NBIX Options History — May 2010

In May 2010, NBIX traded between $2.48 and $4.09. ATM implied volatility averaged 129.8%, placing in the 53.4% IV rank vs the trailing year. The 30-day expected move averaged 36.2%. IV traded above realized volatility by 43.2% (HV 20d: 86.6%). Max pain ranged from $2.50 to $2.50. Net GEX was positive for 17 of 20 trading days. Term structure was in contango for 7 of 20 days. Put/call ratio averaged 0.61.

Notable Days

2010-05-26: Highest Volume — 2,886 contracts
2010-05-12: Largest IV drop — 58.7% change
2010-05-11: Highest IV Rank — 100.0%
2010-05-10: Largest Expected Move — 47.7%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$2.99	$2.48	$4.09	$3.16	$4.00
Max Pain	$2.50	$2.50	$2.50	$2.50	$2.50
ATM IV	129.8%	75.1%	211.3%	82.3%	116.6%
Expected Move	36.2%	21.5%	47.7%	23.6%	33.4%
HV 20d	86.6%	58.7%	133.4%	58.7%	133.4%
HV 60d	69.4%	56.6%	90.6%	56.6%	90.6%
IV Rank	53.4%	22.0%	100.0%	26.9%	43.5%
IV Percentile	89.0%	47.6%	100.0%	64.7%	88.9%
Term Structure	-0.5%	-26.0%	48.3%	-3.7%	-1.7%
VWIV	132.6%	102.9%	155.1%	136.6%	116.6%
Bid-Ask Spread %	70.75	16.76	138.59	21.99	31.62
Gamma HHI	0.59	0.47	0.83	0.83	0.61
Net GEX	1.1K	-1.1K	3.7K	1.7K	-1.1K
Net DEX	-241.8K	-537.7K	-90.4K	-291.8K	-90.4K
Net VEX	-1.6K	-3.9K	-1.2K	-1.3K	-3.7K
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	0.61	0.00	3.36	1.07	0.42
Total Volume	301.25	0	2,886	10	235
Total OI	3,642.05	2,780	5,585	3,091	5,513

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
2010-05-03	$3.16	$2.50	82.3%	23.6%	58.7%	26.9%	0.0%	0.0%	-3.7%	1.7K	-291.8K	-1.3K	0.00	21.99	N/A	N/A	0	10	2,172	919
2010-05-04	$2.93	$2.50	75.1%	21.5%	66.2%	22.0%	0.0%	0.0%	43.0%	916	-258.6K	-1.2K	1.07	28.52	N/A	N/A	61	65	2,172	929
2010-05-05	$2.66	$2.50	89.7%	25.7%	75.6%	32.1%	0.0%	0.0%	20.1%	602	-133.9K	-1.2K	0.36	67.39	N/A	N/A	39	14	2,233	949
2010-05-06	$2.67	$2.50	97.8%	28.0%	69.5%	37.7%	0.0%	0.0%	48.3%	39	-194.6K	-1.3K	0.00	107.09	N/A	N/A	0	9	2,263	963
2010-05-07	$2.48	$2.50	145.6%	41.3%	73.4%	71.1%	0.0%	0.0%	-26.0%	765	-123.4K	-1.2K	0.00	138.59	N/A	N/A	367	0	2,263	972
2010-05-10	$2.52	$2.50	182.1%	47.7%	73.2%	96.5%	0.0%	0.0%	-23.6%	698	-135.0K	-1.2K	0.00	104.47	N/A	N/A	0	0	2,263	972
2010-05-11	$2.59	$2.50	211.3%	32.7%	74.1%	100.0%	0.0%	0.0%	2.9%	1.4K	-142.2K	-1.2K	0.00	96.24	N/A	N/A	0	20	2,572	972
2010-05-12	$2.90	$2.50	87.3%	38.5%	75.6%	26.0%	0.0%	0.0%	-23.1%	825	-240.4K	-1.3K	0.45	90.89	N/A	N/A	44	20	2,572	975
2010-05-13	$2.90	$2.50	121.2%	34.8%	74.5%	46.3%	0.0%	0.0%	-6.4%	1.0K	-233.8K	-1.3K	0.00	81.60	N/A	N/A	14	0	2,583	995
2010-05-14	$2.71	$2.50	136.3%	39.1%	77.4%	55.2%	136.6%	0.0%	0.7%	-47	-203.6K	-1.3K	0.02	93.28	N/A	N/A	43	1	2,589	995
2010-05-17	$2.86	$2.50	141.7%	40.6%	80.1%	58.5%	142.3%	0.0%	-10.3%	347	-269.3K	-1.3K	1.40	71.35	N/A	N/A	150	210	2,632	995
2010-05-18	$2.96	$2.50	129.8%	37.2%	80.3%	51.4%	102.9%	0.0%	27.2%	1.9K	-328.2K	-1.4K	0.08	76.63	N/A	N/A	104	8	2,731	1,180
2010-05-19	$2.89	$2.50	132.3%	37.9%	80.5%	52.9%	135.9%	0.0%	2.5%	1.9K	-313.1K	-1.3K	0.00	64.55	N/A	N/A	25	0	2,800	1,188
2010-05-20	$2.63	$2.50	144.9%	41.6%	84.7%	60.4%	145.0%	0.0%	-10.9%	772	-259.9K	-1.2K	0.10	74.48	N/A	N/A	184	19	2,815	1,188
2010-05-21	$2.72	$2.50	161.4%	46.3%	86.2%	70.2%	0.0%	0.0%	-11.9%	1.9K	-278.2K	-1.3K	0.00	81.29	N/A	N/A	6	0	2,907	1,186
2010-05-24	$2.73	$2.50	155.2%	44.5%	86.2%	66.5%	155.1%	0.0%	-1.3%	2.0K	-231.2K	-1.3K	0.49	98.04	N/A	N/A	41	20	2,184	596
2010-05-25	$3.40	$2.50	139.4%	40.0%	116.6%	57.1%	146.9%	0.0%	-22.6%	3.0K	-376.7K	-1.6K	0.65	42.12	N/A	N/A	746	486	2,225	616
2010-05-26	$4.09	$2.50	123.5%	35.4%	133.2%	47.7%	122.6%	0.0%	-5.7%	3.7K	-537.7K	-1.7K	3.36	16.76	N/A	N/A	662	2,224	2,249	928
2010-05-27	$4.09	$2.50	122.0%	35.0%	133.0%	46.7%	121.9%	0.0%	-7.4%	-710	-193.6K	-3.9K	1.33	28.00	N/A	N/A	85	113	2,574	3,011
2010-05-28	$4.00	$2.50	116.6%	33.4%	133.4%	43.5%	116.6%	0.0%	-1.7%	-1.1K	-90.4K	-3.7K	0.42	31.62	N/A	N/A	165	70	2,423	3,090