NBIX Options History — September 2021

In September 2021, NBIX traded between $93.86 and $97.03. ATM implied volatility averaged 41.1%, placing in the 38.4% IV rank vs the trailing year. The 30-day expected move averaged 11.5%. IV traded above realized volatility by 18.2% (HV 20d: 22.9%). Max pain ranged from $90.00 to $95.00. Net GEX was positive for 21 of 21 trading days. Term structure was in contango for 12 of 21 days. Put/call ratio averaged 1.06.

Notable Days

  • 2021-09-17: Highest Volume — 2,218 contracts
  • 2021-09-07: Largest IV spike — 24.0% change
  • 2021-09-07: Highest IV Rank — 60.8%
  • 2021-09-29: Largest Expected Move — 13.0%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$95.48$93.86$97.03$95.40$96.40
Max Pain$92.38$90.00$95.00$95.00$95.00
ATM IV41.1%33.8%52.7%44.2%44.8%
Expected Move11.5%9.7%13.0%12.7%12.8%
HV 20d22.9%19.8%26.1%26.1%21.1%
HV 60d26.6%26.1%26.9%26.7%26.8%
IV Rank38.4%24.1%60.8%44.4%45.6%
IV Percentile28.5%2.4%82.1%44.4%53.6%
Term Structure1.2%-6.4%9.9%-5.1%0.6%
VWIV44.7%38.7%61.2%61.2%49.9%
Skew 25d0.0%-16.0%16.2%-16.0%4.1%
Skew 10d-1.8%-15.4%14.8%-15.4%3.2%
Call IV 25d43.6%32.0%51.8%51.8%48.4%
Put IV 25d43.6%35.8%53.7%35.8%52.4%
Bid-Ask Spread %68.8952.6679.2675.2177.67
Gamma HHI0.390.320.510.330.41
Net GEX1.2M877.4K1.8M974.4K1.4M
Net DEX-5.7M-11.8M-974.3K-9.9M-5.9M
Net VEX-173.0K-199.1K-151.3K-194.8K-157.3K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.060.048.328.320.19
Total Volume31132,21892350
Total OI15,399.8112,30916,95715,31315,000

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2021-09-01$95.40$95.0044.2%12.7%26.1%44.4%61.2%-16.0%-5.1%974.4K-9.9M-194.8K8.3275.21N/AN/A998248,9636,350
2021-09-02$96.24$90.0044.1%11.3%25.5%44.3%42.2%-6.2%1.0%1.1M-11.0M-198.3K2.0052.66N/AN/A11228,9976,452
2021-09-03$95.97$90.0042.5%11.3%23.6%41.0%42.3%-5.0%-0.1%1.1M-9.5M-199.1K3.3752.88N/AN/A27919,1026,529
2021-09-07$93.86$90.0052.7%11.7%25.0%60.8%40.3%-2.1%-0.6%877.4K-1.7M-182.9K0.1656.01N/AN/A271449,1106,529
2021-09-08$94.46$90.0041.3%11.8%23.1%38.7%45.7%-8.5%0.2%910.2K-4.1M-185.7K0.3258.54N/AN/A3291049,1346,521
2021-09-09$94.59$90.0042.7%12.2%22.6%41.4%47.0%-7.7%-3.5%1.0M-6.8M-182.9K0.2059.83N/AN/A132279,3386,522
2021-09-10$96.81$90.0041.0%11.7%23.5%38.1%45.4%-4.5%-1.0%1.3M-11.2M-192.0K0.0468.52N/AN/A314139,5746,573
2021-09-13$97.03$90.0042.7%12.2%22.2%41.5%41.6%16.2%-6.4%1.5M-11.2M-179.9K1.4670.63N/AN/A39579,6456,600
2021-09-14$94.73$90.0039.4%11.3%24.1%35.0%40.4%-4.9%-0.3%1.3M-3.8M-168.9K0.0968.37N/AN/A139129,9366,611
2021-09-15$96.71$90.0034.4%9.9%24.6%25.3%38.7%3.2%3.5%1.8M-11.8M-174.8K0.1067.51N/AN/A390399,9606,596
2021-09-16$95.65$90.0038.4%11.0%25.0%33.0%42.6%9.2%2.5%1.5M-5.0M-166.5K1.7273.54N/AN/A11319410,0136,603
2021-09-17$96.08$90.0033.8%9.7%23.2%24.1%41.5%0.6%9.9%1.1M-7.0M-166.0K0.2368.71N/AN/A1,80841010,3496,608
2021-09-20$94.89$95.0034.6%9.9%22.6%25.8%46.7%1.1%8.8%990.3K-974.3K-158.0K0.1968.34N/AN/A269507,2545,055
2021-09-21$95.79$95.0037.4%10.7%22.5%31.2%39.5%8.3%4.1%1.4M-2.3M-165.3K0.1278.43N/AN/A173218,8665,462
2021-09-22$94.37$95.0039.8%11.4%23.1%35.8%52.8%-0.4%1.4%1.1M-1.6M-165.1K0.0974.58N/AN/A252229,0515,486
2021-09-23$95.22$95.0037.5%10.8%21.6%31.4%43.8%-2.0%5.6%1.2M-2.3M-162.9K0.7767.35N/AN/A39309,2445,496
2021-09-24$95.46$95.0043.7%12.5%21.0%43.3%43.5%2.1%-0.7%1.2M-4.1M-164.3K0.7074.03N/AN/A1079,4235,505
2021-09-27$95.17$95.0041.1%11.8%20.2%38.3%44.7%7.2%1.4%1.3M-2.9M-158.5K0.1575.31N/AN/A66109,4535,514
2021-09-28$95.64$95.0042.0%12.1%19.8%40.2%42.8%6.3%5.5%1.4M-4.3M-159.5K0.0579.26N/AN/A1919,4605,517
2021-09-29$94.61$95.0045.3%13.0%20.0%46.5%45.1%-0.5%-1.3%1.2M-1.2M-151.3K2.0079.21N/AN/A129,4685,527
2021-09-30$96.40$95.0044.8%12.8%21.1%45.6%49.9%4.1%0.6%1.4M-5.9M-157.3K0.1977.67N/AN/A4289,4725,528