NBIX Options History — October 2014 In October 2014, NBIX traded between $15.35 and $18.50. ATM implied volatility averaged 61.1%, placing in the 45.7% IV rank vs the trailing year. The 30-day expected move averaged 27.5%. IV traded above realized volatility by 13.5% (HV 20d: 47.6%). Max pain ranged from $15.00 to $15.00. Net GEX was positive for 23 of 23 trading days. Term structure was in contango for 20 of 23 days. Put/call ratio averaged 0.95.
Notable Days 2014-10-31 : Highest Volume — 11,758 contracts2014-10-13 : Largest IV spike — 55.4% change2014-10-15 : Highest IV Rank — 100.0%2014-10-20 : Largest Expected Move — 31.5%Monthly Statistics Metric Avg Min Max Open Close Price $16.69 $15.35 $18.50 $15.45 $18.48 Max Pain $15.00 $15.00 $15.00 $15.00 $15.00 ATM IV 61.1% 48.1% 96.1% 78.4% 56.9% Expected Move 27.5% 23.8% 31.5% 27.1% 26.8% HV 20d 47.6% 42.2% 54.8% 42.2% 48.3% HV 60d 43.2% 41.1% 44.9% 42.3% 43.9% IV Rank 45.7% 25.3% 100.0% 73.3% 39.0% IV Percentile 53.5% 7.9% 100.0% 97.2% 52.4% Term Structure 4.2% -68.4% 21.1% -68.4% 3.9% VWIV 97.1% 78.2% 126.4% 97.4% 94.8% Skew 25d 11.5% -7.3% 32.0% -6.6% 12.0% Skew 10d 35.5% -4.6% 65.5% 18.2% 51.1% Call IV 25d 52.8% 27.6% 64.0% 51.1% 49.7% Put IV 25d 64.3% 44.4% 82.9% 44.5% 61.8% Bid-Ask Spread % 51.86 34.55 85.22 85.22 44.91 Gamma HHI 0.16 0.11 0.26 0.24 0.11 Net GEX 204.9K 108.7K 282.4K 140.1K 211.4K Net DEX -15.7M -21.8M -9.7M -9.7M -21.7M Net VEX -91.9K -99.1K -81.0K -81.0K -87.0K Div Yield 0.0% 0.0% 0.0% 0.0% 0.0% P/C Ratio 0.95 0.23 5.20 0.66 5.20 Total Volume 2,235.609 139 11,758 6,625 11,758 Total OI 40,960.87 33,980 43,044 33,980 41,245
Daily Data (23 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 2014-10-01 $15.45 $15.00 78.4% 27.1% 42.2% 73.3% 97.4% -6.6% -68.4% 140.1K -9.7M -81.0K 0.66 85.22 N/A N/A 3,991 2,634 18,811 15,169 2014-10-02 $15.68 $15.00 49.1% 24.0% 42.6% 27.0% 99.8% -7.3% 9.7% 258.0K -12.4M -99.0K 0.55 47.20 N/A N/A 785 429 22,679 17,789 2014-10-03 $16.19 $15.00 51.0% 28.4% 43.6% 30.1% 81.4% 2.0% 12.9% 216.7K -14.2M -99.1K 0.50 61.20 N/A N/A 393 198 23,306 17,997 2014-10-06 $15.68 $15.00 51.0% 27.3% 43.7% 30.1% 86.8% 9.8% 7.0% 253.9K -13.3M -98.2K 0.38 34.55 N/A N/A 381 146 23,584 18,112 2014-10-07 $15.55 $15.00 50.9% 27.5% 43.3% 29.9% 98.4% 12.8% 2.2% 272.0K -13.1M -97.3K 3.11 52.38 N/A N/A 81 252 23,806 18,217 2014-10-08 $16.26 $15.00 62.4% 