NBIX Options History — June 2021

In June 2021, NBIX traded between $94.15 and $101.86. ATM implied volatility averaged 40.5%, placing in the 37.2% IV rank vs the trailing year. The 30-day expected move averaged 11.4%. IV traded above realized volatility by 18.5% (HV 20d: 22.0%). Max pain ranged from $90.00 to $95.00. Net GEX was positive for 21 of 22 trading days. Term structure was in contango for 13 of 22 days. Put/call ratio averaged 0.44.

Notable Days

  • 2021-06-18: Highest Volume — 1,850 contracts
  • 2021-06-07: Largest IV spike — 19.9% change
  • 2021-06-07: Highest IV Rank — 48.3%
  • 2021-06-02: Largest Expected Move — 13.2%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$98.25$94.15$101.86$95.17$97.62
Max Pain$92.50$90.00$95.00$95.00$95.00
ATM IV40.5%36.0%46.2%43.1%39.9%
Expected Move11.4%10.3%13.2%12.3%11.4%
HV 20d22.0%18.5%27.8%27.8%20.7%
HV 60d32.9%24.1%39.9%39.9%24.2%
IV Rank37.2%28.5%48.3%42.2%35.9%
IV Percentile22.1%3.2%58.3%35.7%10.7%
Term Structure0.3%-8.6%5.7%-2.0%-0.9%
VWIV42.5%36.2%53.6%47.9%40.5%
Skew 25d1.4%-4.0%8.8%-3.1%-2.8%
Skew 10d1.0%-16.7%23.1%-1.9%-4.2%
Call IV 25d40.8%36.2%48.4%48.4%45.1%
Put IV 25d42.1%37.8%50.5%45.3%42.3%
Bid-Ask Spread %76.7167.7585.9085.7181.74
Gamma HHI0.230.190.300.210.20
Net GEX747.1K-140.6K1.7M673.0K31.7K
Net DEX-3.4M-15.8M6.1M752.3K3.8M
Net VEX-231.0K-255.8K-205.9K-255.7K-206.5K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.440.002.500.380.13
Total Volume285.455141,8507252
Total OI18,759.63617,01120,78119,14317,573

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2021-06-01$95.17$95.0043.1%12.3%27.8%42.2%47.9%-3.1%-2.0%673.0K752.3K-255.7K0.3885.71N/AN/A522011,1927,951
2021-06-02$94.28$95.0046.0%13.2%25.5%47.8%46.5%-0.2%-4.9%577.2K1.6M-255.8K0.5685.90N/AN/A9511,2367,971
2021-06-03$94.15$90.0045.0%11.0%25.4%46.0%41.6%3.4%2.6%542.9K6.1M-246.2K0.6779.57N/AN/A432911,2417,973
2021-06-04$94.60$90.0038.6%10.8%23.1%33.4%0.0%0.2%3.1%818.2K901.6K-242.4K0.1483.39N/AN/A14211,2408,001
2021-06-07$95.76$90.0046.2%12.0%22.2%48.3%0.0%1.7%-2.7%686.6K2.7M-234.5K0.0376.55N/AN/A34111,2548,001
2021-06-08$97.15$90.0041.6%11.1%22.6%39.3%38.9%2.1%2.8%929.3K-1.2M-234.4K0.1774.34N/AN/A42711,2478,001
2021-06-09$97.99$90.0036.0%10.3%22.7%28.5%38.2%-0.1%5.7%1.1M-3.9M-240.4K0.0871.36N/AN/A79611,2788,002
2021-06-10$100.31$90.0036.2%10.4%23.7%28.8%36.2%1.1%3.2%1.6M-12.7M-239.5K0.0369.02N/AN/A188611,3067,999
2021-06-11$98.35$90.0036.2%10.4%25.1%28.8%39.8%1.0%4.3%1.3M-6.8M-235.4K0.1872.64N/AN/A621111,4167,997
2021-06-14$99.56$90.0036.9%10.6%23.7%30.1%41.2%-0.2%4.7%1.6M-11.2M-229.0K2.5073.97N/AN/A4010011,4698,005
2021-06-15$98.00$90.0039.3%11.3%23.4%34.9%40.3%0.5%-1.5%1.2M-4.2M-220.1K0.1175.60N/AN/A1501611,4617,955
2021-06-16$98.72$90.0040.8%11.7%22.7%37.6%38.7%3.8%1.8%1.5M-7.6M-220.0K0.0080.17N/AN/A1,273311,5777,951
2021-06-17$98.66$90.0041.8%12.0%19.7%39.8%43.5%3.5%0.9%1.7M-9.3M-225.1K0.1078.35N/AN/A49512,8287,953
2021-06-18$100.92$95.0040.6%11.6%19.0%37.4%53.6%2.0%0.1%450.8K-15.8M-223.8K0.2167.75N/AN/A1,52332712,8327,948
2021-06-21$101.83$95.0043.1%12.4%18.5%42.3%46.7%8.8%-3.5%401.4K-8.7M-242.4K0.0778.67N/AN/A352239,3677,644
2021-06-22$101.86$95.0045.0%12.9%18.5%45.8%42.2%4.2%-1.1%442.3K-8.1M-234.5K0.0271.73N/AN/A21349,5937,665
2021-06-23$100.33$95.0037.6%10.8%19.6%31.5%41.1%0.8%1.9%373.3K-2.6M-227.8K0.3575.64N/AN/A7182549,7887,668
2021-06-24$100.53$95.0036.1%10.3%19.4%28.5%39.5%-1.3%2.2%313.4K-4.1M-227.1K1.7372.73N/AN/A30529,7417,727
2021-06-25$100.40$95.0040.2%11.5%19.4%36.6%41.6%0.8%-2.9%323.2K-3.0M-227.2K0.1774.46N/AN/A4889,7627,774
2021-06-28$98.12$95.0042.9%12.3%21.2%41.9%47.2%7.8%-8.6%-140.6K4.1M-205.9K0.8379.78N/AN/A18159,7687,779
2021-06-29$97.23$95.0038.2%10.9%21.1%32.6%45.4%-4.0%1.1%26.0K4.4M-207.6K1.2678.57N/AN/A1762219,7897,789
2021-06-30$97.62$95.0039.9%11.4%20.7%35.9%40.5%-2.8%-0.9%31.7K3.8M-206.5K0.1381.74N/AN/A4669,7927,781