NBIX Options History — January 2022

In January 2022, NBIX traded between $72.81 and $88.21. ATM implied volatility averaged 51.3%, placing in the 47.3% IV rank vs the trailing year. The 30-day expected move averaged 14.8%. IV traded above realized volatility by 8.8% (HV 20d: 42.5%). Max pain ranged from $85.00 to $100.00. Net GEX was positive for 9 of 20 trading days. Term structure was in contango for 5 of 20 days. Put/call ratio averaged 3.17.

Notable Days

  • 2022-01-21: Highest Volume — 7,512 contracts
  • 2022-01-06: Largest IV spike — 74.0% change
  • 2022-01-28: Highest IV Rank — 87.3%
  • 2022-01-28: Largest Expected Move — 21.9%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$77.66$72.81$88.21$88.21$78.40
Max Pain$96.25$85.00$100.00$85.00$95.00
ATM IV51.3%32.9%76.5%39.2%68.2%
Expected Move14.8%9.4%21.9%11.2%19.6%
HV 20d42.5%30.2%51.8%30.2%51.8%
HV 60d37.5%32.8%40.5%32.8%36.4%
IV Rank47.3%18.2%87.3%28.2%74.1%
IV Percentile63.9%2.4%99.6%19.8%96.0%
Term Structure-6.0%-30.9%18.5%2.0%-13.4%
VWIV53.0%36.1%73.4%41.1%67.5%
Skew 25d2.5%-4.1%19.5%-0.7%-4.1%
Skew 10d2.9%-7.5%28.3%28.3%-0.9%
Call IV 25d52.9%35.7%76.8%44.9%76.8%
Put IV 25d55.4%42.1%78.9%44.2%72.7%
Bid-Ask Spread %77.6367.8391.6491.6473.32
Gamma HHI0.140.110.180.150.17
Net GEX-80.7K-535.9K523.7K112.9K523.7K
Net DEX30.5M16.6M41.4M17.7M16.6M
Net VEX-150.5K-248.9K-83.2K-153.1K-248.9K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio3.170.819.703.522.22
Total Volume4,956.33,4757,5124,6233,786
Total OI18,85014,09524,89414,09524,894

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2022-01-03$88.21$85.0039.2%11.2%30.2%28.2%41.1%-0.7%2.0%112.9K17.7M-153.1K3.5291.64N/AN/A1,0233,6005,9528,143
2022-01-04$86.90$85.0042.3%12.1%30.6%33.1%41.9%-2.4%-5.6%-14.4K21.4M-147.2K3.3883.34N/AN/A1,0383,5125,8258,284
2022-01-05$83.71$85.0032.9%9.4%33.6%18.2%42.6%0.8%9.3%138.8K25.2M-130.3K9.7090.45N/AN/A3623,5116,4798,276
2022-01-06$82.72$100.0057.2%17.0%32.3%56.7%55.0%-0.4%-17.9%-15.1K24.6M-140.6K4.1077.42N/AN/A8473,4716,4868,280
2022-01-07$75.51$100.0038.8%11.8%44.7%27.5%46.0%9.9%4.5%-365.7K37.4M-89.0K4.3667.83N/AN/A8003,4876,5658,285
2022-01-10$76.03$100.0041.3%12.1%44.0%31.6%50.8%12.5%6.8%-422.1K37.4M-94.1K4.8173.48N/AN/A6983,3556,6338,517
2022-01-11$75.73$100.0036.0%10.7%41.0%23.1%49.5%19.5%18.5%-493.8K38.0M-91.8K9.0077.19N/AN/A3723,3476,6618,727
2022-01-12$76.58$100.0043.1%12.4%41.3%34.4%36.1%5.3%-3.7%-535.9K39.5M-83.2K3.8873.90N/AN/A8143,1616,6688,682
2022-01-13$79.13$100.0046.3%13.3%42.7%39.4%44.1%-0.9%-6.1%-295.3K32.9M-109.8K0.9672.14N/AN/A3,7073,5436,9308,714
2022-01-14$78.13$100.0047.6%13.6%42.8%41.4%41.6%-0.9%-7.6%38.5K31.9M-143.3K3.2173.08N/AN/A8262,6499,9549,645
2022-01-18$74.60$100.0051.1%14.7%43.9%47.1%51.1%-0.6%-9.0%-214.9K37.7M-127.5K2.2676.19N/AN/A1,6253,66610,1969,761
2022-01-19$73.03$100.0048.1%13.8%44.2%42.3%49.4%-1.0%-6.6%-365.3K41.0M-135.6K2.2575.52N/AN/A1,4803,33611,25910,491
2022-01-20$72.81$100.0048.4%13.9%43.7%42.7%50.4%0.4%-5.5%-376.3K41.4M-131.1K1.1071.91N/AN/A3,0463,33811,29710,493
2022-01-21$75.58$100.0058.3%16.7%46.1%58.4%63.4%3.1%-9.6%-146.7K33.8M-160.5K0.8180.11N/AN/A4,1423,37012,10410,324
2022-01-24$75.55$95.0052.4%15.0%45.9%49.1%56.3%-2.9%-7.8%11.3K31.3M-165.2K1.6378.10N/AN/A1,7232,81210,32310,152
2022-01-25$76.43$95.0055.4%15.9%46.3%53.8%56.9%0.5%-8.8%80.2K28.5M-173.1K1.1081.54N/AN/A3,3153,64010,38410,065
2022-01-26$75.40$95.0070.9%20.3%46.3%78.4%71.8%-1.9%-12.2%201.1K21.9M-224.4K1.3680.25N/AN/A2,7833,78411,95810,495
2022-01-27$72.82$95.0071.9%20.6%47.4%80.0%73.4%5.7%-17.2%174.5K27.6M-222.5K1.4074.00N/AN/A2,0752,91113,29111,009
2022-01-28$75.84$95.0076.5%21.9%50.3%87.3%70.9%7.6%-30.9%349.8K23.5M-238.8K2.3181.13N/AN/A1,2602,91113,67811,120
2022-01-31$78.40$95.0068.2%19.6%51.8%74.1%67.5%-4.1%-13.4%523.7K16.6M-248.9K2.2273.32N/AN/A1,1742,61213,77411,120