NBIX Options History — January 2011

In January 2011, NBIX traded between $7.03 and $7.67. ATM implied volatility averaged 49.7%, placing in the 9.4% IV rank vs the trailing year. The 30-day expected move averaged 15.6%. IV traded above realized volatility by 12.1% (HV 20d: 37.6%). Max pain ranged from $6.00 to $7.00. Net GEX was positive for 20 of 20 trading days. Term structure was in contango for 19 of 20 days. Put/call ratio averaged 0.78.

Notable Days

  • 2011-01-19: Highest Volume — 2,743 contracts
  • 2011-01-13: Largest IV spike — 54.4% change
  • 2011-01-19: Highest IV Rank — 16.2%
  • 2011-01-10: Largest Expected Move — 17.4%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$7.43$7.03$7.67$7.67$7.38
Max Pain$6.20$6.00$7.00$7.00$6.00
ATM IV49.7%31.1%60.2%44.9%55.0%
Expected Move15.6%12.9%17.4%12.9%15.8%
HV 20d37.6%33.4%41.2%33.4%37.6%
HV 60d46.8%43.2%56.9%56.9%44.0%
IV Rank9.4%0.0%16.2%3.9%13.3%
IV Percentile15.9%0.0%39.7%3.2%25.4%
Term Structure8.5%-0.3%15.5%14.1%4.3%
VWIV52.0%41.9%60.7%41.9%53.6%
Skew 25d6.4%-7.8%22.1%11.6%12.8%
Skew 10d20.2%-3.3%93.5%27.6%20.7%
Call IV 25d48.2%33.7%61.8%40.6%46.2%
Put IV 25d54.7%42.8%63.1%52.2%59.0%
Bid-Ask Spread %76.8968.4290.1588.0277.75
Gamma HHI0.290.230.350.350.28
Net GEX47.2K16.0K61.7K52.4K56.0K
Net DEX-1.3M-1.9M-624.4K-1.4M-1.6M
Net VEX-6.0K-7.8K-3.9K-6.1K-7.2K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.780.006.290.171.00
Total Volume249.8132,7438120
Total OI8,220.057,1099,9567,1099,385

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2011-01-03$7.67$7.0044.9%12.9%33.4%3.9%41.9%11.6%14.1%52.4K-1.4M-6.1K0.1788.02N/AN/A69125,8551,254
2011-01-04$7.21$7.0053.1%15.2%39.6%8.7%47.2%22.1%7.8%39.8K-967.0K-5.3K0.3987.92N/AN/A204795,8811,266
2011-01-05$7.37$7.0052.6%15.1%40.5%8.4%0.0%3.1%8.1%43.3K-1.1M-5.6K0.6787.00N/AN/A24165,9801,344
2011-01-06$7.52$7.0045.5%13.0%41.2%4.3%44.5%0.7%15.5%48.2K-1.2M-5.7K3.9290.15N/AN/A261025,9901,360
2011-01-07$7.49$6.0038.7%15.7%40.9%0.4%56.0%3.4%11.4%43.9K-1.1M-5.3K0.0073.23N/AN/A2606,0151,457
2011-01-10$7.52$6.0031.1%17.4%38.5%0.0%60.7%4.5%5.5%47.5K-1.2M-5.4K0.1970.81N/AN/A2656,0301,457
2011-01-11$7.44$6.0035.5%16.2%38.6%2.5%56.3%2.9%11.8%42.8K-1.1M-4.9K0.0973.58N/AN/A120116,0531,462
2011-01-12$7.59$6.0035.3%16.9%37.2%2.3%54.8%-7.6%7.0%54.3K-1.3M-5.3K0.0068.42N/AN/A10306,1191,462
2011-01-13$7.64$6.0054.5%15.6%37.4%13.0%54.4%-7.8%12.0%59.6K-1.3M-5.0K0.0069.09N/AN/A3106,2011,462
2011-01-14$7.55$6.0055.7%16.0%35.9%13.7%55.7%-5.3%11.5%52.5K-1.2M-4.9K0.0075.81N/AN/A0136,2111,462
2011-01-18$7.34$6.0058.2%16.7%35.2%15.1%54.3%20.7%11.3%34.0K-968.5K-4.2K0.9372.17N/AN/A1101026,1911,475
2011-01-19$7.03$6.0060.2%17.2%36.3%16.2%45.6%14.5%7.0%16.0K-624.4K-3.9K0.0274.03N/AN/A2,698456,2281,577
2011-01-20$7.19$6.0056.5%16.2%36.3%14.1%56.7%-0.2%10.0%35.9K-1.4M-7.3K6.2973.10N/AN/A7448,3141,622
2011-01-21$7.18$6.0055.6%15.9%36.2%13.6%0.0%-4.5%10.2%33.8K-1.4M-7.3K0.0070.82N/AN/A01508,3171,639
2011-01-24$7.30$6.0051.0%14.6%36.1%11.1%50.8%1.5%5.6%47.9K-1.4M-6.9K0.0070.39N/AN/A43507,5521,314
2011-01-25$7.58$6.0052.3%15.0%39.2%11.8%52.4%13.6%7.8%59.9K-1.8M-7.7K0.2777.92N/AN/A63177,7061,314
2011-01-26$7.57$6.0051.8%14.8%37.4%11.5%44.1%12.6%2.8%59.7K-1.8M-7.7K0.0678.92N/AN/A13187,7351,326
2011-01-27$7.56$6.0054.5%15.6%37.4%13.0%54.5%17.5%-0.3%61.7K-1.9M-7.8K0.0078.87N/AN/A12207,8331,317
2011-01-28$7.42$6.0052.9%15.2%37.6%12.1%53.6%12.8%6.6%55.5K-1.6M-7.4K0.0079.74N/AN/A17707,9181,317
2011-01-31$7.38$6.0055.0%15.8%37.6%13.3%0.0%12.8%4.3%56.0K-1.6M-7.2K1.0077.75N/AN/A10108,0681,317