NBIX Options History — January 2018

In January 2018, NBIX traded between $75.93 and $90.78. ATM implied volatility averaged 42.3%, placing in the 8.8% IV rank vs the trailing year. The 30-day expected move averaged 12.3%. IV traded below realized volatility by 2.0% (HV 20d: 44.2%). Max pain ranged from $60.00 to $70.00. Net GEX was positive for 21 of 21 trading days. Term structure was in contango for 9 of 21 days. Put/call ratio averaged 1.14.

Notable Days

  • 2018-01-29: Highest Volume — 3,791 contracts
  • 2018-01-16: Largest IV spike — 22.0% change
  • 2018-01-31: Highest IV Rank — 17.0%
  • 2018-01-31: Largest Expected Move — 14.4%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$82.55$75.93$90.78$79.01$85.55
Max Pain$63.57$60.00$70.00$70.00$65.00
ATM IV42.3%37.0%50.2%39.4%50.2%
Expected Move12.3%10.6%14.4%11.3%14.4%
HV 20d44.2%33.5%53.1%33.5%53.1%
HV 60d50.6%41.0%54.0%47.0%41.0%
IV Rank8.8%3.4%17.0%5.9%17.0%
IV Percentile25.3%5.6%67.1%11.9%67.1%
Term Structure-0.3%-4.2%4.9%3.3%-0.1%
VWIV43.0%37.2%52.7%38.4%52.7%
Skew 25d4.5%1.9%7.8%4.0%4.5%
Skew 10d9.5%1.4%16.5%9.6%11.9%
Call IV 25d41.4%35.2%48.0%38.2%48.0%
Put IV 25d45.9%39.0%54.0%42.2%52.5%
Bid-Ask Spread %64.1626.8395.5252.1454.56
Gamma HHI0.300.210.520.210.21
Net GEX1.1M281.6K1.8M281.6K1.4M
Net DEX-40.2M-70.7M-18.3M-25.3M-53.8M
Net VEX-166.9K-226.3K-89.2K-89.2K-226.3K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.140.372.630.661.78
Total Volume2,520.5241,1153,7913,0262,150
Total OI18,869.61911,96123,04511,96122,325

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2018-01-02$79.01$70.0039.4%11.3%33.5%5.9%38.4%4.0%3.3%281.6K-25.3M-89.2K0.6652.14N/AN/A1,8191,2075,5846,377
2018-01-03$82.98$70.0037.2%10.7%35.5%3.6%40.5%5.1%4.9%800.2K-35.1M-96.0K1.7366.21N/AN/A8081,3986,9016,427
2018-01-04$80.14$60.0041.9%12.9%37.8%8.4%45.8%6.6%-3.2%687.2K-27.7M-111.2K1.0444.08N/AN/A5465697,1136,665
2018-01-05$81.64$60.0043.5%12.7%37.2%10.1%45.6%4.5%-2.2%751.5K-31.7M-109.9K0.3770.89N/AN/A1,1234107,1476,746
2018-01-08$77.69$60.0046.4%13.8%41.0%13.2%47.2%4.2%-3.5%626.5K-23.1M-110.2K0.9788.27N/AN/A1,6621,6097,7856,746
2018-01-09$79.51$60.0039.5%12.8%41.3%6.0%45.3%6.7%-2.6%992.3K-26.2M-144.5K0.8551.83N/AN/A1,6781,4188,8358,010
2018-01-10$79.93$60.0041.9%12.0%37.4%8.5%43.4%5.0%1.2%1.3M-30.7M-149.8K2.6374.71N/AN/A9152,4069,9118,095
2018-01-11$79.03$60.0040.5%11.6%37.8%7.0%40.6%3.0%0.3%1.1M-26.1M-159.5K1.8861.46N/AN/A9861,85810,2799,125
2018-01-12$81.30$60.0037.0%10.6%38.6%3.4%37.5%3.9%3.6%1.8M-36.7M-159.9K1.9044.01N/AN/A9851,87410,7559,196
2018-01-16$76.25$60.0045.2%13.0%45.9%11.9%41.7%3.0%-1.4%760.7K-20.0M-155.9K0.7968.74N/AN/A1,3431,06411,2919,132
2018-01-17$75.93$65.0042.7%12.2%46.0%9.2%43.0%4.5%-0.5%718.8K-18.3M-163.4K1.7467.55N/AN/A6601,14911,9129,547
2018-01-18$78.62$65.0038.9%11.2%47.3%5.4%38.9%3.0%1.9%988.4K-26.7M-167.4K0.7456.47N/AN/A1,6771,24211,9229,837
2018-01-19$80.66$65.0037.4%10.7%46.6%3.8%37.2%3.9%2.7%1.1M-36.2M-192.9K0.6468.32N/AN/A1,9861,26512,97210,073
2018-01-22$85.19$65.0040.5%11.6%48.5%7.0%40.5%3.7%0.2%1.2M-48.0M-191.5K0.4926.83N/AN/A2,2691,10810,4878,856
2018-01-23$87.90$65.0040.5%11.6%49.1%7.0%40.8%3.9%0.3%1.4M-62.6M-211.3K0.9457.36N/AN/A1,1301,06411,7728,813
2018-01-24$88.77$65.0042.2%12.1%49.1%8.7%42.4%7.8%-4.2%1.3M-64.2M-213.1K1.0485.91N/AN/A1,1911,24411,8098,857
2018-01-25$86.84$65.0042.8%12.3%50.3%9.3%38.6%1.9%-1.7%1.4M-57.9M-213.6K1.2359.61N/AN/A69785611,8309,040
2018-01-26$88.90$65.0042.1%12.1%50.1%8.7%43.0%5.3%-0.5%1.4M-65.6M-206.6K1.1171.63N/AN/A83993011,8529,060
2018-01-29$90.78$65.0047.4%13.6%50.1%14.1%49.2%4.2%-2.4%1.2M-70.7M-208.1K0.5581.23N/AN/A2,4421,34912,0719,225
2018-01-30$86.99$65.0050.1%14.4%52.7%17.0%50.6%6.2%-2.0%1.3M-58.1M-224.4K0.8195.52N/AN/A1,10789812,6269,256
2018-01-31$85.55$65.0050.2%14.4%53.1%17.0%52.7%4.5%-0.1%1.4M-53.8M-226.3K1.7854.56N/AN/A7741,37612,8459,480