NBIX Options History — January 2017

In January 2017, NBIX traded between $38.55 and $45.07. ATM implied volatility averaged 66.9%, placing in the 41.3% IV rank vs the trailing year. The 30-day expected move averaged 19.8%. IV traded above realized volatility by 12.2% (HV 20d: 54.6%). Max pain ranged from $39.00 to $45.00. Net GEX was positive for 9 of 20 trading days. Term structure was in contango for 16 of 20 days. Put/call ratio averaged 0.84.

Notable Days

  • 2017-01-13: Highest Volume — 12,517 contracts
  • 2017-01-27: Largest IV spike — 45.4% change
  • 2017-01-17: Highest IV Rank — 72.7%
  • 2017-01-05: Largest Expected Move — 26.2%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$41.26$38.55$45.07$38.55$42.97
Max Pain$44.40$39.00$45.00$39.00$45.00
ATM IV66.9%54.3%86.9%70.6%55.7%
Expected Move19.8%15.6%26.2%20.2%16.0%
HV 20d54.6%40.0%62.4%40.0%62.4%
HV 60d55.9%51.4%58.8%51.4%58.8%
IV Rank41.3%25.5%72.7%35.3%31.9%
IV Percentile72.7%43.3%95.6%83.3%47.6%
Term Structure7.8%-12.4%29.7%22.7%12.4%
VWIV70.5%54.7%91.0%70.0%70.1%
Skew 25d12.3%-3.3%41.4%-0.1%26.5%
Skew 10d18.3%-3.2%45.4%-3.2%8.2%
Call IV 25d64.7%45.2%89.0%71.5%66.8%
Put IV 25d76.9%54.0%107.8%71.4%93.3%
Bid-Ask Spread %77.9740.5097.6361.2997.11
Gamma HHI0.150.100.280.220.12
Net GEX101.3K-146.3K991.3K-146.3K-87.3K
Net DEX-228.1K-11.3M7.3M7.3M1.3M
Net VEX-58.2K-75.9K-43.1K-55.4K-43.9K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.840.191.770.681.03
Total Volume3,368.21,57612,5171,7561,876
Total OI19,521.9511,55333,16915,83212,718

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2017-01-03$38.55$39.0070.6%20.2%40.0%35.3%70.0%-0.1%22.7%-146.3K7.3M-55.4K0.6861.29N/AN/A1,0477098,3027,530
2017-01-04$41.40$39.0072.1%20.7%48.4%36.5%72.2%-0.6%29.7%-21.4K2.5M-60.0K0.1961.34N/AN/A3,1455868,5587,692
2017-01-05$41.46$45.0065.8%26.2%46.1%30.9%91.0%7.1%3.9%107.2K-2.5M-69.7K0.3640.50N/AN/A2,59594010,5917,763
2017-01-06$44.20$45.0059.7%18.8%49.0%25.5%65.7%23.6%14.6%213.6K-8.3M-69.3K0.6373.83N/AN/A1,6831,06310,8168,150
2017-01-09$45.07$45.0062.5%19.3%48.0%27.9%74.8%7.7%7.3%319.8K-11.3M-67.5K0.4474.82N/AN/A1,70174210,9658,164
2017-01-10$42.68$45.0067.9%21.4%52.3%32.8%72.8%11.2%5.3%275.0K-8.2M-71.1K0.6281.06N/AN/A2,3371,45511,1878,264
2017-01-11$40.69$45.0073.6%21.1%54.9%38.0%76.7%-3.3%-0.5%-77.7K2.2M-66.9K0.8382.86N/AN/A1,9651,62911,5009,247
2017-01-12$41.10$45.0075.1%21.5%54.0%57.2%83.7%35.9%2.7%20.2K1.1M-72.7K0.4980.24N/AN/A2,2751,10612,1369,827
2017-01-13$42.26$45.0079.2%22.7%55.0%62.5%81.5%27.9%7.1%187.6K-4.9M-75.9K0.2872.81N/AN/A9,7562,76113,1519,924
2017-01-17$40.18$45.0086.9%24.9%57.7%72.7%91.0%22.4%-2.6%479.4K-2.8M-73.8K1.7784.69N/AN/A1,2122,14321,51011,262
2017-01-18$42.18$45.0074.2%21.3%60.0%56.0%66.6%14.1%8.9%991.3K-9.4M-59.1K1.3373.38N/AN/A3,1384,17121,73411,435
2017-01-19$41.69$45.0060.8%17.4%57.6%38.5%67.0%4.8%15.6%501.2K-3.1M-54.9K0.5587.62N/AN/A2,3081,26722,53010,025
2017-01-20$41.17$45.0061.4%17.6%57.1%39.3%61.3%0.9%11.4%-127.2K-2.1M-52.7K0.4872.68N/AN/A2,06899322,53510,051
2017-01-23$39.04$45.0063.5%18.2%59.3%42.0%61.4%7.2%1.8%-71.1K4.6M-45.9K1.4477.31N/AN/A6459315,9115,642
2017-01-24$40.23$45.0058.8%16.9%59.0%35.9%66.8%41.4%-0.8%-144.7K6.9M-43.1K1.1597.63N/AN/A9631,1086,0675,867
2017-01-25$40.12$45.0059.1%17.0%58.8%36.3%62.7%10.9%9.9%-113.7K5.9M-45.9K1.1988.45N/AN/A7929436,3285,897
2017-01-26$39.84$45.0054.3%15.6%57.7%30.0%54.7%-0.5%10.1%-99.8K5.9M-46.1K1.1479.31N/AN/A8269436,3395,919
2017-01-27$40.35$45.0079.0%22.6%57.6%62.3%62.8%7.5%-12.4%-92.0K4.3M-46.0K1.1483.63N/AN/A7969066,4025,919
2017-01-30$40.02$45.0057.5%16.5%57.7%34.2%58.1%1.2%7.9%-88.9K5.9M-44.1K1.1088.82N/AN/A8789626,6315,950
2017-01-31$42.97$45.0055.7%16.0%62.4%31.9%70.1%26.5%12.4%-87.3K1.3M-43.9K1.0397.11N/AN/A9239536,7156,003