NBIX Options History — July 2020

In July 2020, NBIX traded between $120.70 and $135.10. ATM implied volatility averaged 47.3%, placing in the 39.1% IV rank vs the trailing year. The 30-day expected move averaged 13.1%. IV traded above realized volatility by 14.3% (HV 20d: 33.0%). 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 2 of 22 days. Put/call ratio averaged 0.35.

Notable Days

  • 2020-07-15: Highest Volume — 1,692 contracts
  • 2020-07-13: Largest IV spike — 34.8% change
  • 2020-07-13: Highest IV Rank — 75.6%
  • 2020-07-31: Largest Expected Move — 14.4%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$127.94$120.70$135.10$125.66$120.70
Max Pain$113.64$110.00$120.00$120.00$115.00
ATM IV47.3%40.0%69.5%41.2%50.1%
Expected Move13.1%11.5%14.4%11.8%14.4%
HV 20d33.0%29.5%37.6%37.6%29.7%
HV 60d40.3%39.1%41.8%41.8%39.1%
IV Rank39.1%27.0%75.6%28.9%43.5%
IV Percentile70.8%40.9%96.8%48.4%86.1%
Term Structure-3.0%-5.7%3.5%1.2%-5.5%
VWIV45.9%40.5%50.7%42.2%50.7%
Skew 25d4.2%2.1%6.0%4.3%4.4%
Skew 10d9.1%6.5%13.7%9.6%9.5%
Call IV 25d43.8%37.1%48.1%38.6%48.1%
Put IV 25d48.0%42.8%52.5%42.9%52.5%
Bid-Ask Spread %48.8140.3356.6644.6241.87
Gamma HHI0.170.130.250.140.19
Net GEX1.5M1.2M2.0M1.2M1.2M
Net DEX-80.5M-110.2M-51.8M-72.3M-51.8M
Net VEX-319.3K-350.0K-282.7K-350.0K-323.6K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.350.011.090.190.14
Total Volume655.3181221,692307182
Total OI19,649.95517,09621,16719,22721,167

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2020-07-01$125.66$120.0041.2%11.8%37.6%28.9%42.2%4.3%1.2%1.2M-72.3M-350.0K0.1944.62N/AN/A2594811,8087,419
2020-07-02$125.46$120.0040.1%11.5%37.6%27.2%40.5%5.6%3.5%1.2M-71.9M-346.9K0.0348.44N/AN/A271911,8477,431
2020-07-06$127.71$110.0040.9%12.7%34.1%28.4%44.5%4.3%-2.2%1.3M-80.4M-335.8K0.6954.60N/AN/A93063811,8917,435
2020-07-07$128.40$110.0041.5%12.6%33.4%29.4%45.5%4.0%-1.3%1.4M-82.4M-334.9K0.3353.35N/AN/A30910211,9297,454
2020-07-08$129.60$110.0040.0%12.6%33.3%27.0%46.2%4.1%-0.9%1.4M-87.7M-321.0K0.6054.56N/AN/A23013911,9257,477
2020-07-09$131.46$110.0042.6%12.8%33.3%31.2%44.3%2.2%-2.5%1.5M-94.3M-315.1K0.0456.25N/AN/A1,1784911,9727,482
2020-07-10$128.62$110.0051.6%13.0%30.6%46.1%44.4%4.0%-3.3%1.5M-84.0M-325.1K0.3851.85N/AN/A1254812,3447,522
2020-07-13$127.15$110.0069.5%13.4%31.3%75.6%46.4%4.2%-3.2%1.5M-78.8M-318.1K0.1354.17N/AN/A6478112,3767,539
2020-07-14$130.29$110.0060.4%12.9%32.0%60.6%46.4%5.1%-2.3%1.7M-92.3M-314.7K0.1648.53N/AN/A2303612,5437,562
2020-07-15$135.10$110.0044.8%12.8%32.3%34.8%44.0%4.9%-3.1%2.0M-110.2M-296.4K0.6551.98N/AN/A1,02666612,4747,561
2020-07-16$133.67$115.0044.4%12.7%32.8%34.3%45.7%2.1%-1.7%2.0M-105.9M-291.6K0.1251.94N/AN/A1091312,4697,585
2020-07-17$130.92$115.0046.6%13.4%34.0%37.9%46.1%2.3%-3.5%1.6M-97.7M-296.2K0.0456.66N/AN/A185712,4807,594
2020-07-20$133.93$115.0045.5%13.1%33.2%36.1%45.1%6.0%-2.9%1.2M-89.8M-282.7K0.7053.44N/AN/A33923610,7176,379
2020-07-21$131.78$115.0045.1%12.9%33.1%35.4%44.4%4.7%-3.3%1.2M-83.9M-290.4K0.0346.23N/AN/A1,4134510,8516,591
2020-07-22$130.03$115.0045.4%13.0%33.5%35.9%43.1%4.9%-3.7%1.6M-84.7M-316.9K0.0147.12N/AN/A1,4691912,1726,610
2020-07-23$128.06$115.0045.9%13.2%33.8%36.7%45.3%4.6%-4.2%1.7M-82.0M-331.1K0.1540.45N/AN/A2133312,9686,618
2020-07-24$125.15$115.0048.7%14.0%34.2%41.2%49.4%4.7%-5.2%1.6M-72.0M-332.1K1.0940.33N/AN/A30633413,1206,626
2020-07-27$125.97$115.0048.5%13.9%33.7%41.0%49.1%4.5%-4.9%1.7M-74.7M-332.0K0.7043.68N/AN/A18913213,2986,920
2020-07-28$122.01$115.0049.4%14.2%32.7%42.4%48.4%2.3%-5.5%1.5M-61.1M-323.3K0.6546.57N/AN/A31020313,4316,948
2020-07-29$121.00$115.0049.6%14.2%31.3%42.8%49.4%5.8%-4.8%1.4M-54.8M-320.8K0.6143.30N/AN/A73745213,5737,120
2020-07-30$121.98$115.0049.7%14.3%29.5%43.0%48.3%4.5%-5.7%1.3M-58.0M-325.6K0.3543.86N/AN/A34912113,5497,522
2020-07-31$120.70$115.0050.1%14.4%29.7%43.5%50.7%4.4%-5.5%1.2M-51.8M-323.6K0.1441.87N/AN/A1592313,5447,623