NBIX Options History — February 2010

In February 2010, NBIX traded between $2.17 and $2.75. ATM implied volatility averaged 61.4%, placing in the 14.4% IV rank vs the trailing year. The 30-day expected move averaged 16.4%. IV traded below realized volatility by 1.3% (HV 20d: 62.8%). Max pain ranged from $2.50 to $2.50. Net GEX was positive for 6 of 19 trading days. Term structure was in contango for 17 of 19 days. Put/call ratio averaged 0.21.

Notable Days

2010-02-12: Highest Volume — 190 contracts
2010-02-05: Largest IV spike — 60.0% change
2010-02-05: Highest IV Rank — 64.3%
2010-02-05: Largest Expected Move — 26.7%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$2.52	$2.17	$2.75	$2.40	$2.62
Max Pain	$2.50	$2.50	$2.50	$2.50	$2.50
ATM IV	61.4%	43.6%	122.0%	55.4%	54.1%
Expected Move	16.4%	12.5%	26.7%	15.9%	15.5%
HV 20d	62.8%	53.6%	72.8%	59.2%	55.4%
HV 60d	66.9%	65.6%	69.1%	66.3%	66.9%
IV Rank	14.4%	0.0%	64.3%	9.4%	8.6%
IV Percentile	19.3%	0.0%	96.0%	6.0%	6.7%
Term Structure	12.5%	-5.8%	46.3%	46.3%	2.0%
VWIV	79.2%	79.2%	79.2%	79.2%	79.2%
Bid-Ask Spread %	93.46	35.24	163.50	132.84	82.52
Gamma HHI	0.68	0.47	0.89	0.82	0.56
Net GEX	-821	-3.4K	1.1K	-1.7K	777
Net DEX	-25.7K	-74.8K	25.4K	10.3K	-66.2K
Net VEX	-495	-584	-397	-475	-581
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	0.21	0.00	1.00	1.00	0.00
Total Volume	31.526	0	190	20	0
Total OI	1,483	1,177	1,772	1,457	1,257

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
2010-02-01	$2.40	$2.50	55.4%	15.9%	59.2%	9.4%	0.0%	0.0%	46.3%	-1.7K	10.3K	-475	1.00	132.84	N/A	N/A	10	10	944	513
2010-02-02	$2.35	$2.50	62.6%	17.9%	59.4%	15.3%	0.0%	0.0%	-5.4%	-1.4K	11.3K	-453	0.28	128.84	N/A	N/A	18	5	944	513
2010-02-03	$2.34	$2.50	64.3%	18.4%	58.8%	16.7%	0.0%	0.0%	23.9%	-1.4K	3.8K	-479	0.00	133.53	N/A	N/A	0	2	946	518
2010-02-04	$2.17	$2.50	76.3%	21.9%	63.3%	26.6%	79.2%	0.0%	38.0%	-621	7.8K	-397	0.30	90.96	N/A	N/A	20	6	946	520
2010-02-05	$2.18	$2.50	122.0%	26.7%	62.1%	64.3%	0.0%	0.0%	-5.8%	-479	20.7K	-415	0.00	163.50	N/A	N/A	4	0	956	526
2010-02-08	$2.36	$2.50	69.2%	16.7%	68.8%	20.8%	0.0%	0.0%	15.3%	-1.6K	25.4K	-423	0.00	91.77	N/A	N/A	56	0	958	526
2010-02-09	$2.37	$2.50	87.7%	15.7%	68.8%	36.0%	0.0%	0.0%	3.9%	-1.1K	8.5K	-457	0.00	91.01	N/A	N/A	0	0	1,014	526
2010-02-10	$2.46	$2.50	64.7%	16.5%	70.3%	17.1%	0.0%	0.0%	4.6%	-1.6K	3.4K	-461	0.00	66.47	N/A	N/A	0	0	1,014	526
2010-02-11	$2.54	$2.50	53.1%	15.2%	71.2%	7.5%	0.0%	0.0%	11.5%	-3.4K	-10.6K	-453	0.00	63.80	N/A	N/A	10	0	1,014	526
2010-02-12	$2.53	$2.50	67.9%	19.5%	71.1%	19.7%	0.0%	0.0%	2.9%	-2.3K	-11.1K	-462	0.00	160.98	N/A	N/A	190	0	1,004	526
2010-02-16	$2.67	$2.50	52.2%	15.0%	72.8%	6.8%	0.0%	0.0%	10.4%	-1.6K	-40.8K	-450	0.70	78.53	N/A	N/A	71	50	1,189	526
2010-02-17	$2.70	$2.50	52.3%	15.0%	62.6%	6.8%	0.0%	0.0%	10.0%	-1.4K	-55.2K	-584	0.00	78.57	N/A	N/A	8	0	1,187	576
2010-02-18	$2.64	$2.50	54.8%	15.7%	61.0%	8.8%	0.0%	0.0%	3.3%	-2.1K	-52.0K	-557	0.00	75.72	N/A	N/A	0	10	1,186	576
2010-02-19	$2.73	$2.50	44.1%	12.6%	59.7%	0.0%	0.0%	0.0%	18.3%	1.1K	-74.8K	-540	0.00	75.34	N/A	N/A	20	0	1,186	586
2010-02-22	$2.72	$2.50	46.9%	13.5%	59.1%	2.4%	0.0%	0.0%	17.8%	1.1K	-74.1K	-522	0.00	75.85	N/A	N/A	0	105	955	222
2010-02-23	$2.70	$2.50	43.6%	12.5%	57.8%	0.0%	0.0%	0.0%	19.8%	746	-57.2K	-555	0.00	35.24	N/A	N/A	4	0	955	302
2010-02-24	$2.75	$2.50	47.6%	13.6%	53.6%	3.2%	0.0%	0.0%	15.1%	788	-74.1K	-581	0.00	69.66	N/A	N/A	0	0	955	302
2010-02-25	$2.60	$2.50	48.4%	13.9%	58.0%	3.9%	0.0%	0.0%	5.0%	759	-63.6K	-563	0.00	80.65	N/A	N/A	0	0	955	302
2010-02-26	$2.62	$2.50	54.1%	15.5%	55.4%	8.6%	0.0%	0.0%	2.0%	777	-66.2K	-581	0.00	82.52	N/A	N/A	0	0	955	302