NBIX Options History — September 2022

In September 2022, NBIX traded between $100.80 and $108.51. ATM implied volatility averaged 37.4%, placing in the 20.7% IV rank vs the trailing year. The 30-day expected move averaged 10.4%. IV traded above realized volatility by 10.1% (HV 20d: 27.3%). Max pain ranged from $95.00 to $95.00. Net GEX was positive for 21 of 21 trading days. Term structure was in contango for 15 of 21 days. Put/call ratio averaged 0.19.

Notable Days

  • 2022-09-16: Highest Volume — 2,052 contracts
  • 2022-09-14: Largest IV drop — 31.5% change
  • 2022-09-13: Highest IV Rank — 45.9%
  • 2022-09-27: Largest Expected Move — 13.1%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$104.82$100.80$108.51$105.16$106.48
Max Pain$95.00$95.00$95.00$95.00$95.00
ATM IV37.4%29.4%52.3%32.8%39.7%
Expected Move10.4%8.4%13.1%9.4%11.4%
HV 20d27.3%21.6%35.6%35.6%32.1%
HV 60d30.2%28.3%32.3%32.2%30.0%
IV Rank20.7%7.3%45.9%13.1%24.6%
IV Percentile27.6%2.0%86.1%6.7%40.9%
Term Structure2.7%-6.0%8.6%8.4%3.1%
VWIV35.8%29.3%44.0%32.8%36.2%
Skew 25d3.8%-2.9%21.8%7.2%-1.8%
Skew 10d8.7%-16.2%32.0%9.8%14.0%
Call IV 25d35.8%28.8%47.0%35.6%40.1%
Put IV 25d39.6%30.7%58.3%42.8%38.3%
Bid-Ask Spread %93.4977.30101.39100.6298.68
Gamma HHI0.320.230.390.390.32
Net GEX718.8K451.0K1.3M756.2K755.9K
Net DEX-24.1M-33.9M-16.1M-24.6M-26.3M
Net VEX-94.9K-105.1K-75.8K-99.7K-87.1K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.190.000.410.000.27
Total Volume564.905412,05268959
Total OI8,901.5248,1089,6938,8308,603

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2022-09-01$105.16$95.0032.8%9.4%35.6%13.1%32.8%7.2%8.4%756.2K-24.6M-99.7K0.00100.62N/AN/A6805,1333,697
2022-09-02$102.85$95.0039.6%11.4%22.9%24.5%37.5%21.8%-6.0%663.8K-21.4M-98.9K0.00101.39N/AN/A4605,1763,697
2022-09-06$102.96$95.0032.9%9.9%22.3%13.2%36.1%1.2%6.1%797.7K-23.8M-94.6K0.2185.51N/AN/A9552015,1803,697
2022-09-07$105.62$95.0035.6%11.2%22.8%17.8%35.9%0.7%-0.1%851.7K-26.3M-100.4K0.1786.69N/AN/A1,1061925,4363,721
2022-09-08$106.19$95.0033.4%10.2%22.9%14.1%34.8%8.0%-1.9%918.0K-28.4M-97.2K0.1989.04N/AN/A226435,5723,725
2022-09-09$106.62$95.0037.6%9.6%21.6%21.2%33.5%-2.9%3.9%935.1K-29.3M-96.9K0.2687.07N/AN/A62165,6233,768
2022-09-12$106.38$95.0044.4%9.6%21.6%32.5%33.8%0.2%4.7%942.8K-29.3M-91.1K0.3594.06N/AN/A96345,6163,782
2022-09-13$103.39$95.0052.3%10.1%23.0%45.9%34.6%-2.3%2.1%724.7K-23.4M-96.8K0.3095.67N/AN/A7632275,7163,813
2022-09-14$104.40$95.0035.8%10.3%23.3%18.2%36.4%-0.2%1.4%678.3K-25.2M-92.0K0.0993.93N/AN/A174165,7163,814
2022-09-15$108.51$95.0029.4%8.4%26.3%7.3%29.3%1.3%4.5%1.3M-33.9M-75.8K0.15100.84N/AN/A139215,7823,824
2022-09-16$105.36$95.0031.1%8.9%27.9%10.2%33.6%4.0%5.0%451.0K-27.5M-89.6K0.1297.20N/AN/A1,8362165,8573,836
2022-09-19$108.33$95.0033.4%9.6%29.7%14.0%34.2%4.3%3.4%634.1K-25.9M-91.0K0.1777.30N/AN/A255434,6273,481
2022-09-20$107.15$95.0035.0%10.0%29.9%16.8%34.2%-2.4%6.3%681.2K-24.6M-95.3K0.0292.10N/AN/A6514,7673,510
2022-09-21$105.69$95.0036.4%10.4%30.3%19.0%32.3%5.5%5.7%616.7K-22.3M-96.9K0.1493.71N/AN/A109154,7873,511
2022-09-22$104.28$95.0036.6%10.5%30.5%19.4%34.3%3.2%-1.3%601.2K-21.1M-92.3K0.0397.29N/AN/A23484,8683,519
2022-09-23$103.26$95.0040.2%11.5%29.9%25.5%40.3%9.8%0.9%555.4K-20.0M-102.3K0.4192.07N/AN/A29125,0793,527
2022-09-26$101.46$95.0036.3%10.4%30.5%18.9%44.0%5.5%8.6%485.5K-16.1M-105.1K0.2496.06N/AN/A8361975,0843,528
2022-09-27$100.80$95.0045.6%13.1%30.1%34.5%41.3%7.0%-0.7%496.8K-16.5M-103.2K0.2489.74N/AN/A8091945,0983,534
2022-09-28$103.22$95.0033.2%9.5%30.3%13.8%36.0%2.0%7.3%633.3K-20.0M-87.7K0.3199.61N/AN/A6291975,0893,530
2022-09-29$103.09$95.0043.3%12.4%29.9%30.7%39.9%8.4%-4.4%566.7K-19.7M-98.6K0.3194.64N/AN/A6371975,0753,534
2022-09-30$106.48$95.0039.7%11.4%32.1%24.6%36.2%-1.8%3.1%755.9K-26.3M-87.1K0.2798.68N/AN/A7532065,0693,534