NBIX Options History — August 2022

In August 2022, NBIX traded between $92.21 and $107.65. ATM implied volatility averaged 34.0%, placing in the 13.3% IV rank vs the trailing year. The 30-day expected move averaged 9.7%. IV traded above realized volatility by 0.6% (HV 20d: 33.4%). Max pain ranged from $90.00 to $100.00. Net GEX was positive for 23 of 23 trading days. Term structure was in contango for 16 of 23 days. Put/call ratio averaged 0.35.

Notable Days

  • 2022-08-05: Highest Volume — 3,051 contracts
  • 2022-08-19: Largest IV spike — 65.8% change
  • 2022-08-01: Highest IV Rank — 30.6%
  • 2022-08-01: Largest Expected Move — 12.9%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$103.62$92.21$107.65$92.21$104.82
Max Pain$94.13$90.00$100.00$100.00$95.00
ATM IV34.0%25.0%44.9%44.9%35.5%
Expected Move9.7%7.2%12.9%12.9%10.2%
HV 20d33.4%20.4%37.0%21.9%35.9%
HV 60d32.8%31.7%37.2%37.2%32.3%
IV Rank13.3%0.0%30.6%30.6%17.6%
IV Percentile16.4%0.0%66.7%66.7%13.5%
Term Structure2.3%-11.2%11.0%-1.1%8.1%
VWIV36.0%24.0%48.5%48.0%39.0%
Skew 25d3.9%-4.0%13.3%0.7%12.6%
Skew 10d8.9%-8.5%21.8%11.3%21.8%
Call IV 25d35.8%25.9%47.0%47.0%34.5%
Put IV 25d39.6%30.5%49.3%47.7%47.1%
Bid-Ask Spread %94.8871.26106.6892.99106.51
Gamma HHI0.310.220.440.260.37
Net GEX505.2K34.6K803.4K34.6K706.7K
Net DEX-25.5M-38.5M2.7M2.7M-24.5M
Net VEX-105.8K-122.6K-85.6K-122.6K-105.4K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.350.001.951.950.67
Total Volume697.43563,0511,4381,129
Total OI10,020.4788,45111,4639,9378,792

Daily Data (23 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2022-08-01$92.21$100.0044.9%12.9%21.9%30.6%48.0%0.7%-1.1%34.6K2.7M-122.6K1.9592.99N/AN/A4889504,7455,192
2022-08-02$92.78$100.0038.8%11.1%22.1%20.0%46.3%6.4%-11.2%112.0K1.7M-122.5K1.1495.13N/AN/A4885554,7815,192
2022-08-03$94.09$100.0044.4%12.7%20.4%29.7%48.5%2.3%-8.3%78.6K-1.2M-120.0K0.9387.73N/AN/A5885474,8235,197
2022-08-04$95.85$95.0044.8%11.2%21.5%30.5%42.6%-4.0%-2.0%105.4K-6.8M-121.5K0.2571.26N/AN/A2,0265014,9245,197
2022-08-05$103.91$95.0030.5%8.6%35.8%2.9%30.2%5.8%3.8%687.3K-31.0M-121.7K0.2092.47N/AN/A2,5335186,2615,202
2022-08-08$105.33$95.0035.1%8.2%36.0%11.2%29.5%8.9%11.0%518.7K-31.5M-113.2K0.7582.12N/AN/A6945235,7355,195
2022-08-09$107.65$90.0026.6%9.9%36.0%0.0%36.6%13.3%2.3%552.0K-38.5M-99.7K0.0085.75N/AN/A77225,7085,201
2022-08-10$107.27$90.0030.7%8.8%35.9%7.0%28.0%6.4%7.4%524.3K-36.8M-99.2K0.5092.22N/AN/A34175,6685,203
2022-08-11$105.03$90.0035.4%10.2%37.0%15.2%33.2%-3.1%2.0%397.5K-31.7M-105.2K0.0894.68N/AN/A1315,6685,211
2022-08-12$105.35$90.0031.9%9.1%37.0%9.1%31.8%7.3%3.0%458.4K-33.8M-99.6K0.5095.45N/AN/A635,6685,210
2022-08-15$107.16$90.0031.2%9.0%36.4%8.0%32.0%-2.7%0.2%516.8K-37.4M-92.9K0.02103.71N/AN/A8725,6685,211
2022-08-16$106.72$90.0030.6%8.8%35.8%7.0%34.8%1.9%9.3%447.4K-36.9M-93.8K0.00100.86N/AN/A6205,6015,212
2022-08-17$104.83$90.0033.6%9.6%36.4%12.0%43.3%-0.4%5.8%367.1K-33.4M-92.8K0.08102.28N/AN/A9275,6175,212
2022-08-18$106.60$95.0025.0%7.2%36.6%0.0%30.8%7.1%7.5%477.8K-37.2M-85.6K0.0094.88N/AN/A1,07915,6635,214
2022-08-19$106.69$95.0041.5%11.9%35.4%27.7%42.8%-3.5%-2.4%542.6K-37.5M-95.9K0.3892.98N/AN/A1,3795215,9095,214
2022-08-22$106.17$95.0032.4%9.3%35.4%12.3%36.3%11.5%3.1%623.1K-24.7M-103.1K0.0790.86N/AN/A10074,7963,655
2022-08-23$105.63$95.0025.1%7.2%35.4%0.2%35.8%0.1%3.4%776.3K-25.3M-105.5K0.0098.60N/AN/A8205,0493,657
2022-08-24$106.55$95.0030.5%8.7%35.4%9.2%28.9%8.1%7.8%772.9K-26.9M-108.3K0.0097.68N/AN/A6605,1083,657
2022-08-25$104.59$95.0031.2%8.9%35.4%10.3%27.8%3.0%2.8%755.3K-23.6M-107.4K0.0398.46N/AN/A4015,1553,657
2022-08-26$104.63$95.0037.2%10.7%35.5%20.5%0.0%9.0%-4.7%696.0K-23.1M-110.9K0.00102.56N/AN/A605,1463,658
2022-08-29$105.93$95.0026.2%7.5%34.1%1.9%24.0%-1.0%7.9%803.4K-26.6M-101.2K0.4196.29N/AN/A29125,1473,658
2022-08-30$103.38$95.0038.7%11.1%35.9%23.0%40.8%-0.4%-2.8%666.1K-21.6M-105.9K0.03106.68N/AN/A7825,1643,670
2022-08-31$104.82$95.0035.5%10.2%35.9%17.6%39.0%12.6%8.1%706.7K-24.5M-105.4K0.67106.51N/AN/A6754545,1203,672