NBIX Options History — October 2008

In October 2008, NBIX traded between $3.15 and $4.56. ATM implied volatility averaged 102.4%, placing in the 24.0% IV rank vs the trailing year. The 30-day expected move averaged 26.4%. IV traded above realized volatility by 4.8% (HV 20d: 97.7%). Max pain ranged from $5.00 to $5.00. Net GEX was positive for 23 of 23 trading days. Term structure was in contango for 14 of 23 days. Put/call ratio averaged 6.53.

Notable Days

2008-10-06: Highest Volume — 751 contracts
2008-10-07: Largest IV spike — 57.0% change
2008-10-10: Highest IV Rank — 53.6%
2008-10-10: Largest Expected Move — 37.4%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$3.76	$3.15	$4.56	$4.56	$4.13
Max Pain	$5.00	$5.00	$5.00	$5.00	$5.00
ATM IV	102.4%	46.9%	193.0%	74.7%	107.8%
Expected Move	26.4%	13.4%	37.4%	21.4%	30.9%
HV 20d	97.7%	68.1%	123.6%	69.3%	123.6%
HV 60d	80.6%	65.4%	92.9%	68.6%	89.9%
IV Rank	24.0%	5.8%	53.6%	14.9%	25.7%
IV Percentile	74.0%	10.3%	97.2%	49.6%	88.9%
Term Structure	6.1%	-58.2%	50.2%	19.7%	-9.0%
VWIV	96.8%	47.6%	134.0%	74.7%	107.6%
Skew 25d	-17.5%	-59.6%	53.4%	42.2%	-11.5%
Skew 10d	-16.0%	-59.6%	52.5%	36.4%	3.8%
Call IV 25d	105.6%	47.7%	142.2%	77.8%	108.0%
Put IV 25d	88.1%	66.0%	130.8%	120.0%	96.5%
Bid-Ask Spread %	36.62	12.26	97.69	24.31	22.16
Gamma HHI	0.23	0.16	0.29	0.23	0.29
Net GEX	10.7K	6.9K	15.3K	15.3K	12.7K
Net DEX	155.9K	-171.5K	723.8K	-171.5K	-125.8K
Net VEX	-10.5K	-16.5K	-6.9K	-16.5K	-9.6K
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	6.53	0.00	68.83	3.43	0.88
Total Volume	222.696	0	751	62	393
Total OI	23,268.957	21,440	25,456	25,338	21,445

