NBIX Options History — March 2017

In March 2017, NBIX traded between $41.57 and $47.29. ATM implied volatility averaged 60.5%, placing in the 40.7% IV rank vs the trailing year. The 30-day expected move averaged 18.5%. IV traded above realized volatility by 21.7% (HV 20d: 38.8%). Max pain ranged from $43.00 to $45.00. Net GEX was positive for 23 of 23 trading days. Term structure was in contango for 12 of 23 days. Put/call ratio averaged 1.50.

Notable Days

2017-03-28: Highest Volume — 3,666 contracts
2017-03-14: Largest IV spike — 54.0% change
2017-03-30: Highest IV Rank — 65.9%
2017-03-30: Largest Expected Move — 22.5%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$43.84	$41.57	$47.29	$44.66	$43.38
Max Pain	$44.30	$43.00	$45.00	$43.00	$43.00
ATM IV	60.5%	42.9%	78.6%	58.6%	73.2%
Expected Move	18.5%	13.5%	22.5%	16.8%	21.0%
HV 20d	38.8%	35.4%	43.0%	38.5%	41.5%
HV 60d	47.1%	45.9%	48.1%	48.0%	45.9%
IV Rank	40.7%	16.1%	65.9%	38.1%	58.4%
IV Percentile	64.4%	15.5%	96.0%	58.3%	93.7%
Term Structure	3.1%	-11.2%	24.4%	14.7%	-5.1%
VWIV	66.5%	44.8%	84.2%	50.6%	84.2%
Skew 25d	9.6%	-22.7%	32.7%	11.1%	28.5%
Skew 10d	24.1%	-4.6%	71.8%	32.2%	61.2%
Call IV 25d	62.8%	44.6%	108.1%	46.4%	58.6%
Put IV 25d	72.4%	49.8%	91.5%	57.5%	87.1%
Bid-Ask Spread %	77.90	54.75	99.89	94.47	84.28
Gamma HHI	0.15	0.12	0.21	0.14	0.13
Net GEX	168.7K	29.3K	374.3K	130.6K	97.6K
Net DEX	-5.4M	-10.1M	-1.0M	-6.7M	-4.7M
Net VEX	-47.4K	-55.0K	-42.4K	-47.0K	-55.0K
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	1.50	0.58	4.04	0.67	0.58
Total Volume	2,004.478	1,430	3,666	1,823	2,017
Total OI	9,243.13	7,338	12,202	7,524	12,202

