NBIX Options History — October 2015 In October 2015, NBIX traded between $38.85 and $51.45. ATM implied volatility averaged 86.9%, placing in the 19.7% IV rank vs the trailing year. The 30-day expected move averaged 23.7%. IV traded below realized volatility by 12.7% (HV 20d: 99.6%). Max pain ranged from $45.00 to $50.00. Net GEX was positive for 22 of 22 trading days. Term structure was in contango for 12 of 22 days. Put/call ratio averaged 1.31.
Notable Days 2015-10-08 : Highest Volume — 16,350 contracts2015-10-08 : Largest IV drop — 48.2% change2015-10-07 : Highest IV Rank — 53.6%2015-10-07 : Largest Expected Move — 42.6%Monthly Statistics Metric Avg Min Max Open Close Price $45.92 $38.85 $51.45 $39.37 $49.39 Max Pain $45.41 $45.00 $50.00 $49.00 $45.00 ATM IV 86.9% 60.4% 174.9% 100.2% 61.0% Expected Move 23.7% 17.3% 42.6% 28.7% 17.5% HV 20d 99.6% 72.9% 113.2% 89.4% 72.9% HV 60d 72.9% 63.8% 76.5% 63.8% 75.3% IV Rank 19.7% 9.5% 53.6% 24.8% 9.7% IV Percentile 81.8% 66.3% 97.2% 91.7% 66.3% Term Structure -2.9% -41.0% 16.0% 16.0% 2.0% VWIV 82.7% 62.0% 146.6% 95.1% 63.0% Skew 25d 12.2% -2.7% 50.6% 13.0% 7.6% Skew 10d 26.0% -0.3% 92.0% 52.6% 15.0% Call IV 25d 75.1% 55.9% 118.3% 96.4% 55.9% Put IV 25d 87.3% 63.5% 165.7% 109.3% 63.5% Bid-Ask Spread % 74.49 39.20 95.03 78.46 80.95 Gamma HHI 0.15 0.11 0.22 0.18 0.17 Net GEX 756.4K 346.7K 1.2M 364.2K 1.1M Net DEX -36.9M -57.6M -15.3M -15.3M -45.8M Net VEX -173.0K -228.8K -148.1K -161.4K -148.1K Div Yield 0.0% 0.0% 0.0% 0.0% 0.0% P/C Ratio 1.31 0.37 2.32 1.41 2.32 Total Volume 5,603.409 825 16,350 3,225 2,912 Total OI 38,900.182 32,067 47,822 32,067 37,403
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 2015-10-01 $39.37 $49.00 100.2% 28.7% 89.4% 24.8% 95.1% 13.0% 16.0% 364.2K -15.3M -161.4K 1.41 78.46 N/A N/A 1,336 1,889 22,533 9,534 2015-10-02 $43.90 $50.00 106.3% 30.5% 98.8% 27.2% 109.2% 38.2% 12.3% 433.3K -28.1M -180.2K 0.79 86.99 N/A N/A 3,856 3,054 22,593 9,599 2015-10-05 $42.72 $45.00 122.2% 36.3% 98.9% 33.3% 128.0% 22.5% -29.4% 432.8K -30.1M -193.5K 1.52 50.03 N/A N/A 327 498 24,956 11,153 2015-10-06 $39.98 $45.00 151.5% 42.2% 99.3% 44.5% 136.9% 40.9% -41.0% 346.7K -19.9M -177.3K 0.57 44.86 N/A N/A 8,531 4,855 25,031 11,226 2015-10-07 $38.85 $45.00 174.9% 42.6% 99.5% 53.6% 146.6% 50.6% -40.1% 503.4K -29.2M -219.2K 0.42 42.75 N/A N/A 7,559 