NBIX Options History — November 2021

In November 2021, NBIX traded between $83.17 and $105.48. ATM implied volatility averaged 45.0%, placing in the 37.3% IV rank vs the trailing year. The 30-day expected move averaged 13.2%. IV traded above realized volatility by 4.8% (HV 20d: 40.1%). Max pain ranged from $95.00 to $100.00. Net GEX was positive for 1 of 21 trading days. Term structure was in contango for 4 of 21 days. Put/call ratio averaged 3.28.

Notable Days

  • 2021-11-19: Highest Volume — 6,290 contracts
  • 2021-11-02: Largest IV drop — 25.8% change
  • 2021-11-19: Highest IV Rank — 48.5%
  • 2021-11-19: Largest Expected Move — 14.9%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$89.97$83.17$105.48$105.48$83.17
Max Pain$95.71$95.00$100.00$100.00$95.00
ATM IV45.0%36.4%52.0%50.8%51.3%
Expected Move13.2%10.7%14.9%14.6%14.7%
HV 20d40.1%20.5%42.8%20.5%39.2%
HV 60d31.3%24.1%32.4%24.1%31.8%
IV Rank37.3%23.8%48.5%46.6%47.3%
IV Percentile54.8%8.3%85.3%79.8%83.3%
Term Structure-6.1%-14.9%5.1%-14.9%-13.1%
VWIV47.0%39.0%52.6%47.4%52.6%
Skew 25d0.3%-14.1%16.6%3.8%-13.4%
Skew 10d-2.9%-14.0%11.2%1.8%-14.0%
Call IV 25d45.9%34.4%56.5%46.3%56.5%
Put IV 25d46.2%34.8%57.6%50.1%43.1%
Bid-Ask Spread %76.8066.8096.9975.1790.75
Gamma HHI0.290.190.480.210.20
Net GEX-638.2K-1.3M972.3K972.3K-589.9K
Net DEX26.1M-11.8M42.0M-11.8M31.8M
Net VEX-105.0K-136.6K-83.6K-136.6K-97.0K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio3.281.074.943.364.94
Total Volume2,580.0481,5276,2902,3522,168
Total OI15,630.90510,84419,85215,92211,809

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2021-11-01$105.48$100.0050.8%14.6%20.5%46.6%47.4%3.8%-14.9%972.3K-11.8M-136.6K3.3675.17N/AN/A5391,8138,9017,021
2021-11-02$95.09$100.0037.7%10.8%42.8%25.8%45.4%-14.1%5.1%-176.8K13.6M-106.8K1.8886.75N/AN/A9131,7208,9517,016
2021-11-03$93.60$100.0038.4%11.0%42.2%26.9%44.9%4.0%4.8%-410.9K17.6M-106.0K3.8683.02N/AN/A4661,8018,7297,381
2021-11-04$92.76$95.0036.4%12.7%42.0%23.8%46.8%3.3%-2.5%-578.9K21.4M-105.0K4.2474.14N/AN/A3981,6898,7377,642
2021-11-05$92.85$95.0043.7%13.8%41.7%35.3%50.2%-2.9%-7.9%-440.6K20.6M-115.2K2.3471.30N/AN/A7481,7528,7627,842
2021-11-08$92.79$95.0047.4%13.9%41.7%41.1%48.7%0.8%-8.8%-647.3K22.1M-106.8K2.9166.88N/AN/A6421,8688,7398,057
2021-11-09$92.19$95.0038.8%13.3%41.1%27.6%49.0%-1.1%-10.7%-711.8K24.4M-108.0K3.0669.86N/AN/A6111,8688,6558,368
2021-11-10$91.47$95.0045.7%13.1%41.1%38.5%52.5%2.4%-5.7%-983.3K28.0M-100.1K4.6471.35N/AN/A3621,6788,6588,368
2021-11-11$89.50$95.0042.4%12.1%41.3%33.2%49.6%-3.5%-4.4%-1.0M30.7M-92.9K3.3371.21N/AN/A3591,1968,6618,387
2021-11-12$88.19$95.0037.3%10.7%39.8%25.2%48.1%1.8%0.3%-1.2M35.1M-86.7K3.2275.40N/AN/A4051,3058,6778,540
2021-11-15$87.81$95.0046.1%13.2%39.8%39.0%47.3%1.4%-7.4%-1.3M37.3M-83.6K1.0766.80N/AN/A1,0671,1408,6818,683
2021-11-16$88.34$95.0048.4%13.9%40.1%42.7%51.9%-8.2%-8.3%-1.1M33.3M-95.6K2.7577.31N/AN/A4071,1209,5278,771
2021-11-17$89.60$95.0047.2%13.5%40.8%40.9%40.2%16.6%-0.6%-1.2M32.6M-94.7K2.7876.69N/AN/A6241,7349,6138,794
2021-11-18$87.47$95.0048.5%13.9%40.9%42.9%41.8%-5.4%-14.9%-1.2M37.8M-93.6K2.3369.72N/AN/A8191,90810,0089,083
2021-11-19$85.83$95.0052.0%14.9%41.0%48.5%50.8%4.1%-12.9%-442.5K42.0M-87.0K3.5979.01N/AN/A1,3714,91910,5669,286
2021-11-22$86.30$95.0047.4%13.6%41.3%41.1%48.6%-1.6%-7.4%-452.7K25.7M-116.6K4.6273.78N/AN/A6052,7943,8506,994
2021-11-23$87.29$95.0047.3%13.6%42.0%41.0%44.1%3.5%-9.1%-462.1K25.8M-119.8K4.2274.46N/AN/A6192,6123,9087,426
2021-11-24$87.77$95.0046.3%13.3%42.2%39.4%39.0%-2.2%-6.6%-482.3K25.0M-118.9K3.9576.74N/AN/A6672,6363,9477,685
2021-11-26$87.11$95.0046.6%13.4%42.1%39.9%39.8%0.8%-3.1%-505.0K26.7M-120.0K2.6996.99N/AN/A6691,8004,0157,725
2021-11-29$84.78$95.0044.9%12.9%39.4%37.2%47.8%16.0%0.1%-510.4K27.9M-114.0K3.1985.52N/AN/A5661,8034,0307,756
2021-11-30$83.17$95.0051.3%14.7%39.2%47.3%52.6%-13.4%-13.1%-589.9K31.8M-97.0K4.9490.75N/AN/A3651,8034,0427,767