NBIX Options History — June 2020 In June 2020, NBIX traded between $114.05 and $130.60. ATM implied volatility averaged 42.2%, placing in the 30.6% IV rank vs the trailing year. The 30-day expected move averaged 11.9%. IV traded above realized volatility by 1.1% (HV 20d: 41.1%). Max pain ranged from $110.00 to $120.00. Net GEX was positive for 22 of 22 trading days. Term structure was in contango for 17 of 22 days. Put/call ratio averaged 0.35.
Notable Days 2020-06-19 : Highest Volume — 4,182 contracts2020-06-10 : Largest IV drop — 8.9% change2020-06-08 : Highest IV Rank — 35.9%2020-06-15 : Largest Expected Move — 12.9%Monthly Statistics Metric Avg Min Max Open Close Price $121.41 $114.05 $130.60 $122.87 $122.08 Max Pain $118.64 $110.00 $120.00 $110.00 $120.00 ATM IV 42.2% 39.7% 45.4% 44.9% 42.4% Expected Move 11.9% 11.4% 12.9% 12.9% 12.2% HV 20d 41.1% 32.2% 48.3% 47.4% 37.3% HV 60d 48.0% 40.8% 55.8% 55.8% 42.4% IV Rank 30.6% 26.4% 35.9% 35.0% 31.0% IV Percentile 55.3% 42.5% 69.8% 67.9% 56.7% Term Structure 1.1% -3.9% 4.7% -3.9% 2.4% VWIV 41.3% 39.7% 44.6% 44.6% 42.0% Skew 25d 4.3% 1.6% 7.2% 1.6% 2.9% Skew 10d 9.2% 4.9% 14.7% 9.0% 7.1% Call IV 25d 39.6% 36.5% 43.5% 43.5% 41.5% Put IV 25d 43.9% 42.0% 46.5% 45.1% 44.4% Bid-Ask Spread % 53.58 42.03 70.17 42.38 42.20 Gamma HHI 0.14 0.10 0.34 0.11 0.14 Net GEX 959.4K 562.5K 1.7M 762.9K 1.0M Net DEX -58.9M -87.7M -32.0M -62.3M -58.9M Net VEX -326.7K -372.6K -300.2K -312.0K -349.1K Div Yield 0.0% 0.0% 0.0% 0.0% 0.0% P/C Ratio 0.35 0.02 1.53 0.12 0.40 Total Volume 875.409 150 4,182 473 563 Total OI 18,968.455 17,542 19,605 17,542 18,852
Daily Data (22 trading days) Date Price Max Pain ATM IV Exp Move HV 20d IV Rank VWIV Skew 25d Term Str GEX DEX VEX P/C Spread % Call Wall Put Wall Call Vol Put Vol Call OI Put OI 2020-06-01 $122.87 $110.00 44.9% 12.9% 47.4% 35.0% 44.6% 1.6% -3.9% 762.9K -62.3M -312.0K 0.12 42.38 N/A N/A 424 49 9,978 7,564 2020-06-02 $122.63 $110.00 41.8% 12.0% 47.4% 30.0% 40.6% 3.5% -3.1% 845.8K -64.0M -304.1K 0.28 44.17 N/A N/A 276 78 10,172 7,579 2020-06-03 $119.78 $110.00 42.9% 12.3% 48.3% 31.7% 43.1% 3.0% -2.8% 784.0K -54.9M -312.4K 0.06 42.03 N/A N/A 1,061 65 10,293 7,653 2020-06-04 $120.12 $120.00 44.2% 11.6% 48.2% 33.9% 40.1% 4.1% 0.9% 1.0M -59.6M -320.0K 1.21 49.90 N/A N/A 680 826 10,945 7,684 2020-06-05 $115.17 $120.00 