NBIX Options History — January 2008 In January 2008, NBIX traded between $4.51 and $5.62. ATM implied volatility averaged 84.7%, placing in the 19.1% IV rank vs the trailing year. The 30-day expected move averaged 25.4%. IV traded below realized volatility by 38.6% (HV 20d: 123.3%). Max pain ranged from $5.00 to $12.50. Net GEX was positive for 12 of 21 trading days. Term structure was in contango for 15 of 21 days. Put/call ratio averaged 0.79.
Notable Days 2008-01-22 : Highest Volume — 3,138 contracts2008-01-03 : Largest IV drop — 26.1% change2008-01-30 : Highest IV Rank — 25.7%2008-01-30 : Largest Expected Move — 30.2%Monthly Statistics Metric Avg Min Max Open Close Price $5.19 $4.51 $5.62 $4.52 $5.39 Max Pain $5.71 $5.00 $12.50 $12.50 $5.00 ATM IV 84.7% 61.3% 105.2% 82.9% 86.3% Expected Move 25.4% 17.6% 30.2% 23.8% 24.7% HV 20d 123.3% 41.7% 244.0% 237.2% 53.4% HV 60d 150.9% 149.5% 152.3% 150.0% 151.4% IV Rank 19.1% 11.5% 25.7% 18.5% 19.6% IV Percentile 86.5% 77.0% 92.5% 87.3% 83.7% Term Structure 4.3% -10.0% 27.0% 19.6% 0.1% VWIV 89.7% 65.5% 105.7% 82.1% 86.4% Skew 25d -3.4% -19.8% 29.1% 9.2% -15.1% Skew 10d 1.4% -32.8% 38.3% 15.9% 7.3% Call IV 25d 96.1% 70.6% 111.3% 82.4% 109.2% Put IV 25d 92.7% 77.8% 114.1% 91.6% 94.2% Bid-Ask Spread % 13.80 3.93 20.72 7.21 10.59 Gamma HHI 0.38 0.27 0.56 0.40 0.32 Net GEX 18.1K -43.5K 54.9K -9.5K 45.2K Net DEX 4.7M -1.1M 14.8M 14.3M -640.1K Net VEX -34.5K -40.0K -28.5K -29.3K -32.9K Div Yield 0.0% 0.0% 0.0% 0.0% 0.0% P/C Ratio 0.79 0.00 5.72 0.10 0.13 Total Volume 1,019.333 158 3,138 867 612 Total OI 106,609.619 51,290 149,711 146,721 53,192
Daily Data (21 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 2008-01-02 $4.52 $12.50 82.9% 23.8% 237.2% 18.5% 82.1% 9.2% 19.6% -9.5K 14.3M -29.3K 0.10 7.21 N/A N/A 790 77 105,339 41,382 2008-01-03 $4.53 $12.50 61.3% 17.6% 237.8% 11.5% 65.5% 29.1% 27.0% -13.4K 14.8M -28.6K 0.05 3.93 N/A N/A 745 40 105,714 41,401 2008-01-04 $4.51 $5.00 62.5% 25.7% 238.0% 11.9% 89.9% -19.8% 3.1% -10.0K 14.5M -28.5K 5.72 16.72 N/A N/A 363 2,077 106,185 41,341 2008-01-07 $4.70 $5.00 74.8% 25.9% 239.2% 15.9% 90.8% -15.1% 1.7% -22.9K 14.5M -32.6K 0.54 13.71 N/A N/A 933 504 106,343 42,885 2008-01-08 $4.86 $5.00 75.2% 28.0% 240.8% 16.0% 97.6% -9.1% -10.0% -23.4K 14.3M -34.8K 0.02 15.11 N/A N/A 847 21 106,401 43,069 2008-01-09 $5.03 $5.00 78.8% 26.8% 242.2% 17.2% 93.9% -13.1% 1.6% -23.7K 14.2M -37.2K 0.11 8.40 N/A N/A 767 86 106,676 43,035 2008-01-10 $5.20 $5.00 87.8% 25.2% 243.6% 20.1% 87.3% -5.9% 6.8% -20.2K 4.8M -38.1K 1.25 14.43 N/A N/A 249 312 107,279 26,532 2008-01-11 $5.27 $5.00 91.1% 26.1% 244.0% 21.2% 91.1% -0.8% 2.9% -37.5K 3.7M -39.5K 0.27 14.39 N/A N/A 854 232 107,455 25,779 2008-01-14 $5.30 $5.00 82.0% 23.5% 55.9% 18.2% 82.8% -11.7% 9.0% 42.0K 2.7M -35.1K 0.04 15.92 N/A N/A 1,508 62 107,897 25,884 2008-01-15 $5.10 $5.00 81.5% 23.4% 51.4% 18.1% 80.8% -14.1% 15.5% -43.5K 4.9M -35.5K 0.92 16.05 N/A N/A 629 576 107,692 25,925 2008-01-16 $5.31 $5.00 88.3% 25.3% 46.4% 20.2% 88.7% -4.8% 4.3% 46.1K 1.3M -36.1K 0.70 14.35 N/A N/A 543 378 108,203 24,196 2008-01-17 $5.62 $5.00 96.0% 27.5% 49.3% 22.7% 98.0% 8.6% -9.3% 54.7K 589.0K -40.0K 0.43 15.53 N/A N/A 1,040 452 108,189 23,785 2008-01-18 $5.58 $5.00 74.8% 21.4% 41.7% 15.9% 77.6% -14.0% 19.4% 52.9K 642.8K -38.0K 0.23 14.80 N/A N/A 1,296 293 108,188 23,002 2008-01-22 $5.17 $5.00 88.3% 25.3% 52.0% 20.3% 90.9% -3.1% -6.4% 41.1K -473.3K -33.8K 0.08 9.57 N/A N/A 2,908 230 41,398 9,892 2008-01-23 $5.46 $5.00 94.0% 26.9% 54.5% 22.1% 99.6% 6.9% 3.7% 48.2K -660.0K -33.7K 0.36 20.60 N/A N/A 116 42 41,962 9,946 2008-01-24 $5.48 $5.00 90.6% 26.0% 51.6% 21.0% 85.6% 10.4% 6.8% 49.7K -687.7K -33.8K 0.41 20.72 N/A N/A 160 66 42,070 9,955 2008-01-25 $5.32 $5.00 82.4% 23.6% 53.1% 18.4% 0.0% -6.3% -2.1% 43.7K -411.4K -32.8K 0.10 15.25 N/A N/A 586 57 42,165 10,035 2008-01-28 $5.49 $5.00 98.3% 28.2% 52.6% 23.5% 101.5% -2.0% -0.6% 53.6K -1.1M -34.5K 0.00 17.08 N/A N/A 262 0 42,710 10,033 2008-01-29 $5.56 $5.00 97.2% 27.9% 52.1% 23.1% 97.8% -3.6% -2.5% 54.9K -1.1M -34.9K 0.17 12.94 N/A N/A 135 23 42,799 10,033 2008-01-30 $5.49 $5.00 105.2% 30.2% 52.7% 25.7% 105.7% 2.8% 0.0% 52.4K -1.1M -34.7K 4.88 12.42 N/A N/A 91 444 42,789 10,046 2008-01-31 $5.39 $5.00 86.3% 24.7% 53.4% 19.6% 86.4% -15.1% 0.1% 45.2K -640.1K -32.9K 0.13 10.59 N/A N/A 541 71 42,825 10,367
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