NBIX Options History — June 2015 In June 2015, NBIX traded between $41.42 and $48.80. ATM implied volatility averaged 48.1%, placing in the 6.1% IV rank vs the trailing year. The 30-day expected move averaged 13.8%. IV traded above realized volatility by 0.2% (HV 20d: 47.9%). Max pain ranged from $38.00 to $41.00. Net GEX was positive for 22 of 22 trading days. Term structure was in contango for 21 of 22 days. Put/call ratio averaged 0.73.
Notable Days 2015-06-16 : Highest Volume — 5,060 contracts2015-06-29 : Largest IV spike — 35.8% change2015-06-04 : Highest IV Rank — 10.0%2015-06-11 : Largest Expected Move — 16.5%Monthly Statistics Metric Avg Min Max Open Close Price $45.08 $41.42 $48.80 $41.70 $47.78 Max Pain $40.41 $38.00 $41.00 $38.00 $41.00 ATM IV 48.1% 35.7% 58.2% 49.9% 38.5% Expected Move 13.8% 10.2% 16.5% 14.3% 11.0% HV 20d 47.9% 40.3% 51.7% 40.6% 49.2% HV 60d 54.6% 49.2% 58.6% 54.6% 50.1% IV Rank 6.1% 1.4% 10.0% 6.8% 2.5% IV Percentile 30.7% 0.4% 72.6% 34.5% 1.2% Term Structure 11.2% -0.3% 26.1% 1.1% 14.7% VWIV 47.6% 39.6% 56.4% 45.9% 43.9% Skew 25d 5.8% -2.8% 12.7% 6.8% 11.4% Skew 10d 14.5% -8.3% 33.6% -2.8% 16.4% Call IV 25d 46.5% 37.9% 78.6% 44.1% 39.9% Put IV 25d 52.2% 37.9% 79.0% 50.9% 51.3% Bid-Ask Spread % 93.76 79.70 113.70 95.06 94.14 Gamma HHI 0.21 0.18 0.25 0.18 0.21 Net GEX 765.8K 342.8K 1.2M 355.1K 1.1M Net DEX -40.9M -54.9M -25.8M -26.9M -51.9M Net VEX -149.0K -159.0K -131.1K -132.6K -154.0K Div Yield 0.0% 0.0% 0.0% 0.0% 0.0% P/C Ratio 0.73 0.33 1.65 0.66 0.91 Total Volume 2,942.455 82 5,060 2,175 2,198 Total OI 20,213.545 16,478 22,397 16,519 22,079
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 2015-06-01 $41.70 $38.00 49.9% 14.3% 40.6% 6.8% 45.9% 6.8% 1.1% 355.1K -26.9M -132.6K 0.66 95.06 N/A N/A 1,308 867 11,817 4,702 2015-06-02 $42.35 $38.00 51.6% 14.8% 40.6% 7.5% 40.5% 10.1% -0.3% 342.8K -25.8M -132.9K 1.65 99.39 N/A N/A 31 51 11,761 4,717 2015-06-03 $43.45 $38.00 47.4% 13.6% 40.3% 5.9% 39.6% 10.1% 2.0% 386.4K -28.3M -135.2K 0.77 92.19 N/A N/A 1,174 902 11,782 4,724 2015-06-04 $41.42 $40.00 58.2% 15.3% 44.7% 10.0% 46.8% 5.2% 7.0% 368.2K -26.8M -131.1K 0.50 84.11 N/A N/A 2,344 1,162 11,897 4,733 2015-06-05 $43.50 $40.00 47.7% 14.3% 46.9% 6.0% 55.6% 10.6% 8.3% 528.3K -28.9M -138.2K 0.57 79.70 N/A N/A 2,114 1,205 