NBIX Options History — January 2021

In January 2021, NBIX traded between $96.00 and $119.22. ATM implied volatility averaged 48.3%, placing in the 32.4% IV rank vs the trailing year. The 30-day expected move averaged 12.5%. IV traded above realized volatility by 5.3% (HV 20d: 42.9%). Max pain ranged from $100.00 to $105.00. Net GEX was positive for 5 of 19 trading days. Term structure was in contango for 4 of 19 days. Put/call ratio averaged 1.20.

Notable Days

2021-01-11: Highest Volume — 9,155 contracts
2021-01-12: Largest IV drop — 29.8% change
2021-01-07: Highest IV Rank — 78.2%
2021-01-05: Largest Expected Move — 13.6%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$109.12	$96.00	$119.22	$96.00	$109.45
Max Pain	$103.42	$100.00	$105.00	$100.00	$105.00
ATM IV	48.3%	39.5%	72.8%	55.6%	40.2%
Expected Move	12.5%	11.3%	13.6%	13.4%	11.5%
HV 20d	42.9%	25.8%	50.4%	34.7%	50.4%
HV 60d	62.2%	59.0%	63.8%	59.1%	63.8%
IV Rank	32.4%	16.0%	78.2%	46.1%	17.2%
IV Percentile	54.2%	10.3%	98.4%	86.1%	13.1%
Term Structure	-1.7%	-5.8%	2.0%	-3.9%	-1.4%
VWIV	43.8%	37.8%	49.2%	45.8%	40.6%
Skew 25d	2.4%	-1.9%	7.0%	0.9%	2.6%
Skew 10d	1.7%	-15.8%	13.0%	2.2%	6.7%
Call IV 25d	43.2%	39.7%	46.7%	45.1%	42.5%
Put IV 25d	45.6%	41.8%	51.4%	46.0%	45.1%
Bid-Ask Spread %	63.75	53.80	71.50	66.05	64.57
Gamma HHI	0.22	0.17	0.33	0.33	0.24
Net GEX	-526.3K	-2.0M	625.1K	-2.0M	-748.3K
Net DEX	-15.0M	-43.2M	26.8M	26.8M	-7.7M
Net VEX	-269.0K	-309.1K	-221.4K	-223.9K	-284.6K
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	1.20	0.10	12.79	0.25	0.40
Total Volume	1,076.474	120	9,155	159	132
Total OI	24,402.263	20,911	31,806	20,911	23,946

Daily Data (19 trading days)

Date	Price	Max Pain	ATM IV	Exp Move	HV 20d	IV Rank	VWIV	Skew 25d	Term Str	GEX	DEX	VEX	P/C	Spread %	Call Wall	Put Wall	Call Vol	Put Vol	Call OI	Put OI
2021-01-04	$96.00	$100.00	55.6%	13.4%	34.7%	46.1%	45.8%	0.9%	-3.9%	-2.0M	26.8M	-223.9K	0.25	66.05	N/A	N/A	127	32	7,787	13,124
2021-01-05	$97.25	$100.00	53.7%	13.6%	34.1%	42.5%	47.1%	3.8%	-3.9%	-1.9M	20.9M	-224.7K	0.58	65.80	N/A	N/A	76	44	7,784	13,129
2021-01-06	$97.58	$100.00	56.9%	13.0%	25.8%	48.6%	46.0%	2.9%	-2.7%	-1.9M	22.1M	-221.4K	0.57	71.50	N/A	N/A	151	86	7,773	13,166
2021-01-07	$102.23	$100.00	72.8%	13.5%	29.9%	78.2%	43.9%	2.2%	-5.8%	-1.1M	7.9M	-224.8K	0.10	69.19	N/A	N/A	1,814	181	7,758	13,224
2021-01-08	$112.35	$100.00	60.2%	11.4%	43.4%	54.7%	40.7%	-0.5%	0.8%	424.1K	-40.4M	-234.3K	0.39	71.33	N/A	N/A	1,313	507	9,095	13,204
2021-01-11	$110.74	$100.00	57.3%	12.1%	43.9%	49.3%	45.6%	4.0%	-0.2%	625.1K	-36.8M	-228.0K	12.79	67.10	N/A	N/A	664	8,491	9,072	13,440
2021-01-12	$112.43	$105.00	40.2%	11.9%	43.3%	17.3%	41.7%	2.9%	-0.5%	-15.5K	-29.6M	-285.9K	0.66	68.06	N/A	N/A	442	291	9,099	21,251
2021-01-13	$107.71	$105.00	39.5%	11.3%	46.3%	16.0%	41.1%	2.7%	2.0%	-930.9K	-11.9M	-293.6K	0.59	65.24	N/A	N/A	815	484	9,232	21,840
2021-01-14	$109.62	$105.00	44.7%	12.8%	46.3%	25.6%	42.6%	0.4%	0.1%	-109.0K	-20.4M	-309.1K	0.51	63.87	N/A	N/A	98	50	9,555	22,251
2021-01-15	$107.94	$105.00	41.9%	12.0%	45.0%	20.5%	47.0%	0.7%	-2.0%	-790.0K	-13.7M	-304.0K	0.87	59.79	N/A	N/A	338	293	9,552	22,254
2021-01-19	$108.76	$105.00	43.8%	12.6%	44.9%	24.1%	42.9%	2.9%	-1.9%	-708.9K	-9.1M	-292.9K	0.30	56.90	N/A	N/A	215	64	8,060	14,306
2021-01-20	$110.67	$105.00	43.9%	12.6%	45.1%	24.2%	44.5%	3.2%	0.3%	-572.8K	-13.5M	-296.8K	0.45	53.80	N/A	N/A	797	356	8,143	14,324
2021-01-21	$114.88	$105.00	43.5%	12.5%	46.1%	23.4%	43.7%	4.6%	-0.2%	-162.1K	-28.2M	-296.4K	0.54	54.40	N/A	N/A	275	149	8,745	14,633
2021-01-22	$116.77	$105.00	43.6%	12.5%	45.7%	23.7%	43.8%	0.4%	-2.1%	104.9K	-36.6M	-281.2K	0.43	56.36	N/A	N/A	240	104	8,796	14,669
2021-01-25	$119.22	$105.00	45.8%	13.1%	45.7%	27.7%	44.6%	7.0%	-0.5%	284.6K	-43.2M	-270.0K	1.07	58.51	N/A	N/A	356	380	8,731	14,699
2021-01-26	$116.42	$105.00	45.6%	13.1%	46.4%	27.3%	37.8%	-1.9%	-2.1%	241.7K	-36.9M	-268.2K	0.76	64.69	N/A	N/A	256	195	8,761	14,833
2021-01-27	$111.10	$105.00	42.3%	12.1%	49.7%	21.2%	43.6%	4.5%	-5.6%	-488.6K	-14.3M	-287.2K	0.42	70.61	N/A	N/A	101	42	8,724	14,969
2021-01-28	$112.21	$105.00	45.9%	13.2%	49.0%	27.9%	49.2%	3.1%	-2.0%	-313.2K	-20.3M	-283.3K	1.14	63.54	N/A	N/A	231	263	8,737	14,977
2021-01-29	$109.45	$105.00	40.2%	11.5%	50.4%	17.2%	40.6%	2.6%	-1.4%	-748.3K	-7.7M	-284.6K	0.40	64.57	N/A	N/A	94	38	8,791	15,155