NBIX Options History — January 2010

In January 2010, NBIX traded between $2.31 and $2.73. ATM implied volatility averaged 79.4%, placing in the 29.1% IV rank vs the trailing year. The 30-day expected move averaged 18.8%. IV traded above realized volatility by 13.0% (HV 20d: 66.4%). Max pain ranged from $2.50 to $2.50. Net GEX was positive for 1 of 19 trading days. Term structure was in contango for 11 of 19 days. Put/call ratio averaged 2.08.

Notable Days

2010-01-13: Highest Volume — 236 contracts
2010-01-13: Largest IV drop — 43.7% change
2010-01-11: Highest IV Rank — 77.9%
2010-01-25: Largest Expected Move — 25.0%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$2.52	$2.31	$2.73	$2.69	$2.35
Max Pain	$2.50	$2.50	$2.50	$2.50	$2.50
ATM IV	79.4%	44.0%	138.6%	84.4%	56.6%
Expected Move	18.8%	12.6%	25.0%	22.4%	16.2%
HV 20d	66.4%	57.6%	77.1%	68.0%	59.2%
HV 60d	66.2%	64.5%	68.8%	64.5%	67.1%
IV Rank	29.1%	0.0%	77.9%	33.2%	10.4%
IV Percentile	42.3%	0.0%	98.4%	62.7%	6.7%
Term Structure	1.5%	-38.5%	43.3%	-2.4%	43.3%
VWIV	48.2%	30.0%	78.7%	78.7%	39.5%
Skew 25d	-3.7%	-19.3%	12.4%	-11.2%	-19.3%
Skew 10d	-4.7%	-23.6%	17.3%	-14.5%	-23.6%
Call IV 25d	74.8%	64.3%	88.8%	88.8%	69.0%
Put IV 25d	71.1%	49.7%	85.8%	77.6%	49.7%
Bid-Ask Spread %	105.81	35.99	139.59	117.15	133.78
Gamma HHI	0.71	0.46	0.97	0.46	0.76
Net GEX	-1.9K	-13.6K	4	-7	-1.4K
Net DEX	57.3K	-42.9K	217.2K	83.7K	12.0K
Net VEX	-315	-462	-194	-210	-462
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	2.08	0.00	7.43	2.00	1.00
Total Volume	66.789	0	236	0	8
Total OI	3,203.105	1,069	5,225	4,674	1,449

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
2010-01-04	$2.69	$2.50	84.4%	22.4%	68.0%	33.2%	0.0%	-11.2%	-2.4%	-7	83.7K	-210	0.00	117.15	N/A	N/A	0	0	3,926	748
2010-01-05	$2.61	$2.50	98.6%	19.9%	69.2%	44.9%	0.0%	-12.1%	1.5%	-13	94.0K	-194	2.00	125.22	N/A	N/A	55	110	3,926	748
2010-01-06	$2.53	$2.50	132.0%	23.3%	69.6%	72.5%	0.0%	-3.3%	6.2%	-299	101.1K	-271	0.00	113.66	N/A	N/A	0	154	3,975	858
2010-01-07	$2.60	$2.50	107.6%	24.4%	68.9%	52.3%	0.0%	12.4%	-15.4%	-1.3K	119.9K	-256	0.00	105.70	N/A	N/A	36	0	3,975	1,012
2010-01-08	$2.52	$2.50	101.0%	21.8%	69.4%	46.9%	0.0%	5.9%	3.6%	-1.7K	124.2K	-261	0.00	35.99	N/A	N/A	0	0	3,991	1,002
2010-01-11	$2.53	$2.50	138.6%	22.6%	66.8%	77.9%	78.7%	6.1%	-2.9%	-1.5K	123.1K	-230	2.50	76.98	N/A	N/A	12	30	3,991	1,002
2010-01-12	$2.52	$2.50	119.6%	18.3%	66.6%	62.2%	0.0%	-3.8%	11.6%	-2.3K	128.7K	-229	0.00	117.85	N/A	N/A	0	0	4,003	1,031
2010-01-13	$2.55	$2.50	67.3%	16.3%	64.8%	19.2%	56.0%	-8.3%	11.4%	-4.8K	111.8K	-207	7.43	68.51	N/A	N/A	28	208	4,003	1,021
2010-01-14	$2.53	$2.50	70.9%	20.3%	64.9%	22.1%	0.0%	0.0%	2.7%	-4.3K	124.5K	-288	0.00	105.65	N/A	N/A	0	5	4,031	1,194
2010-01-15	$2.46	$2.50	44.0%	12.6%	66.0%	0.0%	0.0%	0.0%	11.9%	-13.6K	217.2K	-233	0.06	95.03	N/A	N/A	200	12	4,011	1,189
2010-01-19	$2.73	$2.50	48.5%	13.9%	73.1%	3.7%	35.0%	0.0%	15.6%	4	-42.9K	-324	6.18	103.20	N/A	N/A	17	105	801	268
2010-01-20	$2.61	$2.50	53.8%	15.4%	75.8%	8.0%	0.0%	-19.3%	-10.6%	-668	-26.3K	-390	0.00	56.86	N/A	N/A	0	0	815	372
2010-01-21	$2.50	$2.50	57.1%	16.4%	77.1%	10.8%	49.9%	0.0%	-4.0%	-982	-21.6K	-378	3.33	122.53	N/A	N/A	3	10	815	372
2010-01-22	$2.45	$2.50	68.4%	19.6%	66.3%	20.0%	0.0%	0.0%	-11.4%	-872	-12.7K	-389	0.50	125.38	N/A	N/A	10	5	812	381
2010-01-25	$2.55	$2.50	87.2%	25.0%	57.6%	35.5%	0.0%	0.0%	-38.5%	-337	-28.2K	-425	0.00	112.02	N/A	N/A	43	0	816	386
2010-01-26	$2.41	$2.50	63.3%	18.1%	60.3%	15.9%	0.0%	0.0%	-20.8%	-598	-7.9K	-379	1.00	120.22	N/A	N/A	26	26	856	386
2010-01-27	$2.41	$2.50	54.4%	15.6%	58.9%	8.5%	30.0%	0.0%	5.8%	-887	-20.2K	-435	1.00	139.59	N/A	N/A	58	58	882	412
2010-01-28	$2.31	$2.50	54.9%	15.7%	59.4%	8.9%	39.5%	0.0%	20.8%	-920	8.6K	-419	0.00	135.02	N/A	N/A	0	50	940	459
2010-01-29	$2.35	$2.50	56.6%	16.2%	59.2%	10.4%	0.0%	0.0%	43.3%	-1.4K	12.0K	-462	1.00	133.78	N/A	N/A	4	4	940	509