NBIX Options History — January 2016

In January 2016, NBIX traded between $41.79 and $52.66. ATM implied volatility averaged 90.0%, placing in the 34.6% IV rank vs the trailing year. The 30-day expected move averaged 23.3%. IV traded above realized volatility by 16.1% (HV 20d: 73.9%). Max pain ranged from $46.00 to $48.00. Net GEX was positive for 17 of 19 trading days. Term structure was in contango for 1 of 19 days. Put/call ratio averaged 1.48.

Notable Days

  • 2016-01-14: Highest Volume — 4,704 contracts
  • 2016-01-13: Largest IV drop — 39.6% change
  • 2016-01-12: Highest IV Rank — 76.9%
  • 2016-01-07: Largest Expected Move — 26.3%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$47.26$41.79$52.66$52.16$42.68
Max Pain$47.42$46.00$48.00$46.00$48.00
ATM IV90.0%74.5%142.7%93.2%83.3%
Expected Move23.3%21.4%26.3%22.5%23.9%
HV 20d73.9%57.2%86.8%59.7%83.7%
HV 60d58.6%51.6%62.8%57.5%61.6%
IV Rank34.6%18.8%76.9%22.1%34.2%
IV Percentile89.9%80.6%99.2%93.7%90.1%
Term Structure-5.6%-12.1%0.9%-4.1%-5.4%
VWIV83.7%75.5%96.4%88.4%76.8%
Skew 25d10.4%3.4%14.7%4.3%11.1%
Skew 10d23.5%0.8%32.2%22.2%24.1%
Call IV 25d79.4%72.3%90.5%85.5%79.1%
Put IV 25d89.9%81.5%98.4%89.8%90.2%
Bid-Ask Spread %54.7637.8262.7461.8662.01
Gamma HHI0.150.100.190.170.12
Net GEX130.7K-12.6K304.2K264.1K15.9K
Net DEX-10.2M-24.9M1.7M-24.4M1.3M
Net VEX-49.9K-63.9K-30.0K-47.5K-52.7K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.480.532.212.211.77
Total Volume2,144.1051,0904,7042,0841,319
Total OI14,382.1588,92521,86916,81610,832

Daily Data (19 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2016-01-04$52.16$46.0093.2%22.5%59.7%22.1%88.4%4.3%-4.1%264.1K-24.4M-47.5K2.2161.86N/AN/A6501,4349,7857,031
2016-01-05$52.66$46.0084.5%23.0%57.2%18.8%90.7%14.0%-3.5%304.2K-24.9M-46.9K2.0361.49N/AN/A6701,3609,8307,049
2016-01-06$50.12$47.00100.6%25.5%58.3%25.0%90.7%9.9%-12.1%210.0K-20.3M-43.7K1.6262.65N/AN/A8381,3599,8847,162
2016-01-07$47.96$47.00116.5%26.3%58.9%31.1%94.6%12.6%-9.1%142.4K-16.2M-39.5K1.8962.74N/AN/A7221,3639,9687,163
2016-01-08$46.37$47.00114.3%23.2%59.2%56.5%96.4%12.4%-3.0%104.5K-11.6M-39.7K1.6459.82N/AN/A8391,3739,9727,166
2016-01-11$44.77$47.00105.3%24.1%58.7%50.0%94.8%3.4%-8.8%-5.9K-8.8M-30.4K1.0954.25N/AN/A1,1781,2869,9147,243
2016-01-12$45.89$46.00142.7%25.1%59.4%76.9%86.1%6.9%-7.3%20.7K-9.7M-30.0K0.5855.71N/AN/A2,8731,67710,1617,496
2016-01-13$41.79$47.0086.3%24.7%67.1%36.3%84.1%13.5%-6.1%-12.6K-3.0M-38.2K0.6637.82N/AN/A2,4091,58911,9587,887
2016-01-14$47.89$48.0078.8%22.6%83.8%31.0%80.4%14.7%-5.8%232.9K-20.4M-50.9K1.6641.22N/AN/A1,7692,93512,6168,321
2016-01-15$47.57$48.0077.9%22.3%81.5%30.3%81.5%12.5%-4.5%125.2K-19.1M-56.4K1.3745.37N/AN/A1,1201,53813,3408,529
2016-01-19$46.29$48.0080.7%23.1%80.2%32.3%79.2%11.5%-3.3%109.0K-3.2M-55.0K0.5347.19N/AN/A1,1375995,2813,644
2016-01-20$49.90$48.0076.3%21.9%85.2%29.2%77.9%10.9%-0.4%188.6K-7.6M-60.5K1.3149.82N/AN/A5657405,6003,689
2016-01-21$49.54$48.0076.4%21.9%85.1%29.3%79.8%10.8%-4.3%189.8K-7.5M-63.2K1.5753.83N/AN/A5148075,7963,939
2016-01-22$50.19$48.0075.9%21.8%85.2%28.9%75.5%9.2%-6.6%204.3K-8.5M-63.9K1.4957.61N/AN/A4626885,8994,198
2016-01-25$48.57$48.0074.5%21.4%86.0%27.9%75.7%9.0%0.9%182.4K-6.6M-62.0K1.5759.56N/AN/A4246665,9674,361
2016-01-26$46.88$48.0078.2%22.4%85.0%30.5%77.0%9.7%-7.6%133.9K-3.7M-58.6K1.5356.28N/AN/A4526905,9834,360
2016-01-27$44.32$48.0081.4%23.3%86.8%32.8%79.6%10.7%-5.6%65.9K-415.0K-55.9K1.8956.84N/AN/A4789026,0314,466
2016-01-28$42.45$48.0083.4%23.9%83.7%34.3%80.5%11.0%-9.2%8.3K1.7M-52.9K1.7954.40N/AN/A4708436,0704,670
2016-01-29$42.68$48.0083.3%23.9%83.7%34.2%76.8%11.1%-5.4%15.9K1.3M-52.7K1.7762.01N/AN/A4768436,1294,703