NBIX Options History — January 2012

In January 2012, NBIX traded between $8.09 and $9.30. ATM implied volatility averaged 41.8%, placing in the 30.4% IV rank vs the trailing year. The 30-day expected move averaged 12.3%. IV traded above realized volatility by 8.8% (HV 20d: 33.0%). 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 17 of 20 days. Put/call ratio averaged 0.11.

Notable Days

  • 2012-01-23: Highest Volume — 1,188 contracts
  • 2012-01-09: Largest IV spike — 28.2% change
  • 2012-01-20: Highest IV Rank — 38.9%
  • 2012-01-09: Largest Expected Move — 14.2%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$8.47$8.09$9.30$8.55$9.30
Max Pain$6.85$6.00$7.00$6.00$7.00
ATM IV41.8%34.9%47.6%34.9%38.8%
Expected Move12.3%10.0%14.2%10.0%11.1%
HV 20d33.0%28.7%38.6%28.7%38.3%
HV 60d48.8%37.2%52.8%52.8%37.2%
IV Rank30.4%20.1%38.9%20.1%25.8%
IV Percentile28.5%5.6%52.4%5.6%15.1%
Term Structure4.0%-2.5%10.4%6.3%8.2%
VWIV43.2%36.6%51.5%37.2%37.8%
Skew 25d5.8%-10.6%15.0%-10.6%10.2%
Skew 10d3.4%-10.2%18.1%1.9%-2.1%
Call IV 25d36.4%25.8%43.4%40.5%26.5%
Put IV 25d42.2%29.9%50.3%29.9%36.6%
Bid-Ask Spread %99.0890.62109.80108.53100.70
Gamma HHI0.420.340.600.420.43
Net GEX42.8K36.6K59.9K40.2K59.9K
Net DEX-1.6M-3.1M-1.1M-1.6M-3.1M
Net VEX-3.4K-4.3K-3.0K-3.3K-4.3K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.110.000.970.970.03
Total Volume295.2591,188433196
Total OI4,009.73,5145,3853,5145,385

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2012-01-03$8.55$6.0034.9%10.0%28.7%20.1%37.2%-10.6%6.3%40.2K-1.6M-3.3K0.97108.53N/AN/A2202132,952562
2012-01-04$8.32$6.0042.8%12.3%31.4%31.8%41.1%3.9%8.9%38.0K-1.4M-3.6K0.00109.80N/AN/A5802,953741
2012-01-05$8.26$6.0039.5%11.3%31.8%26.9%39.4%-3.9%9.3%38.0K-1.3M-3.6K0.14108.93N/AN/A91132,959741
2012-01-06$8.17$7.0035.7%13.5%32.0%21.3%44.0%8.3%1.0%38.3K-1.2M-3.5K0.1494.84N/AN/A99142,950752
2012-01-09$8.33$7.0045.8%14.2%32.3%36.3%42.5%2.1%-2.5%37.4K-1.4M-3.5K0.3097.24N/AN/A56172,976766
2012-01-10$8.42$7.0039.5%14.1%31.0%26.9%49.0%2.6%-2.3%40.2K-1.4M-3.5K0.0093.31N/AN/A903,022783
2012-01-11$8.57$7.0046.2%12.5%31.3%36.8%44.5%8.8%0.1%39.5K-1.6M-3.4K0.0090.62N/AN/A5003,031783
2012-01-12$8.66$7.0044.2%12.7%31.3%33.9%45.0%5.2%4.3%40.0K-1.7M-3.3K0.0091.39N/AN/A5203,056783
2012-01-13$8.61$7.0043.2%12.4%31.3%32.4%47.9%11.4%3.9%41.5K-1.7M-3.3K0.0099.87N/AN/A4203,090783
2012-01-17$8.53$7.0043.6%12.5%31.8%33.0%51.5%11.3%0.7%41.2K-1.6M-3.1K0.0097.45N/AN/A4803,101783
2012-01-18$8.64$7.0044.0%12.6%31.3%33.6%47.2%8.5%2.3%42.9K-1.7M-3.0K0.0097.32N/AN/A3703,108783
2012-01-19$8.11$7.0045.6%13.1%38.6%36.0%45.3%2.8%1.6%51.1K-1.3M-3.0K0.2497.08N/AN/A5821393,108783
2012-01-20$8.14$7.0047.6%13.6%32.8%38.9%45.5%3.8%-0.3%45.9K-1.3M-3.2K0.3396.44N/AN/A60203,158843
2012-01-23$8.09$7.0042.1%12.1%32.9%30.8%41.9%14.0%7.2%36.6K-1.1M-3.0K0.0596.09N/AN/A1,135532,810811
2012-01-24$8.10$7.0036.6%10.5%32.9%22.7%36.6%13.4%10.4%40.8K-1.2M-3.5K0.0197.86N/AN/A30943,169864
2012-01-25$8.17$7.0038.5%11.0%33.0%25.5%38.3%15.0%5.6%42.8K-1.3M-3.5K0.04100.86N/AN/A545203,227866
2012-01-26$8.43$7.0037.5%10.7%33.2%23.9%38.2%0.7%9.8%43.0K-1.6M-3.6K0.00101.33N/AN/A52703,438886
2012-01-27$8.78$7.0045.0%12.9%35.8%35.1%44.9%0.5%3.3%49.6K-2.1M-3.9K0.03101.12N/AN/A399103,759886
2012-01-30$9.23$7.0045.7%13.1%38.6%36.0%45.3%9.0%1.6%49.1K-2.7M-3.6K0.01100.88N/AN/A875123,847896
2012-01-31$9.30$7.0038.8%11.1%38.3%25.8%37.8%10.2%8.2%59.9K-3.1M-4.3K0.03100.70N/AN/A19154,489896