NFLX Options History — January 2007

In January 2007, NFLX traded between $0.31 and $0.38. ATM implied volatility averaged 51.2%. The 30-day expected move averaged 15.8%. IV traded above realized volatility by 7.2% (HV 20d: 44.1%). Max pain ranged from $0.36 to $0.39. Net GEX was positive for 4 of 20 trading days. Term structure was in contango for 4 of 20 days. Put/call ratio averaged 1.15.

Notable Days

  • 2007-01-24: Highest Volume — 3,255,560 contracts
  • 2007-01-11: Largest IV spike — 41.2% change
  • 2007-01-10: Largest Expected Move — 19.9%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$0.33$0.31$0.38$0.38$0.33
Max Pain$0.37$0.36$0.39$0.36$0.36
ATM IV51.2%32.0%69.3%39.1%32.0%
Expected Move15.8%9.2%19.9%11.2%9.2%
HV 20d44.1%42.3%46.1%46.1%42.3%
Term Structure-5.7%-17.4%15.3%15.3%0.6%
VWIV56.1%33.3%73.2%41.0%33.3%
Skew 25d0.4%-8.8%5.6%3.2%-8.8%
Skew 10d1.9%-15.3%15.1%11.4%-15.3%
Call IV 25d56.5%34.6%71.9%38.4%35.7%
Put IV 25d56.9%26.9%70.7%41.6%26.9%
Bid-Ask Spread %9.644.2817.544.756.80
Gamma HHI0.260.190.370.270.19
Net GEX-267.8K-885.6K429.7K-205.7K19.3K
Net DEX22.0M-20.2M50.7M-20.2M12.2M
Net VEX-453.4K-505.8K-412.6K-430.8K-461.1K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.150.154.064.060.66
Total Volume946,718.5179,9703,255,560974,680179,970
Total OI10,604,1818,225,07012,232,7108,225,07012,199,320

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2007-01-03$0.38$0.3639.1%11.2%0.0%0.0%41.0%3.2%15.3%-205.7K-20.2M-430.8K4.064.75N/AN/A192,570782,1103,701,3204,523,750
2007-01-04$0.36$0.3644.2%12.7%0.0%0.0%43.9%3.8%11.8%-702.9K5.3M-445.8K1.198.18N/AN/A256,900306,0403,812,0604,957,260
2007-01-05$0.35$0.3940.8%16.6%0.0%0.0%57.9%5.6%-5.5%-728.9K13.3M-442.6K3.4711.92N/AN/A80,780280,6303,948,3505,023,060
2007-01-08$0.34$0.3942.8%16.7%0.0%0.0%58.5%3.8%-5.6%-829.8K29.8M-412.6K2.6210.50N/AN/A182,350478,3803,964,8005,060,230
2007-01-09$0.34$0.3940.5%17.8%0.0%0.0%62.5%1.9%-8.3%-885.6K28.6M-429.9K0.4112.10N/AN/A758,100308,9104,049,0805,237,400
2007-01-10$0.34$0.3947.9%19.9%0.0%0.0%70.6%-1.7%-11.7%-693.8K22.6M-458.9K0.1517.54N/AN/A1,817,900265,3704,397,1905,414,570
2007-01-11$0.35$0.3967.6%19.4%0.0%0.0%68.4%0.3%-11.5%-173.3K8.7M-505.8K1.1111.54N/AN/A197,260218,4005,534,5505,520,550
2007-01-12$0.32$0.3965.6%18.8%0.0%0.0%66.8%-2.4%-8.5%-257.7K39.7M-456.3K1.9513.14N/AN/A443,030863,6605,616,1005,617,780
2007-01-16$0.32$0.3968.5%19.6%0.0%0.0%70.0%-1.3%-10.5%-293.6K41.3M-474.8K0.418.26N/AN/A465,710189,3505,887,7706,027,980
2007-01-17$0.33$0.3967.0%19.2%0.0%0.0%67.6%1.1%-11.2%-205.6K39.5M-459.3K1.508.51N/AN/A223,720334,8106,044,5005,963,510
2007-01-18$0.32$0.3965.6%18.8%0.0%0.0%68.2%-0.6%-10.9%-368.7K50.7M-442.2K0.4514.00N/AN/A313,810140,8406,055,4906,055,560
2007-01-19$0.32$0.3665.8%18.9%0.0%0.0%66.2%2.6%-11.4%-648.3K41.2M-448.3K0.897.48N/AN/A364,210323,8906,207,3906,025,320
2007-01-22$0.31$0.3669.3%19.9%0.0%0.0%73.2%-1.1%-17.4%-260.4K39.1M-428.5K0.518.02N/AN/A1,023,400521,5004,589,6904,622,380
2007-01-23$0.31$0.3666.7%19.1%0.0%0.0%68.7%-2.5%-13.7%-2.0K30.1M-446.8K0.469.70N/AN/A511,000233,0305,152,4204,512,550
2007-01-24$0.33$0.3662.1%17.8%0.0%0.0%62.8%3.8%-12.7%236.8K15.1M-476.0K0.6516.20N/AN/A1,974,4901,281,0705,459,3004,603,340
2007-01-25$0.33$0.3639.0%11.2%46.1%0.0%39.5%-0.2%-1.8%429.7K3.2M-471.8K0.554.28N/AN/A1,155,910633,8506,269,2005,002,900
2007-01-26$0.33$0.3635.1%10.1%44.6%0.0%36.3%-1.8%-0.6%395.7K5.4M-478.1K0.435.76N/AN/A309,820134,7506,477,9405,096,140
2007-01-29$0.32$0.3633.0%9.4%43.7%0.0%33.7%-0.7%-0.3%-121.9K22.3M-432.8K0.627.56N/AN/A569,520352,4506,377,6305,096,070
2007-01-30$0.33$0.3632.6%9.3%43.6%0.0%33.4%2.6%0.5%-59.3K12.6M-465.1K1.026.63N/AN/A131,110133,7706,663,1605,316,010
2007-01-31$0.33$0.3632.0%9.2%42.3%0.0%33.3%-8.8%0.6%19.3K12.2M-461.1K0.666.80N/AN/A108,50071,4706,868,4005,330,920