NBIX Options History — January 2015

In January 2015, NBIX traded between $20.53 and $34.28. ATM implied volatility averaged 104.0%, placing in the 29.3% IV rank vs the trailing year. The 30-day expected move averaged 22.5%. IV traded above realized volatility by 6.4% (HV 20d: 97.6%). Max pain ranged from $16.00 to $17.00. Net GEX was positive for 16 of 20 trading days. Term structure was in contango for 10 of 20 days. Put/call ratio averaged 1.25.

Notable Days

  • 2015-01-08: Highest Volume — 9,845 contracts
  • 2015-01-08: Largest IV drop — 68.5% change
  • 2015-01-02: Highest IV Rank — 100.0%
  • 2015-01-07: Largest Expected Move — 47.9%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$29.50$20.53$34.28$22.79$33.76
Max Pain$16.95$16.00$17.00$16.00$17.00
ATM IV104.0%45.0%295.7%202.4%47.5%
Expected Move22.5%12.9%47.9%36.8%13.6%
HV 20d97.6%76.2%114.8%76.2%93.5%
HV 60d70.3%56.4%74.2%56.4%73.5%
IV Rank29.3%5.0%100.0%100.0%5.9%
IV Percentile67.1%2.4%100.0%100.0%8.7%
Term Structure-10.1%-73.5%10.1%-73.5%9.4%
VWIV80.3%48.8%175.6%147.2%56.8%
Skew 25d16.5%-1.7%58.1%58.1%6.3%
Skew 10d17.0%-43.8%100.4%92.4%31.5%
Call IV 25d70.6%40.1%174.1%174.1%50.6%
Put IV 25d87.1%51.9%232.2%232.2%56.9%
Bid-Ask Spread %76.8252.44100.5152.4483.19
Gamma HHI0.140.110.170.160.15
Net GEX137.8K-177.1K430.0K-125.9K160.0K
Net DEX-29.8M-55.7M-4.6M-13.3M-24.5M
Net VEX-42.7K-80.5K-29.3K-77.7K-35.0K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.250.062.662.251.70
Total Volume3,148.81309,8455,1701,639
Total OI38,414.114,33161,00347,70715,943

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2015-01-02$22.79$16.00202.4%36.8%76.2%100.0%147.2%58.1%-73.5%-125.9K-13.3M-77.7K2.2552.44N/AN/A1,5903,58016,39131,316
2015-01-05$21.40$17.00287.0%44.6%80.2%100.0%164.5%41.6%-52.7%-135.6K-8.2M-75.6K2.6674.01N/AN/A2,1695,76716,58532,803
2015-01-06$20.53$17.00293.6%47.8%81.9%100.0%175.6%40.2%-55.8%-165.2K-4.6M-80.0K1.8477.50N/AN/A1,2052,21317,63136,566
2015-01-07$21.88$17.00295.7%47.9%84.3%100.0%171.6%56.1%-47.5%-177.1K-8.2M-80.5K0.9370.96N/AN/A2,3862,22318,60937,953
2015-01-08$27.48$17.0093.3%22.4%114.8%23.3%72.0%-1.7%-6.6%430.0K-46.6M-32.5K0.7267.95N/AN/A5,7284,11720,47439,305
2015-01-09$28.36$17.0071.5%18.7%110.1%15.0%74.8%18.0%-1.0%338.4K-49.0M-38.3K1.0077.60N/AN/A2,3122,30820,45340,550
2015-01-12$29.57$17.0089.8%20.2%110.3%21.9%60.0%6.2%-7.1%382.4K-49.8M-32.3K0.9075.15N/AN/A2,2732,05119,36340,402
2015-01-13$30.04$17.0073.7%18.1%110.3%15.8%65.7%9.0%4.8%275.0K-51.1M-36.1K1.2467.67N/AN/A1,5801,96019,31140,495
2015-01-14$30.93$17.0073.6%21.1%106.2%15.8%64.5%17.5%-1.8%262.1K-53.9M-30.8K1.6680.97N/AN/A1,4182,35619,38940,591
2015-01-15$30.55$17.0060.5%17.3%106.4%10.8%61.8%6.2%3.2%185.4K-52.7M-31.7K0.9873.48N/AN/A1,7401,70319,40240,791
2015-01-16$31.47$17.0056.8%16.3%103.0%9.5%56.3%10.2%3.7%164.2K-55.7M-29.6K0.0674.67N/AN/A9075319,50240,836
2015-01-20$32.38$17.0055.7%16.0%101.9%9.0%54.1%7.3%3.7%130.6K-21.7M-29.3K0.7371.06N/AN/A8165998,0666,265
2015-01-21$30.93$17.0056.7%16.3%104.1%9.4%53.5%4.6%5.0%145.9K-20.1M-36.1K0.4883.90N/AN/A88428,5166,741
2015-01-22$31.46$17.0057.6%16.5%100.4%9.7%56.0%9.9%1.3%152.5K-20.5M-35.9K2.4272.66N/AN/A6161,4908,5566,772
2015-01-23$31.70$17.0057.1%16.4%93.9%9.6%57.0%5.2%-1.2%141.9K-20.9M-35.6K2.2180.86N/AN/A6601,4568,6056,919
2015-01-26$33.55$17.0063.3%18.2%94.6%11.9%60.9%18.8%-10.8%135.9K-23.3M-31.9K0.2579.86N/AN/A4831208,5846,932
2015-01-27$33.54$17.0051.3%14.7%93.6%7.4%52.2%7.2%8.2%148.7K-23.7M-35.2K0.1183.31N/AN/A150178,7987,031
2015-01-28$33.38$17.0045.0%12.9%93.2%5.0%48.8%3.7%10.1%140.6K-24.1M-36.4K1.33100.51N/AN/A6829098,8327,047
2015-01-29$34.28$17.0048.6%13.9%92.7%6.3%53.3%6.7%7.0%165.8K-25.1M-33.6K1.5688.69N/AN/A6149568,9047,053
2015-01-30$33.76$17.0047.5%13.6%93.5%5.9%56.8%6.3%9.4%160.0K-24.5M-35.0K1.7083.19N/AN/A6081,0318,9127,031