NBIX Options History — August 2013

In August 2013, NBIX traded between $14.14 and $15.29. ATM implied volatility averaged 89.7%, placing in the 73.8% IV rank vs the trailing year. The 30-day expected move averaged 32.0%. IV traded above realized volatility by 62.1% (HV 20d: 27.6%). Max pain ranged from $12.00 to $14.00. Net GEX was positive for 22 of 22 trading days. Term structure was in contango for 6 of 22 days. Put/call ratio averaged 0.66.

Notable Days

2013-08-21: Highest Volume — 3,432 contracts
2013-08-15: Largest IV spike — 218.2% change
2013-08-15: Highest IV Rank — 100.0%
2013-08-28: Largest Expected Move — 39.0%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$14.63	$14.14	$15.29	$14.63	$14.57
Max Pain	$13.82	$12.00	$14.00	$12.00	$14.00
ATM IV	89.7%	37.4%	136.1%	51.9%	129.1%
Expected Move	32.0%	13.5%	39.0%	14.9%	37.0%
HV 20d	27.6%	24.1%	35.8%	25.9%	35.8%
HV 60d	31.2%	29.3%	32.8%	32.7%	30.5%
IV Rank	73.8%	24.2%	100.0%	65.1%	93.4%
IV Percentile	73.0%	4.8%	100.0%	84.1%	98.0%
Term Structure	-7.6%	-26.0%	44.5%	44.5%	-20.4%
VWIV	111.8%	42.8%	137.7%	43.7%	130.9%
Skew 25d	7.4%	-3.0%	17.4%	-0.8%	9.6%
Skew 10d	20.9%	-27.0%	66.0%	2.2%	10.9%
Call IV 25d	108.6%	41.8%	132.2%	48.4%	127.0%
Put IV 25d	116.0%	38.8%	143.1%	47.6%	136.6%
Bid-Ask Spread %	67.99	49.18	108.50	108.50	56.25
Gamma HHI	0.25	0.14	0.42	0.26	0.16
Net GEX	256.2K	87.5K	452.9K	320.8K	124.6K
Net DEX	-10.1M	-13.7M	-5.3M	-12.2M	-7.1M
Net VEX	-27.5K	-34.0K	-23.5K	-26.6K	-34.0K
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	0.66	0.01	2.93	0.86	0.92
Total Volume	1,049.591	380	3,432	616	1,081
Total OI	23,360.909	13,238	30,023	26,058	21,491

