NBIX Options History — October 2009 In October 2009, NBIX traded between $2.22 and $3.00. ATM implied volatility averaged 96.9%, placing in the 40.2% IV rank vs the trailing year. The 30-day expected move averaged 24.2%. IV traded above realized volatility by 61.9% (HV 20d: 35.0%). Max pain ranged from $2.50 to $5.00. Net GEX was positive for 21 of 22 trading days. Term structure was in contango for 11 of 22 days. Put/call ratio averaged 0.57.
Notable Days 2009-10-07 : Highest Volume — 92 contracts2009-10-15 : Largest IV drop — 55.7% change2009-10-14 : Highest IV Rank — 81.1%2009-10-28 : Largest Expected Move — 31.4%Monthly Statistics Metric Avg Min Max Open Close Price $2.75 $2.22 $3.00 $2.92 $2.22 Max Pain $4.77 $2.50 $5.00 $2.50 $5.00 ATM IV 96.9% 63.1% 150.6% 80.3% 83.7% Expected Move 24.2% 18.1% 31.4% 23.0% 24.0% HV 20d 35.0% 30.0% 45.9% 39.7% 45.9% HV 60d 40.6% 38.7% 46.3% 45.8% 43.7% IV Rank 40.2% 15.7% 81.1% 24.3% 32.6% IV Percentile 62.2% 12.7% 96.4% 46.0% 52.8% Term Structure -5.9% -59.1% 19.3% -37.4% 1.3% VWIV 97.9% 97.9% 97.9% 97.9% 97.9% Skew 25d -2.3% -50.9% 17.0% -23.9% 10.3% Skew 10d -4.2% -64.6% 23.4% -35.6% 16.7% Call IV 25d 86.3% 66.0% 137.5% 92.5% 85.5% Put IV 25d 84.0% 60.7% 98.0% 68.6% 95.8% Bid-Ask Spread % 72.18 26.66 115.71 68.25 115.71 Gamma HHI 0.53 0.41 0.68 0.58 0.45 Net GEX 784 -42 1.5K 1.4K 122 Net DEX 116.5K 56.2K 178.7K 56.2K 157.8K Net VEX -787 -1.2K -383 -1.2K -466 Div Yield 0.0% 0.0% 0.0% 0.0% 0.0% P/C Ratio 0.57 0.00 3.33 1.00 0.00 Total Volume 16.455 0 92 2 8 Total OI 5,005.227 4,866 5,101 4,968 5,001
Daily Data (22 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 2009-10-01 $2.92 $2.50 80.3% 23.0% 39.7% 24.3% 0.0% -23.9% -37.4% 1.4K 56.2K -1.2K 1.00 68.25 N/A N/A 1 1 3,935 1,033 2009-10-02 $2.82 $2.50 104.0% 29.8% 32.7% 40.2% 0.0% -27.6% -59.1% 1.3K 69.9K -1.1K 3.33 96.30 N/A N/A 6 20 3,936 1,033 2009-10-05 $2.85 $5.00 90.3% 22.4% 32.8% 31.0% 0.0% 5.6% 3.1% 1.1K 96.4K -912 0.00 30.26 N/A N/A 13 0 3,942 1,053 2009-10-06 $2.91 $5.00 90.1% 25.0% 33.8% 30.9% 0.0% 17.0% -9.1% 1.2K 86.1K -1.0K 0.00 26.66 N/A N/A 1 0 3,954 1,053 2009-10-07 $2.93 $5.00 93.0% 25.1% 33.0% 32.8% 0.0% 16.9% -13.4% 1.1K 96.7K -926 0.00 27.20 N/A N/A 92 0 3,955 1,053 2009-10-08 $2.89 $5.00 101.1% 25.3% 30.0% 38.3% 0.0% -14.7% -5.5% 1.3K 92.1K -914 0.00 79.80 N/A N/A 0 0 4,047 1,053 2009-10-09 $2.99 $5.00 150.6% 20.8% 33.0% 71.5% 0.0% -1.1% 8.3% 1.5K 65.7K -1.1K 0.00 103.88 N/A N/A 1 0 4,041 1,053 2009-10-12 $2.95 $5.00 128.5% 23.9% 33.2% 56.7% 0.0% 13.8% 1.8% 1.2K 79.4K -965 0.00 93.84 N/A N/A 0 0 4,042 1,053 2009-10-13 $2.94 $5.00 132.3% 22.0% 32.8% 72.6% 0.0% -50.9% 5.4% 1.2K 83.2K -896 0.00 34.75 N/A N/A 0 0 4,042 1,053 2009-10-14 $3.00 $5.00 142.6% 23.1% 31.8% 81.1% 0.0% -47.2% 5.7% 1.3K 73.2K -974 0.00 55.81 N/A N/A 20 0 4,042 1,053 2009-10-15 $2.97 $5.00 63.1% 18.1% 31.7% 15.7% 0.0% -21.8% -11.1% 472 127.2K -525 0.00 101.31 N/A N/A 0 0 4,048 1,053 2009-10-16 $2.87 $5.00 81.1% 23.2% 33.4% 30.5% 0.0% 11.0% 1.8% 867 103.5K -759 0.00 86.01 N/A N/A 0 21 4,048 1,046 2009-10-19 $2.85 $5.00 84.9% 24.3% 33.3% 33.6% 0.0% 7.7% -1.6% 879 117.2K -841 0.00 37.35 N/A N/A 0 80 3,829 1,037 2009-10-20 $2.78 $5.00 89.9% 25.8% 32.7% 37.7% 97.9% 13.0% -2.9% 614 144.6K -719 0.00 32.27 N/A N/A 0 6 3,829 1,102 2009-10-21 $2.73 $5.00 80.6% 23.1% 31.2% 30.1% 0.0% 14.3% 7.2% 480 153.5K -679 0.00 89.44 N/A N/A 0 0 3,829 1,105 2009-10-22 $2.74 $5.00 76.9% 22.0% 31.2% 27.0% 0.0% -17.0% 2.2% 342 160.5K -636 0.00 71.38 N/A N/A 0 0 3,829 1,105 2009-10-23 $2.62 $5.00 89.4% 25.6% 33.9% 37.4% 0.0% 14.5% -17.1% 412 151.7K -677 1.33 82.34 N/A N/A 15 20 3,829 1,105 2009-10-26 $2.49 $5.00 84.3% 24.2% 36.9% 33.1% 0.0% 8.1% 7.0% 144 163.9K -521 0.00 86.69 N/A N/A 0 1 3,852 1,125 2009-10-27 $2.48 $5.00 76.1% 21.8% 37.0% 26.4% 0.0% 5.8% 19.3% 28 168.5K -478 0.50 95.32 N/A N/A 10 5 3,852 1,106 2009-10-28 $2.28 $5.00 109.5% 31.4% 45.2% 53.9% 0.0% 15.7% -15.4% 347 136.7K -631 0.08 88.23 N/A N/A 24 2 3,862 1,111 2009-10-29 $2.32 $5.00 100.2% 28.7% 45.2% 46.2% 0.0% 1.0% -19.2% -42 178.7K -383 0.00 85.22 N/A N/A 15 0 3,884 1,102 2009-10-30 $2.22 $5.00 83.7% 24.0% 45.9% 32.6% 0.0% 10.3% 1.3% 122 157.8K -466 0.00 115.71 N/A N/A 0 8 3,899 1,102
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