NBIX Options History — January 2009

In January 2009, NBIX traded between $3.07 and $3.86. ATM implied volatility averaged 103.8%, placing in the 45.6% IV rank vs the trailing year. The 30-day expected move averaged 32.6%. IV traded below realized volatility by 17.0% (HV 20d: 120.8%). Max pain ranged from $2.50 to $5.00. Net GEX was positive for 20 of 20 trading days. Term structure was in contango for 6 of 20 days. Put/call ratio averaged 0.33.

Notable Days

  • 2009-01-02: Highest Volume — 125 contracts
  • 2009-01-07: Largest IV spike — 40.7% change
  • 2009-01-14: Highest IV Rank — 63.1%
  • 2009-01-05: Largest Expected Move — 43.4%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$3.38$3.07$3.86$3.27$3.32
Max Pain$2.63$2.50$5.00$5.00$2.50
ATM IV103.8%81.6%132.5%127.1%92.5%
Expected Move32.6%24.2%43.4%36.4%26.5%
HV 20d120.8%95.4%129.4%129.4%95.4%
HV 60d159.5%157.6%163.4%163.4%157.9%
IV Rank45.6%32.0%63.1%59.8%38.7%
IV Percentile77.5%53.6%94.4%93.3%69.8%
Term Structure-12.6%-42.0%34.3%34.3%-33.1%
VWIV129.9%106.0%166.6%166.6%106.0%
Skew 25d2.6%-43.3%49.6%49.6%-14.4%
Skew 10d14.3%-46.4%68.0%60.9%-11.1%
Call IV 25d113.1%73.4%145.7%85.6%85.8%
Put IV 25d115.7%71.4%150.7%135.2%71.4%
Bid-Ask Spread %32.037.0161.137.0118.07
Gamma HHI0.180.130.280.230.18
Net GEX2.2K1.1K4.5K4.5K2.1K
Net DEX-40.6K-133.7K140.6K38.4K-88.0K
Net VEX-3.4K-4.4K-2.6K-4.0K-3.0K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.330.003.000.130.00
Total Volume49.801251254
Total OI11,759.255,01717,43317,4175,207

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2009-01-02$3.27$5.00127.1%36.4%129.4%59.8%166.6%49.6%34.3%4.5K38.4K-4.0K0.137.01N/AN/A1111414,9082,509
2009-01-05$3.45$2.50113.4%43.4%128.7%51.4%0.0%22.4%-40.7%1.1K140.6K-3.1K0.0018.73N/AN/A106014,9192,514
2009-01-06$3.86$2.5081.6%34.4%128.3%32.0%120.4%27.2%-24.7%2.7K14.5K-4.4K0.0021.18N/AN/A93014,8492,514
2009-01-07$3.65$2.50114.8%42.0%128.8%52.3%0.0%24.6%-41.7%2.4K26.5K-4.1K0.1125.15N/AN/A75814,8502,496
2009-01-08$3.50$2.50114.8%42.8%122.6%52.3%0.0%26.0%-42.0%2.5K33.3K-4.0K0.0059.77N/AN/A10014,8972,496
2009-01-09$3.29$2.50118.2%41.1%122.4%54.4%0.0%-0.4%-39.2%2.4K-30.1K-3.7K0.0061.13N/AN/A0014,8942,279
2009-01-12$3.18$2.5098.7%40.8%121.4%42.4%0.0%-9.0%-34.8%2.1K-15.0K-3.4K0.0059.36N/AN/A5014,8942,279
2009-01-13$3.34$2.50124.2%37.3%119.5%58.0%0.0%-8.9%-21.2%2.6K-61.6K-3.9K0.0058.03N/AN/A0014,8992,279
2009-01-14$3.23$2.50132.5%33.0%118.5%63.1%0.0%-23.9%1.6%1.6K16.6K-2.6K0.0045.42N/AN/A0014,8982,018
2009-01-15$3.33$2.5093.8%26.9%117.4%39.5%0.0%-16.8%32.2%1.7K-127.0K-3.6K0.6757.92N/AN/A583914,8981,971
2009-01-16$3.31$2.5096.2%27.6%117.2%40.9%0.0%10.0%24.4%1.7K-133.7K-3.6K0.1321.01N/AN/A30414,8741,971
2009-01-20$3.07$2.50111.4%31.9%120.3%50.2%126.7%-20.7%-0.4%2.2K-61.7K-3.3K0.2429.60N/AN/A63153,8041,213
2009-01-21$3.39$2.50102.4%29.4%125.4%44.7%106.0%-11.1%-12.4%2.3K-80.2K-3.3K1.3631.78N/AN/A47643,8441,194
2009-01-22$3.12$2.50100.4%28.8%129.2%43.5%0.0%39.4%33.1%2.1K-61.2K-3.0K3.0030.08N/AN/A10303,8701,194
2009-01-23$3.12$2.50102.1%29.3%126.6%44.6%0.0%39.9%16.8%2.0K-53.8K-3.0K0.0030.73N/AN/A2003,8801,224
2009-01-26$3.49$2.5084.6%24.2%123.7%33.8%0.0%-5.1%-21.8%2.1K-83.7K-3.2K0.0016.08N/AN/A503,9001,224
2009-01-27$3.55$2.5087.3%25.0%123.6%35.5%0.0%2.0%-32.6%2.0K-77.4K-3.2K0.0016.52N/AN/A12103,9051,224
2009-01-28$3.52$2.5085.9%24.6%116.4%34.7%0.0%-34.8%-18.4%2.2K-98.8K-3.2K0.0016.70N/AN/A4804,0021,199
2009-01-29$3.51$2.5093.8%26.9%101.0%39.5%0.0%-43.3%-31.2%2.3K-109.7K-3.3K0.0016.37N/AN/A1603,9961,199
2009-01-30$3.32$2.5092.5%26.5%95.4%38.7%0.0%-14.4%-33.1%2.1K-88.0K-3.0K0.0018.07N/AN/A404,0081,199