NBIX Options History — November 2023

In November 2023, NBIX traded between $107.30 and $116.85. ATM implied volatility averaged 27.9%, placing in the 31.4% IV rank vs the trailing year. The 30-day expected move averaged 8.0%. IV traded below realized volatility by 2.2% (HV 20d: 30.1%). Max pain ranged from $105.00 to $105.00. Net GEX was positive for 18 of 21 trading days. Term structure was in contango for 3 of 21 days. Put/call ratio averaged 14.52.

Notable Days

  • 2023-11-16: Highest Volume — 2,380 contracts
  • 2023-11-07: Largest IV spike — 28.3% change
  • 2023-11-07: Highest IV Rank — 46.7%
  • 2023-11-09: Largest Expected Move — 9.1%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$111.92$107.30$116.85$111.11$116.56
Max Pain$105.00$105.00$105.00$105.00$105.00
ATM IV27.9%22.1%34.9%30.7%27.6%
Expected Move8.0%6.3%9.1%8.8%7.9%
HV 20d30.1%24.1%33.8%26.9%31.5%
HV 60d27.7%25.4%29.1%25.9%29.1%
IV Rank31.4%18.6%46.7%37.4%30.8%
IV Percentile29.2%7.1%70.2%42.5%27.8%
Term Structure-3.2%-8.7%1.7%-1.8%-2.5%
VWIV31.4%23.5%56.9%48.4%27.6%
Skew 25d8.2%-2.1%15.9%-1.4%6.6%
Skew 10d10.3%-8.1%27.5%-7.6%-8.1%
Call IV 25d26.7%20.5%31.3%29.7%24.8%
Put IV 25d34.9%28.3%42.3%28.3%31.4%
Bid-Ask Spread %97.8992.06108.1196.38107.93
Gamma HHI0.230.210.290.220.23
Net GEX430.6K-373.0K1.0M421.2K1.0M
Net DEX-22.3M-40.3M-8.7M-22.0M-32.2M
Net VEX-132.0K-152.8K-113.5K-136.5K-113.5K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio14.520.00152.750.490.00
Total Volume388.71472,38090860
Total OI12,077.0959,51513,85412,51110,751

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2023-11-01$111.11$105.0030.7%8.8%26.9%37.4%48.4%-1.4%-1.8%421.2K-22.0M-136.5K0.4996.38N/AN/A6083006,2936,218
2023-11-02$113.60$105.0028.9%7.5%24.1%33.4%26.1%2.8%-3.0%562.6K-30.1M-137.8K0.5495.56N/AN/A48266,3016,518
2023-11-03$112.47$105.0022.9%8.2%24.1%20.4%26.7%6.3%-4.0%513.0K-26.7M-140.4K0.0993.15N/AN/A8886,3116,538
2023-11-06$113.80$105.0027.2%7.4%24.2%29.9%26.2%9.0%-4.3%668.4K-32.1M-127.4K0.0092.06N/AN/A2206,3846,542
2023-11-07$116.85$105.0034.9%8.7%25.9%46.7%28.8%2.7%-1.1%764.5K-40.3M-121.8K0.0994.13N/AN/A433396,4056,542
2023-11-08$115.40$105.0029.8%8.5%26.2%35.5%30.0%8.3%-0.3%787.7K-35.8M-129.7K0.0193.08N/AN/A17226,4746,572
2023-11-09$112.19$105.0031.9%9.1%27.2%40.1%0.0%7.0%-4.4%586.4K-25.2M-141.8K0.1097.03N/AN/A205216,6116,575
2023-11-10$107.30$105.0025.1%7.2%31.1%25.3%32.4%9.3%1.7%-3.4K-8.7M-134.6K1.4799.04N/AN/A1752586,6356,598
2023-11-13$110.22$105.0029.5%8.5%32.4%35.0%27.7%7.8%-1.0%289.0K-19.1M-131.7K0.0496.68N/AN/A7236,5666,547
2023-11-14$112.34$105.0029.6%8.5%33.3%35.0%26.8%-2.1%-7.3%664.1K-28.5M-123.2K0.0295.52N/AN/A4316,5926,549
2023-11-15$110.96$105.0028.4%8.2%33.1%32.5%27.6%7.8%-6.2%573.1K-23.0M-126.0K0.1596.67N/AN/A5286,6246,548
2023-11-16$108.35$105.0027.5%7.9%33.8%30.4%31.1%11.0%1.7%-373.0K-12.1M-124.7K0.6897.20N/AN/A1,4179636,6416,539
2023-11-17$108.77$105.0028.3%8.1%33.8%32.3%30.8%15.2%-5.9%19.2K-12.6M-136.3K6.5096.22N/AN/A4267,0386,816
2023-11-20$109.07$105.0026.2%7.5%32.6%27.6%26.5%15.9%-5.0%-73.4K-10.3M-128.6K0.0997.19N/AN/A3234,4465,069
2023-11-21$109.49$105.0026.1%7.5%32.3%27.5%28.1%5.9%-3.4%53.3K-11.7M-126.0K2.7798.03N/AN/A3469574,4695,072
2023-11-22$111.54$105.0027.4%7.8%32.8%30.2%40.2%14.6%-8.3%312.6K-14.9M-152.8K122.0096.60N/AN/A56104,8036,026
2023-11-24$111.78$105.0026.3%7.5%32.8%27.8%23.5%7.4%-4.4%409.9K-19.1M-141.3K2.5099.45N/AN/A254,8085,941
2023-11-27$112.97$105.0022.1%6.3%32.4%18.6%35.4%10.0%-0.6%610.0K-21.6M-132.9K152.7599.98N/AN/A46114,8095,940
2023-11-28$112.22$105.0028.0%8.0%32.5%31.6%56.9%14.7%1.0%621.1K-20.9M-135.7K0.00108.11N/AN/A05174,8115,943
2023-11-29$113.41$105.0028.2%8.1%30.0%32.1%26.9%13.1%-8.7%611.1K-22.0M-129.9K0.00105.73N/AN/A1704,8115,943
2023-11-30$116.56$105.0027.6%7.9%31.5%30.8%27.6%6.6%-2.5%1.0M-32.2M-113.5K0.00107.93N/AN/A6004,8085,943