3,151 32,138 13,455 2015-10-08 $43.37 $45.00 90.6% 22.6% 105.5% 21.1% 75.9% 8.4% -1.4% 967.8K -41.2M -228.8K 0.37 39.20 N/A N/A 11,943 4,407 33,239 14,583 2015-10-09 $45.92 $45.00 98.5% 22.6% 108.1% 24.2% 80.6% -2.7% -6.6% 615.0K -33.2M -197.0K 0.96 66.40 N/A N/A 3,531 3,393 27,283 15,986 2015-10-12 $45.69 $45.00 92.8% 21.4% 108.1% 22.0% 76.6% 10.0% 1.0% 593.0K -35.4M -186.7K 1.62 61.52 N/A N/A 1,882 3,042 26,116 16,327 2015-10-13 $45.74 $45.00 95.5% 22.3% 108.0% 23.0% 76.3% 14.8% -2.4% 601.1K -36.6M -183.6K 0.97 67.50 N/A N/A 3,273 3,187 26,302 16,349 2015-10-14 $44.50 $45.00 74.5% 21.3% 107.9% 14.9% 75.0% 14.9% 0.6% 540.9K -30.1M -174.9K 1.15 70.53 N/A N/A 3,005 3,444 25,632 16,894 2015-10-15 $48.62 $45.00 69.0% 19.8% 113.2% 12.8% 72.3% 3.3% 3.4% 744.2K -43.3M -167.4K 1.77 74.40 N/A N/A 2,021 3,577 25,569 16,854 2015-10-16 $47.80 $45.00 70.7% 20.3% 113.2% 13.5% 71.1% 5.4% 0.5% 861.2K -43.1M -171.8K 1.65 87.41 N/A N/A 1,738 2,863 25,599 17,027 2015-10-19 $49.06 $45.00 60.4% 17.3% 108.5% 9.5% 62.0% 5.7% 8.4% 1.0M -43.6M -157.6K 1.49 84.75 N/A N/A 1,838 2,735 23,166 12,733 2015-10-20 $46.50 $45.00 72.0% 20.6% 109.7% 14.0% 67.5% 3.9% -2.6% 847.5K -38.1M -165.5K 1.45 91.34 N/A N/A 1,467 2,132 23,417 13,582 2015-10-21 $46.96 $45.00 68.6% 19.7% 109.4% 12.6% 70.1% 5.3% 3.8% 845.5K -36.9M -166.0K 1.44 92.76 N/A N/A 1,478 2,121 23,426 13,608 2015-10-22 $47.14 $45.00 68.4% 19.6% 109.0% 12.6% 75.0% 11.3% 3.1% 800.8K -35.1M -168.4K 1.41 88.65 N/A N/A 1,441 2,037 23,443 13,610 2015-10-23 $47.94 $45.00 63.6% 18.2% 99.3% 10.8% 69.9% 5.7% 9.2% 933.4K -41.6M -160.5K 1.31 89.81 N/A N/A 1,566 2,047 23,464 13,636 2015-10-26 $46.64 $45.00 63.9% 18.3% 85.1% 10.9% 72.4% -2.1% 7.5% 909.2K -38.3M -153.3K 1.45 95.03 N/A N/A 1,567 2,270 23,468 13,628 2015-10-27 $48.61 $45.00 74.9% 21.5% 85.5% 15.1% 62.7% 2.6% -2.1% 855.9K -38.1M -148.7K 1.48 92.59 N/A N/A 1,544 2,290 23,470 13,501 2015-10-28 $51.45 $45.00 66.8% 19.2% 80.2% 12.0% 66.4% 3.2% -4.8% 1.2M -57.6M -148.2K 1.46 77.11 N/A N/A 1,637 2,384 23,515 13,549 2015-10-29 $50.14 $45.00 65.3% 18.7% 81.0% 11.4% 66.2% 4.7% -1.7% 1.1M -51.6M -148.9K 1.73 75.71 N/A N/A 1,262 2,185 23,613 13,594 2015-10-30 $49.39 $45.00 61.0% 17.5% 72.9% 9.7% 63.0% 7.6% 2.0% 1.1M -45.8M -148.1K 2.32 80.95 N/A N/A 878 2,034 23,647 13,756
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