NBIX Options History — August 2020

In August 2020, NBIX traded between $111.37 and $122.54. ATM implied volatility averaged 41.8%, placing in the 30.0% IV rank vs the trailing year. The 30-day expected move averaged 11.9%. IV traded above realized volatility by 17.0% (HV 20d: 24.8%). Max pain ranged from $115.00 to $125.00. Net GEX was positive for 21 of 21 trading days. Term structure was in contango for 19 of 21 days. Put/call ratio averaged 0.51.

Notable Days

  • 2020-08-21: Highest Volume — 3,035 contracts
  • 2020-08-04: Largest IV drop — 22.2% change
  • 2020-08-03: Highest IV Rank — 45.5%
  • 2020-08-03: Largest Expected Move — 14.7%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$115.02$111.37$122.54$122.54$116.72
Max Pain$121.19$115.00$125.00$115.00$115.00
ATM IV41.8%35.9%51.2%51.2%40.1%
Expected Move11.9%10.3%14.7%14.7%11.5%
HV 20d24.8%20.6%30.2%29.5%23.3%
HV 60d32.8%29.3%37.8%37.5%29.3%
IV Rank30.0%20.3%45.5%45.5%27.1%
IV Percentile50.2%25.4%86.5%86.5%38.1%
Term Structure1.6%-7.8%7.4%-7.8%0.7%
VWIV40.8%36.7%50.9%50.9%38.3%
Skew 25d4.1%0.7%7.5%4.7%4.3%
Skew 10d9.1%-4.4%15.6%8.4%7.3%
Call IV 25d40.1%35.5%49.3%49.3%38.0%
Put IV 25d44.2%39.5%54.0%54.0%42.2%
Bid-Ask Spread %54.0229.0184.9537.0084.95
Gamma HHI0.180.160.200.200.18
Net GEX746.9K463.8K1.3M1.3M1.0M
Net DEX-24.4M-61.2M-4.1M-61.2M-27.5M
Net VEX-275.4K-315.7K-236.0K-315.7K-288.5K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.510.002.750.100.45
Total Volume708.811783,035436729
Total OI21,597.23816,34624,68121,25318,209

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2020-08-03$122.54$115.0051.2%14.7%29.5%45.5%50.9%4.7%-7.8%1.3M-61.2M-315.7K0.1037.00N/AN/A3964013,6277,626
2020-08-04$119.88$115.0039.9%11.4%30.2%26.8%40.4%5.7%0.5%1.2M-49.7M-298.4K0.7529.01N/AN/A94470613,7877,653
2020-08-05$118.55$115.0039.9%11.5%29.9%26.9%39.7%3.2%0.3%1.2M-45.8M-299.6K0.6630.03N/AN/A75649814,2217,686
2020-08-06$115.90$125.0040.9%11.9%29.7%28.4%43.0%4.7%2.3%864.6K-32.9M-294.6K0.5143.10N/AN/A50325814,5307,984
2020-08-07$115.07$125.0044.8%12.3%29.1%34.8%42.7%3.0%-0.3%718.5K-27.5M-292.1K0.1645.88N/AN/A2554014,7768,174
2020-08-10$112.84$125.0048.2%12.6%29.5%40.5%41.0%4.0%0.1%630.4K-18.9M-274.1K0.9066.13N/AN/A35732115,0318,187
2020-08-11$113.06$125.0045.1%12.3%27.4%35.4%43.3%2.6%2.1%570.1K-17.6M-282.5K1.4861.22N/AN/A16824915,1778,475
2020-08-12$114.31$125.0041.3%11.8%23.3%29.2%39.4%1.3%5.8%589.7K-22.8M-289.9K0.1160.53N/AN/A2783015,2008,647
2020-08-13$114.88$125.0042.4%12.1%23.7%30.9%42.0%4.5%0.4%611.2K-25.1M-287.1K0.1058.57N/AN/A1721715,3888,651
2020-08-14$114.27$125.0042.8%12.3%23.2%31.6%40.7%6.2%0.7%628.7K-22.7M-284.3K0.9558.40N/AN/A22421315,5188,658
2020-08-17$116.71$125.0042.0%12.1%22.9%30.4%40.8%2.8%2.7%826.0K-34.6M-278.0K0.0655.36N/AN/A7034415,5498,840
2020-08-18$115.53$125.0042.8%12.3%22.7%31.7%42.2%5.8%0.8%723.5K-27.8M-267.0K0.1957.54N/AN/A1683215,7618,827
2020-08-19$113.46$125.0042.9%12.3%23.0%31.7%42.8%2.2%3.5%500.7K-17.5M-254.0K0.0759.01N/AN/A1671115,8508,831
2020-08-20$114.04$125.0041.6%11.9%23.1%29.6%39.3%7.5%2.6%660.5K-17.7M-249.6K0.2756.00N/AN/A1694615,8828,624
2020-08-21$113.06$125.0036.6%10.5%22.2%21.3%36.7%2.7%4.9%639.7K-4.1M-236.0K2.7559.43N/AN/A8092,22615,9088,605
2020-08-24$111.37$120.0041.0%11.8%22.1%28.6%37.7%3.8%0.7%463.8K-6.9M-248.5K0.2155.88N/AN/A3156610,5795,767
2020-08-25$112.59$120.0038.1%10.9%20.6%23.9%38.5%6.6%0.6%499.6K-9.2M-251.8K0.0057.51N/AN/A185010,6885,815
2020-08-26$111.83$115.0040.1%11.5%20.6%27.1%40.0%5.7%4.1%519.2K-8.5M-251.6K0.4456.70N/AN/A1536810,8155,815
2020-08-27$114.61$115.0035.9%10.3%22.6%20.3%37.5%0.7%7.4%776.6K-17.3M-267.1K0.1051.02N/AN/A1,20112010,8685,833
2020-08-28$114.15$115.0041.1%11.8%22.4%28.8%41.0%4.0%0.7%803.8K-18.2M-272.2K0.3451.13N/AN/A92832011,5685,912
2020-08-31$116.72$115.0040.1%11.5%23.3%27.1%38.3%4.3%0.7%1.0M-27.5M-288.5K0.4584.95N/AN/A50322612,0416,168