NBIX Options History — October 2007 In October 2007, NBIX traded between $9.12 and $10.91. ATM implied volatility averaged 56.9%, placing in the 64.6% IV rank vs the trailing year. The 30-day expected move averaged 16.8%. IV traded above realized volatility by 23.2% (HV 20d: 33.7%). Max pain ranged from $10.00 to $12.50. Net GEX was positive for 1 of 23 trading days. Term structure was in contango for 23 of 23 days. Put/call ratio averaged 1.23.
Notable Days 2007-10-10 : Highest Volume — 21,873 contracts2007-10-10 : Largest IV spike — 42.6% change2007-10-29 : Highest IV Rank — 100.0%2007-10-30 : Largest Expected Move — 25.0%Monthly Statistics Metric Avg Min Max Open Close Price $10.02 $9.12 $10.91 $9.91 $9.25 Max Pain $12.07 $10.00 $12.50 $10.00 $12.50 ATM IV 56.9% 39.8% 87.3% 39.8% 79.1% Expected Move 16.8% 11.4% 25.0% 11.4% 22.7% HV 20d 33.7% 20.2% 41.5% 31.7% 40.5% HV 60d 40.3% 38.9% 42.6% 40.3% 39.8% IV Rank 64.6% 30.7% 100.0% 30.7% 86.7% IV Percentile 66.9% 10.7% 100.0% 10.7% 99.5% Term Structure 22.5% 5.3% 40.6% 11.6% 13.8% VWIV 61.8% 39.8% 87.7% 39.8% 79.2% Skew 25d -11.4% -29.8% 2.6% 0.8% -25.6% Skew 10d -19.8% -43.2% 9.2% 1.2% -43.2% Call IV 25d 67.5% 39.9% 94.5% 39.9% 87.1% Put IV 25d 56.1% 40.7% 82.0% 40.7% 61.5% Bid-Ask Spread % 19.55 9.90 57.48 9.90 57.48 Gamma HHI 0.23 0.19 0.31 0.23 0.25 Net GEX -58.8K -163.4K 207.9K -163.4K -8.0K Net DEX 7.7M -1.7M 15.1M 12.9M 12.4M Net VEX -210.8K -239.4K -176.3K -202.9K -178.8K Div Yield 0.0% 0.0% 0.0% 0.0% 0.0% P/C Ratio 1.23 0.02 14.61 0.32 0.05 Total Volume 3,617.348 132 21,873 1,507 1,628 Total OI 133,253.565 123,101 139,500 123,101 139,500
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 2007-10-01 $9.91 $10.00 39.8% 11.4% 31.7% 30.7% 39.8% 0.8% 11.6% -163.4K 12.9M -202.9K 0.32 9.90 N/A N/A 1,139 368 62,633 60,468 2007-10-02 $9.85 $10.00 40.7% 11.7% 31.7% 32.7% 40.7% 0.2% 10.7% -150.9K 13.4M -202.2K 0.46 10.99 N/A N/A 7,946 3,634 63,334 60,719 2007-10-03 $9.53 $10.00 48.4% 13.9% 33.3% 49.4% 48.5% -5.7% 7.8% -152.7K 15.1M -204.9K 0.15 13.84 N/A N/A 3,493 517 66,415 64,065 2007-10-04 $9.65 $10.00 40.9% 11.7% 27.8% 33.1% 0.0% 1.0% 13.8% -110.8K 12.0M -218.2K 0.04 11.89 N/A N/A 3,118 120 72,353 63,953 2007-10-05 $9.74 $12.50 41.9% 16.4% 24.8% 35.1% 57.4% -22.2% 27.4% -88.6K 9.5M -226.3K 4.17 11.22 N/A N/A 1,471 6,137 73,322 63,283 2007-10-08 $9.66 $12.50 48.8% 