1%32.8%48.2%3.6%3.8%860.1K-3.5M-264.1K0.1879.67N/AN/A1763212,3457,113
2020-04-07$94.30$90.0045.1%14.8%75.6%35.4%48.9%6.8%-2.1%897.4K-15.8M-285.0K0.4679.11N/AN/A2049312,3727,115
2020-04-08$95.92$90.0049.8%14.3%72.0%43.1%47.9%6.8%-0.9%932.3K-21.8M-287.4K0.4568.61N/AN/A1978812,3677,176
2020-04-09$96.78$90.0049.1%14.1%68.9%42.0%49.4%4.3%0.2%908.1K-25.0M-287.1K0.1555.66N/AN/A2133112,3937,178
2020-04-13$95.38$90.0049.1%14.1%69.0%42.0%48.5%3.9%-4.4%924.7K-18.8M-268.5K0.1062.59N/AN/A3683512,3987,183
2020-04-14$95.99$90.0048.7%14.0%62.6%41.3%46.2%7.5%-3.0%937.2K-21.9M-268.2K0.1557.72N/AN/A74111312,6527,210
2020-04-15$95.65$90.0049.9%14.3%62.8%43.3%50.4%4.7%-4.1%791.7K-20.9M-264.7K1.8649.80N/AN/A376912,6727,180
2020-04-16$95.05$90.0050.1%14.4%54.6%43.6%49.9%5.4%-4.9%608.9K-19.8M-261.6K0.1548.22N/AN/A3785712,6587,184
2020-04-17$98.35$90.0049.4%14.2%51.4%42.4%48.9%3.3%-4.8%889.5K-33.9M-277.7K0.0140.30N/AN/A1,9021912,9657,193
2020-04-20$100.77$90.0049.7%14.2%51.1%42.9%49.0%2.3%-3.2%1.3M-27.9M-285.4K0.0645.89N/AN/A1,0165711,8895,818
2020-04-21$97.12$95.0051.7%14.8%51.0%46.2%50.4%3.3%-6.0%1.1M-18.5M-273.6K0.5038.94N/AN/A1,22160612,1045,820
2020-04-22$94.40$100.0052.6%15.1%48.9%47.8%52.7%0.8%-6.3%1.0M-10.9M-269.7K0.6836.93N/AN/A24316613,0546,328
2020-04-23$95.12$100.0052.6%15.1%40.6%47.8%52.7%1.7%-6.8%1.1M-12.2M-279.8K0.6941.29N/AN/A1178113,2036,690
2020-04-24$98.02$100.0049.9%14.3%41.7%43.3%49.9%4.4%-6.2%1.3M-20.7M-286.6K0.1144.66N/AN/A5576413,2636,729
2020-04-27$102.01$100.0051.6%14.8%43.5%46.1%50.3%2.5%-8.0%1.6M-36.7M-298.4K0.0636.97N/AN/A2,05011713,6276,775
2020-04-28$99.72$100.0053.2%15.2%44.7%48.6%53.6%2.5%-10.3%1.4M-27.2M-286.3K0.6644.50N/AN/A17211413,4656,773
2020-04-29$101.30$100.0055.0%15.8%40.0%51.7%52.9%7.5%-12.0%1.4M-31.5M-289.3K0.0645.79N/AN/A5733313,3936,823
2020-04-30$98.99$100.0052.6%15.1%39.9%47.7%55.3%2.2%-7.9%1.4M-24.3M-283.0K0.2446.60N/AN/A49311713,6786,827