NBIX Options History — April 2021

In April 2021, NBIX traded between $92.69 and $99.29. ATM implied volatility averaged 45.9%, placing in the 39.6% IV rank vs the trailing year. The 30-day expected move averaged 13.8%. IV traded below realized volatility by 1.4% (HV 20d: 47.3%). Max pain ranged from $100.00 to $105.00. Net GEX was positive for 15 of 21 trading days. Term structure was in contango for 3 of 21 days. Put/call ratio averaged 0.46.

Notable Days

  • 2021-04-21: Highest Volume — 4,779 contracts
  • 2021-04-12: Largest IV spike — 108.4% change
  • 2021-04-12: Highest IV Rank — 63.9%
  • 2021-04-19: Largest Expected Move — 15.3%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$95.68$92.69$99.29$97.83$94.60
Max Pain$101.90$100.00$105.00$100.00$100.00
ATM IV45.9%27.0%56.3%37.8%49.0%
Expected Move13.8%10.8%15.3%10.8%14.0%
HV 20d47.3%25.3%59.8%59.2%25.5%
HV 60d48.6%44.3%54.0%53.8%44.3%
IV Rank39.6%0.0%63.9%14.9%48.1%
IV Percentile53.3%0.0%88.9%2.4%69.8%
Term Structure-4.2%-10.8%12.9%12.9%-3.9%
VWIV48.6%40.4%55.9%40.4%49.9%
Skew 25d1.4%-4.7%8.8%-3.3%0.0%
Skew 10d1.1%-11.6%8.8%-2.6%-11.6%
Call IV 25d48.6%40.8%53.6%40.8%53.4%
Put IV 25d50.0%37.5%54.7%37.5%53.4%
Bid-Ask Spread %80.3773.9888.4288.4281.35
Gamma HHI0.150.100.210.130.20
Net GEX416.9K-164.9K1.3M430.0K952.9K
Net DEX6.4M-14.2M20.0M6.8M2.2M
Net VEX-205.4K-263.8K-169.5K-203.7K-228.2K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.460.012.220.450.01
Total Volume594.857244,779139352
Total OI17,743.57113,98921,52416,31821,524

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2021-04-01$97.83$100.0037.8%10.8%59.2%14.9%40.4%-3.3%12.9%430.0K6.8M-203.7K0.4588.42N/AN/A96439,1067,212
2021-04-05$95.60$105.0040.4%13.8%59.8%21.3%48.6%3.5%-3.7%365.9K9.8M-192.8K0.3373.98N/AN/A46159,1277,214
2021-04-06$95.36$105.0042.5%13.5%56.6%26.3%49.2%-0.5%-4.4%221.7K11.9M-186.5K0.7777.82N/AN/A44349,1517,227
2021-04-07$94.72$105.0053.7%13.8%55.9%53.7%48.7%-2.2%-4.0%166.3K13.1M-187.9K1.4476.28N/AN/A32469,1687,267
2021-04-08$92.69$105.0029.3%12.7%56.4%0.0%49.2%-4.7%-1.9%-24.9K18.5M-171.4K2.2277.82N/AN/A501119,1687,281
2021-04-09$93.25$105.0027.0%13.3%54.0%0.0%44.1%0.8%-4.8%20.7K16.3M-182.1K0.3178.49N/AN/A178559,1617,390
2021-04-12$93.03$105.0056.3%14.4%53.6%63.9%49.6%7.8%-7.2%-23.7K17.6M-173.6K0.6184.61N/AN/A99609,2237,452
2021-04-13$92.73$105.0035.0%13.2%53.6%17.5%43.3%4.7%-4.3%-164.9K20.0M-169.5K1.4382.34N/AN/A3925619,2547,491
2021-04-14$95.38$105.0050.8%14.6%54.4%52.0%48.4%-2.1%-9.8%125.9K14.4M-175.3K0.1282.03N/AN/A347419,2747,504
2021-04-15$95.14$100.0050.8%14.6%53.9%52.1%49.0%-0.7%-8.7%-66.7K15.3M-177.3K0.1281.05N/AN/A538679,5867,511
2021-04-16$96.78$100.0044.0%12.6%51.7%37.1%45.7%2.6%-3.6%-59.3K10.3M-194.5K0.0379.36N/AN/A1,0963510,0917,543
2021-04-19$94.38$100.0053.4%15.3%52.1%57.7%52.5%-1.1%-10.8%-24.9K11.0M-186.3K0.0381.75N/AN/A985317,2816,708
2021-04-20$96.65$100.0051.3%14.7%52.7%53.0%54.1%-1.0%-7.8%165.9K4.5M-202.9K0.0478.86N/AN/A319148,1986,733
2021-04-21$96.80$100.0045.5%13.1%50.2%40.5%46.8%0.9%-4.9%163.8K6.3M-194.5K0.0984.15N/AN/A4,3923878,4576,745
2021-04-22$96.93$100.0049.4%14.2%50.1%48.9%46.8%1.1%-8.1%909.5K-3.5M-243.2K0.0379.79N/AN/A7432312,7047,126
2021-04-23$96.96$100.0046.8%13.4%33.3%43.2%47.4%8.8%0.9%1.0M-5.6M-246.7K0.0578.76N/AN/A3101613,3577,126
2021-04-26$99.29$100.0048.2%13.8%34.4%46.3%50.5%2.7%2.4%1.3M-14.2M-263.8K0.1180.48N/AN/A1041113,6217,140
2021-04-27$97.64$100.0050.2%14.4%34.1%50.8%47.1%5.0%-6.0%1.1M-8.4M-250.2K0.3479.34N/AN/A772613,6597,145
2021-04-28$97.95$100.0052.0%14.9%26.5%54.7%52.7%5.1%-7.1%1.2M-11.7M-255.7K1.1879.15N/AN/A111313,6777,161
2021-04-29$95.61$100.0050.2%14.4%25.3%50.7%55.9%1.7%-2.7%863.0K340.7K-226.5K0.0481.93N/AN/A6662613,6917,161
2021-04-30$94.60$100.0049.0%14.0%25.5%48.1%49.9%0.0%-3.9%952.9K2.2M-228.2K0.0181.35N/AN/A348414,3387,186