Daily Data (22 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
2013-08-01	$14.63	$12.00	51.9%	14.9%	25.9%	65.1%	43.7%	-0.8%	44.5%	320.8K	-12.2M	-26.6K	0.86	108.50	N/A	N/A	332	284	15,763	10,295
2013-08-02	$14.78	$12.00	47.2%	13.5%	25.2%	51.9%	42.8%	-3.0%	42.5%	356.8K	-13.1M	-27.0K	0.12	104.83	N/A	N/A	340	41	15,990	10,345
2013-08-05	$14.80	$14.00	41.1%	26.3%	25.2%	34.8%	91.1%	5.6%	3.8%	390.9K	-13.5M	-24.6K	0.12	74.04	N/A	N/A	375	46	16,164	10,362
2013-08-06	$14.67	$14.00	45.1%	27.2%	25.5%	46.0%	96.3%	4.6%	0.5%	372.1K	-13.0M	-24.7K	0.12	72.29	N/A	N/A	533	65	16,498	10,365
2013-08-07	$14.54	$14.00	43.8%	27.3%	25.8%	42.2%	96.5%	6.1%	0.8%	380.2K	-12.7M	-24.6K	0.01	80.04	N/A	N/A	516	3	16,952	10,393
2013-08-08	$14.43	$14.00	39.7%	29.0%	25.9%	30.6%	101.6%	2.3%	-6.4%	389.8K	-12.4M	-24.4K	0.24	79.82	N/A	N/A	1,470	353	17,349	10,396
2013-08-09	$14.47	$14.00	41.3%	27.6%	24.9%	35.3%	100.2%	2.4%	3.4%	400.6K	-12.8M	-26.4K	0.31	67.51	N/A	N/A	291	89	18,615	10,699
2013-08-12	$14.25	$14.00	43.1%	33.6%	24.1%	40.2%	115.7%	16.0%	-14.2%	349.5K	-11.7M	-24.6K	0.38	69.61	N/A	N/A	566	214	18,730	10,763
2013-08-13	$14.69	$14.00	56.2%	33.3%	25.1%	77.3%	113.7%	9.7%	-17.6%	449.9K	-13.7M	-25.2K	0.11	59.30	N/A	N/A	420	45	19,051	10,911
2013-08-14	$14.60	$14.00	37.4%	33.2%	25.2%	24.2%	120.3%	7.4%	-16.5%	452.9K	-13.6M	-24.8K	1.05	51.57	N/A	N/A	334	352	19,127	10,896
2013-08-15	$14.40	$14.00	119.0%	34.1%	25.7%	100.0%	116.7%	5.7%	-16.4%	313.9K	-12.4M	-23.5K	1.24	69.53	N/A	N/A	266	329	18,970	10,919
2013-08-16	$14.41	$14.00	118.2%	33.9%	25.6%	99.2%	119.6%	5.7%	-15.5%	306.9K	-12.5M	-23.5K	0.03	58.19	N/A	N/A	2,356	64	18,978	11,036
2013-08-19	$14.14	$14.00	124.3%	35.6%	25.8%	100.0%	124.3%	5.3%	-2.9%	87.5K	-5.3M	-25.3K	0.60	64.65	N/A	N/A	421	253	9,893	3,345
2013-08-20	$14.48	$14.00	123.8%	35.5%	25.9%	99.4%	124.8%	9.8%	-12.5%	95.4K	-5.6M	-25.8K	1.14	57.72	N/A	N/A	314	359	10,132	3,468
2013-08-21	$14.98	$14.00	129.9%	37.2%	27.7%	100.0%	127.3%	12.8%	-17.2%	97.2K	-6.3M	-26.9K	0.32	53.26	N/A	N/A	2,593	839	10,064	3,773
2013-08-22	$15.00	$14.00	121.0%	34.7%	27.6%	91.2%	122.6%	-1.8%	-7.9%	126.3K	-7.4M	-30.7K	0.18	86.17	N/A	N/A	663	122	12,177	4,453
2013-08-23	$15.00	$14.00	125.2%	35.9%	27.4%	95.4%	125.8%	6.6%	-19.4%	128.6K	-7.6M	-31.4K	0.17	49.18	N/A	N/A	707	117	12,615	4,540
2013-08-26	$15.29	$14.00	132.9%	38.1%	27.8%	100.0%	137.7%	17.0%	-24.2%	140.0K	-8.4M	-31.7K	2.93	52.94	N/A	N/A	603	1,768	13,017	4,638
2013-08-27	$14.44	$14.00	134.8%	38.6%	35.4%	100.0%	137.3%	10.6%	-21.0%	109.6K	-6.5M	-32.8K	1.51	57.25	N/A	N/A	643	969	13,401	6,163
2013-08-28	$14.40	$14.00	136.1%	39.0%	35.3%	100.0%	135.4%	13.1%	-26.0%	112.3K	-6.2M	-33.1K	0.60	64.34	N/A	N/A	494	294	13,766	6,636
2013-08-29	$14.98	$14.00	132.2%	37.9%	34.5%	96.4%	136.2%	17.4%	-25.3%	130.4K	-7.6M	-33.9K	1.51	58.80	N/A	N/A	465	702	14,079	6,722
2013-08-30	$14.57	$14.00	129.1%	37.0%	35.8%	93.4%	130.9%	9.6%	-20.4%	124.6K	-7.1M	-34.0K	0.92	56.25	N/A	N/A	564	517	14,324	7,167