NBIX Options History — January 2020

In January 2020, NBIX traded between $98.93 and $113.60. ATM implied volatility averaged 40.8%, placing in the 46.5% IV rank vs the trailing year. The 30-day expected move averaged 11.0%. IV traded above realized volatility by 3.3% (HV 20d: 37.4%). Max pain ranged from $105.00 to $110.00. Net GEX was positive for 21 of 21 trading days. Term structure was in contango for 0 of 21 days. Put/call ratio averaged 0.76.

Notable Days

  • 2020-01-13: Highest Volume — 4,143 contracts
  • 2020-01-06: Largest IV spike — 19.3% change
  • 2020-01-13: Highest IV Rank — 67.4%
  • 2020-01-31: Largest Expected Move — 13.5%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$105.80$98.93$113.60$108.02$100.16
Max Pain$108.81$105.00$110.00$110.00$105.00
ATM IV40.8%33.4%48.4%36.0%46.9%
Expected Move11.0%9.5%13.5%10.3%13.5%
HV 20d37.4%21.7%46.5%22.6%46.5%
HV 60d31.5%25.9%35.2%26.5%34.5%
IV Rank46.5%26.6%67.4%33.8%63.3%
IV Percentile54.5%11.9%92.1%26.6%87.7%
Term Structure-2.9%-7.8%-0.2%-1.4%-7.8%
VWIV38.0%33.0%46.4%35.6%46.4%
Skew 25d3.2%1.5%5.1%4.6%4.0%
Skew 10d6.3%3.9%9.8%9.1%9.0%
Call IV 25d36.7%31.5%44.0%34.6%44.0%
Put IV 25d39.9%34.0%48.0%39.2%48.0%
Bid-Ask Spread %51.2930.9674.7230.9670.12
Gamma HHI0.280.180.370.280.23
Net GEX1.3M70.3K3.8M1.1M594.0K
Net DEX-13.7M-60.2M8.8M-11.6M3.7M
Net VEX-262.5K-318.9K-225.5K-234.0K-277.5K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.760.055.670.121.21
Total Volume1,362.8572404,143240347
Total OI20,371.90515,70125,14717,82920,617

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2020-01-02$108.02$110.0036.0%10.3%22.6%33.8%35.6%4.6%-1.4%1.1M-11.6M-234.0K0.1230.96N/AN/A2152511,5726,257
2020-01-03$109.59$110.0036.5%10.5%23.0%35.0%35.3%4.3%-2.7%1.6M-19.2M-239.5K0.1633.25N/AN/A2413911,6746,264
2020-01-06$110.89$110.0043.5%11.0%22.9%54.0%38.9%3.8%-1.2%2.0M-27.1M-241.4K0.0642.78N/AN/A2,15913411,8656,269
2020-01-07$110.08$110.0045.3%11.1%22.9%59.0%37.3%4.5%-0.6%2.0M-28.8M-264.4K0.0746.15N/AN/A1,97213413,0096,357
2020-01-08$111.35$110.0047.4%11.6%21.7%64.7%40.2%3.3%-2.3%2.9M-45.0M-298.2K0.5147.55N/AN/A1,36669814,8756,468
2020-01-09$113.60$110.0043.3%11.0%22.9%53.3%38.3%4.0%-1.5%3.8M-60.2M-318.9K0.1039.66N/AN/A1,07210515,5217,084
2020-01-10$112.63$110.0044.1%10.4%22.9%55.6%36.4%3.2%-0.2%3.7M-53.3M-309.7K0.2541.43N/AN/A1,89847615,7917,103
2020-01-13$102.41$110.0048.4%10.5%40.9%67.4%35.7%2.2%-1.9%70.3K7.9M-253.0K0.3149.59N/AN/A3,17197217,1817,432
2020-01-14$108.03$110.0040.6%9.5%45.6%46.1%33.5%3.1%-0.4%1.4M-19.0M-276.4K0.4045.50N/AN/A1,77171017,1227,612
2020-01-15$107.45$110.0034.0%9.7%45.5%28.1%33.6%2.1%-0.5%1.0M-14.5M-269.2K1.0738.44N/AN/A16717917,2657,830
2020-01-16$106.15$110.0033.4%9.6%45.6%26.6%33.0%1.8%-0.5%737.2K-5.4M-256.1K0.3734.62N/AN/A2388917,2307,817
2020-01-17$104.68$110.0035.3%10.1%45.2%31.7%33.9%2.3%-1.8%651.9K1.8M-248.1K0.1836.57N/AN/A70012417,3127,835
2020-01-21$105.23$110.0037.8%10.8%45.2%38.5%37.7%2.5%-3.4%928.4K-12.7M-248.9K0.6732.60N/AN/A41527710,2235,478
2020-01-22$103.33$110.0037.8%10.8%43.3%38.5%37.6%2.2%-4.0%686.7K-5.8M-238.2K0.4164.46N/AN/A1,22150410,3335,626
2020-01-23$102.58$110.0037.8%10.8%43.0%38.4%37.9%2.8%-4.1%633.0K-3.5M-245.1K0.6270.06N/AN/A23814710,9426,026
2020-01-24$99.34$110.0041.5%11.9%44.0%48.5%40.9%1.5%-5.1%326.7K6.6M-225.5K0.4870.63N/AN/A82539511,0086,131
2020-01-27$98.93$105.0043.6%12.5%44.0%54.4%43.4%3.1%-4.8%260.1K8.8M-232.2K3.2164.68N/AN/A6812,18311,3136,616
2020-01-28$102.01$105.0040.0%11.5%45.6%44.6%39.3%4.1%-3.7%616.9K143.1K-267.5K0.0570.27N/AN/A1,4246711,7666,917
2020-01-29$103.76$105.0040.2%11.5%46.0%44.9%40.5%5.1%-5.6%1.2M-9.2M-290.2K0.0774.72N/AN/A4262813,0056,944
2020-01-30$101.66$105.0042.5%12.2%46.4%51.2%42.4%3.2%-7.8%886.1K-1.6M-277.7K5.6773.00N/AN/A11866913,1666,954
2020-01-31$100.16$105.0046.9%13.5%46.5%63.3%46.4%4.0%-7.8%594.0K3.7M-277.5K1.2170.12N/AN/A15719013,2207,397