NBIX Options History — August 2016

In August 2016, NBIX traded between $47.40 and $51.40. ATM implied volatility averaged 42.2%, placing in the 4.7% IV rank vs the trailing year. The 30-day expected move averaged 12.4%. IV traded above realized volatility by 14.2% (HV 20d: 28.0%). Max pain ranged from $42.00 to $50.00. Net GEX was positive for 23 of 23 trading days. Term structure was in contango for 20 of 23 days. Put/call ratio averaged 1.04.

Notable Days

2016-08-03: Highest Volume — 4,573 contracts
2016-08-10: Largest IV spike — 35.7% change
2016-08-10: Highest IV Rank — 10.1%
2016-08-02: Largest Expected Move — 14.7%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$49.24	$47.40	$51.40	$51.40	$48.40
Max Pain	$47.78	$42.00	$50.00	$42.00	$50.00
ATM IV	42.2%	34.1%	51.4%	50.4%	43.4%
Expected Move	12.4%	9.8%	14.7%	14.4%	12.4%
HV 20d	28.0%	23.6%	33.6%	27.2%	32.4%
HV 60d	39.1%	35.4%	42.1%	41.9%	35.5%
IV Rank	4.7%	0.0%	10.1%	7.3%	6.6%
IV Percentile	4.5%	0.0%	13.1%	11.1%	7.1%
Term Structure	3.6%	-7.9%	14.3%	-7.1%	3.2%
VWIV	43.3%	35.7%	54.5%	54.5%	39.6%
Skew 25d	3.8%	-4.0%	35.0%	6.0%	2.9%
Skew 10d	10.4%	-2.9%	20.3%	20.3%	10.8%
Call IV 25d	41.7%	36.8%	48.5%	48.5%	38.2%
Put IV 25d	45.5%	37.9%	76.2%	54.5%	41.1%
Bid-Ask Spread %	100.56	83.96	117.49	99.44	117.49
Gamma HHI	0.40	0.31	0.54	0.34	0.35
Net GEX	1.9M	688.8K	4.1M	1.5M	870.7K
Net DEX	-28.5M	-45.7M	-16.8M	-40.4M	-16.8M
Net VEX	-100.8K	-122.4K	-81.9K	-115.6K	-88.9K
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	1.04	0.24	6.36	1.22	0.82
Total Volume	1,954.261	43	4,573	2,373	1,142
Total OI	18,504.478	11,382	23,871	18,281	12,389

