NBIX Options History — March 2021 In March 2021, NBIX traded between $88.18 and $109.28. ATM implied volatility averaged 50.3%, placing in the 37.4% IV rank vs the trailing year. The 30-day expected move averaged 13.7%. IV traded above realized volatility by 0.5% (HV 20d: 49.8%). Max pain ranged from $100.00 to $105.00. Net GEX was positive for 7 of 23 trading days. Term structure was in contango for 13 of 23 days. Put/call ratio averaged 1.00.
Notable Days 2021-03-02 : Highest Volume — 4,276 contracts2021-03-23 : Largest IV spike — 45.4% change2021-03-09 : Highest IV Rank — 75.0%2021-03-01 : Largest Expected Move — 17.0%Monthly Statistics Metric Avg Min Max Open Close Price $94.68 $88.18 $109.28 $109.28 $97.92 Max Pain $104.13 $100.00 $105.00 $105.00 $100.00 ATM IV 50.3% 34.7% 71.2% 59.4% 40.4% Expected Move 13.7% 9.9% 17.0% 17.0% 11.6% HV 20d 49.8% 38.6% 65.0% 38.6% 59.9% HV 60d 47.5% 41.8% 53.9% 41.8% 53.9% IV Rank 37.4% 7.3% 75.0% 52.6% 21.2% IV Percentile 58.4% 0.4% 96.8% 88.9% 11.5% Term Structure 0.9% -13.9% 10.1% -8.3% 10.1% VWIV 49.0% 37.4% 59.6% 59.6% 37.5% Skew 25d -0.1% -12.6% 11.7% 2.1% 0.8% Skew 10d 0.6% -17.9% 17.9% 10.2% -8.9% Call IV 25d 50.0% 35.7% 61.9% 61.9% 39.9% Put IV 25d 49.9% 40.2% 64.0% 64.0% 40.7% Bid-Ask Spread % 82.78 71.39 91.48 78.42 91.48 Gamma HHI 0.16 0.11 0.30 0.30 0.12 Net GEX -68.4K -479.8K 1.1M 1.1M 348.2K Net DEX 16.3M -18.0M 27.1M -18.0M 7.0M Net VEX -173.6K -241.0K -132.3K -241.0K -205.7K Div Yield 0.0% 0.0% 0.0% 0.0% 0.0% P/C Ratio 1.00 0.03 6.00 0.49 0.24 Total Volume 633.522 29 4,276 330 62 Total OI 14,809.087 12,543 16,291 15,920 16,291
Daily Data (23 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 2021-03-01 $109.28 $105.00 59.4% 17.0% 38.6% 52.6% 59.6% 2.1% -8.3% 1.1M -18.0M -241.0K 0.49 78.42 N/A N/A 222 108 9,573 6,347 2021-03-02 $101.57 $105.00 48.9% 14.0% 45.3% 32.7% 42.3% -4.9% -13.9% 448.5K 7.0M -204.7K 0.03 89.83 N/A N/A 4,141 135 9,687 6,395 2021-03-03 $95.11 $105.00 51.0% 14.6% 41.3% 36.7% 53.7% -3.4% 0.3% -156.0K 17.4M -186.5K 1.05 87.39 N/A N/A 316 333 7,823 6,455 2021-03-04 $92.85 $105.00 50.1% 13.3% 41.6% 35.0% 52.9% 11.7% 7.2% -244.3K 21.9M -173.4K 2.64 84.96 N/A N/A 42 111 7,931 6,586 2021-03-05 $93.71 $105.00 69.3% 16.1% 41.7% 71.5% 59.4% 4.6% -1.6% -201.6K 19.9M -179.8K 3.25 77.51 N/A N/A 44 143 7,929 6,572 2021-03-08 $89.07 $105.00 70.1% 13.4% 42.6% 72.8% 48.1% -2.4% 4.9% -344.9K 27.1M -151.3K 1.42 83.12 N/A N/A 43 61 7,963 6,628 2021-03-09 $91.60 $105.00 71.2% 15.3% 44.7% 75.0% 56.5% -4.4% 0.6% -350.8K 24.7M -161.9K 0.31 71.39 N/A N/A 374 117 7,966 6,664 2021-03-10 $90.49 $105.00 53.4% 15.3% 44.6% 41.3% 50.3% -2.9% -5.1% -382.0K 26.4M -152.5K 0.81 72.86 N/A N/A 16 13 7,830 6,667 2021-03-11 $94.66 $105.00 52.6% 15.1% 47.5% 39.8% 51.0% 6.0% -6.2% -338.7K 20.4M -170.7K 0.48 79.47 N/A N/A 527 253 7,983 6,676 2021-03-12 $96.21 $105.00 48.9% 14.0% 47.9% 32.8% 52.0% -0.1% -3.7% -305.1K 18.5M -177.9K 0.07 76.96 N/A N/A 45 3 8,488 6,921 2021-03-15 $96.37 $105.00 52.0% 14.9% 47.9% 38.5% 53.8% -5.8% -1.7% -239.6K 17.7M -171.4K 0.49 75.74 N/A N/A 77 38 8,517 6,922 2021-03-16 $94.94 $105.00 51.6% 14.8% 48.0% 37.9% 51.6% -2.4% -5.6% -348.8K 20.8M -163.2K 0.65 79.13 N/A N/A 57 37 8,535 6,923 2021-03-17 $93.09 $105.00 50.7% 14.5% 46.7% 36.1% 55.4% 0.2% -1.2% -386.7K 22.8M -158.9K 0.89 82.77 N/A N/A 27 24 8,573 6,910 2021-03-18 $89.31 $105.00 45.6% 13.1% 47.9% 26.3% 47.3% -12.6% 4.5% -479.8K 26.1M -144.1K 6.00 87.16 N/A N/A 15 90 8,581 6,730 2021-03-19 $91.49 $105.00 44.0% 12.6% 49.5% 27.2% 57.4% -5.9% 1.9% -220.5K 23.6M -144.6K 0.28 82.89 N/A N/A 2,166 616 8,584 6,703 2021-03-22 $92.02 $105.00 34.7% 9.9% 49.8% 7.3% 37.4% 3.7% 8.9% -229.1K 19.5M -140.0K 0.17 87.96 N/A N/A 94 16 6,885 5,658 2021-03-23 $88.32 $105.00 50.4% 14.5% 51.0% 45.7% 48.5% -2.1% -0.1% -196.6K 22.0M -132.3K 0.83 88.37 N/A N/A 65 54 6,935 5,678 2021-03-24 $88.18 $105.00 43.6% 12.5% 50.7% 29.1% 47.5% 0.8% 3.8% -224.2K 22.8M -133.0K 1.26 86.24 N/A N/A 53 67 6,954 5,731 2021-03-25 $97.94 $105.00 38.3% 11.0% 65.0% 16.0% 37.8% 4.1% 7.7% 60.6K 10.0M -168.7K 0.29 79.73 N/A N/A 2,023 581 6,984 5,717 2021-03-26 $98.47 $100.00 37.0% 10.6% 64.4% 12.9% 38.6% 9.3% 6.0% 285.0K 6.4M -208.8K 0.54 85.53 N/A N/A 346 186 8,657 6,995 2021-03-29 $100.42 $100.00 48.8% 14.0% 65.0% 41.7% 46.8% -0.1% 6.6% 580.7K -1.3M -223.2K 0.33 86.46 N/A N/A 372 124 8,879 7,066 2021-03-30 $94.70 $100.00 43.9% 12.6% 63.1% 29.6% 41.8% 1.9% 5.3% 241.7K 11.3M -199.9K 0.57 88.50 N/A N/A 213 121 9,014 7,103 2021-03-31 $97.92 $100.00 40.4% 11.6% 59.9% 21.2% 37.5% 0.8% 10.1% 348.2K 7.0M -205.7K 0.24 91.48 N/A N/A 50 12 9,092 7,199
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