NBIX Options History — February 2013

In February 2013, NBIX traded between $9.08 and $11.05. ATM implied volatility averaged 41.1%, placing in the 16.7% IV rank vs the trailing year. The 30-day expected move averaged 12.1%. IV traded below realized volatility by 9.0% (HV 20d: 50.1%). Max pain ranged from $9.00 to $9.00. Net GEX was positive for 19 of 19 trading days. Term structure was in contango for 19 of 19 days. Put/call ratio averaged 0.73.

Notable Days

2013-02-05: Highest Volume — 2,007 contracts
2013-02-06: Largest IV spike — 45.4% change
2013-02-07: Highest IV Rank — 23.8%
2013-02-05: Largest Expected Move — 14.1%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$10.59	$9.08	$11.05	$9.08	$10.58
Max Pain	$9.00	$9.00	$9.00	$9.00	$9.00
ATM IV	41.1%	28.8%	46.1%	45.9%	40.1%
Expected Move	12.1%	11.1%	14.1%	11.8%	11.5%
HV 20d	50.1%	24.9%	57.1%	24.9%	55.0%
HV 60d	40.2%	33.2%	42.3%	33.2%	40.8%
IV Rank	16.7%	0.0%	23.8%	21.9%	15.6%
IV Percentile	16.6%	0.0%	43.7%	42.5%	7.9%
Term Structure	8.8%	4.2%	13.1%	11.0%	4.8%
VWIV	42.2%	36.3%	47.0%	42.9%	39.8%
Skew 25d	6.1%	-0.9%	15.4%	7.2%	9.4%
Skew 10d	12.3%	-12.8%	28.9%	16.2%	8.7%
Call IV 25d	39.0%	31.6%	43.4%	36.0%	36.9%
Put IV 25d	45.0%	38.6%	49.1%	43.2%	46.2%
Bid-Ask Spread %	78.26	30.20	124.40	67.48	94.49
Gamma HHI	0.35	0.25	0.66	0.25	0.30
Net GEX	74.7K	35.0K	133.9K	37.7K	83.7K
Net DEX	-3.7M	-5.2M	-1.7M	-1.7M	-3.3M
Net VEX	-10.7K	-13.7K	-6.0K	-6.5K	-13.0K
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	0.73	0.00	9.50	0.02	0.45
Total Volume	515.263	44	2,007	374	162
Total OI	7,261	5,450	8,516	5,450	7,604

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
2013-02-01	$9.08	$9.00	45.9%	11.8%	24.9%	21.9%	0.0%	7.2%	11.0%	37.7K	-1.7M	-6.5K	0.02	67.48	N/A	N/A	365	9	3,887	1,563
2013-02-04	$9.36	$9.00	40.5%	12.3%	26.1%	14.2%	42.9%	8.8%	9.9%	47.7K	-2.2M	-6.4K	0.22	58.92	N/A	N/A	169	37	4,139	1,567
2013-02-05	$10.51	$9.00	28.8%	14.1%	46.9%	0.0%	38.1%	15.4%	4.6%	35.0K	-3.5M	-6.0K	0.03	112.49	N/A	N/A	1,940	67	4,267	1,593
2013-02-06	$10.63	$9.00	41.9%	12.6%	46.7%	18.0%	47.0%	6.5%	9.4%	47.6K	-3.8M	-8.1K	0.00	75.80	N/A	N/A	458	0	4,991	1,659
2013-02-07	$10.23	$9.00	46.1%	13.2%	49.6%	23.8%	45.6%	8.6%	5.5%	76.4K	-3.5M	-8.0K	0.23	51.52	N/A	N/A	496	112	5,031	1,659
2013-02-08	$10.84	$9.00	40.8%	11.7%	52.6%	16.5%	46.3%	7.5%	10.9%	49.1K	-4.2M	-8.4K	0.23	124.40	N/A	N/A	986	231	5,311	1,761
2013-02-11	$10.90	$9.00	42.6%	12.2%	52.5%	19.1%	44.9%	5.4%	11.6%	73.2K	-4.5M	-8.8K	0.08	30.20	N/A	N/A	988	76	5,780	1,786
2013-02-12	$10.71	$9.00	41.0%	11.8%	53.3%	16.8%	42.5%	6.6%	10.3%	89.9K	-4.7M	-11.0K	0.82	54.56	N/A	N/A	116	95	6,550	1,750
2013-02-13	$10.85	$9.00	41.7%	11.9%	53.3%	17.7%	41.9%	4.2%	12.5%	94.5K	-4.9M	-11.1K	1.55	70.91	N/A	N/A	55	85	6,619	1,842
2013-02-14	$11.02	$9.00	42.7%	12.2%	52.8%	19.1%	42.9%	4.8%	10.8%	92.3K	-4.9M	-10.3K	0.04	91.82	N/A	N/A	669	27	6,278	1,854
2013-02-15	$11.02	$9.00	41.4%	11.9%	52.7%	17.3%	42.7%	7.0%	13.1%	133.9K	-5.2M	-10.5K	0.00	93.52	N/A	N/A	1,627	1	6,674	1,842
2013-02-19	$11.05	$9.00	41.2%	11.8%	52.7%	17.1%	36.3%	-0.8%	9.2%	74.2K	-3.8M	-13.6K	9.50	81.37	N/A	N/A	24	228	5,979	1,200
2013-02-20	$11.00	$9.00	38.9%	11.1%	52.9%	13.9%	38.9%	4.8%	8.7%	76.3K	-3.7M	-13.7K	0.02	78.53	N/A	N/A	176	3	5,989	1,224
2013-02-21	$10.65	$9.00	41.9%	12.0%	54.7%	18.0%	42.9%	-0.9%	5.8%	74.9K	-3.3M	-13.7K	0.27	82.82	N/A	N/A	246	66	6,101	1,227
2013-02-22	$10.97	$9.00	39.4%	11.3%	55.0%	14.6%	39.5%	3.1%	9.2%	87.9K	-3.7M	-13.6K	0.16	90.62	N/A	N/A	91	15	6,284	1,237
2013-02-25	$10.55	$9.00	44.6%	12.8%	57.0%	21.7%	44.6%	4.0%	4.2%	79.3K	-3.2M	-13.4K	0.16	42.03	N/A	N/A	62	10	6,306	1,242
2013-02-26	$10.64	$9.00	41.9%	12.0%	57.0%	18.1%	40.9%	9.7%	7.7%	82.3K	-3.3M	-13.3K	0.17	90.40	N/A	N/A	46	8	6,313	1,252
2013-02-27	$10.61	$9.00	39.5%	11.3%	57.1%	14.7%	42.6%	4.2%	8.8%	84.2K	-3.3M	-13.1K	0.00	95.02	N/A	N/A	44	0	6,345	1,253
2013-02-28	$10.58	$9.00	40.1%	11.5%	55.0%	15.6%	39.8%	9.4%	4.8%	83.7K	-3.3M	-13.0K	0.45	94.49	N/A	N/A	112	50	6,351	1,253