NBIX Options History — July 2012

In July 2012, NBIX traded between $7.37 and $8.32. ATM implied volatility averaged 44.7%, placing in the 21.4% IV rank vs the trailing year. The 30-day expected move averaged 12.9%. IV traded above realized volatility by 17.9% (HV 20d: 26.8%). Max pain ranged from $6.00 to $8.00. Net GEX was positive for 21 of 21 trading days. Term structure was in contango for 20 of 21 days. Put/call ratio averaged 1.33.

Notable Days

2012-07-09: Highest Volume — 305 contracts
2012-07-13: Largest IV drop — 12.8% change
2012-07-30: Highest IV Rank — 28.0%
2012-07-30: Largest Expected Move — 14.4%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$7.85	$7.37	$8.32	$8.27	$7.60
Max Pain	$7.71	$6.00	$8.00	$6.00	$8.00
ATM IV	44.7%	39.9%	50.3%	41.6%	44.9%
Expected Move	12.9%	11.4%	14.4%	11.9%	12.9%
HV 20d	26.8%	23.7%	29.8%	29.6%	24.7%
HV 60d	34.2%	31.5%	36.6%	36.6%	31.5%
IV Rank	21.4%	14.3%	28.0%	20.8%	20.4%
IV Percentile	25.8%	9.5%	43.3%	17.9%	22.2%
Term Structure	6.1%	-2.2%	12.1%	2.8%	0.9%
VWIV	45.2%	40.2%	50.3%	41.6%	46.6%
Skew 25d	9.9%	-8.5%	19.6%	17.8%	18.6%
Skew 10d	13.9%	3.7%	33.9%	12.1%	33.9%
Call IV 25d	37.7%	25.3%	48.4%	25.3%	40.4%
Put IV 25d	47.6%	38.8%	58.9%	43.1%	58.9%
Bid-Ask Spread %	63.79	23.13	100.78	33.53	90.18
Gamma HHI	0.46	0.44	0.48	0.48	0.45
Net GEX	118.3K	69.6K	143.7K	139.8K	101.9K
Net DEX	-1.9M	-3.1M	-671.5K	-3.0M	-1.2M
Net VEX	-7.8K	-10.4K	-5.3K	-10.2K	-5.9K
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	1.33	0.00	12.08	0.27	0.04
Total Volume	112.381	5	305	279	58
Total OI	10,121.286	9,644	10,525	9,644	10,123

Daily Data (21 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
2012-07-02	$8.27	$6.00	41.6%	11.9%	29.6%	20.8%	41.6%	17.8%	2.8%	139.8K	-3.0M	-10.2K	0.27	33.53	N/A	N/A	220	59	8,693	951
2012-07-03	$8.20	$6.00	40.2%	11.5%	29.4%	18.9%	40.2%	6.7%	5.8%	132.6K	-2.9M	-10.4K	0.32	94.72	N/A	N/A	145	47	8,874	988
2012-07-05	$8.32	$6.00	39.9%	11.4%	29.2%	18.6%	0.0%	10.5%	9.6%	143.7K	-3.1M	-10.2K	0.22	29.50	N/A	N/A	46	10	8,955	1,032
2012-07-06	$8.23	$8.00	41.4%	13.6%	28.8%	20.6%	44.6%	10.7%	4.8%	141.2K	-3.0M	-10.1K	0.00	46.95	N/A	N/A	20	0	8,968	1,042
2012-07-09	$8.06	$8.00	42.8%	13.8%	28.7%	22.4%	48.5%	3.0%	7.6%	136.6K	-2.6M	-9.4K	0.41	37.38	N/A	N/A	216	89	8,971	1,042
2012-07-10	$7.90	$8.00	47.2%	13.1%	28.2%	24.2%	45.2%	6.1%	8.5%	129.7K	-2.3M	-9.0K	0.14	41.57	N/A	N/A	195	27	9,100	1,129
2012-07-11	$7.85	$8.00	47.9%	11.8%	28.6%	25.2%	44.0%	-8.5%	10.6%	125.1K	-2.2M	-9.0K	3.76	65.02	N/A	N/A	17	64	9,231	1,156
2012-07-12	$7.83	$8.00	46.5%	13.3%	28.7%	23.2%	46.3%	3.3%	2.8%	121.2K	-1.9M	-8.3K	0.92	38.06	N/A	N/A	39	36	9,231	1,215
2012-07-13	$7.83	$8.00	40.5%	11.6%	24.7%	14.3%	41.0%	13.7%	12.1%	124.0K	-1.8M	-7.8K	12.08	98.73	N/A	N/A	12	145	9,208	1,251
2012-07-16	$7.88	$8.00	44.4%	12.7%	24.6%	19.7%	44.5%	19.6%	9.4%	130.1K	-2.0M	-8.2K	1.73	23.13	N/A	N/A	15	26	9,179	1,323
2012-07-17	$7.86	$8.00	45.1%	12.9%	24.4%	20.7%	0.0%	12.0%	5.3%	135.9K	-2.0M	-8.0K	0.00	93.84	N/A	N/A	0	5	9,188	1,335
2012-07-18	$7.85	$8.00	43.1%	12.3%	24.5%	17.8%	43.2%	16.3%	8.4%	139.9K	-1.9M	-7.7K	3.59	92.06	N/A	N/A	17	61	9,188	1,337
2012-07-19	$7.80	$8.00	44.9%	12.9%	24.2%	20.4%	44.9%	12.6%	4.8%	127.6K	-1.7M	-7.4K	0.00	83.10	N/A	N/A	0	37	9,088	1,375
2012-07-20	$7.72	$8.00	40.7%	11.7%	23.7%	14.6%	40.7%	9.3%	10.7%	113.0K	-1.4M	-6.7K	0.18	84.62	N/A	N/A	224	40	9,088	1,412
2012-07-23	$7.58	$8.00	45.6%	13.1%	24.1%	21.5%	46.6%	12.2%	6.6%	80.7K	-961.4K	-6.2K	0.00	100.78	N/A	N/A	10	0	8,348	1,308
2012-07-24	$7.37	$8.00	46.8%	13.4%	25.0%	23.0%	50.2%	5.2%	7.3%	69.6K	-671.5K	-5.3K	1.41	84.08	N/A	N/A	22	31	8,358	1,308
2012-07-25	$7.48	$8.00	48.4%	13.9%	25.8%	25.3%	44.0%	5.9%	-2.2%	74.7K	-765.6K	-5.6K	0.17	31.02	N/A	N/A	58	10	8,380	1,339
2012-07-26	$7.66	$8.00	47.5%	13.6%	27.0%	24.1%	48.0%	14.6%	2.2%	92.1K	-1.1M	-6.2K	0.00	50.42	N/A	N/A	200	0	8,438	1,349
2012-07-27	$7.89	$8.00	48.8%	14.0%	29.1%	25.9%	48.8%	18.1%	6.2%	116.5K	-1.5M	-6.8K	0.00	90.85	N/A	N/A	118	0	8,615	1,349
2012-07-30	$7.74	$8.00	50.3%	14.4%	29.8%	28.0%	50.3%	1.3%	3.4%	108.7K	-1.4M	-6.2K	0.00	30.08	N/A	N/A	41	0	8,733	1,349
2012-07-31	$7.60	$8.00	44.9%	12.9%	24.7%	20.4%	46.6%	18.6%	0.9%	101.9K	-1.2M	-5.9K	0.04	90.18	N/A	N/A	56	2	8,774	1,349