NBIX Options History — August 2021

In August 2021, NBIX traded between $86.28 and $97.50. ATM implied volatility averaged 40.8%, placing in the 37.7% IV rank vs the trailing year. The 30-day expected move averaged 11.6%. IV traded above realized volatility by 8.8% (HV 20d: 32.0%). Max pain ranged from $95.00 to $100.00. Net GEX was positive for 10 of 22 trading days. Term structure was in contango for 6 of 22 days. Put/call ratio averaged 2.75.

Notable Days

  • 2021-08-23: Highest Volume — 3,948 contracts
  • 2021-08-04: Largest IV drop — 49.0% change
  • 2021-08-03: Highest IV Rank — 62.9%
  • 2021-08-03: Largest Expected Move — 15.4%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$91.99$86.28$97.50$96.08$95.46
Max Pain$96.59$95.00$100.00$100.00$95.00
ATM IV40.8%27.4%53.7%48.7%39.6%
Expected Move11.6%7.9%15.4%14.0%11.4%
HV 20d32.0%29.1%33.9%29.1%30.4%
HV 60d26.0%24.2%27.0%24.5%26.9%
IV Rank37.7%11.6%62.9%53.2%35.5%
IV Percentile28.1%0.8%85.7%69.4%14.3%
Term Structure-2.5%-12.8%6.1%-12.8%-1.2%
VWIV43.7%30.4%56.7%56.7%51.5%
Skew 25d-1.5%-11.0%8.4%-4.7%-7.7%
Skew 10d-4.5%-15.6%15.4%-11.8%-12.6%
Call IV 25d43.9%35.7%58.7%58.7%52.7%
Put IV 25d42.5%32.6%62.2%54.0%45.0%
Bid-Ask Spread %75.3767.9394.1771.6872.15
Gamma HHI0.300.120.450.200.31
Net GEX-172.6K-1.1M1.1M161.9K1.0M
Net DEX16.6M-13.3M42.3M3.9M-11.8M
Net VEX-128.9K-194.8K-85.4K-156.2K-192.5K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio2.750.0118.750.765.40
Total Volume810.818983,948317224
Total OI17,934.1369,49321,74818,05714,982

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2021-08-02$96.08$100.0048.7%14.0%29.1%53.2%56.7%-4.7%-12.8%161.9K3.9M-156.2K0.7671.68N/AN/A18013710,3327,725
2021-08-03$97.50$100.0053.7%15.4%29.5%62.9%56.2%8.4%-8.7%174.7K3.9M-160.6K0.0186.98N/AN/A610610,3388,108
2021-08-04$93.44$100.0027.4%7.9%33.0%11.6%37.0%-5.7%6.1%-861.1K23.0M-112.9K0.3294.17N/AN/A1,01332210,4688,137
2021-08-05$92.01$95.0030.7%11.1%33.1%18.0%34.1%6.7%-1.7%-668.5K22.8M-122.1K1.3177.11N/AN/A11715310,9908,140
2021-08-06$89.76$95.0043.2%9.7%33.9%42.3%34.8%-1.8%-0.7%-605.1K30.6M-115.0K0.4074.99N/AN/A1224911,7828,447
2021-08-09$89.19$95.0039.5%10.8%33.3%35.3%37.4%-2.6%0.0%-869.2K33.9M-99.5K2.3771.04N/AN/A10224211,7798,421
2021-08-10$87.13$95.0040.0%10.2%33.7%36.1%30.4%-1.0%2.2%-784.8K38.6M-95.1K2.0067.93N/AN/A7414811,7988,431
2021-08-11$86.28$100.0035.9%10.3%32.0%28.3%39.0%-2.1%2.7%-943.5K42.3M-85.4K0.3576.12N/AN/A36312611,8218,536
2021-08-12$86.71$100.0036.1%10.4%32.2%28.7%35.9%5.5%-0.4%-916.0K40.5M-86.4K2.0172.65N/AN/A12024111,8078,589
2021-08-13$89.02$100.0038.8%11.1%33.2%33.9%39.2%2.5%-1.4%-1.1M38.3M-88.9K0.7176.96N/AN/A96968411,7618,583
2021-08-16$90.21$100.0042.3%12.1%33.0%40.6%41.3%0.2%-4.0%-526.5K28.5M-95.9K1.9970.77N/AN/A42885011,7138,522
2021-08-17$91.56$95.0044.3%12.7%32.9%44.5%44.1%-4.1%-8.2%-770.2K26.9M-101.3K0.1579.17N/AN/A1041611,6948,554
2021-08-18$92.11$95.0039.6%11.4%30.7%35.4%38.5%0.9%-0.8%-683.3K23.3M-100.8K16.3978.19N/AN/A4472112,0568,941
2021-08-19$90.02$95.0039.0%11.2%31.4%34.3%40.1%4.2%1.8%-592.0K27.3M-106.8K18.7580.70N/AN/A1172,19412,2909,378
2021-08-20$92.10$95.0037.7%10.8%32.6%31.8%38.0%-0.4%2.1%137.7K25.4M-95.7K1.7179.36N/AN/A7711,32012,2879,461
2021-08-23$93.14$95.0041.2%11.8%31.7%38.6%46.7%-1.3%-2.7%48.8K2.8M-129.1K0.1673.68N/AN/A3,3925564,3515,142
2021-08-24$92.47$95.0038.8%11.1%30.8%33.8%54.2%-6.1%-0.6%74.7K4.6M-127.2K0.1574.28N/AN/A420654,9765,447
2021-08-25$94.75$95.0043.4%12.4%32.0%42.8%50.0%-11.0%-4.4%933.3K-8.7M-189.6K0.0569.84N/AN/A260148,3045,972
2021-08-26$93.50$95.0044.6%12.8%32.2%45.1%50.3%-5.1%-4.8%860.9K-5.8M-186.7K0.1271.03N/AN/A89118,6626,027
2021-08-27$95.07$95.0045.6%13.1%32.7%47.1%50.8%-4.3%-7.3%1.0M-10.9M-194.8K0.0569.12N/AN/A9358,8346,029
2021-08-30$96.24$95.0047.2%13.5%30.8%50.2%54.7%-2.7%-9.9%1.1M-13.3M-193.9K5.3170.35N/AN/A583088,8976,039
2021-08-31$95.46$95.0039.6%11.4%30.4%35.5%51.5%-7.7%-1.2%1.0M-11.8M-192.5K5.4072.15N/AN/A351898,9426,040