NBIX Options History — May 2020

In May 2020, NBIX traded between $96.24 and $124.79. ATM implied volatility averaged 45.5%, placing in the 36.1% IV rank vs the trailing year. The 30-day expected move averaged 12.2%. IV traded below realized volatility by 0.3% (HV 20d: 45.9%). Max pain ranged from $95.00 to $110.00. Net GEX was positive for 20 of 20 trading days. Term structure was in contango for 5 of 20 days. Put/call ratio averaged 0.33.

Notable Days

  • 2020-05-07: Highest Volume — 3,839 contracts
  • 2020-05-07: Largest IV drop — 38.0% change
  • 2020-05-06: Highest IV Rank — 62.0%
  • 2020-05-01: Largest Expected Move — 15.8%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$114.14$96.24$124.79$96.24$122.25
Max Pain$106.50$95.00$110.00$100.00$110.00
ATM IV45.5%35.5%61.3%55.0%42.7%
Expected Move12.2%11.0%15.8%15.8%12.2%
HV 20d45.9%37.6%51.9%41.8%49.5%
HV 60d56.0%53.5%58.3%53.5%56.4%
IV Rank36.1%19.6%62.0%51.7%31.4%
IV Percentile64.6%24.6%95.6%93.7%58.7%
Term Structure-1.6%-9.8%0.7%-9.8%-1.7%
VWIV42.6%38.2%53.9%53.9%41.8%
Skew 25d4.4%2.5%7.0%4.1%3.5%
Skew 10d8.5%6.5%11.0%6.7%7.2%
Call IV 25d40.4%35.0%52.5%52.5%40.2%
Put IV 25d44.8%40.4%56.6%56.6%43.6%
Bid-Ask Spread %46.2722.3260.9133.1744.27
Gamma HHI0.200.100.630.150.11
Net GEX1.5M599.3K3.6M1.1M740.2K
Net DEX-55.4M-87.0M-12.9M-12.9M-60.4M
Net VEX-284.9K-322.6K-262.2K-265.9K-316.8K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.330.040.990.220.32
Total Volume1,086.451693,839219270
Total OI18,792.4514,36822,92220,39217,488

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2020-05-01$96.24$100.0055.0%15.8%41.8%51.7%53.9%4.1%-9.8%1.1M-12.9M-265.9K0.2233.17N/AN/A1794013,5006,892
2020-05-04$98.72$95.0056.1%12.5%42.3%53.5%43.8%5.1%-0.8%1.4M-21.1M-269.1K0.0632.03N/AN/A4953113,5946,899
2020-05-05$101.81$95.0059.4%13.2%40.5%58.9%45.2%5.0%-3.5%1.6M-34.0M-278.9K0.8144.68N/AN/A52842613,6836,907
2020-05-06$103.40$95.0061.3%12.8%37.6%62.0%44.6%3.1%-1.7%1.7M-38.9M-291.0K0.1722.32N/AN/A3946513,6737,280
2020-05-07$109.50$95.0038.0%11.2%41.8%23.7%39.2%2.5%0.4%2.3M-66.1M-279.0K0.4739.24N/AN/A2,6161,22313,7117,315
2020-05-08$109.06$110.0035.5%11.0%42.0%19.6%38.8%5.3%-0.4%2.2M-55.1M-287.9K0.5156.23N/AN/A1809113,5677,392
2020-05-11$114.40$110.0043.6%11.1%43.7%33.0%38.2%7.0%0.7%2.5M-79.1M-277.3K0.1352.87N/AN/A1,24416413,5567,399
2020-05-12$113.39$110.0052.6%11.4%44.2%47.7%38.6%4.5%0.7%2.4M-73.1M-279.9K0.0949.78N/AN/A1,75214913,5157,449
2020-05-13$113.65$110.0045.6%13.1%44.0%36.3%46.9%4.0%-2.8%2.3M-73.6M-286.2K0.4848.51N/AN/A1,42969013,8558,091
2020-05-14$111.63$110.0044.1%12.6%44.8%33.7%46.5%4.3%-2.0%2.1M-64.6M-289.8K0.9649.54N/AN/A29127814,1258,572
2020-05-15$116.04$110.0043.4%12.4%45.1%32.5%42.6%4.0%-1.7%3.6M-87.0M-283.3K0.1746.12N/AN/A1,09218214,1748,748
2020-05-18$124.79$110.0041.0%11.8%50.4%28.6%41.5%4.8%-2.1%599.3K-59.4M-262.2K0.1540.87N/AN/A9831457,9076,461
2020-05-19$120.81$110.0041.1%11.8%49.8%28.9%39.3%3.6%-1.2%612.8K-52.0M-272.1K0.1460.91N/AN/A8761258,0976,540
2020-05-20$123.81$110.0041.2%11.8%47.8%28.9%42.3%6.8%-2.3%640.3K-58.9M-272.0K0.4647.56N/AN/A173798,3616,589
2020-05-21$121.48$110.0041.1%11.8%49.2%28.9%39.9%2.9%-1.1%630.3K-53.9M-275.6K0.3049.84N/AN/A130398,3696,639
2020-05-22$124.13$110.0041.1%11.8%48.8%28.8%39.6%4.3%0.1%650.6K-60.2M-266.0K0.1149.25N/AN/A1,6581808,4196,657
2020-05-26$118.41$110.0042.4%12.1%51.9%30.9%41.8%5.1%0.1%809.5K-51.5M-315.1K0.0452.01N/AN/A1,450549,7296,797
2020-05-27$118.36$110.0042.0%12.0%50.8%30.3%44.2%3.4%-1.3%784.1K-49.3M-308.2K0.9951.51N/AN/A8097989,5676,843
2020-05-28$120.99$110.0043.2%12.4%50.9%32.2%42.7%4.3%-2.3%722.3K-57.3M-322.6K0.0554.78N/AN/A402199,9597,530
2020-05-29$122.25$110.0042.7%12.2%49.5%31.4%41.8%3.5%-1.7%740.2K-60.4M-316.8K0.3244.27N/AN/A204669,9447,544