NBIX Options History — October 2020

In October 2020, NBIX traded between $94.73 and $104.43. ATM implied volatility averaged 53.0%, placing in the 48.3% IV rank vs the trailing year. The 30-day expected move averaged 16.0%. IV traded above realized volatility by 19.8% (HV 20d: 33.2%). Max pain ranged from $100.00 to $110.00. Net GEX was positive for 0 of 22 trading days. Term structure was in contango for 2 of 22 days. Put/call ratio averaged 0.38.

Notable Days

  • 2020-10-07: Highest Volume — 3,153 contracts
  • 2020-10-12: Largest IV spike — 32.3% change
  • 2020-10-29: Highest IV Rank — 74.4%
  • 2020-10-29: Largest Expected Move — 19.7%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$99.61$94.73$104.43$96.81$98.33
Max Pain$100.91$100.00$110.00$110.00$100.00
ATM IV53.0%38.0%68.8%42.2%62.6%
Expected Move16.0%12.1%19.7%12.1%18.0%
HV 20d33.2%28.7%38.8%33.0%34.1%
HV 60d30.1%28.5%31.2%28.6%30.5%
IV Rank48.3%23.7%74.4%30.6%64.2%
IV Percentile77.8%25.4%96.4%46.4%94.8%
Term Structure-5.2%-17.5%9.0%5.9%-10.9%
VWIV54.3%43.6%65.4%43.6%64.7%
Skew 25d3.5%-5.0%9.6%5.9%3.0%
Skew 10d6.9%-3.4%17.6%9.2%0.9%
Call IV 25d52.8%40.1%64.2%40.1%64.2%
Put IV 25d56.4%44.2%67.2%46.0%67.2%
Bid-Ask Spread %66.4654.1779.4354.1777.13
Gamma HHI0.170.150.200.200.15
Net GEX-604.0K-1.2M-46.3K-1.2M-281.1K
Net DEX14.8M1.2M37.6M37.5M11.6M
Net VEX-353.0K-387.4K-305.9K-307.1K-347.5K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.380.021.520.140.15
Total Volume757.318873,1531,093113
Total OI32,037.63627,47434,45827,47434,456

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2020-10-01$96.81$110.0042.2%12.1%33.0%30.6%43.6%5.9%5.9%-1.2M37.5M-307.1K0.1454.17N/AN/A95913412,60714,867
2020-10-02$94.73$110.0048.5%13.9%30.9%40.9%43.7%-0.2%9.0%-1.1M37.6M-305.9K0.1258.22N/AN/A5095913,42014,941
2020-10-05$98.02$100.0046.6%14.5%34.4%37.8%50.9%3.3%-1.6%-959.4K27.0M-322.0K0.0762.57N/AN/A4273013,81014,943
2020-10-06$97.36$100.0042.6%15.3%34.3%31.3%44.8%1.4%-5.4%-1.0M28.1M-314.0K0.6563.62N/AN/A29118913,97914,969
2020-10-07$102.06$100.0040.9%15.0%38.8%28.5%52.1%6.6%-3.4%-710.6K13.9M-331.7K0.8258.51N/AN/A1,7371,41614,06015,086
2020-10-08$103.49$100.0040.6%15.5%35.9%28.0%50.8%0.7%-6.9%-539.5K5.9M-387.4K0.4060.83N/AN/A1,06442315,31216,068
2020-10-09$104.43$100.0038.0%14.2%34.6%23.7%47.6%5.5%-1.7%-512.5K2.1M-380.5K0.1169.71N/AN/A7668215,63916,372
2020-10-12$101.51$100.0050.3%15.0%30.7%43.9%52.2%6.5%-4.6%-716.7K10.8M-372.4K0.5264.37N/AN/A53727816,12716,434
2020-10-13$101.59$100.0048.3%15.8%29.4%40.7%54.6%2.5%-3.4%-796.9K11.8M-375.2K0.0964.86N/AN/A1,38413116,45616,619
2020-10-14$100.96$100.0052.8%15.1%28.7%48.0%52.4%3.8%-2.1%-757.9K12.9M-372.3K0.3063.80N/AN/A33210016,76916,639
2020-10-15$99.99$100.0053.5%15.3%28.8%49.2%53.4%8.0%-4.0%-846.4K15.8M-366.3K0.6959.36N/AN/A33122716,79516,679
2020-10-16$102.84$100.0053.6%15.4%30.5%49.3%52.2%9.6%-8.3%-240.7K4.1M-375.2K0.4763.22N/AN/A38418116,97116,678
2020-10-19$100.41$100.0056.5%16.2%30.8%54.1%54.2%4.5%-6.3%-452.4K9.5M-361.3K0.2561.40N/AN/A70717515,73715,544
2020-10-20$99.15$100.0061.7%17.7%31.1%62.6%61.9%6.7%-8.5%-453.6K12.7M-364.1K0.1371.92N/AN/A81010416,16715,697
2020-10-21$95.56$100.0057.7%16.5%33.7%56.1%54.5%1.1%-4.5%-720.1K25.6M-337.5K1.5264.28N/AN/A21632816,80015,774
2020-10-22$96.26$100.0058.8%16.9%33.8%57.9%59.7%-5.0%-10.8%-674.1K23.0M-351.7K0.2162.97N/AN/A1092316,87816,049
2020-10-23$98.99$100.0057.2%16.4%35.3%55.2%57.3%1.7%-5.6%-464.8K12.3M-358.8K0.9870.63N/AN/A13613316,92816,069
2020-10-26$100.52$100.0058.2%16.7%35.5%56.9%57.5%3.9%-6.8%-292.5K4.9M-357.9K0.0276.42N/AN/A1,4692416,94516,198
2020-10-27$100.28$100.0059.7%17.1%35.5%59.4%57.8%1.4%-8.0%-46.3K1.2M-366.8K0.0576.73N/AN/A83418,23916,198
2020-10-28$99.03$100.0066.0%18.9%35.0%69.8%63.0%-2.7%-10.0%-197.0K8.1M-363.4K0.3279.43N/AN/A822618,25216,199
2020-10-29$99.08$100.0068.8%19.7%34.9%74.4%65.4%9.5%-17.5%-244.7K10.3M-346.6K0.4278.02N/AN/A1044418,26716,191
2020-10-30$98.33$100.0062.6%18.0%34.1%64.2%64.7%3.0%-10.9%-281.1K11.6M-347.5K0.1577.13N/AN/A981518,27216,184