23.8% 44.9% 48.1% 93.3% 2.5% 10.3% 239.6K -14.4M -93.8K 0.33 47.92 N/A N/A 3,948 1,315 23,845 18,403 2014-10-09 $15.94 $15.00 95.3% 26.7% 45.4% 99.9% 78.2% 32.0% -12.3% 237.5K -16.7M -97.2K 1.12 84.86 N/A N/A 152 170 23,910 18,427 2014-10-10 $15.93 $15.00 53.6% 27.0% 45.1% 34.3% 91.0% 15.2% 0.5% 252.6K -14.6M -98.6K 0.23 38.89 N/A N/A 113 26 24,043 18,574 2014-10-13 $15.35 $15.00 83.4% 29.0% 45.2% 81.1% 99.8% 11.2% 16.9% 282.4K -13.4M -93.5K 0.28 51.86 N/A N/A 169 48 24,107 18,595 2014-10-14 $16.10 $15.00 64.4% 27.3% 48.3% 51.2% 99.5% 16.5% 5.8% 270.9K -14.0M -92.0K 0.36 49.67 N/A N/A 3,825 1,364 24,179 18,613 2014-10-15 $16.57 $15.00 96.1% 28.0% 48.6% 100.0% 105.9% 22.2% 3.4% 203.6K -15.7M -91.3K 0.33 59.56 N/A N/A 3,867 1,269 24,206 18,626 2014-10-16 $17.35 $15.00 64.7% 28.5% 50.5% 51.1% 92.1% 8.0% -2.7% 182.5K -20.6M -94.2K 0.81 38.37 N/A N/A 345 281 24,080 18,500 2014-10-17 $16.32 $15.00 59.5% 28.7% 54.8% 42.9% 126.4% 24.6% 2.2% 221.2K -18.5M -91.7K 0.61 41.91 N/A N/A 276 168 24,322 18,722 2014-10-20 $16.44 $15.00 50.8% 31.5% 53.6% 29.4% 100.1% -3.1% 1.7% 108.7K -12.6M -90.8K 0.47 80.72 N/A N/A 142 67 21,080 18,531 2014-10-21 $16.61 $15.00 55.7% 27.7% 52.2% 37.1% 98.7% 8.9% 12.5% 120.4K -13.3M -91.2K 1.21 51.13 N/A N/A 1,026 1,238 21,145 18,581 2014-10-22 $16.53 $15.00 53.0% 27.9% 48.7% 32.9% 100.6% 14.3% 15.0% 126.5K -13.2M -90.8K 0.99 39.41 N/A N/A 909 902 21,257 18,586 2014-10-23 $17.13 $15.00 61.9% 28.0% 49.5% 46.8% 102.5% 10.1% 7.1% 142.1K -14.6M -89.3K 0.99 40.34 N/A N/A 885 880 21,271 18,601 2014-10-24 $17.52 $15.00 49.7% 27.3% 48.3% 27.8% 100.2% 20.3% 15.7% 168.9K -16.2M -89.0K 0.97 43.85 N/A N/A 928 901 21,336 18,608 2014-10-27 $17.64 $15.00 58.8% 27.9% 48.1% 41.9% 0.0% 21.1% 4.6% 176.7K -17.3M -89.2K 0.74 47.02 N/A N/A 100 74 21,395 18,696 2014-10-28 $18.50 $15.00 56.2% 27.5% 49.1% 37.9% 95.9% 29.5% 21.1% 196.8K -20.0M -85.3K 0.26 49.28 N/A N/A 349 91 21,431 18,742 2014-10-29 $18.23 $15.00 53.8% 27.9% 49.1% 34.1% 101.2% 5.0% 9.3% 207.2K -19.7M -89.0K 0.71 47.41 N/A N/A 1,099 785 21,640 18,802 2014-10-30 $18.45 $15.00 48.1% 26.4% 49.1% 25.3% 92.0% 3.9% 18.6% 222.4K -21.8M -84.5K 0.96 55.15 N/A N/A 1,360 1,299 21,707 18,824 2014-10-31 $18.48 $15.00 56.9% 26.8% 48.3% 39.0% 94.8% 12.0% 3.9% 211.4K -21.7M -87.0K 5.20 44.91 N/A N/A 1,896 9,862 21,918 19,327
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