NBIX Options History — July 2021

In July 2021, NBIX traded between $92.97 and $98.98. ATM implied volatility averaged 45.1%, placing in the 46.2% IV rank vs the trailing year. The 30-day expected move averaged 12.0%. IV traded above realized volatility by 22.3% (HV 20d: 22.8%). Max pain ranged from $95.00 to $105.00. Net GEX was positive for 6 of 21 trading days. Term structure was in contango for 2 of 21 days. Put/call ratio averaged 3.43.

Notable Days

  • 2021-07-19: Highest Volume — 1,385 contracts
  • 2021-07-12: Largest IV spike — 63.7% change
  • 2021-07-13: Highest IV Rank — 92.7%
  • 2021-07-20: Largest Expected Move — 14.0%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$96.20$92.97$98.98$97.08$92.97
Max Pain$103.57$95.00$105.00$95.00$100.00
ATM IV45.1%37.8%69.0%39.8%44.4%
Expected Move12.0%10.6%14.0%11.4%12.7%
HV 20d22.8%18.7%26.9%20.9%26.8%
HV 60d24.1%23.3%25.0%24.2%24.2%
IV Rank46.2%31.9%92.7%35.7%44.7%
IV Percentile40.5%6.3%98.0%10.7%45.2%
Term Structure-2.4%-10.3%1.2%-2.7%-1.1%
VWIV46.4%36.6%67.0%40.8%52.4%
Skew 25d-3.0%-12.4%4.6%0.7%-5.4%
Skew 10d-5.4%-39.0%5.2%-1.4%-22.9%
Call IV 25d45.1%39.3%54.4%40.4%48.7%
Put IV 25d42.0%31.7%47.7%41.1%43.3%
Bid-Ask Spread %76.1266.2590.5484.1690.54
Gamma HHI0.200.190.240.190.24
Net GEX-124.3K-435.0K221.3K-136.5K-169.2K
Net DEX7.6M-863.5K16.7M5.3M14.4M
Net VEX-177.3K-204.0K-147.4K-202.5K-147.4K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio3.430.0159.860.0459.86
Total Volume296.81281,385135426
Total OI17,71415,55418,52717,60718,201

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2021-07-01$97.08$95.0039.8%11.4%20.9%35.7%40.8%0.7%-2.7%-136.5K5.3M-202.5K0.0484.16N/AN/A13059,8237,784
2021-07-02$98.51$95.0037.8%10.8%21.4%31.9%39.2%4.6%-0.3%-87.8K3.2M-203.4K0.1087.46N/AN/A73710,0177,787
2021-07-06$97.72$105.0044.1%11.3%21.3%44.1%41.4%-0.4%1.2%48.2K2.9M-204.0K1.7766.25N/AN/A529210,0457,791
2021-07-07$98.27$105.0044.3%11.7%20.8%44.6%40.9%0.8%-3.7%-103.4K4.6M-197.6K6.5071.15N/AN/A42610,0517,852
2021-07-08$98.98$105.0044.2%11.8%20.7%44.3%45.1%0.0%-6.3%221.3K999.9K-198.9K1.5572.18N/AN/A111710,0497,858
2021-07-09$98.80$105.0039.1%11.1%18.9%34.4%36.6%-5.2%-0.9%17.5K2.9M-192.9K0.0575.76N/AN/A39210,0587,868
2021-07-12$96.73$105.0064.0%10.6%19.1%82.9%49.8%-4.6%1.2%-301.1K8.5M-178.8K0.0369.54N/AN/A7432510,0827,865
2021-07-13$97.48$105.0069.0%10.8%18.7%92.7%43.0%-11.7%-0.5%-137.2K3.9M-185.5K0.0871.65N/AN/A112910,6507,877
2021-07-14$94.17$105.0040.9%11.7%21.6%37.9%45.0%-5.4%-0.2%-337.6K13.0M-171.8K0.0969.64N/AN/A79710,6157,885
2021-07-15$93.94$105.0040.6%11.6%21.3%37.3%38.6%-0.9%-2.1%-407.7K15.2M-162.1K0.3576.32N/AN/A311110,6077,891
2021-07-16$95.41$105.0039.5%11.3%22.3%35.2%45.9%-0.9%-2.4%-376.0K11.1M-166.9K0.0671.22N/AN/A88510,6067,892
2021-07-19$93.31$105.0044.7%12.8%21.5%45.3%51.3%-3.4%-2.1%-435.0K16.7M-155.5K0.0473.24N/AN/A1,333527,8877,667
2021-07-20$94.74$105.0048.7%14.0%22.1%53.2%46.6%-4.1%-10.3%-244.9K11.7M-164.7K0.0372.65N/AN/A26989,0387,693
2021-07-21$97.77$105.0041.7%12.0%25.3%39.6%45.7%-2.5%-0.6%11.9K2.9M-180.7K0.0671.29N/AN/A313199,1817,693
2021-07-22$98.11$105.0042.8%12.3%24.9%41.6%44.7%0.6%-3.5%49.6K1.0M-182.7K0.0375.41N/AN/A31789,4257,701
2021-07-23$98.76$105.0042.8%12.3%25.0%41.7%46.2%2.6%-4.9%199.5K-863.5K-181.5K0.0173.61N/AN/A42139,7327,700
2021-07-26$96.08$105.0045.1%12.9%26.8%46.1%48.5%-5.1%-4.7%-36.9K5.1M-170.9K1.1575.72N/AN/A20239,7327,700
2021-07-27$93.88$105.0042.6%12.2%26.8%41.2%44.6%-1.6%-0.5%-230.4K14.6M-155.9K0.0284.40N/AN/A6471510,0427,703
2021-07-28$94.30$105.0044.7%12.8%26.8%45.3%67.0%-12.4%-0.4%-112.7K9.9M-163.6K0.1585.21N/AN/A27410,0567,706
2021-07-29$93.29$100.0047.0%13.5%26.9%49.9%60.2%-9.6%-6.4%-42.7K11.4M-156.7K0.0181.04N/AN/A754610,4687,716
2021-07-30$92.97$100.0044.4%12.7%26.8%44.7%52.4%-5.4%-1.1%-169.2K14.4M-147.4K59.8690.54N/AN/A741910,4817,720