NBIX Options History — September 2024

In September 2024, NBIX traded between $114.55 and $125.22. ATM implied volatility averaged 30.4%, placing in the 15.6% IV rank vs the trailing year. The 30-day expected move averaged 8.3%. IV traded below realized volatility by 37.0% (HV 20d: 67.4%). Max pain ranged from $120.00 to $140.00. Net GEX was positive for 0 of 20 trading days. Term structure was in contango for 18 of 20 days. Put/call ratio averaged 2.68.

Notable Days

  • 2024-09-05: Highest Volume — 2,427 contracts
  • 2024-09-05: Largest IV spike — 28.3% change
  • 2024-09-09: Highest IV Rank — 31.9%
  • 2024-09-09: Largest Expected Move — 9.6%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$119.50$114.55$125.22$125.22$114.63
Max Pain$133.75$120.00$140.00$140.00$120.00
ATM IV30.4%19.7%42.1%33.0%25.6%
Expected Move8.3%5.6%9.6%9.4%7.3%
HV 20d67.4%18.3%76.9%76.8%18.3%
HV 60d49.8%49.3%50.3%50.2%49.4%
IV Rank15.6%0.3%31.9%24.4%8.1%
IV Percentile39.8%0.4%84.9%64.7%9.1%
Term Structure4.7%-2.2%8.8%-2.2%7.0%
VWIV29.2%19.8%38.1%38.1%25.7%
Skew 25d-0.6%-11.5%10.5%-2.5%7.7%
Skew 10d-4.3%-13.5%6.0%-6.3%-6.9%
Call IV 25d28.6%14.7%35.2%35.2%14.7%
Put IV 25d28.0%18.3%35.7%32.7%22.4%
Bid-Ask Spread %88.1676.18101.9185.43101.91
Gamma HHI0.350.200.610.200.30
Net GEX-1.7M-3.4M-847.5K-847.5K-1.3M
Net DEX35.2M19.4M46.8M19.4M31.3M
Net VEX-208.2K-246.7K-176.7K-223.6K-176.7K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio2.680.0520.091.710.40
Total Volume502.8552,427797388
Total OI21,476.8514,62825,18921,43515,403

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2024-09-03$125.22$140.0033.0%9.4%76.8%24.4%38.1%-2.5%-2.2%-847.5K19.4M-223.6K1.7185.43N/AN/A29450312,0809,355
2024-09-04$122.43$140.0030.4%8.7%76.9%21.2%30.9%-0.6%-0.8%-1.5M35.5M-198.7K2.8286.11N/AN/A8423712,1939,769
2024-09-05$120.39$140.0039.0%9.2%76.9%27.7%32.6%0.3%3.1%-1.6M38.9M-227.6K1.6584.75N/AN/A9151,51212,42210,238
2024-09-06$120.03$140.0040.9%9.6%76.5%30.3%33.8%0.4%3.7%-1.7M43.8M-246.7K8.1282.34N/AN/A5242213,11611,280
2024-09-09$120.27$140.0042.1%9.6%76.4%31.9%34.7%1.6%2.5%-1.9M43.6M-242.5K0.1380.46N/AN/A1101413,15311,592
2024-09-10$119.43$140.0041.4%9.5%76.3%29.8%33.2%0.8%2.6%-2.0M46.8M-239.6K2.5876.18N/AN/A19951313,22211,594
2024-09-11$121.20$140.0032.1%9.2%75.8%17.2%32.4%-0.4%3.2%-1.8M41.0M-241.5K0.7778.29N/AN/A665113,37211,728
2024-09-12$121.06$140.0032.4%9.3%75.7%17.6%32.5%0.3%3.3%-1.8M40.9M-235.9K5.3078.73N/AN/A3317513,39111,747
2024-09-13$122.24$140.0029.5%8.5%75.9%13.7%29.6%-1.0%6.9%-2.0M39.9M-223.2K0.4379.17N/AN/A1195113,39811,791
2024-09-16$122.67$140.0030.3%8.7%76.0%14.7%29.9%0.3%3.3%-2.0M38.6M-211.8K0.0580.70N/AN/A5322613,34011,808
2024-09-17$122.34$140.0029.8%8.5%75.6%14.1%29.1%-11.5%4.5%-2.0M35.0M-210.4K0.5191.24N/AN/A1748813,57411,477
2024-09-18$120.00$140.0028.7%8.2%75.3%12.5%29.1%-0.5%5.5%-3.4M41.8M-193.9K3.3486.78N/AN/A3210713,62911,331
2024-09-19$120.62$135.0027.1%7.8%75.2%10.4%26.4%6.8%7.8%-3.1M30.6M-189.2K0.2695.46N/AN/A64316413,61510,532
2024-09-20$117.70$135.0019.7%5.6%74.8%0.3%19.8%3.2%8.7%-1.0M40.5M-187.4K2.1598.56N/AN/A35876913,85710,308
2024-09-23$117.27$125.0025.1%7.2%74.7%7.4%25.3%-4.9%7.1%-1.1M23.4M-181.5K0.6993.26N/AN/A1851287,8066,822
2024-09-24$116.41$120.0022.1%6.3%74.6%3.3%22.4%-8.5%8.8%-1.1M28.4M-177.7K0.9298.43N/AN/A1751617,9726,935
2024-09-25$114.55$120.0025.7%7.4%74.5%8.2%24.3%10.5%7.0%-1.0M29.9M-179.0K0.7691.88N/AN/A1341028,0997,005
2024-09-26$116.38$120.0026.0%7.5%22.9%8.7%26.8%-7.1%6.0%-1.1M24.5M-189.3K20.0995.27N/AN/A234628,1537,024
2024-09-27$115.12$120.0027.2%7.8%18.4%10.2%27.0%-6.9%6.6%-1.2M29.3M-187.5K0.9098.25N/AN/A29268,1607,246
2024-09-30$114.63$120.0025.6%7.3%18.3%8.1%25.7%7.7%7.0%-1.3M31.3M-176.7K0.40101.91N/AN/A2781108,1567,247