NBIX Options History — August 2007 In August 2007, NBIX traded between $9.49 and $10.35. ATM implied volatility averaged 49.7%, placing in the 52.2% IV rank vs the trailing year. The 30-day expected move averaged 14.0%. IV traded above realized volatility by 4.7% (HV 20d: 45.0%). Max pain ranged from $10.00 to $12.50. Net GEX was positive for 0 of 23 trading days. Term structure was in contango for 17 of 23 days. Put/call ratio averaged 1.22.
Notable Days 2007-08-06 : Highest Volume — 11,969 contracts2007-08-08 : Largest IV spike — 38.2% change2007-08-08 : Highest IV Rank — 96.2%2007-08-06 : Largest Expected Move — 18.0%Monthly Statistics Metric Avg Min Max Open Close Price $9.92 $9.49 $10.35 $9.88 $9.97 Max Pain $10.33 $10.00 $12.50 $12.50 $10.00 ATM IV 49.7% 37.1% 70.0% 55.2% 43.4% Expected Move 14.0% 10.6% 18.0% 15.8% 12.4% HV 20d 45.0% 35.1% 52.3% 40.7% 46.4% HV 60d 38.1% 34.9% 40.8% 34.9% 39.7% IV Rank 52.2% 24.7% 96.2% 64.1% 38.5% IV Percentile 40.5% 2.5% 99.3% 63.4% 16.2% Term Structure 5.3% -9.1% 17.5% -0.6% 0.4% VWIV 50.6% 36.5% 63.2% 55.6% 43.6% Skew 25d 0.4% -22.6% 69.9% 69.9% 1.6% Skew 10d 2.9% -35.6% 111.6% 108.2% 2.6% Call IV 25d 50.9% 31.3% 67.1% 48.9% 39.7% Put IV 25d 51.2% 34.5% 118.9% 118.9% 41.3% Bid-Ask Spread % 11.22 5.85 22.11 9.73 5.85 Gamma HHI 0.24 0.22 0.31 0.26 0.23 Net GEX -217.6K -353.5K -164.9K -257.0K -186.6K Net DEX 11.1M 7.8M 16.5M 16.5M 10.0M Net VEX -233.8K -248.8K -221.8K -242.5K -227.7K Div Yield 0.0% 0.0% 0.0% 0.0% 0.0% P/C Ratio 1.22 0.01 4.80 2.41 0.66 Total Volume 2,949.957 203 11,969 3,019 299 Total OI 116,999.217 109,237 124,887 124,206 113,935
Daily Data (23 trading days) Date Price Max Pain ATM IV Exp Move HV 20d IV Rank VWIV Skew 25d Term Str GEX DEX VEX P/C Spread % Call Wall Put Wall Call Vol Put Vol Call OI Put OI 2007-08-01 $9.88 $12.50 55.2% 15.8% 40.7% 64.1% 55.6% 69.9% -0.6% -257.0K 16.5M -242.5K 2.41 9.73 N/A N/A 885 2,134 59,121 65,085 2007-08-02 $10.00 $12.50 52.4% 15.0% 40.9% 58.1% 52.1% 68.6% 5.5% -300.5K 15.3M -248.8K 0.59 9.03 N/A N/A 1,582 930 59,076 65,811 2007-08-03 $9.69 $12.50 49.6% 14.2% 41.4% 51.9% 49.6% 2.6% 9.1% -214.9K 14.3M -241.0K 0.60 16.10 N/A N/A 706 427 59,602 63,995 2007-08-06 $9.58 $10.00 55.2% 18.0% 36.2% 64.0% 55.0% -19.0% -3.7% -203.5K 12.0M -236.9K 1.33 13.95 N/A N/A 5,134 6,835 59,938 63,892 2007-08-07 $9.49 $10.00 50.6% 16.7% 35.1% 54.2% 58.9% -3.3% 2.3% -193.3K 12.7M -240.3K 0.10 22.11 