NBIX Options History — December 2014

In December 2014, NBIX traded between $18.95 and $24.49. ATM implied volatility averaged 123.7%, placing in the 70.9% IV rank vs the trailing year. The 30-day expected move averaged 33.9%. IV traded above realized volatility by 66.3% (HV 20d: 57.4%). Max pain ranged from $15.00 to $16.00. Net GEX was positive for 9 of 22 trading days. Term structure was in contango for 4 of 22 days. Put/call ratio averaged 2.00.

Notable Days

2014-12-10: Highest Volume — 13,644 contracts
2014-12-11: Largest IV spike — 200.6% change
2014-12-11: Highest IV Rank — 100.0%
2014-12-23: Largest Expected Move — 39.3%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$21.31	$18.95	$24.49	$19.20	$22.34
Max Pain	$15.77	$15.00	$16.00	$15.00	$16.00
ATM IV	123.7%	43.4%	178.7%	55.4%	171.9%
Expected Move	33.9%	28.7%	39.3%	28.9%	36.5%
HV 20d	57.4%	32.5%	79.3%	40.4%	77.1%
HV 60d	49.9%	43.6%	57.1%	43.6%	56.4%
IV Rank	70.9%	17.9%	100.0%	36.6%	95.4%
IV Percentile	74.0%	0.8%	100.0%	46.4%	98.8%
Term Structure	-15.8%	-55.2%	62.1%	61.7%	-53.8%
VWIV	122.6%	94.2%	162.6%	95.7%	124.5%
Skew 25d	23.6%	-4.5%	49.2%	-4.5%	25.7%
Skew 10d	51.1%	-6.9%	158.9%	21.9%	109.4%
Call IV 25d	125.6%	46.6%	210.0%	56.4%	166.1%
Put IV 25d	149.2%	51.9%	230.1%	51.9%	191.7%
Bid-Ask Spread %	70.03	47.31	89.46	63.07	69.34
Gamma HHI	0.14	0.11	0.19	0.11	0.17
Net GEX	-21.0K	-191.6K	114.3K	88.0K	-139.0K
Net DEX	-17.0M	-26.2M	-7.1M	-18.8M	-11.6M
Net VEX	-84.5K	-95.3K	-70.5K	-76.2K	-78.7K
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	2.00	0.19	13.38	1.00	1.35
Total Volume	5,479.864	951	13,644	2,690	1,198
Total OI	46,871.5	40,834	52,826	40,834	47,240

