NBIX Options History — July 2011

In July 2011, NBIX traded between $7.73 and $8.44. ATM implied volatility averaged 37.4%, placing in the 26.2% IV rank vs the trailing year. The 30-day expected move averaged 11.6%. IV traded above realized volatility by 6.3% (HV 20d: 31.2%). Max pain ranged from $5.00 to $8.00. Net GEX was positive for 20 of 20 trading days. Term structure was in contango for 16 of 20 days. Put/call ratio averaged 0.88.

Notable Days

2011-07-25: Highest Volume — 462 contracts
2011-07-11: Largest IV spike — 35.7% change
2011-07-27: Highest IV Rank — 36.0%
2011-07-22: Largest Expected Move — 12.4%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$8.07	$7.73	$8.44	$8.04	$7.73
Max Pain	$6.45	$5.00	$8.00	$8.00	$5.00
ATM IV	37.4%	25.9%	43.4%	34.5%	40.0%
Expected Move	11.6%	9.9%	12.4%	9.9%	11.5%
HV 20d	31.2%	24.3%	34.6%	34.5%	28.5%
HV 60d	41.1%	39.8%	41.6%	41.6%	39.8%
IV Rank	26.2%	7.3%	36.0%	18.9%	32.3%
IV Percentile	13.5%	0.4%	26.6%	3.6%	18.7%
Term Structure	2.6%	-3.2%	7.0%	2.4%	1.9%
VWIV	41.9%	33.9%	56.0%	50.3%	40.0%
Skew 25d	13.7%	-4.2%	30.0%	2.6%	-4.2%
Skew 10d	20.0%	-7.3%	60.8%	6.1%	2.0%
Call IV 25d	32.0%	19.3%	40.5%	40.5%	35.6%
Put IV 25d	45.8%	31.4%	50.2%	43.1%	31.4%
Bid-Ask Spread %	90.17	79.29	106.32	106.32	85.14
Gamma HHI	0.80	0.72	0.92	0.80	0.77
Net GEX	121.4K	77.1K	268.3K	109.7K	98.4K
Net DEX	-2.2M	-3.1M	-1.5M	-2.2M	-1.5M
Net VEX	-5.2K	-6.3K	-4.3K	-6.3K	-4.3K
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	0.88	0.00	5.77	0.00	0.00
Total Volume	110.75	13	462	35	123
Total OI	6,338.35	5,518	7,111	6,823	6,003

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
2011-07-01	$8.04	$8.00	34.5%	9.9%	34.5%	18.9%	0.0%	2.6%	2.4%	109.7K	-2.2M	-6.3K	0.00	106.32	N/A	N/A	35	0	5,495	1,328
2011-07-05	$8.09	$7.00	35.3%	10.9%	34.0%	20.1%	0.0%	19.0%	6.0%	126.9K	-2.3M	-5.8K	0.00	95.67	N/A	N/A	50	0	5,524	1,328
2011-07-06	$8.23	$7.00	35.0%	12.1%	34.1%	22.1%	50.3%	10.6%	3.1%	114.5K	-2.7M	-6.0K	4.00	91.78	N/A	N/A	25	100	5,539	1,328
2011-07-07	$8.44	$7.00	29.1%	11.9%	33.9%	12.5%	0.0%	10.2%	5.3%	108.0K	-3.1M	-5.5K	0.00	85.32	N/A	N/A	62	0	5,553	1,228
2011-07-08	$8.40	$7.00	25.9%	11.2%	33.9%	7.3%	38.9%	7.7%	7.0%	114.4K	-3.1M	-5.4K	0.00	90.84	N/A	N/A	275	0	5,605	1,228
2011-07-11	$8.14	$7.00	35.1%	11.7%	34.3%	22.3%	39.9%	8.9%	6.1%	159.7K	-2.6M	-5.7K	5.00	92.43	N/A	N/A	5	25	5,784	1,228
2011-07-12	$8.09	$7.00	35.9%	12.2%	34.6%	23.5%	33.9%	15.5%	2.4%	135.8K	-2.6M	-5.6K	0.00	92.82	N/A	N/A	24	0	5,789	1,253
2011-07-13	$8.05	$7.00	29.9%	12.1%	34.0%	13.8%	41.4%	12.3%	3.3%	201.4K	-2.4M	-5.5K	0.00	93.61	N/A	N/A	13	0	5,809	1,253
2011-07-14	$8.03	$7.00	39.2%	11.2%	32.4%	28.9%	40.9%	10.8%	7.0%	181.7K	-2.4M	-5.4K	0.21	94.57	N/A	N/A	90	19	5,814	1,253
2011-07-15	$8.02	$7.00	39.7%	11.4%	32.4%	29.7%	39.3%	22.5%	5.3%	268.3K	-2.3M	-5.2K	0.03	94.32	N/A	N/A	153	5	5,839	1,272
2011-07-18	$7.90	$7.00	39.1%	11.2%	33.0%	28.7%	39.1%	21.0%	2.8%	79.3K	-1.7M	-4.9K	0.03	94.58	N/A	N/A	34	1	4,678	881
2011-07-19	$7.85	$7.00	41.0%	11.8%	33.2%	31.9%	48.2%	21.0%	0.9%	77.1K	-1.6M	-4.9K	0.18	89.03	N/A	N/A	57	10	4,712	882
2011-07-20	$8.02	$7.00	41.5%	11.9%	33.2%	32.7%	41.5%	21.5%	1.7%	82.4K	-1.8M	-4.9K	0.00	82.93	N/A	N/A	47	0	4,729	878
2011-07-21	$8.16	$7.00	41.3%	11.8%	29.6%	32.4%	56.0%	27.4%	-2.1%	85.4K	-2.1M	-4.9K	5.77	83.60	N/A	N/A	22	127	4,770	878
2011-07-22	$8.27	$5.00	43.4%	12.4%	24.3%	35.8%	46.9%	30.0%	-2.3%	84.3K	-2.2M	-4.9K	1.76	85.94	N/A	N/A	101	178	4,785	780
2011-07-25	$8.15	$5.00	41.3%	11.8%	24.6%	32.4%	36.9%	-2.0%	1.7%	94.8K	-2.1M	-4.6K	0.00	84.78	N/A	N/A	462	0	4,855	663
2011-07-26	$7.98	$5.00	40.3%	11.6%	25.6%	32.9%	40.6%	19.9%	-2.5%	103.7K	-1.9M	-4.7K	0.31	90.32	N/A	N/A	55	17	5,231	663
2011-07-27	$7.78	$5.00	42.1%	12.1%	25.8%	36.0%	42.9%	15.6%	-3.2%	93.4K	-1.6M	-4.5K	0.29	90.04	N/A	N/A	49	14	5,272	680
2011-07-28	$7.98	$5.00	39.0%	11.2%	27.4%	30.6%	36.4%	4.7%	5.2%	109.3K	-1.9M	-4.6K	0.00	79.29	N/A	N/A	37	0	5,283	694
2011-07-29	$7.73	$5.00	40.0%	11.5%	28.5%	32.3%	40.0%	-4.2%	1.9%	98.4K	-1.5M	-4.3K	0.00	85.14	N/A	N/A	123	0	5,309	694