12,973 4,880 2015-06-08 $45.32 $40.00 51.7% 15.7% 45.2% 7.5% 56.4% 8.6% 6.3% 635.4K -37.2M -144.5K 0.82 81.50 N/A N/A 1,499 1,223 13,996 4,921 2015-06-09 $43.01 $40.00 51.7% 15.1% 49.9% 7.5% 53.7% 0.4% 14.4% 612.2K -30.9M -148.4K 0.50 103.45 N/A N/A 2,656 1,341 14,366 4,958 2015-06-10 $42.50 $41.00 49.8% 14.3% 50.0% 6.8% 46.3% 8.8% 21.4% 783.5K -34.3M -151.8K 0.51 86.77 N/A N/A 2,709 1,372 15,662 5,094 2015-06-11 $43.40 $41.00 57.7% 16.5% 47.2% 9.8% 51.8% 12.7% 12.4% 760.6K -35.2M -153.7K 0.55 85.48 N/A N/A 2,598 1,431 15,910 5,132 2015-06-12 $43.00 $41.00 48.0% 13.8% 47.1% 6.1% 53.7% 9.9% 21.1% 797.0K -35.6M -152.2K 0.56 89.76 N/A N/A 2,535 1,431 15,915 5,152 2015-06-15 $42.58 $41.00 45.2% 12.9% 47.2% 5.0% 53.3% 2.5% 15.6% 773.8K -33.5M -147.9K 0.56 94.73 N/A N/A 2,554 1,431 15,919 5,152 2015-06-16 $45.27 $41.00 54.0% 15.5% 50.4% 8.4% 49.6% 3.4% 5.3% 915.9K -41.7M -149.8K 0.33 93.84 N/A N/A 3,812 1,248 15,950 5,152 2015-06-17 $45.57 $41.00 48.6% 13.9% 50.4% 6.3% 53.4% -0.7% 5.4% 1.1M -48.3M -159.0K 0.51 113.70 N/A N/A 2,436 1,249 17,029 5,187 2015-06-18 $47.04 $41.00 52.0% 14.9% 51.4% 7.6% 42.9% 8.8% 7.3% 1.2M -50.4M -156.8K 0.76 89.78 N/A N/A 1,552 1,172 17,081 5,218 2015-06-19 $47.54 $41.00 45.9% 13.2% 50.4% 5.3% 48.8% 11.6% 16.9% 786.6K -53.4M -158.7K 0.68 90.32 N/A N/A 1,713 1,171 17,165 5,232 2015-06-22 $48.80 $41.00 51.0% 14.6% 50.8% 7.3% 48.4% 1.5% 4.0% 845.0K -53.0M -156.2K 0.67 82.95 N/A N/A 1,444 972 16,084 4,847 2015-06-23 $48.66 $41.00 37.3% 10.7% 50.7% 2.0% 41.1% -0.5% 17.5% 850.1K -54.9M -155.7K 0.84 91.69 N/A N/A 1,257 1,051 16,345 4,872 2015-06-24 $48.67 $41.00 48.9% 14.0% 50.7% 6.4% 43.4% -2.8% 7.7% 863.6K -53.9M -156.6K 0.93 105.41 N/A N/A 1,176 1,089 16,362 5,000 2015-06-25 $47.50 $41.00 38.8% 11.1% 51.7% 2.6% 44.5% 1.7% 17.8% 889.3K -53.0M -151.4K 0.97 104.62 N/A N/A 1,147 1,117 16,375 5,051 2015-06-26 $46.79 $41.00 35.7% 10.2% 51.4% 1.4% 40.5% 4.5% 26.1% 954.6K -49.7M -152.0K 0.68 102.07 N/A N/A 1,648 1,117 16,428 5,055 2015-06-29 $45.88 $41.00 48.5% 13.9% 47.7% 6.3% 47.7% 1.9% 14.9% 979.0K -45.8M -158.3K 1.04 102.14 N/A N/A 1,093 1,134 16,968 5,055 2015-06-30 $47.78 $41.00 38.5% 11.0% 49.2% 2.5% 43.9% 11.4% 14.7% 1.1M -51.9M -154.0K 0.91 94.14 N/A N/A 1,153 1,045 16,993 5,086
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