NBIX Options History — September 2015 In September 2015, NBIX traded between $35.77 and $55.09. ATM implied volatility averaged 81.1%, placing in the 17.5% IV rank vs the trailing year. The 30-day expected move averaged 23.4%. IV traded above realized volatility by 22.9% (HV 20d: 58.2%). Max pain ranged from $44.00 to $50.00. Net GEX was positive for 21 of 21 trading days. Term structure was in contango for 19 of 21 days. Put/call ratio averaged 0.88.
Notable Days 2015-09-28 : Highest Volume — 17,468 contracts2015-09-10 : Largest IV spike — 29.3% change2015-09-29 : Highest IV Rank — 30.0%2015-09-29 : Largest Expected Move — 32.6%Monthly Statistics Metric Avg Min Max Open Close Price $48.44 $35.77 $55.09 $47.15 $39.79 Max Pain $48.48 $44.00 $50.00 $44.00 $50.00 ATM IV 81.1% 58.7% 113.5% 69.3% 101.4% Expected Move 23.4% 17.4% 32.6% 19.9% 29.1% HV 20d 58.2% 46.0% 91.9% 50.6% 91.9% HV 60d 47.4% 42.9% 64.0% 43.3% 64.0% IV Rank 17.5% 8.8% 30.0% 12.9% 25.3% IV Percentile 87.4% 72.2% 92.9% 86.9% 92.1% Term Structure 10.5% -4.5% 21.7% -4.5% 12.1% VWIV 85.0% 60.8% 108.4% 67.5% 92.3% Skew 25d 10.4% -19.4% 35.9% 8.4% 35.9% Skew 10d 26.8% 1.3% 73.8% 15.4% 32.9% Call IV 25d 78.3% 54.4% 125.4% 63.3% 88.1% Put IV 25d 88.7% 65.5% 123.9% 71.7% 123.9% Bid-Ask Spread % 68.73 49.79 91.69 91.36 78.39 Gamma HHI 0.34 0.18 0.92 0.18 0.18 Net GEX 905.0K 212.5K 7.0M 510.5K 374.4K Net DEX -36.6M -65.1M -4.9M -31.2M -15.8M Net VEX -159.1K -195.1K -126.7K -131.1K -163.3K Div Yield 0.0% 0.0% 0.0% 0.0% 0.0% P/C Ratio 0.88 0.12 2.52 1.54 1.43 Total Volume 6,119.429 307 17,468 2,084 3,198 Total OI 25,490.714 19,507 31,831 19,507 31,831
Daily Data (21 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 2015-09-01 $47.15 $44.00 69.3% 19.9% 50.6% 12.9% 67.5% 8.4% -4.5% 510.5K -31.2M -131.1K 1.54 91.36 N/A N/A 820 1,264 14,240 5,267 2015-09-02 $49.51 $44.00 60.8% 17.4% 53.5% 9.6% 60.8% 11.1% 11.4% 645.6K -36.5M -130.5K 1.47 91.69 N/A N/A 807 1,188 14,298 5,325 2015-09-03 $48.17 $45.00 64.9% 19.0% 49.1% 11.3% 72.2% 8.5% 10.4% 587.8K -36.9M -131.5K 1.44 71.84 N/A N/A 831 1,200 14,401 5,362 2015-09-04 $48.69 $45.00 58.7% 18.2% 48.7% 8.8% 70.9% 9.7% 11.8% 607.7K -35.1M -130.3K 1.56 62.89 N/A N/A 782 1,217 14,500 5,456 2015-09-08 $50.81 $45.00 66.9% 19.9% 50.7% 12.0% 74.9% 9.6% 5.0% 722.4K -41.8M -126.7K 0.54 59.65 N/A N/A 200 107 14,527 5,473 2015-09-09 $50.28 $45.00 63.3% 18.1% 50.6% 10.6% 71.3% 15.5% 11.9% 680.5K -41.9M -127.4K 2.52 54.32 N/A N/A 976 2,459 14,576 5,516 2015-09-10 $53.49 $50.00 81.8% 23.5% 54.5% 17.8% 90.4% -1.4% 11.5% 590.7K -49.2M -140.2K 0.38 78.92 N/A N/A 12,499 4,792 14,732 6,886 2015-09-11 $53.96 $50.00 90.1% 25.8% 54.3% 20.9% 108.4% 14.5% 6.2% 784.5K -53.4M -195.1K 0.98 57.77 N/A N/A 4,296 4,213 19,156 9,361 2015-09-14 $53.21 $50.00 94.2% 27.0% 53.7% 22.5% 101.3% 1.5% -2.8% 815.8K -53.8M -194.2K 0.89 55.79 N/A N/A 4,341 3,879 19,472 9,895 2015-09-15 $53.42 $50.00 84.0% 24.1% 51.8% 18.6% 88.0% 16.5% 9.1% 1.0M -54.6M -189.7K 0.76 49.79 N/A N/A 438 333 19,359 9,968 2015-09-16 $54.21 $50.00 81.7% 23.4% 51.1% 17.7% 94.6% 13.8% 11.0% 1.2M -58.5M -191.8K 0.71 58.92 N/A N/A 5,635 3,981 19,658 10,120 2015-09-17 $54.93 $50.00 72.8% 20.9% 50.9% 14.3% 81.9% 22.0% 21.2% 1.3M -56.8M -186.9K 0.97 84.86 N/A N/A 3,985 3,856 19,187 10,241 2015-09-18 $55.09 $50.00 78.2% 22.4% 46.0% 16.4% 84.1% 5.7% 17.2% 7.0M -65.1M -180.0K 0.89 64.73 N/A N/A 4,340 3,855 19,187 9,709 2015-09-21 $49.96 $50.00 80.6% 23.1% 59.7% 17.3% 86.7% 12.8% 12.0% 407.9K -33.1M -173.9K 0.37 56.02 N/A N/A 4,294 1,574 15,705 8,112 2015-09-22 $48.52 $50.00 79.3% 22.7% 57.4% 16.8% 88.8% 3.2% 15.4% 366.4K -28.1M -171.5K 0.30 65.18 N/A N/A 3,819 1,161 15,925 8,559 2015-09-23 $47.31 $50.00 82.2% 23.6% 58.4% 17.9% 87.6% 25.7% 12.5% 324.2K -26.0M -166.2K 0.30 53.23 N/A N/A 3,889 1,158 16,034 8,715 2015-09-24 $46.15 $50.00 75.1% 21.5% 56.1% 15.2% 81.4% 9.2% 21.7% 281.0K -21.5M -165.2K 0.15 62.01 N/A N/A 8,333 1,217 16,204 8,744 2015-09-25 $40.93 $50.00 92.6% 26.5% 68.6% 21.9% 86.1% -2.4% 14.0% 315.6K -16.1M -166.0K 0.29 88.43 N/A N/A 4,586 1,331 20,386 8,821 2015-09-28 $35.77 $50.00 112.0% 32.1% 82.0% 29.3% 102.6% -19.4% 9.6% 212.5K -4.9M -136.9K 0.12 78.25 N/A N/A 15,567 1,901 20,806 8,894 2015-09-29 $35.79 $50.00 113.5% 32.6% 82.0% 30.0% 92.8% 18.4% 3.0% 256.0K -7.4M -142.5K 0.86 79.36 N/A N/A 2,245 1,941 21,501 9,196 2015-09-30 $39.79 $50.00 101.4% 29.1% 91.9% 25.3% 92.3% 35.9% 12.1% 374.4K -15.8M -163.3K 1.43 78.39 N/A N/A 1,314 1,884 22,487 9,344
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