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
2008-10-01	$4.56	$5.00	74.7%	21.4%	69.3%	14.9%	74.7%	42.2%	19.7%	15.3K	-171.5K	-16.5K	3.43	24.31	N/A	N/A	14	48	18,291	7,047
2008-10-02	$4.42	$5.00	87.5%	25.1%	68.3%	19.1%	94.7%	4.0%	6.6%	14.5K	-56.9K	-15.8K	0.52	20.63	N/A	N/A	82	43	18,298	7,020
2008-10-03	$4.44	$5.00	46.9%	13.4%	68.1%	5.8%	47.6%	53.4%	40.6%	15.1K	166.7K	-14.7K	0.04	14.49	N/A	N/A	195	8	18,324	6,991
2008-10-06	$4.26	$5.00	73.0%	30.2%	68.3%	14.4%	106.7%	-28.6%	7.7%	14.1K	273.3K	-14.6K	1.35	44.94	N/A	N/A	320	431	18,473	6,983
2008-10-07	$3.96	$5.00	114.6%	30.9%	71.0%	28.0%	134.0%	-45.2%	-20.2%	11.0K	723.8K	-11.3K	0.30	42.30	N/A	N/A	421	125	18,569	6,863
2008-10-08	$3.46	$5.00	120.3%	24.4%	80.6%	29.8%	114.9%	-50.2%	17.1%	9.1K	628.0K	-10.0K	0.29	48.86	N/A	N/A	190	55	18,612	6,442
2008-10-09	$3.46	$5.00	132.3%	32.1%	81.1%	33.8%	115.4%	-59.6%	-30.8%	10.6K	104.5K	-10.4K	0.05	97.69	N/A	N/A	75	4	18,629	5,353
2008-10-10	$3.15	$5.00	193.0%	37.4%	84.8%	53.6%	114.3%	-11.4%	8.7%	8.9K	170.3K	-9.6K	6.45	82.03	N/A	N/A	66	426	18,619	5,332
2008-10-13	$3.62	$5.00	130.6%	26.6%	103.4%	33.2%	129.8%	8.2%	39.8%	11.4K	125.5K	-10.8K	68.83	44.03	N/A	N/A	6	413	18,632	5,378
2008-10-14	$3.61	$5.00	145.3%	21.7%	103.1%	38.0%	96.4%	-29.8%	33.2%	9.9K	309.8K	-9.8K	23.74	21.66	N/A	N/A	23	546	18,638	5,338
2008-10-15	$3.24	$5.00	133.5%	28.0%	105.0%	34.2%	73.6%	33.8%	50.2%	8.9K	133.7K	-9.9K	0.13	52.09	N/A	N/A	223	30	18,638	5,568
2008-10-16	$3.57	$5.00	71.2%	20.4%	113.1%	13.8%	93.8%	-25.1%	37.5%	8.8K	445.2K	-9.3K	0.56	38.76	N/A	N/A	255	144	18,738	5,511
2008-10-17	$3.65	$5.00	89.5%	25.7%	104.6%	19.8%	96.6%	-28.6%	22.2%	9.9K	233.1K	-10.5K	2.11	55.41	N/A	N/A	54	114	18,809	5,487
2008-10-20	$3.90	$5.00	95.1%	27.3%	106.7%	21.6%	97.0%	-21.0%	-10.8%	10.7K	-40.5K	-9.7K	0.13	15.96	N/A	N/A	156	21	16,994	4,480
2008-10-21	$3.88	$5.00	105.6%	30.3%	106.7%	25.0%	108.1%	-25.9%	-16.0%	11.0K	-86.3K	-9.6K	0.48	15.76	N/A	N/A	52	25	17,078	4,362
2008-10-22	$3.62	$5.00	102.6%	29.4%	108.6%	24.0%	0.0%	-43.8%	-14.0%	10.3K	-120.7K	-10.0K	0.00	44.08	N/A	N/A	0	0	17,108	4,362
2008-10-23	$3.54	$5.00	80.3%	23.0%	107.9%	16.7%	72.9%	-11.6%	17.6%	9.3K	36.0K	-9.1K	0.00	40.71	N/A	N/A	86	0	17,108	4,362
2008-10-24	$3.45	$5.00	87.8%	25.2%	107.9%	19.2%	73.5%	-51.3%	-22.9%	8.6K	86.6K	-8.5K	21.00	29.65	N/A	N/A	1	21	17,117	4,362
2008-10-27	$3.19	$5.00	92.9%	26.6%	107.7%	20.9%	82.9%	-23.4%	-58.2%	6.9K	316.5K	-6.9K	0.08	16.24	N/A	N/A	26	2	17,117	4,362
2008-10-28	$3.46	$5.00	78.3%	22.4%	112.4%	16.1%	101.2%	16.6%	24.7%	7.6K	370.8K	-6.9K	6.67	12.26	N/A	N/A	3	20	17,129	4,322
2008-10-29	$3.91	$5.00	110.7%	31.7%	122.4%	26.7%	0.0%	-42.6%	-11.9%	10.2K	106.3K	-8.4K	0.00	42.67	N/A	N/A	5	0	17,129	4,321
2008-10-30	$3.94	$5.00	82.8%	23.8%	122.2%	17.6%	0.0%	-50.7%	8.3%	10.9K	-42.9K	-9.5K	0.00	15.47	N/A	N/A	0	0	17,124	4,321
2008-10-31	$4.13	$5.00	107.8%	30.9%	123.6%	25.7%	107.6%	-11.5%	-9.0%	12.7K	-125.8K	-9.6K	0.88	22.16	N/A	N/A	209	184	17,124	4,321