NBIX Options History — January 2013

In January 2013, NBIX traded between $8.14 and $9.24. ATM implied volatility averaged 43.7%, placing in the 18.8% IV rank vs the trailing year. The 30-day expected move averaged 13.0%. IV traded above realized volatility by 6.4% (HV 20d: 37.3%). Max pain ranged from $7.00 to $8.00. Net GEX was positive for 21 of 21 trading days. Term structure was in contango for 16 of 21 days. Put/call ratio averaged 0.33.

Notable Days

  • 2013-01-29: Highest Volume — 775 contracts
  • 2013-01-04: Largest IV drop — 21.2% change
  • 2013-01-22: Highest IV Rank — 25.9%
  • 2013-01-07: Largest Expected Move — 14.1%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$8.80$8.14$9.24$8.14$9.06
Max Pain$7.29$7.00$8.00$7.00$8.00
ATM IV43.7%36.5%48.8%48.0%44.5%
Expected Move13.0%12.0%14.1%13.8%12.8%
HV 20d37.3%24.9%39.5%38.8%24.9%
HV 60d34.1%32.1%37.1%37.1%33.2%
IV Rank18.8%8.7%25.9%24.8%19.9%
IV Percentile31.2%2.8%59.5%56.0%33.7%
Term Structure6.0%-5.5%13.6%6.4%-2.8%
VWIV46.0%38.6%62.3%47.7%44.6%
Skew 25d9.2%-3.4%22.1%2.7%6.5%
Skew 10d9.9%-3.7%27.2%10.8%-3.7%
Call IV 25d36.7%28.3%52.4%52.4%30.6%
Put IV 25d45.9%34.7%55.1%55.1%37.1%
Bid-Ask Spread %42.3617.3599.1424.3299.14
Gamma HHI0.440.250.730.680.25
Net GEX36.1K24.3K52.8K37.5K36.7K
Net DEX-1.6M-2.3M-978.4K-978.4K-1.7M
Net VEX-4.5K-6.5K-3.6K-4.4K-6.5K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.330.001.290.000.49
Total Volume199.52417775600103
Total OI4,374.6673,6455,3573,7845,357

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2013-01-02$8.14$7.0048.0%13.8%38.8%24.8%47.7%2.7%6.4%37.5K-978.4K-4.4K0.0024.32N/AN/A60002,7721,012
2013-01-03$8.22$7.0046.4%13.3%38.9%22.5%46.7%-3.4%4.5%43.9K-1.2M-4.4K0.0019.26N/AN/A4003,0361,012
2013-01-04$8.37$7.0036.5%13.8%39.1%8.7%48.5%18.2%8.0%45.6K-1.4M-4.2K0.1329.02N/AN/A143193,0671,012
2013-01-07$8.38$7.0040.2%14.1%39.1%13.8%44.8%14.7%9.2%50.9K-1.4M-4.2K0.0025.89N/AN/A1703,1781,008
2013-01-08$8.36$7.0036.7%13.5%38.9%8.9%43.9%12.3%11.8%52.8K-1.5M-4.2K1.2833.12N/AN/A47603,1951,008
2013-01-09$8.57$7.0041.8%12.9%39.5%16.0%45.3%8.0%11.3%42.2K-1.5M-4.2K0.4832.51N/AN/A21103,2221,063
2013-01-10$8.65$7.0043.5%12.5%38.3%18.4%44.1%11.9%11.6%45.1K-1.7M-4.1K0.0029.38N/AN/A7003,2321,073
2013-01-11$8.66$7.0041.9%12.0%38.3%16.2%38.6%13.3%13.6%45.8K-1.7M-4.0K0.3128.81N/AN/A65203,3021,073
2013-01-14$8.87$7.0044.8%12.9%38.5%20.3%45.7%22.1%9.3%27.8K-2.0M-3.6K0.0023.99N/AN/A16803,3271,093
2013-01-15$8.91$7.0042.4%12.1%38.5%16.8%42.4%8.0%13.5%25.1K-2.1M-3.9K0.1527.61N/AN/A101153,4711,093
2013-01-16$8.83$7.0042.8%12.3%38.8%17.4%43.9%7.5%13.0%27.6K-2.1M-4.1K0.3225.29N/AN/A31103,5721,098
2013-01-17$9.06$7.0044.7%12.8%39.3%20.1%0.0%6.7%10.8%24.9K-2.2M-4.0K0.0024.17N/AN/A2003,5251,108
2013-01-18$9.20$7.0048.3%13.8%38.5%25.1%46.8%9.0%8.5%24.3K-2.3M-4.0K0.0320.70N/AN/A368103,5451,108
2013-01-22$9.24$7.0048.8%14.0%37.7%25.9%48.1%9.9%-0.8%29.3K-1.4M-4.1K0.4234.56N/AN/A230972,6071,038
2013-01-23$9.19$7.0043.4%12.4%37.7%18.3%39.5%11.5%2.6%33.1K-1.5M-4.4K1.2998.06N/AN/A1391802,8261,125
2013-01-24$9.14$8.0045.0%12.9%38.0%20.6%45.1%-0.7%1.9%30.6K-1.4M-4.5K0.0717.35N/AN/A336252,8671,245
2013-01-25$9.00$8.0045.4%13.0%36.0%21.1%45.4%6.4%2.1%31.8K-1.4M-5.0K0.1196.89N/AN/A228253,0411,245
2013-01-28$9.08$8.0045.4%13.0%34.4%21.2%50.3%20.2%-0.4%33.8K-1.5M-5.3K1.2062.50N/AN/A15183,2601,270
2013-01-29$9.12$8.0043.2%12.4%33.0%18.1%62.3%7.8%-2.2%34.0K-1.6M-5.2K0.3598.23N/AN/A5752003,2551,288
2013-01-30$8.80$8.0044.4%12.7%36.8%19.8%44.6%-0.1%-5.5%35.8K-1.4M-6.4K0.3538.72N/AN/A136483,7511,488
2013-01-31$9.06$8.0044.5%12.8%24.9%19.9%0.0%6.5%-2.8%36.7K-1.7M-6.5K0.4999.14N/AN/A69343,8281,529