NBIX Options History — February 2021

In February 2021, NBIX traded between $106.01 and $118.84. ATM implied volatility averaged 49.9%, placing in the 35.1% IV rank vs the trailing year. The 30-day expected move averaged 14.5%. IV traded above realized volatility by 3.2% (HV 20d: 46.6%). Max pain ranged from $105.00 to $110.00. Net GEX was positive for 16 of 19 trading days. Term structure was in contango for 4 of 19 days. Put/call ratio averaged 0.65.

Notable Days

  • 2021-02-12: Highest Volume — 5,096 contracts
  • 2021-02-05: Largest IV drop — 14.5% change
  • 2021-02-24: Highest IV Rank — 49.7%
  • 2021-02-24: Largest Expected Move — 16.6%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$113.02$106.01$118.84$106.01$109.97
Max Pain$106.32$105.00$110.00$105.00$105.00
ATM IV49.9%39.1%57.9%51.9%51.9%
Expected Move14.5%12.9%16.6%14.9%14.9%
HV 20d46.6%38.9%57.8%52.2%39.6%
HV 60d46.9%41.2%64.1%64.1%41.8%
IV Rank35.1%15.2%49.7%39.2%38.3%
IV Percentile66.9%7.5%87.3%78.2%75.0%
Term Structure-2.0%-9.5%2.9%-4.6%1.5%
VWIV50.9%41.0%59.0%56.7%55.5%
Skew 25d-0.9%-15.3%6.2%-1.1%-2.6%
Skew 10d-1.0%-24.4%11.6%-2.5%11.6%
Call IV 25d52.8%45.3%68.8%50.4%59.8%
Put IV 25d51.9%43.4%62.1%49.4%57.2%
Bid-Ask Spread %72.9261.3588.0384.6477.04
Gamma HHI0.260.190.330.260.31
Net GEX723.8K-976.1K1.8M-976.1K1.2M
Net DEX-30.2M-56.0M-38.5K-38.5K-19.6M
Net VEX-246.0K-282.1K-209.3K-276.1K-250.0K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.650.025.530.160.06
Total Volume791.632555,09668355
Total OI23,135.36814,94329,22023,96915,884

Daily Data (19 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2021-02-01$106.01$105.0051.9%14.9%52.2%39.2%56.7%-1.1%-4.6%-976.1K-38.5K-276.1K0.1684.64N/AN/A587968,81315,156
2021-02-02$114.08$105.0054.1%15.5%57.5%43.3%49.9%-15.3%-9.5%-108.4K-27.6M-278.7K0.1784.99N/AN/A529929,31015,182
2021-02-03$113.09$105.0046.6%13.4%57.8%29.2%41.0%6.1%-0.4%-236.7K-22.7M-282.1K0.3788.03N/AN/A7242679,43315,135
2021-02-04$114.09$105.0045.7%13.2%57.8%27.6%49.0%2.6%-0.3%263.3K-28.2M-261.4K0.3771.77N/AN/A264979,70915,395
2021-02-05$116.28$105.0039.1%12.9%56.1%15.2%44.9%4.7%2.9%665.6K-37.4M-247.7K0.1067.48N/AN/A1,1151179,74815,422
2021-02-08$116.82$110.0041.1%13.1%45.5%18.9%48.1%-5.7%1.7%705.3K-36.8M-226.6K0.4167.13N/AN/A139579,27415,419
2021-02-09$116.08$110.0044.7%13.2%45.2%25.7%46.1%-3.6%0.5%638.7K-35.1M-221.2K0.0861.35N/AN/A186149,30215,409
2021-02-10$118.84$110.0049.7%14.2%45.6%35.1%48.6%-1.8%-2.1%1.2M-44.9M-213.3K0.1172.72N/AN/A282319,27615,410
2021-02-11$115.31$110.0047.1%13.5%44.1%30.3%49.1%-2.9%-2.9%702.0K-32.0M-209.3K3.1672.63N/AN/A1314149,20115,414
2021-02-12$113.34$110.0047.2%13.5%44.4%30.0%46.6%-1.5%-0.1%423.8K-27.7M-213.1K0.2569.46N/AN/A4,0671,0299,33515,413
2021-02-16$112.90$105.0050.6%14.5%44.0%36.4%50.2%-5.4%-1.6%1.2M-43.8M-257.5K0.1268.65N/AN/A2643212,98815,724
2021-02-17$115.47$105.0052.5%15.1%44.5%40.1%51.6%0.4%-5.2%1.8M-56.0M-252.0K0.6665.16N/AN/A26017213,06015,718
2021-02-18$113.46$105.0049.6%14.2%44.8%34.5%49.4%0.4%-0.2%1.1M-46.5M-245.2K0.4369.71N/AN/A59425413,13715,727
2021-02-19$112.95$105.0054.0%15.5%42.7%42.7%54.1%3.8%-3.0%945.9K-42.9M-250.7K0.1467.99N/AN/A1,32718713,27515,945
2021-02-22$111.55$105.0054.1%15.5%42.4%42.6%53.2%-2.1%-4.6%1.1M-23.7M-246.1K0.0873.54N/AN/A435338,9595,984
2021-02-23$109.42$105.0054.4%15.6%41.9%43.0%58.5%6.2%-5.0%1.0M-17.8M-244.1K5.5374.21N/AN/A603329,0585,998
2021-02-24$110.16$105.0057.9%16.6%41.4%49.7%55.8%0.6%-5.3%974.4K-17.9M-249.9K0.0268.86N/AN/A570129,0866,330
2021-02-25$107.58$105.0055.7%16.0%38.9%45.5%59.0%0.0%-0.0%1.0M-12.9M-248.6K0.0480.14N/AN/A20889,6046,339
2021-02-26$109.97$105.0051.9%14.9%39.6%38.3%55.5%-2.6%1.5%1.2M-19.6M-250.0K0.0677.04N/AN/A5239,5376,347