NBIX Options History — September 2023

In September 2023, NBIX traded between $108.55 and $116.84. ATM implied volatility averaged 23.1%, placing in the 20.9% IV rank vs the trailing year. The 30-day expected move averaged 6.4%. IV traded below realized volatility by 3.6% (HV 20d: 26.7%). Max pain ranged from $100.00 to $105.00. Net GEX was positive for 20 of 20 trading days. Term structure was in contango for 16 of 20 days. Put/call ratio averaged 3.21.

Notable Days

  • 2023-09-13: Highest Volume — 1,835 contracts
  • 2023-09-05: Largest IV spike — 61.9% change
  • 2023-09-12: Highest IV Rank — 44.6%
  • 2023-09-28: Largest Expected Move — 7.4%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$112.84$108.55$116.84$111.06$112.84
Max Pain$100.25$100.00$105.00$105.00$100.00
ATM IV23.1%13.6%34.0%13.6%25.3%
Expected Move6.4%3.9%7.4%3.9%7.3%
HV 20d26.7%17.9%30.2%20.2%30.2%
HV 60d21.4%18.4%23.0%18.6%23.0%
IV Rank20.9%0.0%44.6%0.0%25.7%
IV Percentile10.9%0.0%52.8%0.0%16.7%
Term Structure2.6%-2.0%6.7%5.9%1.1%
VWIV22.6%12.1%28.1%23.5%25.1%
Skew 25d3.2%-4.2%18.1%-4.2%2.0%
Skew 10d3.7%-10.7%10.5%-10.7%10.5%
Call IV 25d22.5%18.3%27.4%20.6%25.9%
Put IV 25d25.7%16.4%41.5%16.4%27.9%
Bid-Ask Spread %87.6178.35108.30105.9089.62
Gamma HHI0.310.200.540.350.23
Net GEX857.5K571.9K1.2M1.2M1.2M
Net DEX-34.2M-45.6M-23.8M-35.0M-34.2M
Net VEX-151.9K-167.6K-111.0K-111.0K-166.8K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio3.210.0044.2244.222.05
Total Volume364.55141,8351,62858
Total OI10,943.38,08512,2038,08512,203

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2023-09-01$111.06$105.0013.6%3.9%20.2%0.0%23.5%-4.2%5.9%1.2M-35.0M-111.0K44.22105.90N/AN/A361,5925,3022,783
2023-09-05$110.17$100.0021.9%5.8%20.4%18.3%28.1%5.1%6.5%902.7K-26.5M-142.1K0.5690.11N/AN/A1695,3264,360
2023-09-06$110.24$100.0022.3%5.4%20.5%19.2%21.2%4.3%6.7%854.4K-28.4M-139.4K0.6887.34N/AN/A19135,3404,366
2023-09-07$108.55$100.0018.3%5.7%21.6%10.4%22.1%3.8%3.5%918.2K-24.3M-143.0K0.1783.30N/AN/A1225,3534,365
2023-09-08$109.17$100.0025.2%6.3%17.9%25.4%23.8%1.6%6.1%908.8K-23.8M-146.0K1.1878.40N/AN/A5576565,3524,366
2023-09-11$109.42$100.0022.9%6.9%17.9%20.4%0.0%1.9%4.0%929.3K-26.0M-156.7K0.0078.35N/AN/A10605,7795,010
2023-09-12$116.84$100.0034.0%6.7%28.8%44.6%23.7%-0.9%0.7%703.8K-45.6M-128.3K0.9182.91N/AN/A4764335,8825,013
2023-09-13$114.57$100.0022.4%6.4%30.1%19.3%22.5%0.6%2.5%735.1K-41.0M-140.9K0.4981.20N/AN/A1,2346016,0445,223
2023-09-14$114.03$100.0022.1%6.3%30.2%18.6%22.3%-0.1%-0.5%856.7K-38.5M-164.4K0.5280.01N/AN/A29156,4605,681
2023-09-15$111.87$100.0022.9%6.6%30.2%20.5%18.5%3.9%2.1%577.1K-34.8M-167.6K2.6981.60N/AN/A16436,4685,694
2023-09-18$112.09$100.0024.7%7.1%29.3%24.4%22.6%2.8%1.3%571.9K-28.7M-166.4K0.2481.21N/AN/A49125,8655,109
2023-09-19$114.61$100.0021.1%6.0%29.6%16.4%21.4%1.2%3.1%669.3K-37.1M-151.0K0.1184.83N/AN/A7385,9105,120
2023-09-20$114.93$100.0019.4%5.6%29.0%12.8%12.1%2.1%4.7%709.3K-38.7M-145.2K2.0089.29N/AN/A6125,9505,120
2023-09-21$113.31$100.0022.9%6.6%29.6%20.4%0.0%0.8%3.1%645.2K-31.6M-162.7K4.5684.47N/AN/A9415,9555,133
2023-09-22$114.13$100.0023.9%6.9%29.6%22.7%27.0%14.4%-2.0%672.0K-35.1M-153.6K0.01108.30N/AN/A35255,9585,156
2023-09-25$113.75$100.0023.0%6.6%29.7%20.7%0.0%18.1%-0.9%827.9K-33.2M-160.6K0.1796.75N/AN/A1226,2745,160
2023-09-26$115.16$100.0025.1%7.2%29.7%25.2%25.2%4.1%1.6%889.4K-38.7M-158.4K0.0187.84N/AN/A68146,2855,165
2023-09-27$115.17$100.0025.1%7.2%29.7%25.3%21.3%-0.0%3.4%1.2M-42.0M-166.5K0.1893.21N/AN/A71136,9545,182
2023-09-28$114.83$100.0025.9%7.4%29.4%27.0%24.6%2.1%-0.6%1.2M-40.3M-166.7K3.5087.50N/AN/A4147,0105,190
2023-09-29$112.84$100.0025.3%7.3%30.2%25.7%25.1%2.0%1.1%1.2M-34.2M-166.8K2.0589.62N/AN/A19397,0105,193