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
2017-03-01	$44.66	$43.00	58.6%	16.8%	38.5%	38.1%	50.6%	11.1%	14.7%	130.6K	-6.7M	-47.0K	0.67	94.47	N/A	N/A	1,089	734	4,803	2,721
2017-03-02	$44.11	$43.00	54.5%	15.6%	38.5%	32.3%	50.7%	12.1%	22.5%	186.1K	-6.6M	-46.8K	1.03	92.97	N/A	N/A	751	775	5,147	2,749
2017-03-03	$43.84	$43.00	46.9%	13.5%	38.5%	21.8%	44.8%	5.2%	24.4%	177.6K	-6.2M	-46.3K	1.01	99.89	N/A	N/A	782	789	5,190	2,797
2017-03-06	$43.75	$44.00	52.1%	19.3%	37.5%	29.0%	70.4%	6.6%	2.3%	163.7K	-5.4M	-44.8K	0.94	54.75	N/A	N/A	922	863	5,251	2,861
2017-03-07	$43.65	$44.00	50.6%	17.6%	37.5%	26.9%	62.3%	10.4%	8.4%	160.6K	-5.2M	-45.5K	0.77	72.41	N/A	N/A	883	680	5,464	2,984
2017-03-08	$44.64	$44.00	50.3%	17.7%	38.3%	26.4%	61.3%	20.8%	2.4%	196.0K	-6.4M	-45.0K	0.81	76.45	N/A	N/A	984	800	5,517	3,018
2017-03-09	$44.98	$44.00	54.4%	19.6%	38.2%	32.1%	67.5%	18.1%	-3.7%	212.8K	-6.6M	-47.3K	1.16	63.61	N/A	N/A	734	852	5,629	3,133
2017-03-10	$46.34	$44.00	46.5%	18.8%	38.5%	21.2%	63.8%	10.9%	-5.1%	340.3K	-9.1M	-45.2K	1.26	59.80	N/A	N/A	757	951	5,640	3,188
2017-03-13	$47.00	$45.00	42.9%	19.1%	38.1%	16.1%	67.4%	9.1%	-0.1%	338.5K	-10.1M	-46.3K	1.69	63.30	N/A	N/A	639	1,083	5,699	3,351
2017-03-14	$45.50	$45.00	66.0%	18.6%	35.4%	48.4%	68.5%	3.2%	-1.2%	316.2K	-9.3M	-46.0K	1.99	74.45	N/A	N/A	565	1,124	5,700	3,481
2017-03-15	$47.29	$45.00	62.1%	17.8%	35.6%	42.9%	66.5%	14.7%	6.4%	374.3K	-9.9M	-45.8K	1.94	80.30	N/A	N/A	574	1,114	5,712	3,560
2017-03-16	$45.18	$45.00	66.4%	19.0%	39.0%	48.9%	65.1%	5.0%	-11.2%	325.2K	-9.1M	-44.8K	1.73	76.04	N/A	N/A	620	1,075	5,777	3,561
2017-03-17	$44.39	$45.00	57.7%	16.5%	39.5%	36.7%	60.3%	16.3%	5.6%	123.6K	-5.5M	-44.6K	1.21	84.90	N/A	N/A	856	1,037	5,898	3,708
2017-03-20	$43.87	$45.00	60.3%	17.3%	39.0%	40.3%	63.9%	32.7%	7.7%	126.6K	-4.4M	-44.4K	0.95	80.54	N/A	N/A	733	697	4,695	2,643
2017-03-21	$41.68	$45.00	63.4%	18.2%	43.0%	44.7%	54.4%	2.4%	-0.4%	112.8K	-3.2M	-42.4K	0.84	81.65	N/A	N/A	792	665	4,911	2,757
2017-03-22	$41.57	$45.00	65.1%	18.7%	42.1%	47.1%	64.3%	4.7%	5.7%	124.7K	-2.6M	-44.0K	0.65	72.16	N/A	N/A	932	605	5,442	2,829
2017-03-23	$41.61	$45.00	64.6%	18.5%	41.9%	46.4%	76.3%	13.1%	-2.4%	132.3K	-3.1M	-45.8K	4.04	72.59	N/A	N/A	688	2,781	5,682	2,918
2017-03-24	$41.92	$45.00	69.7%	20.0%	41.8%	53.5%	75.2%	9.0%	-0.4%	29.3K	-1.0M	-52.8K	3.86	72.84	N/A	N/A	727	2,809	5,793	4,950
2017-03-27	$42.26	$45.00	65.4%	18.7%	36.5%	47.5%	82.7%	12.8%	-0.3%	37.4K	-1.3M	-52.4K	3.10	86.66	N/A	N/A	861	2,671	5,883	5,006
2017-03-28	$41.75	$44.00	69.7%	20.0%	36.1%	53.5%	75.6%	-14.5%	3.6%	41.1K	-2.1M	-52.0K	2.69	81.30	N/A	N/A	993	2,673	6,131	5,110
2017-03-29	$43.08	$44.00	72.2%	20.7%	37.7%	57.0%	80.0%	10.9%	-4.3%	68.8K	-3.1M	-53.5K	0.83	77.40	N/A	N/A	860	717	6,305	5,120
2017-03-30	$41.78	$44.00	78.6%	22.5%	39.0%	65.9%	74.1%	-22.7%	2.5%	64.6K	-2.8M	-52.8K	0.69	89.02	N/A	N/A	1,093	756	6,468	5,208
2017-03-31	$43.38	$43.00	73.2%	21.0%	41.5%	58.4%	84.2%	28.5%	-5.1%	97.6K	-4.7M	-55.0K	0.58	84.28	N/A	N/A	1,279	738	6,815	5,387