N/A N/A 4,380 435 59,611 64,532 2007-08-08 $9.96 $10.00 70.0% 15.4% 39.5% 96.2% 53.7% -10.1% 10.3% -209.2K 11.2M -247.2K 0.20 11.16 N/A N/A 5,447 1,091 58,245 64,386 2007-08-09 $9.88 $10.00 69.9% 15.3% 39.5% 96.1% 56.1% -16.1% 7.1% -164.9K 7.8M -234.6K 0.98 9.84 N/A N/A 487 479 56,651 60,026 2007-08-10 $10.16 $10.00 57.1% 15.5% 41.7% 68.3% 54.1% -10.8% 6.6% -201.4K 8.5M -239.0K 0.59 11.80 N/A N/A 659 387 56,702 60,349 2007-08-13 $10.08 $10.00 63.6% 16.8% 41.7% 82.4% 63.2% -19.8% 7.1% -212.3K 8.0M -236.4K 1.37 9.60 N/A N/A 848 1,161 56,659 60,470 2007-08-14 $10.31 $10.00 52.0% 14.9% 43.0% 57.2% 56.5% -13.9% -0.1% -267.2K 9.4M -234.5K 3.74 10.79 N/A N/A 1,072 4,008 57,140 61,306 2007-08-15 $9.57 $10.00 48.7% 16.4% 49.3% 50.1% 57.3% -22.6% -3.6% -238.1K 13.1M -221.8K 1.75 13.54 N/A N/A 2,723 4,766 57,730 61,197 2007-08-16 $9.68 $10.00 56.3% 16.1% 49.7% 66.4% 56.3% -20.5% -9.1% -258.5K 12.8M -226.0K 4.07 18.38 N/A N/A 510 2,076 59,614 62,399 2007-08-17 $9.82 $10.00 45.1% 12.9% 50.4% 42.1% 45.1% -1.5% -2.1% -353.5K 12.7M -227.4K 4.80 10.80 N/A N/A 490 2,354 59,688 62,920 2007-08-20 $9.95 $10.00 39.6% 11.4% 50.5% 30.2% 39.6% 2.0% 14.1% -190.8K 10.9M -233.4K 2.00 7.73 N/A N/A 277 555 49,667 59,570 2007-08-21 $9.87 $10.00 37.1% 10.6% 50.1% 24.7% 36.5% 3.2% 17.5% -209.3K 11.1M -227.5K 0.25 8.00 N/A N/A 162 41 49,607 59,803 2007-08-22 $10.30 $10.00 42.8% 12.3% 52.3% 37.2% 43.7% -9.3% 9.8% -193.3K 8.0M -235.9K 0.31 15.97 N/A N/A 580 178 49,680 59,763 2007-08-23 $10.17 $10.00 39.2% 11.2% 52.3% 29.4% 0.0% -9.9% 10.3% -204.4K 9.5M -230.1K 0.02 8.19 N/A N/A 804 18 49,845 59,598 2007-08-24 $10.35 $10.00 45.1% 12.9% 49.2% 42.1% 45.1% -8.9% 8.4% -196.7K 8.7M -237.9K 0.01 15.39 N/A N/A 6,195 49 50,236 59,616 2007-08-27 $10.09 $10.00 42.0% 12.0% 44.8% 35.4% 42.0% -12.3% 8.2% -200.1K 9.6M -233.5K 0.58 7.10 N/A N/A 1,767 1,024 53,411 59,625 2007-08-28 $9.70 $10.00 46.4% 13.3% 46.7% 44.9% 48.5% -16.5% 7.3% -174.5K 11.2M -223.1K 0.10 8.59 N/A N/A 2,550 266 52,735 60,267 2007-08-29 $9.99 $10.00 38.0% 10.9% 46.9% 26.7% 0.0% 56.3% 13.0% -197.8K 11.6M -226.8K 1.65 6.91 N/A N/A 148 244 53,310 60,381 2007-08-30 $9.78 $10.00 44.7% 12.8% 47.3% 41.2% 0.0% -1.4% 4.3% -177.4K 10.6M -224.9K 0.04 7.57 N/A N/A 662 24 53,334 60,454 2007-08-31 $9.97 $10.00 43.4% 12.4% 46.4% 38.5% 43.6% 1.6% 0.4% -186.6K 10.0M -227.7K 0.66 5.85 N/A N/A 180 119 53,757 60,178
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