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
2016-08-01	$51.40	$42.00	50.4%	14.4%	27.2%	7.3%	54.5%	6.0%	-7.1%	1.5M	-40.4M	-115.6K	1.22	99.44	N/A	N/A	1,068	1,305	14,914	3,367
2016-08-02	$50.52	$42.00	51.4%	14.7%	28.3%	8.0%	51.1%	-3.3%	-7.9%	1.5M	-38.1M	-113.1K	0.63	100.54	N/A	N/A	2,135	1,346	14,918	3,352
2016-08-03	$50.63	$42.00	45.4%	13.0%	24.9%	3.6%	45.8%	1.2%	0.9%	1.6M	-37.7M	-111.4K	0.41	100.66	N/A	N/A	3,241	1,332	15,070	3,402
2016-08-04	$50.00	$44.00	39.1%	12.3%	25.5%	0.0%	41.2%	13.6%	7.7%	2.6M	-45.6M	-121.5K	0.78	95.23	N/A	N/A	1,700	1,332	17,997	3,405
2016-08-05	$49.97	$50.00	36.4%	12.0%	25.2%	0.0%	40.3%	1.9%	7.5%	2.9M	-45.7M	-122.4K	0.82	91.92	N/A	N/A	1,627	1,329	18,831	3,389
2016-08-08	$48.59	$50.00	34.9%	11.7%	27.3%	0.0%	48.0%	2.2%	8.3%	2.5M	-38.3M	-115.0K	1.55	86.50	N/A	N/A	830	1,290	18,832	3,389
2016-08-09	$48.90	$50.00	36.2%	13.0%	27.3%	0.9%	47.5%	8.4%	0.0%	2.9M	-36.4M	-116.3K	1.25	99.11	N/A	N/A	1,032	1,288	18,927	3,600
2016-08-10	$47.40	$50.00	49.1%	14.1%	25.9%	10.1%	40.9%	-0.0%	-0.7%	2.9M	-28.1M	-105.5K	1.08	94.73	N/A	N/A	1,118	1,211	19,159	3,600
2016-08-11	$48.15	$49.00	43.9%	12.6%	26.1%	6.4%	44.8%	5.9%	2.0%	2.9M	-28.0M	-106.2K	0.96	100.40	N/A	N/A	1,141	1,101	19,170	3,631
2016-08-12	$48.34	$48.00	46.1%	13.2%	26.1%	8.0%	44.1%	5.9%	3.4%	2.9M	-30.1M	-104.1K	0.73	110.89	N/A	N/A	1,505	1,101	19,227	3,662
2016-08-15	$48.79	$48.00	46.6%	13.4%	25.9%	8.3%	44.2%	9.6%	2.2%	3.5M	-34.7M	-101.8K	0.92	83.96	N/A	N/A	1,205	1,109	19,570	3,667
2016-08-16	$48.24	$48.00	46.9%	13.5%	26.3%	8.6%	43.6%	0.7%	0.4%	4.1M	-29.3M	-95.1K	0.58	98.59	N/A	N/A	1,673	973	19,659	3,679
2016-08-17	$47.72	$48.00	39.2%	11.2%	23.6%	3.1%	0.0%	-4.0%	7.9%	2.7M	-22.6M	-91.4K	6.36	94.80	N/A	N/A	25	159	20,033	3,678
2016-08-18	$48.01	$48.00	42.9%	12.3%	23.6%	5.7%	46.3%	-3.8%	4.6%	2.5M	-20.6M	-84.2K	0.54	93.89	N/A	N/A	28	15	20,021	3,832
2016-08-19	$48.51	$48.00	39.8%	11.4%	23.7%	3.5%	42.9%	4.6%	6.1%	688.8K	-25.6M	-81.9K	0.51	90.70	N/A	N/A	2,161	1,092	20,028	3,843
2016-08-22	$51.28	$48.00	39.7%	11.4%	31.1%	3.4%	39.4%	10.0%	4.2%	986.2K	-20.6M	-88.0K	0.24	94.12	N/A	N/A	956	234	9,696	1,686
2016-08-23	$51.36	$48.00	40.7%	11.7%	31.0%	4.1%	41.3%	35.0%	0.3%	913.9K	-24.1M	-96.0K	0.26	110.15	N/A	N/A	1,056	277	9,801	1,695
2016-08-24	$49.44	$48.00	39.9%	11.5%	32.9%	3.6%	35.7%	-0.8%	10.8%	896.1K	-21.6M	-91.3K	0.63	103.98	N/A	N/A	327	206	9,946	1,746
2016-08-25	$48.77	$48.00	34.1%	9.8%	33.0%	0.0%	38.0%	0.7%	14.3%	912.4K	-18.8M	-95.0K	0.92	112.99	N/A	N/A	517	474	10,145	1,946
2016-08-26	$49.52	$50.00	42.7%	12.3%	33.6%	6.1%	38.5%	-1.4%	4.6%	878.6K	-18.1M	-92.8K	1.00	108.59	N/A	N/A	553	555	10,160	1,986
2016-08-29	$49.30	$50.00	41.5%	11.9%	32.3%	5.3%	43.2%	-3.2%	4.4%	898.5K	-17.4M	-91.8K	0.91	113.81	N/A	N/A	557	505	10,190	2,067
2016-08-30	$49.32	$50.00	40.6%	11.6%	31.8%	4.6%	42.8%	-3.9%	6.0%	889.8K	-17.8M	-90.0K	0.86	110.34	N/A	N/A	602	515	10,201	2,097
2016-08-31	$48.40	$50.00	43.4%	12.4%	32.4%	6.6%	39.6%	2.9%	3.2%	870.7K	-16.8M	-88.9K	0.82	117.49	N/A	N/A	627	515	10,282	2,107