NBIX Options History — December 2021

In December 2021, NBIX traded between $79.36 and $86.50. ATM implied volatility averaged 46.8%, placing in the 40.2% IV rank vs the trailing year. The 30-day expected move averaged 12.9%. IV traded above realized volatility by 17.8% (HV 20d: 29.0%). Max pain ranged from $80.00 to $95.00. Net GEX was positive for 4 of 22 trading days. Term structure was in contango for 13 of 22 days. Put/call ratio averaged 3.19.

Notable Days

  • 2021-12-30: Highest Volume — 4,861 contracts
  • 2021-12-10: Largest IV drop — 36.4% change
  • 2021-12-03: Highest IV Rank — 58.4%
  • 2021-12-03: Largest Expected Move — 16.7%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$83.43$79.36$86.50$80.99$85.64
Max Pain$82.95$80.00$95.00$95.00$85.00
ATM IV46.8%33.4%58.3%49.7%43.2%
Expected Move12.9%10.4%16.7%14.2%12.4%
HV 20d29.0%20.0%33.4%20.2%29.6%
HV 60d33.1%31.8%34.7%31.9%32.2%
IV Rank40.2%18.9%58.4%44.8%34.5%
IV Percentile59.3%2.8%93.7%77.0%41.7%
Term Structure0.1%-22.5%20.8%-17.5%2.7%
VWIV47.1%34.8%63.5%50.9%34.8%
Skew 25d1.7%-3.4%10.0%-0.1%4.3%
Skew 10d1.0%-12.8%18.5%-12.8%0.2%
Call IV 25d46.2%35.8%64.1%49.1%37.7%
Put IV 25d47.9%39.0%63.0%49.0%42.0%
Bid-Ask Spread %75.5561.1595.8792.4872.02
Gamma HHI0.190.110.460.200.13
Net GEX-454.0K-1.1M74.0K-616.4K-33.8K
Net DEX28.5M18.8M38.7M34.3M23.9M
Net VEX-105.1K-143.3K-83.8K-93.8K-140.9K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio3.190.946.704.804.75
Total Volume2,933.3181,7884,8612,1404,585
Total OI12,85910,00114,63211,80814,065

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2021-12-01$80.99$95.0049.7%14.2%20.2%44.8%50.9%-0.1%-17.5%-616.4K34.3M-93.8K4.8092.48N/AN/A3691,7714,0417,767
2021-12-02$80.57$95.0055.2%15.8%20.0%53.5%60.0%-0.9%-22.5%-538.1K32.3M-100.4K1.8595.87N/AN/A9261,7124,0707,799
2021-12-03$79.36$95.0058.3%16.7%20.2%58.4%63.5%-1.0%-9.0%-490.3K32.6M-102.5K1.3394.88N/AN/A1,4581,9354,4817,802
2021-12-06$80.79$80.0052.6%14.5%22.0%49.4%47.9%1.6%-5.6%-588.4K34.2M-94.6K1.9164.51N/AN/A1,0011,9074,9877,998
2021-12-07$81.91$80.0057.9%13.1%23.1%57.7%48.2%1.8%1.4%-547.5K31.7M-102.4K1.5561.15N/AN/A1,0981,7035,0967,998
2021-12-08$84.26$80.0043.3%12.1%26.2%34.6%42.0%5.2%-1.7%-636.9K29.9M-99.5K1.3868.81N/AN/A1,3091,8125,2458,013
2021-12-09$81.86$80.0052.5%11.7%27.6%49.2%45.0%-3.4%-3.2%-605.2K36.9M-87.1K1.8478.69N/AN/A9751,7985,5808,309
2021-12-10$79.65$80.0033.4%11.8%28.1%18.9%48.4%10.0%4.2%-753.7K38.7M-83.8K2.8376.12N/AN/A6311,7885,5748,316
2021-12-13$82.90$80.0043.6%10.4%32.2%35.1%38.1%8.6%7.6%-789.2K33.8M-94.9K2.5576.16N/AN/A6181,5745,5788,312
2021-12-14$83.17$80.0048.5%10.5%32.2%43.0%38.7%1.7%5.6%-905.3K34.4M-89.5K4.3580.50N/AN/A5072,2075,6838,306
2021-12-15$84.68$80.0045.2%13.0%32.9%37.7%50.0%-1.2%4.0%-1.0M31.7M-111.8K6.1674.63N/AN/A3091,9025,9858,639
2021-12-16$84.39$80.0044.7%12.8%32.4%36.8%46.2%-2.3%-1.0%-908.0K33.1M-102.9K6.3670.00N/AN/A2991,9016,0258,607
2021-12-17$86.50$80.0047.0%13.5%32.8%40.6%46.2%3.6%-1.3%-1.1M28.8M-107.8K4.6566.66N/AN/A3471,6146,0278,602
2021-12-20$86.00$80.0037.2%10.7%32.1%25.0%38.4%5.1%20.8%-229.2K22.2M-106.6K0.9480.21N/AN/A1,6391,5453,4566,545
2021-12-21$83.85$80.0047.7%13.7%33.3%41.6%49.5%-1.0%0.1%-169.1K22.6M-102.0K6.6174.91N/AN/A2351,5533,8986,554
2021-12-22$84.85$80.0044.5%12.8%33.3%36.6%47.0%-2.0%0.4%-161.4K22.2M-101.7K1.0568.75N/AN/A1,3301,4023,9426,576
2021-12-23$85.36$80.0045.6%13.1%33.3%38.4%47.1%-2.5%5.2%74.0K19.8M-112.5K1.0967.31N/AN/A1,3111,4335,3936,598
2021-12-27$84.66$80.0049.1%14.1%33.4%43.8%51.2%0.9%-7.3%34.7K18.8M-113.5K1.1370.53N/AN/A1,3061,4825,3956,634
2021-12-28$85.02$85.0045.4%13.0%32.0%38.0%47.6%2.2%3.3%30.3K20.7M-109.6K1.2379.09N/AN/A1,6602,0365,4086,696
2021-12-29$84.40$85.0040.5%11.6%31.3%30.3%46.4%4.3%10.2%52.9K20.9M-111.7K6.7076.09N/AN/A6084,0765,7617,243
2021-12-30$84.74$85.0045.1%12.9%29.6%37.5%48.4%3.1%5.2%-60.5K23.8M-143.3K5.1972.73N/AN/A7854,0765,7618,133
2021-12-31$85.64$85.0043.2%12.4%29.6%34.5%34.8%4.3%2.7%-33.8K23.9M-140.9K4.7572.02N/AN/A7983,7875,9328,133