NBIX Options History — November 2020

In November 2020, NBIX traded between $87.13 and $108.36. ATM implied volatility averaged 50.3%, placing in the 43.9% IV rank vs the trailing year. The 30-day expected move averaged 13.7%. IV traded below realized volatility by 29.7% (HV 20d: 80.0%). Max pain ranged from $100.00 to $105.00. Net GEX was positive for 8 of 20 trading days. Term structure was in contango for 12 of 20 days. Put/call ratio averaged 0.24.

Notable Days

  • 2020-11-10: Highest Volume — 3,455 contracts
  • 2020-11-10: Largest IV drop — 30.4% change
  • 2020-11-03: Highest IV Rank — 74.3%
  • 2020-11-03: Largest Expected Move — 19.7%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$94.17$87.13$108.36$95.49$95.88
Max Pain$103.00$100.00$105.00$100.00$100.00
ATM IV50.3%40.6%68.8%63.9%45.2%
Expected Move13.7%11.6%19.7%18.3%13.0%
HV 20d80.0%33.5%93.8%33.5%93.8%
HV 60d53.2%30.8%60.2%31.0%59.6%
IV Rank43.9%27.9%74.3%66.3%34.0%
IV Percentile64.8%26.6%95.6%94.8%59.1%
Term Structure0.4%-13.1%12.3%-11.7%-3.5%
VWIV49.5%41.4%67.5%62.5%47.5%
Skew 25d2.1%-2.3%6.9%1.5%5.7%
Skew 10d1.1%-7.8%16.5%6.2%3.6%
Call IV 25d47.1%41.7%66.7%62.3%42.7%
Put IV 25d49.2%40.9%68.3%63.7%48.4%
Bid-Ask Spread %66.9254.3687.2779.7359.01
Gamma HHI0.240.120.670.170.14
Net GEX-762.1K-3.8M1.4M-640.5K634.4K
Net DEX27.5M-39.9M71.8M24.7M1.6M
Net VEX-246.4K-354.6K-186.8K-313.3K-207.1K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.240.020.640.280.23
Total Volume1,353.12123,455212473
Total OI35,654.3525,79144,04334,42525,791

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2020-11-02$95.49$100.0063.9%18.3%33.5%66.3%62.5%1.5%-11.7%-640.5K24.7M-313.3K0.2879.73N/AN/A1654718,23516,190
2020-11-03$95.55$100.0068.8%19.7%33.5%74.3%67.5%1.6%-13.1%-679.2K25.5M-305.6K0.3482.14N/AN/A2578718,23516,190
2020-11-04$108.36$100.0056.0%16.1%53.9%53.3%52.5%6.9%-8.4%1.4M-39.9M-315.6K0.4187.27N/AN/A1,44859318,34316,179
2020-11-05$100.64$105.0063.7%13.0%60.2%65.9%45.6%0.7%-1.5%-361.1K4.2M-311.2K0.0979.16N/AN/A9978817,47316,409
2020-11-06$96.17$105.0066.6%14.8%62.0%70.8%51.6%-0.7%4.7%-803.3K26.3M-292.4K0.2574.73N/AN/A2,61565118,33816,455
2020-11-09$103.77$105.0066.4%13.8%67.4%70.4%52.8%3.2%1.3%599.7K-25.4M-354.6K0.1571.71N/AN/A2,00630820,31716,866
2020-11-10$87.58$105.0046.2%13.5%90.7%37.2%46.9%4.6%3.3%-2.4M71.8M-202.0K0.4472.93N/AN/A2,4011,05420,94616,986
2020-11-11$88.60$105.0044.2%12.7%90.9%33.9%42.9%1.6%6.4%-2.3M65.4M-225.9K0.2755.69N/AN/A54514521,93117,722
2020-11-12$90.58$105.0041.2%11.8%91.5%29.0%42.6%5.8%12.3%-2.2M56.8M-230.6K0.1754.36N/AN/A64811022,18717,760
2020-11-13$91.90$105.0044.0%12.6%90.9%33.5%45.2%3.2%5.1%-1.6M48.9M-233.0K0.6263.86N/AN/A29218122,48617,775
2020-11-16$93.10$105.0045.9%13.2%90.9%36.7%50.3%3.1%4.1%-1.5M46.3M-222.8K0.0366.19N/AN/A2,3397222,59417,817
2020-11-17$91.79$105.0042.9%12.3%90.9%31.8%47.8%-0.6%6.4%-1.1M48.6M-225.6K0.1858.92N/AN/A3616424,29117,857
2020-11-18$87.13$105.0047.4%13.6%91.8%39.1%54.6%-0.9%4.5%-3.3M70.3M-186.8K0.2157.92N/AN/A1,57133724,67017,855
2020-11-19$87.19$105.0048.9%14.0%91.7%41.6%50.6%-2.3%-2.5%-3.8M65.4M-191.9K0.3662.67N/AN/A46316725,95017,934
2020-11-20$89.48$105.0046.3%13.3%91.6%37.4%46.6%-0.9%0.7%11.4K50.3M-210.8K0.6465.13N/AN/A1,14773926,16917,874
2020-11-23$94.06$100.0042.2%12.1%93.5%30.6%42.1%3.4%1.3%542.2K5.6M-223.1K0.0564.36N/AN/A1,3016418,8177,856
2020-11-24$95.85$100.0040.6%11.6%93.8%27.9%41.4%-1.2%-0.1%887.4K-1.3M-235.4K0.0763.40N/AN/A7625019,3537,847
2020-11-25$95.03$100.0044.9%12.9%93.7%35.1%49.4%5.6%-2.5%646.2K3.4M-220.5K0.0461.24N/AN/A1,5896519,4427,847
2020-11-27$95.22$100.0040.8%11.7%93.7%28.2%49.5%2.6%1.3%713.0K1.6M-220.3K0.0258.05N/AN/A8471318,2267,874
2020-11-30$95.88$100.0045.2%13.0%93.8%34.0%47.5%5.7%-3.5%634.4K1.6M-207.1K0.2359.01N/AN/A3848917,9097,882