NBIX Options History — January 2014

In January 2014, NBIX traded between $9.55 and $19.65. ATM implied volatility averaged 68.4%, placing in the 27.7% IV rank vs the trailing year. The 30-day expected move averaged 18.3%. IV traded below realized volatility by 133.3% (HV 20d: 201.7%). Max pain ranged from $8.00 to $8.00. Net GEX was positive for 20 of 21 trading days. Term structure was in contango for 8 of 21 days. Put/call ratio averaged 2.01.

Notable Days

  • 2014-01-07: Highest Volume — 21,290 contracts
  • 2014-01-08: Largest IV drop — 16.7% change
  • 2014-01-07: Highest IV Rank — 46.7%
  • 2014-01-03: Largest Expected Move — 19.4%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$17.22$9.55$19.65$9.55$17.09
Max Pain$8.00$8.00$8.00$8.00$8.00
ATM IV68.4%56.2%95.4%88.9%61.3%
Expected Move18.3%17.2%19.4%18.9%18.8%
HV 20d201.7%33.4%232.1%33.8%232.1%
HV 60d122.4%36.8%137.5%38.5%136.1%
IV Rank27.7%19.2%46.7%42.2%22.8%
IV Percentile81.9%67.1%93.3%93.3%81.0%
Term Structure-2.7%-25.8%3.9%-25.8%-1.5%
VWIV65.1%58.3%71.8%71.8%65.7%
Skew 25d0.7%-13.1%4.0%-13.1%1.1%
Skew 10d0.6%-49.8%33.8%-26.3%28.3%
Call IV 25d63.5%56.3%92.1%92.1%61.6%
Put IV 25d64.2%58.1%79.1%79.1%62.7%
Bid-Ask Spread %67.0738.4683.9968.2466.03
Gamma HHI0.210.130.330.300.16
Net GEX104.5K-106.8K187.0K122.2K70.2K
Net DEX-14.6M-22.3M-3.1M-3.1M-10.2M
Net VEX-34.3K-42.6K-19.6K-20.0K-35.6K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio2.010.1020.900.211.04
Total Volume1,93110021,290126100
Total OI22,566.1914,09530,38414,09520,438

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2014-01-02$9.55$8.0088.9%18.9%33.8%42.2%0.0%-13.1%-25.8%122.2K-3.1M-20.0K0.2168.24N/AN/A1042212,3631,732
2014-01-03$9.65$8.0086.7%19.4%34.0%40.6%0.0%-12.8%-22.1%133.9K-3.5M-20.5K1.0263.81N/AN/A63464712,4131,754
2014-01-06$9.76$8.0090.3%18.5%33.4%43.1%0.0%2.2%-3.4%140.5K-3.5M-22.2K0.2375.17N/AN/A2315412,7562,391
2014-01-07$18.51$8.0095.4%18.6%229.5%46.7%71.8%4.0%-4.9%60.7K-21.1M-19.6K1.3938.46N/AN/A8,92512,36512,8732,443
2014-01-08$18.08$8.0079.5%17.8%230.2%35.5%0.0%3.4%1.6%-106.8K-15.8M-32.6K0.3365.57N/AN/A3,2551,08012,67813,505
2014-01-09$18.29$8.0078.6%18.1%229.4%34.9%0.0%2.3%-3.1%8.3K-18.0M-42.0K0.3855.56N/AN/A1,48555814,94714,008
2014-01-10$19.15$8.0068.6%17.8%228.7%27.9%67.1%1.7%-2.0%94.8K-21.0M-42.6K0.5153.59N/AN/A45523315,78414,297
2014-01-13$18.65$8.0070.0%17.6%229.6%28.9%58.3%2.2%-1.7%80.9K-19.7M-41.7K0.7859.30N/AN/A32025015,86314,378
2014-01-14$19.39$8.0067.9%18.4%228.6%27.4%0.0%1.4%-2.2%143.8K-22.3M-40.4K0.9477.08N/AN/A39637315,96014,424
2014-01-15$19.16$8.0064.5%17.2%229.1%25.0%0.0%3.3%-0.9%127.9K-20.6M-40.6K0.1063.25N/AN/A3053215,61814,501
2014-01-16$19.59$8.0056.2%17.9%227.8%19.2%0.0%1.0%2.3%143.4K-21.9M-38.4K0.3569.52N/AN/A37513215,55414,515
2014-01-17$19.65$8.0058.2%18.1%227.9%20.6%64.7%3.0%-0.6%187.0K-21.9M-37.7K1.6064.00N/AN/A29046515,26614,571
2014-01-21$19.36$8.0057.8%17.5%228.1%20.3%0.0%-1.7%3.9%141.1K-15.7M-35.9K20.9082.77N/AN/A1493,11412,3809,193
2014-01-22$19.00$8.0057.2%17.9%228.8%19.9%0.0%2.0%1.2%149.4K-14.9M-36.5K5.6064.80N/AN/A2601,45612,4647,403
2014-01-23$19.15$8.0057.2%17.7%228.6%19.9%0.0%2.0%2.2%168.7K-15.3M-36.7K0.2283.99N/AN/A2776112,5516,683
2014-01-24$18.10$8.0058.5%19.3%230.5%20.8%63.1%3.1%-0.5%132.0K-12.7M-36.5K0.4577.34N/AN/A25511612,7166,568
2014-01-27$17.36$8.0060.9%18.3%231.2%22.5%0.0%3.0%-1.2%96.1K-10.9M-35.2K2.5779.94N/AN/A10126012,7406,631
2014-01-28$17.81$8.0060.0%18.6%230.8%21.9%0.0%0.9%0.6%116.2K-11.9M-35.1K0.1758.54N/AN/A4297412,8096,759
2014-01-29$17.20$8.0059.7%18.9%231.9%21.7%65.7%3.0%1.6%92.0K-10.8M-35.2K1.2083.13N/AN/A9611513,0726,833
2014-01-30$17.12$8.0058.1%18.7%231.8%20.6%0.0%2.1%0.4%92.2K-10.8M-34.4K2.1858.44N/AN/A22148113,1606,896
2014-01-31$17.09$8.0061.3%18.8%232.1%22.8%0.0%1.1%-1.5%70.2K-10.2M-35.6K1.0466.03N/AN/A495113,0997,339