NBIX Options History — December 2020

In December 2020, NBIX traded between $90.22 and $101.39. ATM implied volatility averaged 43.6%, placing in the 25.7% IV rank vs the trailing year. The 30-day expected move averaged 12.7%. IV traded below realized volatility by 6.8% (HV 20d: 50.5%). Max pain ranged from $95.00 to $100.00. Net GEX was positive for 12 of 22 trading days. Term structure was in contango for 15 of 22 days. Put/call ratio averaged 1.08.

Notable Days

  • 2020-12-18: Highest Volume — 9,814 contracts
  • 2020-12-18: Largest IV spike — 12.0% change
  • 2020-12-31: Highest IV Rank — 32.6%
  • 2020-12-31: Largest Expected Move — 13.9%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$95.85$90.22$101.39$95.09$96.23
Max Pain$97.27$95.00$100.00$100.00$100.00
ATM IV43.6%40.0%48.4%40.6%48.4%
Expected Move12.7%11.5%13.9%11.6%13.9%
HV 20d50.5%34.7%93.5%93.2%35.4%
HV 60d59.8%59.0%60.4%59.6%59.9%
IV Rank25.7%17.3%32.6%24.1%32.6%
IV Percentile45.2%17.1%69.0%25.8%69.0%
Term Structure2.1%-5.4%7.1%3.7%-5.4%
VWIV46.6%40.9%57.4%42.7%50.5%
Skew 25d1.7%-3.1%8.4%2.4%-0.8%
Skew 10d3.3%-2.4%12.1%-0.2%-1.4%
Call IV 25d45.3%39.6%55.1%41.3%52.1%
Put IV 25d47.0%41.0%52.0%43.7%51.3%
Bid-Ask Spread %52.3140.7466.3954.2861.87
Gamma HHI0.220.130.370.150.33
Net GEX-500.0K-2.2M764.1K481.2K-1.9M
Net DEX13.9M-14.1M34.2M6.8M25.5M
Net VEX-205.5K-266.8K-141.5K-190.6K-236.5K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.080.114.250.130.56
Total Volume1,013.091879,814233128
Total OI24,040.90919,62227,19925,62520,880

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2020-12-01$95.09$100.0040.6%11.6%93.2%24.1%42.7%2.4%3.7%481.2K6.8M-190.6K0.1354.28N/AN/A2072617,7587,867
2020-12-02$97.12$100.0040.1%11.5%93.5%23.3%45.0%3.5%2.2%687.1K-864.5K-201.0K0.1340.74N/AN/A3945017,7487,876
2020-12-03$98.92$95.0042.3%12.5%81.5%27.0%44.2%8.4%6.8%764.1K-5.6M-202.6K0.1354.23N/AN/A5176517,7137,866
2020-12-04$96.69$95.0040.3%13.3%77.7%23.6%54.5%3.0%7.0%479.4K2.2M-188.2K0.2053.27N/AN/A3687517,6297,862
2020-12-07$91.10$95.0044.8%13.7%78.9%31.4%47.3%-2.4%0.9%133.0K18.8M-155.2K0.3042.34N/AN/A68820317,7387,924
2020-12-08$91.02$95.0042.1%13.8%73.2%22.2%50.0%2.4%2.0%68.1K20.1M-154.0K0.3742.30N/AN/A28010417,8908,070
2020-12-09$91.72$95.0041.3%11.8%40.6%20.8%42.0%2.0%6.2%71.2K20.0M-147.2K0.5064.27N/AN/A22311117,9118,019
2020-12-10$91.18$95.0043.9%12.6%40.6%25.5%44.2%1.3%3.4%16.2K21.2M-144.8K0.4454.01N/AN/A1325817,8838,043
2020-12-11$90.22$95.0044.9%12.9%40.0%27.4%45.5%-0.2%0.7%-33.1K23.0M-141.5K3.4846.99N/AN/A4261,48217,8808,068
2020-12-14$93.45$95.0045.5%13.0%41.6%28.5%45.3%6.7%-0.9%-109.2K23.5M-192.1K3.9157.71N/AN/A3021,18017,6959,504
2020-12-15$94.91$95.0044.6%12.8%41.8%26.9%45.1%1.7%7.1%28.2K17.0M-192.3K1.3753.13N/AN/A38652717,7579,287
2020-12-16$99.06$95.0044.7%12.8%43.9%27.0%46.8%1.5%4.1%171.3K-914.1K-204.0K0.1943.46N/AN/A76614317,7779,201
2020-12-17$100.26$95.0040.0%11.5%38.6%18.4%40.9%1.3%5.4%164.6K-6.0M-203.7K0.2156.21N/AN/A4559517,9199,153
2020-12-18$101.39$95.0044.8%12.9%38.6%27.3%45.2%2.4%-0.5%20.0K-14.1M-199.6K4.2546.59N/AN/A1,8697,94517,8309,162
2020-12-21$100.19$100.0044.9%12.9%38.5%27.3%48.1%5.2%1.3%-1.4M10.7M-265.9K3.8748.77N/AN/A2419337,20912,653
2020-12-22$99.11$100.0045.1%12.9%35.1%26.3%45.2%-2.5%-1.6%-1.4M12.8M-260.2K0.7651.34N/AN/A94717,31312,309
2020-12-23$98.78$100.0040.2%11.5%34.7%17.3%42.6%0.4%-2.1%-1.6M16.6M-266.8K0.8666.39N/AN/A64557,32912,832
2020-12-24$97.16$100.0043.2%12.4%35.1%22.9%44.8%1.8%3.1%-1.7M21.3M-257.8K0.9352.44N/AN/A45427,31412,859
2020-12-28$95.63$100.0048.3%13.9%35.6%32.5%50.0%3.0%-2.9%-1.9M27.3M-241.7K0.8051.87N/AN/A1441157,31912,899
2020-12-29$94.16$100.0042.7%12.2%35.9%22.0%47.7%-1.2%5.8%-2.2M34.2M-233.7K0.1152.24N/AN/A594667,41313,004
2020-12-30$95.32$100.0047.4%13.6%36.1%30.8%57.4%-3.1%-0.9%-1.8M31.4M-240.4K0.1856.46N/AN/A526937,47313,064
2020-12-31$96.23$100.0048.4%13.9%35.4%32.6%50.5%-0.8%-5.4%-1.9M25.5M-236.5K0.5661.87N/AN/A82467,76013,120