NBIX Options History — February 2009

In February 2009, NBIX traded between $3.28 and $4.09. ATM implied volatility averaged 82.2%, placing in the 32.4% IV rank vs the trailing year. The 30-day expected move averaged 24.0%. IV traded below realized volatility by 4.0% (HV 20d: 86.1%). Max pain ranged from $2.50 to $5.00. Net GEX was positive for 19 of 19 trading days. Term structure was in contango for 10 of 19 days. Put/call ratio averaged 4.80.

Notable Days

2009-02-09: Highest Volume — 608 contracts
2009-02-04: Largest IV drop — 50.6% change
2009-02-11: Highest IV Rank — 58.4%
2009-02-10: Largest Expected Move — 31.0%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$3.67	$3.28	$4.09	$3.58	$3.28
Max Pain	$4.47	$2.50	$5.00	$2.50	$5.00
ATM IV	82.2%	52.9%	124.8%	97.8%	79.1%
Expected Move	24.0%	15.2%	31.0%	28.0%	22.7%
HV 20d	86.1%	73.9%	98.8%	98.8%	89.6%
HV 60d	145.9%	117.2%	158.6%	158.6%	117.2%
IV Rank	32.4%	14.5%	58.4%	41.9%	30.5%
IV Percentile	50.6%	15.1%	92.1%	75.8%	47.6%
Term Structure	2.5%	-40.0%	25.8%	-33.9%	9.5%
VWIV	93.5%	60.0%	108.6%	104.6%	98.1%
Skew 25d	-33.2%	-95.5%	-1.8%	-95.5%	-15.9%
Skew 10d	-31.7%	-108.3%	0.5%	-108.3%	-13.3%
Call IV 25d	106.2%	67.4%	177.6%	177.6%	81.0%
Put IV 25d	73.0%	62.7%	87.0%	82.1%	65.1%
Bid-Ask Spread %	16.98	8.58	25.40	16.55	13.74
Gamma HHI	0.27	0.17	0.41	0.18	0.21
Net GEX	2.7K	1.7K	4.2K	1.7K	2.0K
Net DEX	-113.7K	-223.9K	-3.6K	-106.6K	-3.6K
Net VEX	-3.5K	-4.0K	-3.1K	-3.2K	-3.2K
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	4.80	0.00	59.00	0.00	0.00
Total Volume	87.579	0	608	9	8
Total OI	5,549.105	5,143	6,092	5,166	5,389

Daily Data (19 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
2009-02-02	$3.58	$2.50	97.8%	28.0%	98.8%	41.9%	0.0%	-95.5%	-33.9%	1.7K	-106.6K	-3.2K	0.00	16.55	N/A	N/A	9	0	4,012	1,154
2009-02-03	$3.65	$2.50	106.9%	30.7%	97.2%	47.5%	0.0%	-39.8%	-40.0%	1.7K	-106.3K	-3.1K	0.00	17.66	N/A	N/A	64	0	4,017	1,154
2009-02-04	$3.76	$2.50	52.9%	15.2%	89.0%	14.5%	0.0%	-69.4%	25.7%	2.1K	-143.7K	-3.5K	1.43	19.99	N/A	N/A	14	20	4,027	1,154
2009-02-05	$3.96	$2.50	69.1%	19.8%	88.4%	24.4%	0.0%	-60.1%	22.9%	2.1K	-136.2K	-3.4K	0.14	18.66	N/A	N/A	145	20	4,031	1,169
2009-02-06	$3.96	$5.00	69.7%	23.5%	86.8%	24.8%	0.0%	-13.5%	-1.7%	2.3K	-136.4K	-3.4K	0.32	22.84	N/A	N/A	62	20	4,069	1,169
2009-02-09	$4.09	$5.00	69.1%	30.0%	83.3%	24.4%	104.6%	-12.2%	-9.8%	2.7K	-223.9K	-4.0K	0.04	18.89	N/A	N/A	582	26	4,099	1,187
2009-02-10	$3.80	$5.00	83.8%	31.0%	87.3%	33.4%	108.6%	-29.3%	-6.9%	4.2K	-218.2K	-3.9K	1.00	18.07	N/A	N/A	20	20	4,647	1,213
2009-02-11	$3.64	$5.00	124.8%	23.4%	87.8%	58.4%	89.9%	-35.7%	-3.2%	3.7K	-170.0K	-3.5K	0.00	14.31	N/A	N/A	0	37	4,662	1,233
2009-02-12	$3.79	$5.00	99.9%	28.6%	87.5%	43.2%	99.9%	-26.4%	-0.7%	4.1K	-194.9K	-3.9K	1.67	18.70	N/A	N/A	24	40	4,662	1,270
2009-02-13	$3.69	$5.00	63.6%	18.2%	87.9%	21.0%	0.0%	-15.8%	24.6%	3.1K	-113.2K	-3.4K	0.00	24.49	N/A	N/A	0	0	4,662	1,310
2009-02-17	$3.59	$5.00	87.2%	25.0%	88.5%	35.4%	60.0%	-42.5%	-18.1%	3.4K	-137.0K	-3.5K	59.00	25.40	N/A	N/A	1	59	4,662	1,310
2009-02-18	$3.70	$5.00	73.2%	21.0%	83.8%	26.9%	0.0%	-31.2%	25.8%	3.1K	-131.1K	-3.5K	0.29	17.90	N/A	N/A	79	23	4,662	1,292
2009-02-19	$3.48	$5.00	89.1%	25.5%	80.3%	36.6%	0.0%	-45.2%	-15.9%	3.1K	-135.8K	-3.3K	0.14	8.58	N/A	N/A	69	10	4,741	1,277
2009-02-20	$3.46	$5.00	72.3%	20.7%	73.9%	26.4%	0.0%	-38.5%	17.6%	2.4K	-107.2K	-3.3K	2.00	11.87	N/A	N/A	5	10	4,805	1,287
2009-02-23	$3.45	$5.00	71.7%	20.6%	74.0%	26.0%	0.0%	-1.8%	25.3%	2.2K	-8.5K	-3.1K	0.49	10.61	N/A	N/A	95	47	3,947	1,196
2009-02-24	$3.91	$5.00	96.8%	27.7%	76.6%	41.3%	98.1%	-13.6%	0.2%	2.1K	-31.1K	-3.5K	5.54	24.24	N/A	N/A	13	72	4,013	1,243
2009-02-25	$3.48	$5.00	78.0%	22.3%	87.8%	29.8%	0.0%	-41.4%	9.0%	2.5K	-28.2K	-3.5K	0.00	9.51	N/A	N/A	70	0	4,017	1,302
2009-02-26	$3.45	$5.00	76.2%	21.9%	87.8%	28.8%	0.0%	-2.0%	17.6%	2.4K	-28.5K	-3.5K	0.00	10.57	N/A	N/A	0	0	4,087	1,302
2009-02-27	$3.28	$5.00	79.1%	22.7%	89.6%	30.5%	0.0%	-15.9%	9.5%	2.0K	-3.6K	-3.2K	0.00	13.74	N/A	N/A	0	8	4,087	1,302