NBIX Options History — October 2021

In October 2021, NBIX traded between $100.47 and $105.32. ATM implied volatility averaged 48.9%, placing in the 47.9% IV rank vs the trailing year. The 30-day expected move averaged 11.9%. IV traded above realized volatility by 22.5% (HV 20d: 26.4%). Max pain ranged from $95.00 to $100.00. Net GEX was positive for 21 of 21 trading days. Term structure was in contango for 4 of 21 days. Put/call ratio averaged 2.19.

Notable Days

  • 2021-10-21: Highest Volume — 4,553 contracts
  • 2021-10-13: Largest IV drop — 36.6% change
  • 2021-10-11: Highest IV Rank — 100.0%
  • 2021-10-01: Largest Expected Move — 14.4%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$103.15$100.47$105.32$101.81$105.32
Max Pain$99.76$95.00$100.00$95.00$100.00
ATM IV48.9%33.1%84.5%50.4%40.1%
Expected Move11.9%9.5%14.4%14.4%11.5%
HV 20d26.4%20.8%28.6%28.5%20.8%
HV 60d27.2%24.0%29.1%29.1%24.7%
IV Rank47.9%18.5%100.0%56.4%29.7%
IV Percentile45.8%2.4%100.0%75.8%23.0%
Term Structure-2.9%-10.5%7.3%-4.1%-2.9%
VWIV43.4%35.2%50.8%50.4%42.2%
Skew 25d0.7%-8.6%7.2%-8.6%-1.4%
Skew 10d3.6%-5.4%20.2%3.6%-3.2%
Call IV 25d41.6%34.5%58.4%58.4%42.4%
Put IV 25d42.3%32.0%49.9%49.9%40.9%
Bid-Ask Spread %67.2856.0781.1479.9277.78
Gamma HHI0.290.180.510.370.21
Net GEX1.5M537.1K3.7M1.8M1.0M
Net DEX-18.8M-39.8M-350.7K-24.5M-11.9M
Net VEX-149.9K-174.5K-127.0K-174.5K-141.1K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio2.190.0010.230.055.10
Total Volume1,760.857344,5531,0272,183
Total OI15,050.1910,46515,84915,00015,841

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2021-10-01$101.81$95.0050.4%14.4%28.5%56.4%50.4%-8.6%-4.1%1.8M-24.5M-174.5K0.0579.92N/AN/A978499,4725,528
2021-10-04$101.10$100.0067.2%13.4%28.6%89.2%46.3%1.4%-7.2%1.6M-22.0M-166.8K0.1061.79N/AN/A562589,5065,528
2021-10-05$100.47$100.0062.0%13.8%27.3%79.0%50.8%6.1%-10.5%1.8M-21.8M-173.3K0.2359.22N/AN/A571310,3225,521
2021-10-06$102.51$100.0060.6%13.0%27.9%76.3%46.7%2.7%-7.5%1.9M-28.4M-172.6K0.0458.74N/AN/A55210,1485,571
2021-10-07$103.23$100.0069.7%12.9%27.9%94.0%47.6%1.4%-5.0%1.9M-31.3M-168.5K0.0360.97N/AN/A232810,1755,570
2021-10-08$104.29$100.0071.2%12.7%27.1%96.9%45.5%3.6%-4.5%2.0M-34.4M-169.2K0.2156.96N/AN/A28610,1755,568
2021-10-11$103.92$100.0084.5%13.1%27.3%100.0%46.9%2.8%-6.9%2.3M-33.4M-157.8K0.0963.62N/AN/A45410,2395,564
2021-10-12$105.22$100.0063.7%13.1%25.4%66.9%39.3%7.2%-7.1%2.6M-39.8M-148.3K0.0065.07N/AN/A1,914710,2555,570
2021-10-13$103.76$100.0040.4%11.6%25.6%30.0%39.9%7.2%-4.4%2.7M-34.7M-142.4K0.0580.39N/AN/A4992410,2765,573
2021-10-14$102.31$100.0038.2%10.9%25.8%26.6%37.3%3.5%0.2%3.7M-28.0M-130.0K0.4372.54N/AN/A6322699,9245,570
2021-10-15$104.82$100.0033.1%9.5%26.9%18.5%35.2%-2.5%7.3%2.2M-37.6M-127.0K0.1081.14N/AN/A3,0313069,7895,581
2021-10-18$104.12$100.0033.4%9.6%26.5%19.0%48.1%-0.5%5.0%610.7K-5.2M-131.2K0.0464.60N/AN/A1,955765,1295,336
2021-10-19$103.44$100.0043.5%12.5%26.7%34.9%44.5%4.8%-1.4%643.5K-7.8M-144.8K0.8956.07N/AN/A4483975,9285,637
2021-10-20$103.39$100.0037.9%10.9%25.8%26.1%42.8%-0.5%-0.3%775.4K-6.9M-149.6K2.0461.07N/AN/A1,0892,2257,9616,056
2021-10-21$103.98$100.0041.7%12.0%25.8%32.2%41.4%-0.7%-4.4%815.9K-7.8M-144.9K1.9765.66N/AN/A1,5313,0227,9736,056
2021-10-22$103.67$100.0038.4%11.0%25.9%26.8%42.8%0.4%3.5%844.7K-7.0M-149.4K4.4169.89N/AN/A6512,8748,7766,866
2021-10-25$103.07$100.0038.5%11.0%26.0%27.1%43.3%-1.3%-1.2%782.2K-5.6M-147.0K4.4962.72N/AN/A6292,8258,8276,841
2021-10-26$102.08$100.0040.5%11.6%26.5%30.3%43.8%-4.3%-6.0%604.4K-2.9M-140.2K9.3367.22N/AN/A3032,8268,8336,952
2021-10-27$101.97$100.0035.8%10.3%26.0%22.8%40.3%-3.8%-2.5%611.0K-2.5M-135.5K10.2373.54N/AN/A2792,8558,8286,952
2021-10-28$101.65$100.0036.4%10.4%25.5%23.7%36.3%-2.1%-2.2%537.1K-350.7K-133.1K6.2373.94N/AN/A2811,7508,8297,008
2021-10-29$105.32$100.0040.1%11.5%20.8%29.7%42.2%-1.4%-2.9%1.0M-11.9M-141.1K5.1077.78N/AN/A3581,8258,8337,008