NBIX Options History — November 2009

In November 2009, NBIX traded between $2.00 and $2.27. ATM implied volatility averaged 82.1%, placing in the 31.3% IV rank vs the trailing year. The 30-day expected move averaged 24.1%. IV traded above realized volatility by 26.1% (HV 20d: 56.0%). Max pain ranged from $5.00 to $5.00. Net GEX was positive for 12 of 20 trading days. Term structure was in contango for 10 of 20 days. Put/call ratio averaged 0.21.

Notable Days

2009-11-20: Highest Volume — 24 contracts
2009-11-16: Largest IV spike — 77.1% change
2009-11-03: Highest IV Rank — 63.3%
2009-11-03: Largest Expected Move — 34.7%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$2.15	$2.00	$2.27	$2.18	$2.03
Max Pain	$5.00	$5.00	$5.00	$5.00	$5.00
ATM IV	82.1%	59.5%	121.0%	83.2%	110.9%
Expected Move	24.1%	17.1%	34.7%	23.8%	31.8%
HV 20d	56.0%	45.2%	64.7%	45.2%	55.4%
HV 60d	47.9%	43.5%	50.7%	43.5%	45.2%
IV Rank	31.3%	12.7%	63.3%	32.2%	55.1%
IV Percentile	44.5%	6.3%	88.9%	50.8%	86.1%
Term Structure	-0.0%	-55.2%	47.5%	-20.8%	-17.4%
Skew 25d	-6.0%	-72.9%	8.8%	5.5%	-33.7%
Skew 10d	-8.0%	-69.0%	16.4%	9.8%	-56.0%
Call IV 25d	86.7%	72.7%	105.6%	87.4%	105.6%
Put IV 25d	80.7%	15.0%	99.9%	92.9%	72.0%
Bid-Ask Spread %	80.03	33.22	121.20	112.78	79.55
Gamma HHI	0.47	0.39	0.54	0.44	0.47
Net GEX	39	-190	226	30	79
Net DEX	165.5K	124.4K	182.2K	162.6K	133.3K
Net VEX	-306	-432	-204	-432	-204
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	0.21	0.00	1.60	0.00	0.00
Total Volume	4.95	0	24	1	5
Total OI	4,944.05	4,680	5,017	5,009	4,680

Daily Data (20 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
2009-11-02	$2.18	$5.00	83.2%	23.8%	45.2%	32.2%	0.0%	5.5%	-20.8%	30	162.6K	-432	0.00	112.78	N/A	N/A	1	0	3,899	1,110
2009-11-03	$2.07	$5.00	121.0%	34.7%	45.2%	63.3%	0.0%	5.4%	-55.2%	-18	166.6K	-355	0.00	45.66	N/A	N/A	4	0	3,900	1,110
2009-11-04	$2.10	$5.00	100.1%	28.7%	45.8%	46.2%	0.0%	3.9%	-27.2%	-64	172.6K	-324	0.00	121.20	N/A	N/A	4	0	3,904	1,110
2009-11-05	$2.15	$5.00	102.5%	29.4%	48.0%	48.1%	0.0%	2.8%	-27.3%	-27	173.2K	-335	0.00	91.74	N/A	N/A	5	0	3,907	1,110
2009-11-06	$2.27	$0.00	81.2%	25.1%	51.2%	30.5%	0.0%	1.3%	-15.2%	-190	177.7K	-318	0.00	99.29	N/A	N/A	0	0	3,912	1,078
2009-11-09	$2.25	$0.00	74.5%	25.5%	51.2%	25.0%	0.0%	7.7%	-0.0%	-33	165.1K	-398	1.60	59.48	N/A	N/A	5	8	3,912	1,078
2009-11-10	$2.23	$0.00	77.1%	24.1%	51.1%	27.2%	0.0%	5.0%	0.9%	-88	170.4K	-363	0.00	54.06	N/A	N/A	7	0	3,917	1,086
2009-11-11	$2.20	$0.00	79.5%	25.6%	49.5%	29.2%	0.0%	5.2%	-2.3%	-62	168.2K	-349	0.00	53.50	N/A	N/A	0	0	3,924	1,087
2009-11-12	$2.00	$0.00	65.9%	18.9%	56.9%	18.0%	0.0%	-72.9%	20.4%	146	161.9K	-307	0.00	73.68	N/A	N/A	5	0	3,924	1,083
2009-11-13	$2.12	$0.00	59.5%	17.1%	63.0%	12.7%	0.0%	8.8%	47.5%	226	163.6K	-355	0.00	78.54	N/A	N/A	0	0	3,924	1,083
2009-11-16	$2.17	$0.00	105.4%	30.2%	64.4%	50.5%	0.0%	-13.4%	-24.7%	88	177.4K	-284	0.00	95.50	N/A	N/A	10	0	3,924	1,083
2009-11-17	$2.19	$0.00	64.2%	18.4%	64.7%	16.6%	0.0%	2.9%	26.3%	169	172.8K	-318	0.00	79.50	N/A	N/A	0	0	3,934	1,083
2009-11-18	$2.17	$0.00	91.8%	26.3%	64.7%	39.3%	0.0%	-3.8%	-9.9%	84	178.9K	-264	0.00	99.78	N/A	N/A	0	2	3,934	1,083
2009-11-19	$2.13	$0.00	70.6%	20.3%	64.5%	21.9%	0.0%	-0.4%	19.5%	116	173.8K	-283	0.00	109.03	N/A	N/A	9	0	3,934	1,083
2009-11-20	$2.13	$0.00	66.4%	19.0%	63.5%	18.4%	0.0%	-4.5%	15.9%	-16	182.2K	-215	0.71	80.94	N/A	N/A	14	10	3,934	1,063
2009-11-23	$2.17	$0.00	59.6%	17.1%	62.4%	12.8%	0.0%	-7.6%	40.8%	105	158.2K	-263	0.00	33.22	N/A	N/A	10	0	3,802	994
2009-11-24	$2.17	$0.00	60.8%	17.4%	62.4%	13.8%	0.0%	-16.7%	24.2%	20	165.1K	-226	0.00	90.01	N/A	N/A	0	0	3,812	994
2009-11-25	$2.18	$0.00	73.6%	21.1%	55.4%	24.3%	0.0%	-11.8%	3.9%	43	162.2K	-238	0.00	76.15	N/A	N/A	0	0	3,812	994
2009-11-27	$2.11	$0.00	93.4%	26.8%	55.9%	40.6%	0.0%	-3.0%	0.7%	174	124.4K	-280	0.00	67.02	N/A	N/A	0	0	3,812	868
2009-11-30	$2.03	$0.00	110.9%	31.8%	55.4%	55.1%	0.0%	-33.7%	-17.4%	79	133.3K	-204	0.00	79.55	N/A	N/A	0	5	3,812	868