NBIX Options History — November 2022

In November 2022, NBIX traded between $112.89 and $125.83. ATM implied volatility averaged 38.7%, placing in the 23.6% IV rank vs the trailing year. The 30-day expected move averaged 11.0%. IV traded above realized volatility by 6.1% (HV 20d: 32.6%). Max pain ranged from $85.00 to $100.00. Net GEX was positive for 21 of 21 trading days. Term structure was in contango for 8 of 21 days. Put/call ratio averaged 0.63.

Notable Days

  • 2022-11-01: Highest Volume — 2,591 contracts
  • 2022-11-02: Largest IV spike — 36.5% change
  • 2022-11-17: Highest IV Rank — 31.2%
  • 2022-11-17: Largest Expected Move — 12.4%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$120.63$112.89$125.83$119.78$125.83
Max Pain$98.33$85.00$100.00$85.00$100.00
ATM IV38.7%30.4%43.1%30.4%33.0%
Expected Move11.0%8.7%12.4%8.7%9.5%
HV 20d32.6%28.2%37.8%28.4%37.0%
HV 60d29.5%27.4%31.9%27.4%31.9%
IV Rank23.6%9.3%31.2%9.3%13.8%
IV Percentile34.7%2.4%58.7%2.4%9.1%
Term Structure-0.6%-12.3%11.9%11.9%2.5%
VWIV38.5%32.7%48.1%32.7%33.8%
Skew 25d7.7%-2.3%15.5%11.7%10.4%
Skew 10d11.4%-5.2%32.6%13.8%12.0%
Call IV 25d36.4%32.7%42.1%33.8%32.8%
Put IV 25d44.1%36.1%54.0%45.5%43.2%
Bid-Ask Spread %93.6981.33103.4493.3398.18
Gamma HHI0.230.190.270.240.24
Net GEX1.1M729.7K1.3M1.0M1.2M
Net DEX-47.6M-62.5M-24.2M-46.0M-50.3M
Net VEX-89.6K-100.1K-56.2K-56.2K-85.1K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.630.001.370.110.03
Total Volume827.85732,5912,591324
Total OI9,883.198,28710,8108,5528,929

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2022-11-01$119.78$85.0030.4%8.7%28.4%9.3%32.7%11.7%11.9%1.0M-46.0M-56.2K0.1193.33N/AN/A2,3332585,2363,316
2022-11-02$122.45$85.0041.5%11.9%29.0%28.4%42.5%15.0%-3.5%1.2M-58.8M-95.8K0.93102.30N/AN/A5915496,7193,338
2022-11-03$124.48$95.0039.7%9.9%29.0%25.4%34.7%4.1%0.7%1.2M-62.5M-88.0K1.1288.22N/AN/A4394926,7013,653
2022-11-04$121.19$100.0038.1%11.4%30.0%22.6%40.9%-2.3%-1.5%1.2M-55.2M-96.0K1.2789.96N/AN/A3604566,7453,863
2022-11-07$121.48$100.0041.1%10.9%29.1%27.7%39.8%3.1%-1.7%1.1M-54.2M-100.1K1.2281.33N/AN/A3714516,7213,886
2022-11-08$124.70$100.0038.9%10.3%29.6%23.9%37.2%6.1%6.3%1.1M-60.5M-94.2K1.0091.10N/AN/A4524506,7383,893
2022-11-09$122.86$100.0039.9%11.4%30.4%25.7%41.2%3.2%2.5%1.1M-58.0M-91.5K1.3093.03N/AN/A3464506,7693,896
2022-11-10$123.58$100.0039.7%11.4%29.5%25.3%40.8%8.0%-1.9%1.2M-58.2M-93.1K1.3786.22N/AN/A3214416,7763,902
2022-11-11$121.94$100.0041.6%11.9%28.2%28.7%42.2%6.5%-0.8%1.2M-56.3M-87.7K0.6993.20N/AN/A3412366,7623,917
2022-11-14$118.80$100.0042.9%12.3%29.5%30.9%43.8%9.0%-1.3%1.2M-51.0M-90.2K0.4895.79N/AN/A4992416,7713,924
2022-11-15$114.51$100.0035.7%10.2%32.5%18.4%48.1%4.7%1.9%1.2M-42.5M-92.6K0.3993.74N/AN/A6672576,7453,938
2022-11-16$112.89$100.0037.1%10.6%31.1%20.9%38.9%7.9%-0.2%1.1M-39.3M-85.5K0.5891.29N/AN/A4902856,8753,935
2022-11-17$114.63$100.0043.1%12.4%31.4%31.2%37.7%11.9%-12.3%729.7K-24.2M-86.5K0.5295.96N/AN/A5863066,8803,913
2022-11-18$120.37$100.0035.4%10.1%35.6%17.9%38.5%15.5%-0.4%1.2M-53.1M-92.3K0.1988.14N/AN/A1,6313086,8923,890
2022-11-21$118.43$100.0038.8%11.1%36.1%23.8%34.5%9.0%2.7%896.6K-31.2M-91.0K0.5193.85N/AN/A4992545,1623,125
2022-11-22$121.62$100.0035.0%10.0%36.7%17.3%34.8%5.8%2.0%1.0M-37.8M-83.9K0.4598.36N/AN/A5442465,1703,133
2022-11-23$119.09$100.0039.1%11.2%37.4%24.3%34.4%8.5%-5.0%1.1M-36.3M-93.7K0.5097.03N/AN/A5042545,6013,133
2022-11-25$121.19$100.0042.7%12.2%37.8%30.5%33.7%7.6%-7.2%1.2M-40.2M-96.8K0.0094.51N/AN/A305,7373,138
2022-11-28$121.84$100.0041.5%11.9%37.7%28.5%39.4%8.4%-6.2%1.2M-41.5M-91.1K0.4798.55N/AN/A95455,7643,138
2022-11-29$121.50$100.0036.9%10.6%37.6%20.6%38.8%8.4%-0.5%1.3M-42.3M-90.4K0.00103.44N/AN/A1005,7823,141
2022-11-30$125.83$100.0033.0%9.5%37.0%13.8%33.8%10.4%2.5%1.2M-50.3M-85.1K0.0398.18N/AN/A31685,7883,141