NBIX Options History — September 2020

In September 2020, NBIX traded between $96.08 and $115.85. ATM implied volatility averaged 44.5%, placing in the 34.3% IV rank vs the trailing year. The 30-day expected move averaged 12.8%. IV traded above realized volatility by 13.1% (HV 20d: 31.4%). Max pain ranged from $110.00 to $115.00. Net GEX was positive for 11 of 21 trading days. Term structure was in contango for 18 of 21 days. Put/call ratio averaged 1.12.

Notable Days

  • 2020-09-16: Highest Volume — 8,151 contracts
  • 2020-09-04: Largest IV spike — 53.1% change
  • 2020-09-08: Highest IV Rank — 44.9%
  • 2020-09-15: Largest Expected Move — 14.3%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$103.67$96.08$115.85$115.85$96.08
Max Pain$112.86$110.00$115.00$115.00$110.00
ATM IV44.5%31.7%50.9%41.3%43.1%
Expected Move12.8%11.4%14.3%11.9%12.4%
HV 20d31.4%22.0%36.2%22.2%32.5%
HV 60d29.9%28.5%31.9%29.0%28.6%
IV Rank34.3%13.3%44.9%29.2%32.1%
IV Percentile61.8%11.1%86.1%46.8%52.8%
Term Structure3.8%-3.5%11.0%0.5%8.5%
VWIV43.8%37.2%50.2%38.6%43.7%
Skew 25d4.6%-0.0%9.8%5.0%1.5%
Skew 10d9.9%1.6%26.9%7.2%9.0%
Call IV 25d42.0%35.2%46.7%35.2%42.8%
Put IV 25d46.6%40.2%51.5%40.2%44.4%
Bid-Ask Spread %68.7646.4996.8494.6246.49
Gamma HHI0.190.160.210.180.21
Net GEX-191.3K-1.2M953.8K953.8K-1.2M
Net DEX12.1M-25.7M37.4M-25.7M37.4M
Net VEX-289.4K-337.4K-223.5K-289.1K-305.9K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.120.0811.980.560.32
Total Volume993.7622668,151480310
Total OI22,814.8118,52828,78218,52827,221

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2020-09-01$115.85$115.0041.3%11.9%22.2%29.2%38.6%5.0%0.5%953.8K-25.7M-289.1K0.5694.62N/AN/A30717312,1956,333
2020-09-02$115.69$115.0041.8%12.0%22.0%29.9%38.3%2.7%1.1%887.3K-24.7M-293.6K0.1396.84N/AN/A3474612,4006,489
2020-09-03$110.88$115.0031.7%11.4%25.4%13.3%41.7%0.2%5.7%448.1K-9.2M-273.8K0.7986.79N/AN/A39030912,4306,522
2020-09-04$110.15$115.0048.5%12.8%25.4%41.0%43.3%2.0%1.5%481.0K-8.1M-274.9K0.2679.93N/AN/A82721512,5056,574
2020-09-08$109.95$115.0050.9%14.2%24.5%44.9%45.6%7.3%-2.0%500.5K-9.3M-273.8K0.6178.55N/AN/A57234912,8536,706
2020-09-09$107.97$115.0045.0%12.9%25.2%35.3%43.9%9.4%-1.4%327.1K-2.8M-262.4K0.1374.64N/AN/A7139612,9026,809
2020-09-10$103.23$115.0042.2%12.1%28.8%30.6%42.8%-0.0%4.6%160.7K9.4M-238.9K0.8573.83N/AN/A42636113,3746,888
2020-09-11$100.60$115.0046.5%13.3%29.5%37.7%45.3%7.4%0.5%182.2K13.1M-223.5K0.3371.08N/AN/A55718313,4246,681
2020-09-14$105.98$115.0044.6%12.8%36.1%34.6%44.6%4.1%4.9%384.8K1.3M-252.7K0.0864.64N/AN/A1,0378013,7096,730
2020-09-15$103.26$115.0049.8%14.3%35.7%43.0%47.4%4.5%-3.5%339.8K6.5M-240.5K0.1968.20N/AN/A3847313,9006,758
2020-09-16$101.38$115.0047.0%13.5%35.9%38.5%43.8%2.3%0.5%253.3K10.5M-227.2K11.9870.11N/AN/A6287,52314,0986,696
2020-09-17$102.16$115.0045.0%12.9%36.0%35.1%45.3%1.2%4.2%-689.8K26.7M-328.7K0.3960.57N/AN/A30712014,25113,820
2020-09-18$101.51$110.0044.7%12.8%35.8%34.8%44.0%9.8%8.6%-687.9K28.9M-337.4K0.3863.64N/AN/A39715214,77514,007
2020-09-21$99.46$110.0046.3%13.3%36.1%37.3%44.1%2.8%6.6%-781.0K27.5M-322.3K0.9267.20N/AN/A19618011,18913,081
2020-09-22$99.96$110.0041.8%12.0%36.2%29.9%45.5%6.5%6.2%-791.2K24.6M-320.7K0.5853.30N/AN/A18410711,29513,134
2020-09-23$99.78$110.0045.7%13.1%35.7%36.4%50.2%6.1%6.0%-773.0K24.8M-322.4K1.0656.12N/AN/A12913711,40413,224
2020-09-24$98.96$110.0044.1%12.6%35.7%33.7%46.1%8.0%11.0%-837.2K28.8M-322.4K2.3360.54N/AN/A4301,00211,49613,338
2020-09-25$98.45$110.0046.0%13.2%33.9%36.9%44.6%6.1%6.8%-931.9K28.8M-332.3K0.8460.28N/AN/A38732511,89614,376
2020-09-28$97.66$110.0046.0%13.2%33.8%36.9%43.2%3.8%5.7%-1.1M34.5M-312.5K0.5161.76N/AN/A31716212,03414,647
2020-09-29$98.07$110.0042.0%12.0%32.3%30.3%37.2%6.3%4.7%-1.1M30.7M-323.2K0.1954.77N/AN/A3626912,19914,748
2020-09-30$96.08$110.0043.1%12.4%32.5%32.1%43.7%1.5%8.5%-1.2M37.4M-305.9K0.3246.49N/AN/A2347612,42114,800