NBIX Options History — January 2007

In January 2007, NBIX traded between $10.23 and $14.24. ATM implied volatility averaged 55.9%. The 30-day expected move averaged 16.9%. IV traded above realized volatility by 6.7% (HV 20d: 49.2%). Max pain ranged from $5.00 to $10.00. Net GEX was positive for 20 of 20 trading days. Term structure was in contango for 7 of 20 days. Put/call ratio averaged 0.28.

Notable Days

  • 2007-01-23: Highest Volume — 15,501 contracts
  • 2007-01-11: Largest IV spike — 45.2% change
  • 2007-01-19: Largest Expected Move — 18.5%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$12.33$10.23$14.24$10.27$13.98
Max Pain$5.50$5.00$10.00$10.00$5.00
ATM IV55.9%39.9%64.4%55.6%58.1%
Expected Move16.9%15.4%18.5%15.9%16.6%
HV 20d49.2%47.4%51.0%50.1%47.4%
Term Structure-0.8%-7.8%6.8%6.8%-1.5%
VWIV58.7%51.6%65.3%52.1%56.7%
Skew 25d2.5%-12.9%15.4%12.6%5.0%
Skew 10d6.3%-32.7%33.0%18.1%16.0%
Call IV 25d57.6%41.7%66.5%43.5%51.9%
Put IV 25d60.0%49.3%69.1%56.1%56.9%
Bid-Ask Spread %9.473.8315.613.839.15
Gamma HHI0.320.220.620.240.29
Net GEX171.7K35.6K352.3K41.9K275.6K
Net DEX-21.0M-33.0M-10.2M-10.6M-32.1M
Net VEX-93.4K-157.5K-63.2K-65.9K-157.5K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.280.060.920.240.42
Total Volume3,179.9553515,5016361,037
Total OI69,349.142,83882,13977,99361,031

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2007-01-03$10.27$10.0055.6%15.9%0.0%0.0%52.1%12.6%6.8%41.9K-10.6M-65.9K0.243.83N/AN/A51112558,76519,228
2007-01-04$10.23$10.0056.8%16.3%0.0%0.0%56.5%15.4%5.2%35.6K-10.2M-64.4K0.324.91N/AN/A40513058,72319,277
2007-01-05$10.66$5.0047.8%17.4%0.0%0.0%56.4%9.0%-1.4%57.8K-12.6M-64.6K0.206.91N/AN/A65313158,82519,284
2007-01-08$10.33$5.0049.4%17.9%0.0%0.0%61.6%4.2%-2.2%40.6K-11.2M-63.5K0.2313.56N/AN/A60114059,04719,311
2007-01-09$10.45$5.0051.3%18.1%0.0%0.0%65.3%7.0%-2.5%45.1K-11.8M-64.0K0.6813.10N/AN/A55337559,30919,451
2007-01-10$10.70$5.0039.9%18.3%0.0%0.0%63.3%6.7%-5.5%50.7K-13.8M-63.2K0.107.71N/AN/A6366159,60619,804
2007-01-11$11.44$5.0058.0%16.6%0.0%0.0%58.7%1.9%-0.9%126.1K-17.1M-67.9K0.1712.33N/AN/A3,68663359,38119,671
2007-01-12$11.54$5.0055.4%15.9%0.0%0.0%60.0%2.6%1.4%165.4K-17.7M-70.3K0.1213.37N/AN/A1,15414160,07319,644
2007-01-16$11.74$5.0054.9%15.7%0.0%0.0%55.5%2.9%0.5%191.5K-18.6M-70.7K0.9214.57N/AN/A86379460,15319,568
2007-01-17$12.63$5.0053.7%15.4%0.0%0.0%54.1%3.2%2.3%275.4K-22.9M-74.5K0.3115.61N/AN/A3,7331,16260,38820,275
2007-01-18$12.70$5.0057.7%16.5%0.0%0.0%51.6%5.7%-1.6%352.3K-23.7M-78.2K0.0612.50N/AN/A4,18724460,91020,965
2007-01-19$13.10$5.0064.4%18.5%0.0%0.0%64.1%0.4%-7.8%158.6K-26.2M-81.3K0.0912.58N/AN/A4,78140761,01521,124
2007-01-22$12.95$5.0061.1%17.5%0.0%0.0%62.4%-12.9%-2.5%169.6K-19.2M-81.9K0.096.69N/AN/A1,58414132,63210,206
2007-01-23$13.88$5.0059.8%17.1%0.0%0.0%59.3%0.5%-4.8%185.2K-23.2M-87.1K0.476.24N/AN/A10,5344,96732,96310,331
2007-01-24$14.24$5.0062.2%17.8%0.0%0.0%62.6%-6.1%-4.2%254.6K-28.5M-130.6K0.107.20N/AN/A3,56836638,93714,480
2007-01-25$14.02$5.0060.6%17.4%50.1%0.0%59.6%-4.4%-0.1%232.3K-26.5M-130.8K0.0610.68N/AN/A9,34559238,65814,597
2007-01-26$13.75$5.0061.4%17.6%51.0%0.0%62.8%-2.1%-3.4%240.9K-33.0M-146.2K0.526.73N/AN/A1,55080645,64614,971
2007-01-29$13.95$5.0054.9%15.7%49.4%0.0%55.2%3.5%3.5%256.8K-30.5M-150.8K0.085.31N/AN/A1,57513043,30715,614
2007-01-30$14.02$5.0055.2%15.8%48.1%0.0%55.1%-5.9%1.7%278.8K-31.3M-153.6K0.416.52N/AN/A92237644,14915,663
2007-01-31$13.98$5.0058.1%16.6%47.4%0.0%56.7%5.0%-1.5%275.6K-32.1M-157.5K0.429.15N/AN/A72830945,05615,975