NBIX Options History — May 2021

In May 2021, NBIX traded between $89.22 and $96.65. ATM implied volatility averaged 43.6%, placing in the 42.7% IV rank vs the trailing year. The 30-day expected move averaged 13.0%. IV traded above realized volatility by 15.7% (HV 20d: 28.0%). Max pain ranged from $95.00 to $100.00. Net GEX was positive for 20 of 20 trading days. Term structure was in contango for 5 of 20 days. Put/call ratio averaged 1.44.

Notable Days

  • 2021-05-24: Highest Volume — 2,038 contracts
  • 2021-05-06: Largest IV drop — 60.0% change
  • 2021-05-04: Highest IV Rank — 70.9%
  • 2021-05-04: Largest Expected Move — 17.0%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$93.57$89.22$96.65$93.86$96.27
Max Pain$95.75$95.00$100.00$100.00$95.00
ATM IV43.6%21.4%59.5%52.9%42.4%
Expected Move13.0%10.3%17.0%15.2%12.2%
HV 20d28.0%24.3%30.9%24.3%27.6%
HV 60d44.0%39.9%45.2%44.2%39.9%
IV Rank42.7%0.0%70.9%56.7%40.9%
IV Percentile41.7%0.0%92.9%82.5%31.0%
Term Structure-3.3%-15.7%7.5%-10.2%-4.3%
VWIV46.7%39.7%61.7%61.7%42.8%
Skew 25d-1.4%-15.2%5.4%-12.6%-3.0%
Skew 10d1.9%-8.3%16.9%3.9%-0.8%
Call IV 25d46.8%37.9%63.6%63.6%43.6%
Put IV 25d45.4%38.2%52.0%51.0%40.6%
Bid-Ask Spread %78.2267.4396.0985.1184.99
Gamma HHI0.210.160.270.200.21
Net GEX636.2K202.0K987.6K896.6K730.3K
Net DEX5.4M-7.2M19.1M2.8M-2.3M
Net VEX-229.8K-273.2K-180.5K-223.0K-268.0K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.440.0316.570.430.37
Total Volume561.35302,03853123
Total OI22,339.2516,83225,14521,79719,063

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2021-05-03$93.86$100.0052.9%15.2%24.3%56.7%61.7%-12.6%-10.2%896.6K2.8M-223.0K0.4385.11N/AN/A371614,6007,197
2021-05-04$90.99$100.0059.5%17.0%26.6%70.9%52.3%2.0%-15.7%631.7K10.1M-205.8K0.0385.75N/AN/A1,1954014,6207,193
2021-05-05$91.67$100.0053.5%15.3%26.7%57.9%51.6%1.0%-8.0%758.9K7.1M-220.5K0.6796.09N/AN/A1137615,6737,224
2021-05-06$89.22$95.0021.4%11.1%27.3%0.0%49.4%-15.2%2.8%202.0K19.1M-180.5K0.1488.85N/AN/A1,60421715,6897,243
2021-05-07$91.25$95.0027.6%10.3%28.6%12.1%39.7%0.4%4.0%408.2K13.6M-201.6K0.0978.73N/AN/A2182015,5617,439
2021-05-10$91.52$95.0040.2%12.0%28.6%36.5%40.9%-4.8%3.0%424.5K11.6M-205.5K0.4173.30N/AN/A1375615,6377,448
2021-05-11$91.62$95.0039.7%13.7%28.6%35.6%46.2%1.4%-7.7%426.8K12.0M-204.0K5.4774.62N/AN/A5530115,6487,459
2021-05-12$92.49$95.0045.3%13.0%26.8%46.6%43.6%0.5%-1.6%578.2K10.3M-209.8K1.7678.24N/AN/A35362015,6737,677
2021-05-13$92.25$95.0051.2%14.7%26.8%58.1%54.8%-3.3%-7.1%431.9K11.2M-220.8K0.6777.41N/AN/A765116,0018,008
2021-05-14$94.76$95.0046.5%13.3%27.9%48.8%47.6%-1.1%-4.1%641.9K5.5M-229.6K0.0473.62N/AN/A8783815,9678,050
2021-05-17$92.97$95.0048.6%13.9%27.3%52.9%46.2%-3.0%-2.4%579.0K7.4M-233.6K0.0371.46N/AN/A77216,8098,063
2021-05-18$94.69$95.0044.6%12.8%26.7%45.2%46.5%-0.5%-4.1%709.1K3.2M-236.9K0.3573.27N/AN/A622216,8168,006
2021-05-19$92.04$95.0050.1%14.4%28.4%55.9%51.2%3.6%-8.3%450.0K10.7M-223.4K0.6375.09N/AN/A18311516,8437,964
2021-05-20$94.58$95.0046.6%13.4%30.3%49.1%45.3%-6.5%-3.3%714.6K2.1M-239.3K0.0467.43N/AN/A4631916,9017,997
2021-05-21$96.11$95.0043.5%12.5%30.9%43.0%46.4%2.5%1.8%911.6K-4.3M-244.8K0.2574.21N/AN/A1,24531317,1448,001
2021-05-24$96.06$95.0040.2%11.5%29.6%36.5%46.1%-2.5%7.5%987.6K-7.2M-245.4K16.5774.21N/AN/A1161,92210,8495,983
2021-05-25$96.47$95.0039.9%11.4%29.1%36.0%40.7%5.4%-3.7%733.5K-2.4M-273.2K0.0775.23N/AN/A1401010,9217,840
2021-05-26$96.01$95.0038.2%10.9%29.1%32.6%41.2%3.2%-3.3%725.8K235.6K-263.5K0.3075.99N/AN/A23710,9387,844
2021-05-27$96.65$95.0041.0%11.8%27.8%38.2%40.4%3.6%-1.2%782.1K-2.5M-267.5K0.5780.83N/AN/A18110310,9597,837
2021-05-28$96.27$95.0042.4%12.2%27.6%40.9%42.8%-3.0%-4.3%730.3K-2.3M-268.0K0.3784.99N/AN/A903311,1237,940