NBIX Options History — February 2011

In February 2011, NBIX traded between $6.75 and $7.84. ATM implied volatility averaged 52.0%, placing in the 11.6% IV rank vs the trailing year. The 30-day expected move averaged 15.1%. IV traded above realized volatility by 17.7% (HV 20d: 34.2%). Max pain ranged from $6.00 to $7.00. Net GEX was positive for 19 of 19 trading days. Term structure was in contango for 16 of 19 days. Put/call ratio averaged 0.42.

Notable Days

2011-02-11: Highest Volume — 979 contracts
2011-02-23: Largest IV spike — 14.7% change
2011-02-02: Highest IV Rank — 14.5%
2011-02-02: Largest Expected Move — 16.4%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$7.43	$6.75	$7.84	$7.53	$6.75
Max Pain	$6.84	$6.00	$7.00	$6.00	$7.00
ATM IV	52.0%	46.0%	57.2%	54.2%	50.4%
Expected Move	15.1%	13.2%	16.4%	15.5%	14.4%
HV 20d	34.2%	29.6%	46.9%	38.3%	46.9%
HV 60d	40.2%	37.3%	43.7%	43.7%	40.6%
IV Rank	11.6%	8.3%	14.5%	12.8%	10.7%
IV Percentile	16.6%	4.8%	31.7%	21.4%	10.3%
Term Structure	4.9%	-2.1%	12.1%	-1.8%	4.5%
VWIV	52.4%	46.9%	57.8%	54.2%	50.2%
Skew 25d	10.0%	-3.4%	27.1%	16.9%	2.4%
Skew 10d	16.3%	-13.0%	70.4%	27.3%	51.4%
Call IV 25d	43.5%	28.2%	53.6%	43.2%	44.8%
Put IV 25d	53.5%	47.2%	62.7%	60.1%	47.2%
Bid-Ask Spread %	87.37	77.68	96.33	77.68	96.33
Gamma HHI	0.44	0.29	0.69	0.30	0.60
Net GEX	58.7K	24.9K	140.0K	62.4K	24.9K
Net DEX	-1.5M	-2.2M	-726.7K	-1.8M	-726.7K
Net VEX	-6.3K	-7.5K	-5.0K	-7.4K	-5.1K
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	0.42	0.00	2.53	0.00	0.42
Total Volume	171.474	48	979	70	183
Total OI	8,299.737	4,489	9,713	9,402	5,054

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
2011-02-01	$7.53	$6.00	54.2%	15.5%	38.3%	12.8%	54.2%	16.9%	-1.8%	62.4K	-1.8M	-7.4K	0.00	77.68	N/A	N/A	70	0	8,078	1,324
2011-02-02	$7.62	$6.00	57.2%	16.4%	31.0%	14.5%	57.2%	18.7%	-2.1%	64.5K	-1.9M	-7.5K	0.00	78.00	N/A	N/A	114	0	8,026	1,324
2011-02-03	$7.48	$6.00	51.9%	14.9%	31.0%	11.6%	51.9%	15.5%	3.7%	61.1K	-1.7M	-7.1K	0.13	79.71	N/A	N/A	107	14	8,129	1,324
2011-02-04	$7.48	$7.00	49.3%	16.2%	30.2%	10.1%	54.9%	5.2%	1.5%	55.4K	-1.6M	-6.8K	0.00	83.02	N/A	N/A	0	56	8,068	1,338
2011-02-07	$7.51	$7.00	52.9%	15.9%	30.2%	12.1%	0.0%	-3.1%	4.5%	57.0K	-1.7M	-6.8K	0.00	81.18	N/A	N/A	76	0	8,068	1,394
2011-02-08	$7.53	$7.00	55.1%	15.5%	30.1%	13.4%	57.8%	-2.5%	5.9%	55.6K	-1.6M	-6.7K	0.00	81.68	N/A	N/A	94	0	8,014	1,394
2011-02-09	$7.44	$7.00	50.4%	16.3%	30.2%	10.7%	0.0%	-3.4%	4.9%	50.6K	-1.5M	-6.4K	0.00	82.21	N/A	N/A	98	0	8,038	1,394
2011-02-10	$7.34	$7.00	53.4%	15.3%	29.6%	12.4%	0.0%	9.9%	7.0%	49.7K	-1.5M	-6.4K	0.01	93.40	N/A	N/A	202	2	8,108	1,394
2011-02-11	$7.84	$7.00	48.8%	14.0%	38.1%	9.9%	46.9%	-1.9%	12.1%	69.5K	-2.2M	-6.8K	0.06	90.23	N/A	N/A	921	58	8,308	1,394
2011-02-14	$7.65	$7.00	52.8%	15.1%	38.9%	12.1%	54.3%	20.2%	6.7%	62.9K	-1.9M	-6.4K	1.58	91.10	N/A	N/A	33	52	8,237	1,438
2011-02-15	$7.62	$7.00	49.2%	14.1%	37.5%	10.1%	48.9%	13.9%	11.9%	63.0K	-1.8M	-6.3K	0.00	89.72	N/A	N/A	122	0	8,236	1,416
2011-02-16	$7.53	$7.00	51.3%	14.7%	33.9%	11.3%	0.0%	13.1%	10.4%	77.7K	-1.7M	-6.0K	2.53	88.43	N/A	N/A	19	48	8,297	1,416
2011-02-17	$7.55	$7.00	50.9%	14.6%	33.2%	11.0%	0.0%	11.9%	6.2%	101.5K	-1.7M	-6.0K	0.02	88.09	N/A	N/A	238	5	8,288	1,415
2011-02-18	$7.45	$7.00	50.2%	14.4%	33.6%	10.6%	47.6%	7.2%	10.2%	140.0K	-1.3M	-5.8K	0.81	88.21	N/A	N/A	79	64	8,160	1,420
2011-02-22	$7.16	$7.00	46.0%	13.2%	36.2%	8.3%	49.9%	-0.2%	3.4%	27.1K	-787.5K	-5.0K	0.04	94.79	N/A	N/A	310	11	3,771	718
2011-02-23	$7.18	$7.00	52.7%	15.1%	33.3%	12.0%	52.7%	18.4%	3.5%	29.8K	-867.3K	-5.4K	0.06	92.36	N/A	N/A	155	10	4,056	729
2011-02-24	$7.20	$7.00	55.4%	15.9%	33.3%	13.5%	0.0%	21.5%	2.8%	31.2K	-957.2K	-5.7K	1.67	91.54	N/A	N/A	18	30	4,202	739
2011-02-25	$7.39	$7.00	54.9%	15.7%	34.8%	13.2%	55.0%	27.1%	-1.7%	32.0K	-1.1M	-6.0K	0.28	92.44	N/A	N/A	54	15	4,217	769
2011-02-28	$6.75	$7.00	50.4%	14.4%	46.9%	10.7%	50.2%	2.4%	4.5%	24.9K	-726.7K	-5.1K	0.42	96.33	N/A	N/A	129	54	4,270	784