NBIX Options History — December 2022

In December 2022, NBIX traded between $116.40 and $126.78. ATM implied volatility averaged 37.1%, placing in the 20.9% IV rank vs the trailing year. The 30-day expected move averaged 10.0%. IV traded above realized volatility by 4.5% (HV 20d: 32.6%). Max pain ranged from $90.00 to $120.00. Net GEX was positive for 21 of 21 trading days. Term structure was in contango for 20 of 21 days. Put/call ratio averaged 0.36.

Notable Days

  • 2022-12-16: Highest Volume — 1,198 contracts
  • 2022-12-12: Largest IV spike — 48.9% change
  • 2022-12-13: Highest IV Rank — 59.2%
  • 2022-12-08: Largest Expected Move — 11.3%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$120.31$116.40$126.78$126.16$118.64
Max Pain$116.67$90.00$120.00$100.00$120.00
ATM IV37.1%29.5%59.3%34.0%33.3%
Expected Move10.0%8.5%11.3%9.7%9.5%
HV 20d32.6%25.5%37.9%36.3%25.8%
HV 60d31.3%30.5%32.8%31.6%30.7%
IV Rank20.9%7.8%59.2%15.5%14.2%
IV Percentile28.3%2.4%96.0%12.7%12.7%
Term Structure4.8%-0.9%15.1%7.4%7.8%
VWIV35.8%30.9%40.5%34.8%36.7%
Skew 25d5.7%-1.0%19.6%1.3%9.9%
Skew 10d12.9%0.1%31.4%4.3%31.4%
Call IV 25d33.7%25.0%40.7%34.9%27.2%
Put IV 25d39.5%31.1%44.7%36.2%37.1%
Bid-Ask Spread %100.0390.50107.81103.68107.81
Gamma HHI0.470.230.680.230.66
Net GEX1.2M833.2K1.4M1.3M1.2M
Net DEX-32.7M-52.9M-20.4M-51.8M-21.2M
Net VEX-79.3K-87.6K-71.2K-84.8K-74.2K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.360.001.150.000.05
Total Volume12721,198952
Total OI7,154.9054,1669,5479,0734,323

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2022-12-01$126.16$100.0034.0%9.7%36.3%15.5%34.8%1.3%7.4%1.3M-51.8M-84.8K0.00103.68N/AN/A9505,9283,145
2022-12-02$126.78$100.0033.3%9.6%35.9%14.3%33.7%3.1%3.5%1.3M-52.9M-84.2K0.03102.89N/AN/A3215,9793,145
2022-12-05$123.83$90.0042.7%10.3%35.5%30.5%37.3%2.3%6.6%1.4M-46.6M-85.3K0.9595.88N/AN/A2222125,9913,146
2022-12-06$119.98$120.0047.8%11.2%37.4%39.3%39.1%6.1%-0.9%1.3M-37.7M-87.6K0.28100.29N/AN/A2575,9963,351
2022-12-07$121.47$120.0040.8%11.2%36.4%27.2%35.4%4.1%1.1%1.3M-41.2M-85.2K1.0898.07N/AN/A13145,9863,358
2022-12-08$121.47$120.0037.4%11.3%36.0%21.3%30.9%4.2%3.3%1.3M-41.2M-82.7K1.15100.72N/AN/A13155,9833,358
2022-12-09$117.69$120.0032.9%10.4%37.6%13.6%39.7%0.7%3.6%1.3M-33.4M-81.9K0.5699.47N/AN/A1695,9843,373
2022-12-12$119.67$120.0049.0%10.9%37.9%41.4%40.5%9.3%1.5%1.3M-37.2M-77.5K0.5099.46N/AN/A40205,9723,374
2022-12-13$119.00$120.0059.3%10.8%36.8%59.2%36.8%3.4%1.5%1.4M-35.3M-75.8K0.90101.49N/AN/A51465,9733,388
2022-12-14$119.37$120.0035.2%10.1%34.1%17.5%35.8%7.2%2.3%1.3M-37.6M-74.3K0.09102.12N/AN/A2225,9973,391
2022-12-15$116.40$120.0034.9%10.0%35.0%17.0%0.0%2.9%3.5%1.3M-33.3M-71.2K0.0094.49N/AN/A21315,9943,386
2022-12-16$117.50$120.0035.4%10.2%34.8%17.9%32.8%8.6%4.6%833.2K-36.1M-72.0K0.02101.90N/AN/A1,179196,1773,370
2022-12-19$117.99$120.0038.0%10.9%29.9%22.4%37.5%3.3%0.5%964.6K-20.4M-80.0K0.1490.50N/AN/A85123,769397
2022-12-20$119.66$120.0030.6%8.8%29.8%9.7%35.2%5.5%8.7%1.1M-22.6M-80.9K0.02101.36N/AN/A5513,800409
2022-12-21$120.44$120.0034.2%9.8%28.3%15.8%34.1%14.5%6.3%1.1M-23.4M-80.4K0.2699.08N/AN/A1953,844410
2022-12-22$122.34$120.0029.5%8.5%27.8%7.8%31.7%1.2%15.1%1.1M-26.0M-80.4K0.03102.24N/AN/A2913,853425
2022-12-23$119.94$120.0033.9%9.7%28.0%15.3%34.7%6.4%5.1%1.1M-23.3M-79.5K0.00102.94N/AN/A2303,884426
2022-12-27$119.22$120.0034.8%10.0%28.0%16.9%33.2%8.1%5.3%1.1M-21.8M-76.5K1.1190.86N/AN/A9103,897426
2022-12-28$118.55$120.0032.8%9.4%28.1%13.4%40.0%19.6%5.7%1.1M-20.9M-75.9K0.09103.42N/AN/A117103,900436
2022-12-29$120.44$120.0029.6%8.5%25.5%7.9%35.6%-1.0%9.0%1.2M-23.3M-75.5K0.05102.01N/AN/A2113,863446
2022-12-30$118.64$120.0033.3%9.5%25.8%14.2%36.7%9.9%7.8%1.2M-21.2M-74.2K0.00107.81N/AN/A023,878445