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
2014-12-01	$19.20	$15.00	55.4%	28.9%	40.4%	36.6%	95.7%	-4.5%	61.7%	88.0K	-18.8M	-76.2K	1.00	63.07	N/A	N/A	1,347	1,343	19,690	21,144
2014-12-02	$19.89	$15.00	54.5%	28.7%	41.1%	35.3%	95.4%	6.9%	56.8%	114.3K	-19.8M	-70.5K	0.78	75.16	N/A	N/A	1,944	1,511	19,774	21,200
2014-12-03	$19.36	$15.00	50.7%	29.3%	40.9%	29.3%	94.2%	13.7%	62.1%	104.6K	-19.0M	-75.7K	0.82	69.44	N/A	N/A	3,406	2,799	19,872	21,367
2014-12-04	$19.24	$15.00	51.9%	29.6%	40.8%	31.1%	101.0%	9.1%	53.1%	110.9K	-18.5M	-83.5K	13.38	59.96	N/A	N/A	81	1,084	21,390	22,728
2014-12-05	$19.21	$15.00	43.4%	29.8%	32.5%	17.9%	105.6%	16.7%	-14.3%	85.5K	-17.8M	-84.2K	1.68	64.91	N/A	N/A	3,120	5,248	21,451	23,699
2014-12-08	$18.95	$16.00	50.1%	30.6%	32.8%	28.5%	106.1%	28.6%	-16.4%	63.1K	-15.9M	-90.5K	1.56	58.76	N/A	N/A	3,238	5,061	21,549	26,386
2014-12-09	$19.79	$16.00	55.8%	29.7%	35.5%	37.3%	104.9%	36.4%	-25.0%	68.6K	-17.6M	-87.8K	2.19	60.49	N/A	N/A	3,263	7,132	21,817	26,575
2014-12-10	$21.98	$16.00	51.2%	32.2%	50.9%	30.1%	111.7%	38.3%	-23.1%	39.7K	-26.2M	-85.3K	0.66	77.75	N/A	N/A	8,226	5,418	21,841	27,779
2014-12-11	$21.86	$16.00	153.9%	36.2%	51.1%	100.0%	135.9%	17.2%	-23.6%	49.6K	-21.9M	-84.8K	1.78	85.10	N/A	N/A	4,735	8,448	18,845	25,631
2014-12-12	$22.03	$16.00	157.7%	36.3%	50.7%	100.0%	126.3%	16.6%	-12.9%	-17.0K	-20.1M	-95.3K	0.73	81.13	N/A	N/A	4,339	3,181	18,961	30,965
2014-12-15	$20.64	$16.00	165.4%	35.6%	56.5%	100.0%	134.9%	37.2%	-44.0%	-23.3K	-15.1M	-92.4K	1.59	47.31	N/A	N/A	1,910	3,033	19,020	31,018
2014-12-16	$20.51	$16.00	171.6%	38.1%	56.7%	100.0%	138.3%	31.1%	-41.6%	-15.9K	-14.8M	-92.1K	1.79	50.29	N/A	N/A	1,717	3,072	19,239	31,066
2014-12-17	$22.49	$16.00	178.3%	37.0%	64.7%	100.0%	127.1%	35.4%	-53.8%	-8.1K	-20.0M	-89.3K	2.31	83.17	N/A	N/A	1,704	3,933	19,608	31,263
2014-12-18	$23.87	$16.00	162.8%	35.2%	66.8%	89.4%	128.0%	49.2%	-41.5%	-48.5K	-25.0M	-87.2K	2.06	68.51	N/A	N/A	2,087	4,291	19,524	32,177
2014-12-19	$24.49	$16.00	159.5%	33.3%	65.4%	87.1%	101.1%	32.1%	-49.6%	-95.1K	-25.4M	-90.3K	0.19	62.48	N/A	N/A	796	155	19,241	33,585
2014-12-22	$23.02	$16.00	154.6%	35.7%	70.5%	83.8%	159.0%	29.0%	-12.0%	-103.3K	-14.4M	-85.4K	1.37	76.16	N/A	N/A	1,780	2,445	14,851	29,818
2014-12-23	$21.25	$16.00	176.5%	39.3%	76.6%	98.7%	139.1%	26.3%	-23.5%	-154.1K	-8.5M	-86.8K	1.49	64.03	N/A	N/A	1,889	2,820	14,836	30,227
2014-12-24	$21.33	$16.00	154.2%	33.7%	76.4%	83.5%	138.1%	12.3%	-41.6%	-191.6K	-7.1M	-86.1K	1.36	81.94	N/A	N/A	1,677	2,274	15,268	30,726
2014-12-26	$22.72	$16.00	156.1%	35.2%	78.9%	84.8%	134.1%	18.3%	-38.3%	-161.0K	-11.6M	-79.6K	1.67	85.97	N/A	N/A	1,446	2,413	15,526	30,746
2014-12-29	$22.37	$16.00	166.7%	38.7%	79.3%	92.0%	162.6%	20.1%	-11.0%	-79.3K	-14.1M	-78.1K	1.76	89.46	N/A	N/A	1,385	2,443	15,609	30,813
2014-12-30	$22.25	$16.00	178.7%	36.1%	77.8%	100.0%	134.1%	24.3%	-55.2%	-150.7K	-10.8M	-80.0K	2.52	66.14	N/A	N/A	331	834	15,933	31,175
2014-12-31	$22.34	$16.00	171.9%	36.5%	77.1%	95.4%	124.5%	25.7%	-53.8%	-139.0K	-11.6M	-78.7K	1.35	69.34	N/A	N/A	509	689	16,138	31,102