16.6% 20.2% 50.1% 65.8% -6.7% 26.9% -76.1K 10.5M -202.8K 0.03 17.77 N/A N/A 1,492 49 69,583 58,268 2007-10-09 $10.15 $12.50 44.1% 16.3% 28.2% 39.9% 59.3% -0.4% 29.3% -74.4K 5.8M -219.5K 0.33 18.37 N/A N/A 1,584 528 70,799 58,301 2007-10-10 $10.50 $12.50 62.8% 18.1% 30.9% 80.7% 56.7% 2.0% 15.7% -75.6K 1.5M -227.0K 0.94 22.73 N/A N/A 11,298 10,575 71,480 58,484 2007-10-11 $10.60 $12.50 58.4% 16.8% 31.1% 71.1% 66.3% -2.5% 27.7% -9.3K -225.1K -239.4K 1.54 26.46 N/A N/A 966 1,489 75,897 58,911 2007-10-12 $10.91 $12.50 61.9% 17.8% 32.7% 78.7% 58.4% -5.8% 20.0% -29.0K -1.5M -239.3K 0.37 14.60 N/A N/A 511 187 74,676 59,201 2007-10-15 $10.83 $12.50 59.4% 17.0% 32.0% 73.3% 61.5% -12.8% 22.8% -26.1K -1.7M -236.4K 0.52 13.61 N/A N/A 558 289 74,857 59,281 2007-10-16 $10.55 $12.50 53.8% 15.4% 33.4% 61.0% 57.4% -21.0% 34.0% -36.3K 2.6M -223.9K 0.27 13.22 N/A N/A 104 28 74,672 59,348 2007-10-17 $10.40 $12.50 56.9% 16.3% 33.7% 67.7% 58.3% -21.0% 29.2% -9.0K 2.1M -224.9K 2.47 19.15 N/A N/A 210 518 74,608 59,366 2007-10-18 $10.55 $12.50 59.3% 17.0% 32.6% 73.1% 84.6% -12.6% 23.9% -45.8K 4.7M -219.8K 0.51 25.19 N/A N/A 92 47 74,752 59,656 2007-10-19 $10.02 $12.50 59.8% 17.2% 37.5% 74.2% 61.2% -19.8% 33.6% 207.9K 6.0M -211.8K 14.61 16.57 N/A N/A 423 6,179 74,815 59,694 2007-10-22 $10.04 $12.50 55.0% 15.8% 37.2% 63.7% 61.2% -21.8% 35.8% -145.0K 11.2M -214.1K 0.13 22.21 N/A N/A 1,120 144 73,413 64,907 2007-10-23 $10.28 $12.50 54.5% 15.6% 37.2% 62.5% 55.0% -17.9% 40.6% -86.2K 7.4M -208.3K 0.02 12.49 N/A N/A 2,640 52 74,201 59,071 2007-10-24 $10.11 $12.50 58.0% 16.6% 37.6% 70.1% 58.0% -17.7% 36.8% -67.9K 7.4M -204.0K 0.56 16.10 N/A N/A 202 114 75,401 58,997 2007-10-25 $9.80 $12.50 60.2% 17.2% 39.3% 74.9% 60.4% -23.8% 23.3% -62.8K 9.5M -197.1K 0.17 15.91 N/A N/A 1,477 253 74,985 59,055 2007-10-26 $9.62 $12.50 60.7% 17.4% 39.8% 76.0% 61.5% 2.6% 20.8% -47.1K 10.7M -190.5K 0.33 24.82 N/A N/A 753 250 76,099 59,100 2007-10-29 $9.37 $12.50 77.5% 22.2% 40.6% 100.0% 81.4% -2.7% 7.5% -53.3K 13.1M -180.0K 0.17 23.04 N/A N/A 1,820 304 76,511 59,310 2007-10-30 $9.12 $12.50 87.3% 25.0% 41.5% 100.0% 87.7% -29.8% 5.3% -42.2K 14.2M -176.3K 0.03 32.05 N/A N/A 7,132 240 77,702 59,386 2007-10-31 $9.25 $12.50 79.1% 22.7% 40.5% 86.7% 79.2% -25.6% 13.8% -8.0K 12.4M -178.8K 0.05 57.48 N/A N/A 1,548 80 80,436 59,064
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