42.4% 11.4% 47.5% 30.9% 39.7% 2.7% 1.5% 802.9K -42.9M -316.2K 0.63 60.40 N/A N/A 720 456 10,978 7,709 2020-06-08 $117.95 $120.00 45.4% 11.9% 48.0% 35.9% 40.1% 3.9% 1.6% 884.9K -51.2M -318.2K 0.09 54.52 N/A N/A 562 53 11,178 8,085 2020-06-09 $119.24 $120.00 44.4% 11.4% 45.3% 34.3% 41.1% 5.5% 3.4% 967.2K -55.9M -315.3K 0.15 58.33 N/A N/A 468 71 11,246 8,110 2020-06-10 $118.67 $120.00 40.5% 11.6% 45.2% 27.8% 40.4% 5.1% 1.3% 905.7K -53.4M -312.4K 0.86 60.14 N/A N/A 1,305 1,119 11,191 8,160 2020-06-11 $114.05 $120.00 41.7% 12.0% 47.6% 29.8% 43.0% 1.6% 2.4% 579.2K -32.0M -320.0K 0.62 58.87 N/A N/A 270 168 11,207 8,247 2020-06-12 $114.58 $120.00 41.7% 12.0% 47.1% 29.8% 40.8% 5.7% 0.7% 562.5K -32.2M -316.2K 0.21 70.17 N/A N/A 264 56 11,154 8,329 2020-06-15 $114.96 $120.00 45.1% 12.9% 45.0% 35.4% 42.9% 4.5% -0.8% 563.1K -34.7M -310.2K 0.14 56.93 N/A N/A 289 41 11,157 8,368 2020-06-16 $118.90 $120.00 42.5% 12.2% 38.2% 31.1% 42.7% 5.6% 1.5% 851.6K -49.0M -308.2K 0.10 63.88 N/A N/A 254 25 11,212 8,349 2020-06-17 $119.06 $120.00 43.8% 12.6% 36.5% 33.2% 42.5% 2.9% -0.7% 747.5K -49.9M -302.7K 0.03 58.19 N/A N/A 1,172 32 11,153 8,333 2020-06-18 $120.53 $120.00 41.9% 12.0% 35.6% 30.1% 41.2% 4.1% 2.0% 1.0M -53.8M -308.6K 0.26 57.23 N/A N/A 119 31 11,265 8,331 2020-06-19 $124.43 $120.00 39.7% 11.4% 36.8% 26.4% 40.4% 7.2% 1.5% 1.7M -66.6M -300.2K 0.13 55.32 N/A N/A 3,705 477 11,268 8,337 2020-06-22 $127.34 $120.00 40.7% 11.7% 37.0% 28.2% 39.7% 5.3% 1.5% 1.1M -79.2M -372.6K 0.08 50.28 N/A N/A 806 64 11,735 7,066 2020-06-23 $127.58 $120.00 40.1% 11.5% 32.2% 27.1% 39.9% 4.0% 4.7% 1.1M -79.4M -365.1K 0.66 53.51 N/A N/A 785 520 11,699 7,100 2020-06-24 $126.34 $120.00 40.9% 11.7% 32.6% 28.5% 41.1% 5.7% 2.8% 1.1M -74.1M -367.9K 0.03 54.62 N/A N/A 339 9 11,730 7,187 2020-06-25 $128.58 $120.00 39.8% 11.4% 32.3% 26.7% 39.9% 4.7% 2.6% 1.2M -82.1M -361.0K 0.02 45.54 N/A N/A 175 3 11,781 7,190 2020-06-26 $130.60 $120.00 39.8% 11.4% 32.5% 26.7% 40.2% 4.5% 2.6% 1.3M -87.7M -348.3K 0.09 50.99 N/A N/A 349 30 11,726 7,191 2020-06-29 $125.59 $120.00 42.0% 12.0% 35.8% 30.2% 41.6% 5.3% 1.9% 1.2M -72.0M -346.2K 1.53 49.19 N/A N/A 198 302 11,622 7,192 2020-06-30 $122.08 $120.00 42.4% 12.2% 37.3% 31.0% 42.0% 2.9% 2.4% 1.0M -58.9M -349.1K 0.40 42.20 N/A N/A 403 160 11,592 7,260
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