NBIX Options History — September 2012

In September 2012, NBIX traded between $7.55 and $8.10. ATM implied volatility averaged 43.5%, placing in the 18.4% IV rank vs the trailing year. The 30-day expected move averaged 12.9%. IV traded above realized volatility by 12.8% (HV 20d: 30.7%). Max pain ranged from $7.00 to $7.00. Net GEX was positive for 19 of 19 trading days. Term structure was in contango for 19 of 19 days. Put/call ratio averaged 0.08.

Notable Days

2012-09-24: Highest Volume — 183 contracts
2012-09-28: Largest IV drop — 16.3% change
2012-09-18: Highest IV Rank — 27.5%
2012-09-18: Largest Expected Move — 14.3%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$7.84	$7.55	$8.10	$7.64	$7.98
Max Pain	$7.00	$7.00	$7.00	$7.00	$7.00
ATM IV	43.5%	36.5%	49.9%	41.5%	36.5%
Expected Move	12.9%	10.5%	14.3%	11.9%	10.5%
HV 20d	30.7%	21.6%	39.1%	21.8%	38.9%
HV 60d	32.2%	30.9%	34.8%	31.2%	33.7%
IV Rank	18.4%	8.7%	27.5%	15.7%	8.7%
IV Percentile	23.8%	2.8%	52.4%	13.9%	2.8%
Term Structure	6.7%	0.3%	14.7%	4.5%	12.2%
VWIV	44.9%	36.6%	56.9%	42.0%	36.6%
Skew 25d	7.2%	-6.0%	19.3%	6.9%	3.3%
Skew 10d	9.5%	1.9%	17.5%	11.9%	5.3%
Call IV 25d	40.0%	32.1%	49.2%	41.6%	34.6%
Put IV 25d	47.2%	32.1%	55.3%	48.5%	37.9%
Bid-Ask Spread %	52.66	19.50	102.20	20.65	37.15
Gamma HHI	0.49	0.40	0.60	0.47	0.48
Net GEX	55.5K	38.5K	77.1K	48.7K	55.6K
Net DEX	-1.8M	-2.1M	-1.4M	-1.6M	-1.9M
Net VEX	-6.6K	-7.2K	-6.1K	-7.1K	-6.2K
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	0.08	0.00	0.43	0.00	0.00
Total Volume	80.632	0	183	115	33
Total OI	5,753.684	5,139	6,047	5,672	5,609

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
2012-09-04	$7.64	$7.00	41.5%	11.9%	21.8%	15.7%	42.0%	6.9%	4.5%	48.7K	-1.6M	-7.1K	0.00	20.65	N/A	N/A	115	0	4,737	935
2012-09-05	$7.76	$7.00	43.0%	12.3%	21.6%	17.8%	56.9%	10.8%	3.1%	51.6K	-1.7M	-7.2K	0.00	19.50	N/A	N/A	100	0	4,852	935
2012-09-06	$8.10	$7.00	44.2%	12.7%	24.8%	19.4%	43.7%	13.7%	4.3%	53.9K	-2.1M	-7.2K	0.00	26.69	N/A	N/A	113	0	4,844	935
2012-09-07	$8.01	$7.00	38.6%	13.7%	25.6%	11.5%	0.0%	6.9%	4.5%	56.6K	-2.1M	-7.2K	0.00	95.88	N/A	N/A	0	0	4,881	935
2012-09-10	$7.88	$7.00	41.8%	13.6%	26.7%	16.1%	0.0%	5.4%	3.7%	56.1K	-1.9M	-7.1K	0.00	94.03	N/A	N/A	3	0	4,881	935
2012-09-11	$7.86	$7.00	44.0%	14.1%	26.7%	19.2%	0.0%	6.1%	7.1%	56.6K	-1.9M	-6.9K	0.00	47.25	N/A	N/A	18	0	4,884	935
2012-09-12	$7.98	$7.00	40.2%	13.6%	27.0%	13.8%	48.8%	9.4%	6.1%	60.4K	-2.0M	-6.9K	0.00	68.13	N/A	N/A	14	0	4,897	935
2012-09-13	$7.94	$7.00	44.4%	12.7%	26.7%	19.6%	42.9%	9.8%	14.7%	60.6K	-2.1M	-7.0K	0.00	51.78	N/A	N/A	152	0	4,909	935
2012-09-14	$7.70	$7.00	47.1%	13.5%	28.8%	23.6%	0.0%	19.3%	2.0%	61.7K	-1.8M	-6.7K	0.00	64.52	N/A	N/A	130	0	4,960	935
2012-09-17	$7.72	$7.00	45.9%	13.2%	28.8%	21.9%	46.5%	7.0%	9.0%	59.6K	-1.7M	-6.6K	0.40	102.20	N/A	N/A	25	10	5,022	935
2012-09-18	$7.92	$7.00	49.9%	14.3%	29.9%	27.5%	47.9%	9.8%	7.3%	77.1K	-1.9M	-6.6K	0.37	101.52	N/A	N/A	27	10	5,037	945
2012-09-19	$7.62	$7.00	48.3%	13.8%	32.9%	25.2%	49.9%	9.4%	0.3%	63.1K	-1.7M	-6.3K	0.00	63.02	N/A	N/A	0	28	5,064	955
2012-09-20	$7.69	$7.00	45.9%	13.2%	33.0%	21.9%	0.0%	5.3%	8.1%	66.6K	-1.6M	-6.4K	0.10	61.98	N/A	N/A	100	10	5,064	983
2012-09-21	$7.55	$7.00	44.7%	12.8%	33.8%	20.1%	43.9%	5.1%	10.1%	38.5K	-1.4M	-6.1K	0.43	37.39	N/A	N/A	58	25	5,002	967
2012-09-24	$7.99	$7.00	42.3%	12.1%	39.1%	16.7%	42.2%	14.2%	8.9%	40.9K	-1.6M	-6.1K	0.00	19.83	N/A	N/A	183	0	4,237	902
2012-09-25	$7.87	$7.00	43.3%	12.4%	39.1%	18.2%	43.3%	-4.5%	7.5%	45.3K	-1.6M	-6.1K	0.06	25.92	N/A	N/A	154	10	4,406	902
2012-09-26	$7.81	$7.00	40.8%	11.7%	38.9%	14.6%	40.8%	-6.0%	9.3%	48.9K	-1.6M	-6.3K	0.06	25.92	N/A	N/A	161	10	4,542	912
2012-09-27	$8.01	$7.00	43.6%	12.5%	38.8%	18.7%	43.6%	5.9%	4.6%	53.5K	-1.8M	-6.2K	0.00	37.17	N/A	N/A	43	0	4,654	922
2012-09-28	$7.98	$7.00	36.5%	10.5%	38.9%	8.7%	36.6%	3.3%	12.2%	55.6K	-1.9M	-6.2K	0.00	37.15	N/A	N/A	33	0	4,687	922