NBIX Options History — April 2011

In April 2011, NBIX traded between $7.23 and $8.30. ATM implied volatility averaged 39.8%, placing in the 4.9% IV rank vs the trailing year. The 30-day expected move averaged 11.5%. IV traded below realized volatility by 13.6% (HV 20d: 53.4%). Max pain ranged from $6.00 to $7.00. Net GEX was positive for 20 of 20 trading days. Term structure was in contango for 20 of 20 days. Put/call ratio averaged 0.09.

Notable Days

2011-04-12: Highest Volume — 1,164 contracts
2011-04-19: Largest IV drop — 27.0% change
2011-04-13: Highest IV Rank — 13.9%
2011-04-18: Largest Expected Move — 13.3%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$7.78	$7.23	$8.30	$7.52	$7.69
Max Pain	$6.05	$6.00	$7.00	$7.00	$6.00
ATM IV	39.8%	32.3%	56.2%	32.3%	39.0%
Expected Move	11.5%	9.3%	13.3%	9.3%	11.2%
HV 20d	53.4%	47.6%	58.6%	47.6%	49.9%
HV 60d	49.2%	44.2%	50.6%	44.2%	49.5%
IV Rank	4.9%	0.7%	13.9%	0.7%	4.4%
IV Percentile	6.6%	0.4%	42.5%	0.4%	6.7%
Term Structure	6.9%	1.2%	12.0%	6.5%	1.2%
VWIV	41.0%	27.9%	58.0%	38.5%	39.0%
Skew 25d	4.0%	-10.6%	16.0%	-10.1%	-2.1%
Skew 10d	18.6%	-9.2%	70.4%	-9.2%	11.7%
Call IV 25d	35.2%	28.9%	46.4%	35.4%	36.0%
Put IV 25d	39.3%	25.3%	49.1%	25.3%	33.9%
Bid-Ask Spread %	90.81	84.29	96.51	96.51	91.41
Gamma HHI	0.60	0.53	0.69	0.55	0.61
Net GEX	97.4K	62.5K	136.8K	66.6K	125.7K
Net DEX	-2.4M	-2.9M	-1.3M	-1.7M	-2.6M
Net VEX	-6.7K	-8.0K	-5.5K	-6.1K	-6.6K
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	0.09	0.00	0.35	0.22	0.00
Total Volume	201.05	10	1,164	45	10
Total OI	8,002.9	6,816	9,079	6,818	8,823

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
2011-04-01	$7.52	$7.00	32.3%	9.3%	47.6%	0.7%	0.0%	-10.1%	6.5%	66.6K	-1.7M	-6.1K	0.22	96.51	N/A	N/A	37	8	5,883	935
2011-04-04	$7.23	$6.00	40.5%	13.1%	47.9%	5.2%	0.0%	0.8%	6.5%	62.5K	-1.3M	-5.5K	0.00	93.60	N/A	N/A	28	0	5,889	927
2011-04-05	$8.02	$6.00	38.1%	11.1%	57.8%	3.9%	38.5%	11.2%	12.0%	75.9K	-2.2M	-6.1K	0.29	88.17	N/A	N/A	289	85	5,915	927
2011-04-06	$8.30	$6.00	36.7%	11.9%	58.6%	3.2%	42.1%	10.9%	7.5%	78.4K	-2.7M	-6.3K	0.35	84.29	N/A	N/A	182	63	6,098	1,012
2011-04-07	$8.12	$6.00	37.2%	12.4%	57.7%	3.4%	40.7%	-3.7%	6.6%	76.1K	-2.5M	-6.2K	0.01	87.34	N/A	N/A	177	2	6,057	1,061
2011-04-08	$8.17	$6.00	36.9%	11.6%	57.5%	3.2%	39.0%	-0.9%	10.6%	84.1K	-2.4M	-6.0K	0.21	95.26	N/A	N/A	58	12	6,065	1,063
2011-04-11	$7.91	$6.00	38.9%	12.9%	56.3%	4.4%	0.0%	-6.4%	1.6%	74.2K	-2.1M	-5.9K	0.00	94.42	N/A	N/A	141	0	6,005	1,073
2011-04-12	$7.79	$6.00	45.3%	11.9%	56.0%	7.9%	46.3%	14.6%	6.8%	79.0K	-1.9M	-5.9K	0.12	94.33	N/A	N/A	1,039	125	6,115	1,073
2011-04-13	$7.69	$6.00	56.2%	11.6%	52.4%	13.9%	44.4%	11.2%	10.2%	91.5K	-2.2M	-6.8K	0.00	90.92	N/A	N/A	1,034	2	6,986	1,047
2011-04-14	$7.77	$6.00	44.8%	12.9%	52.4%	7.6%	44.4%	15.9%	6.0%	102.1K	-2.8M	-8.0K	0.00	91.20	N/A	N/A	34	0	8,007	1,047
2011-04-15	$7.79	$6.00	38.3%	11.0%	52.3%	4.0%	27.9%	16.0%	9.7%	114.1K	-2.7M	-7.7K	0.00	91.30	N/A	N/A	17	0	8,032	1,047
2011-04-18	$7.76	$6.00	46.5%	13.3%	52.4%	8.6%	44.2%	11.7%	10.5%	98.1K	-2.5M	-7.6K	0.00	92.84	N/A	N/A	12	0	7,545	908
2011-04-19	$7.52	$6.00	33.9%	9.7%	52.8%	1.6%	38.6%	8.3%	11.0%	104.6K	-2.3M	-7.2K	0.00	87.50	N/A	N/A	46	0	7,555	908
2011-04-20	$7.76	$6.00	40.2%	11.5%	53.5%	5.1%	40.5%	5.1%	6.7%	109.0K	-2.6M	-7.4K	0.00	90.96	N/A	N/A	24	0	7,594	908
2011-04-21	$7.70	$6.00	36.4%	10.4%	53.8%	3.0%	36.1%	8.1%	5.3%	114.5K	-2.5M	-7.2K	0.00	86.12	N/A	N/A	273	1	7,618	908
2011-04-25	$7.59	$6.00	36.7%	10.5%	54.3%	3.2%	42.4%	-3.0%	5.5%	117.1K	-2.3M	-6.8K	0.32	90.38	N/A	N/A	71	23	7,749	909
2011-04-26	$7.61	$6.00	41.4%	11.9%	54.3%	5.7%	58.0%	-10.6%	2.9%	114.6K	-2.3M	-6.9K	0.25	91.88	N/A	N/A	51	13	7,820	929
2011-04-27	$7.79	$6.00	35.7%	10.2%	51.1%	2.6%	32.8%	-0.5%	8.5%	136.8K	-2.7M	-6.6K	0.00	90.32	N/A	N/A	89	0	7,862	942
2011-04-28	$7.82	$6.00	41.9%	12.0%	49.6%	6.0%	41.9%	4.5%	1.4%	123.2K	-2.9M	-6.9K	0.00	87.40	N/A	N/A	75	0	7,874	942
2011-04-29	$7.69	$6.00	39.0%	11.2%	49.9%	4.4%	39.0%	-2.1%	1.2%	125.7K	-2.6M	-6.6K	0.00	91.41	N/A	N/A	10	0	7,881	942