NFLX Options History — February 2007

In February 2007, NFLX traded between $0.32 and $0.34. ATM implied volatility averaged 35.5%. The 30-day expected move averaged 10.5%. IV traded above realized volatility by 1.5% (HV 20d: 34.0%). Max pain ranged from $0.32 to $0.36. Net GEX was positive for 6 of 19 trading days. Term structure was in contango for 13 of 19 days. Put/call ratio averaged 0.77.

Notable Days

  • 2007-02-02: Highest Volume — 1,221,920 contracts
  • 2007-02-08: Largest IV spike — 21.4% change
  • 2007-02-20: Largest Expected Move — 11.3%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$0.33$0.32$0.34$0.32$0.32
Max Pain$0.32$0.32$0.36$0.36$0.32
ATM IV35.5%29.8%39.3%32.1%37.4%
Expected Move10.5%9.2%11.3%9.2%10.7%
HV 20d34.0%27.5%41.2%41.2%31.4%
Term Structure2.5%-2.6%6.1%1.3%-1.0%
VWIV36.8%32.8%39.8%32.8%37.5%
Skew 25d3.1%-5.3%5.5%-5.3%5.5%
Skew 10d5.8%-9.2%17.4%-9.2%9.4%
Call IV 25d36.1%33.0%42.4%33.6%37.6%
Put IV 25d39.1%28.3%43.6%28.3%43.1%
Bid-Ask Spread %8.024.8114.675.5914.67
Gamma HHI0.320.140.740.290.17
Net GEX-424.9K-2.8M369.6K-248.7K123.8K
Net DEX6.8M-18.4M27.1M18.9M4.3M
Net VEX-457.7K-492.9K-427.8K-450.3K-437.9K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.770.192.910.390.48
Total Volume333,653.158100,6601,221,920100,660166,180
Total OI11,094,473.1588,542,73012,822,74011,909,6608,952,020

Daily Data (19 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2007-02-01$0.32$0.3632.1%9.2%41.2%0.0%32.8%-5.3%1.3%-248.7K18.9M-450.3K0.395.59N/AN/A72,52028,1406,624,5905,285,070
2007-02-02$0.33$0.3230.4%9.9%38.5%0.0%34.7%3.6%5.7%-288.8K14.5M-444.9K0.6112.97N/AN/A759,430462,4906,628,9305,241,670
2007-02-05$0.32$0.3230.6%9.9%38.1%0.0%34.7%2.3%6.1%-516.1K21.1M-472.0K0.425.57N/AN/A92,33038,7807,040,6705,603,640
2007-02-06$0.32$0.3230.3%10.1%35.9%0.0%39.6%5.5%6.0%-634.2K27.1M-465.4K0.195.99N/AN/A525,140100,4507,049,6305,562,760
2007-02-07$0.33$0.3229.8%10.1%37.2%0.0%35.4%4.6%5.3%-608.6K15.5M-472.3K1.695.79N/AN/A87,500147,9106,896,1205,568,500
2007-02-08$0.34$0.3236.2%10.4%39.6%0.0%35.3%3.1%5.1%-38.0K-8.4M-492.9K0.3711.33N/AN/A329,560120,6806,898,7105,600,000
2007-02-09$0.33$0.3236.5%10.5%40.6%0.0%35.9%3.8%4.2%-487.3K7.9M-476.3K1.3113.33N/AN/A66,50087,0106,971,2305,598,530
2007-02-12$0.33$0.3238.2%10.9%33.1%0.0%37.8%4.1%3.6%-678.5K9.2M-466.0K0.216.29N/AN/A258,86054,6706,881,8405,612,390
2007-02-13$0.33$0.3237.3%10.7%33.4%0.0%37.2%2.6%4.0%-1.1M14.9M-454.9K0.376.47N/AN/A76,23027,9306,863,3605,609,940
2007-02-14$0.32$0.3238.2%11.0%33.7%0.0%38.2%3.5%2.9%-1.5M22.0M-449.7K0.968.19N/AN/A279,370268,0306,886,1105,581,590
2007-02-15$0.32$0.3236.5%10.5%32.4%0.0%39.2%4.6%4.0%-2.8M27.1M-449.4K0.968.27N/AN/A140,980135,5907,087,2205,711,020
2007-02-16$0.33$0.3237.5%10.7%32.5%0.0%37.5%2.7%3.7%-612.8K5.0M-453.7K0.407.12N/AN/A442,260178,4307,114,3805,708,360
2007-02-20$0.34$0.3239.3%11.3%31.8%0.0%38.8%4.4%-0.4%369.6K-15.3M-459.0K1.027.11N/AN/A153,930157,6404,553,9203,988,810
2007-02-21$0.33$0.3237.4%10.7%31.7%0.0%36.8%3.7%-0.7%335.1K-13.0M-458.6K2.918.37N/AN/A41,790121,5204,571,6304,094,090
2007-02-22$0.34$0.3236.3%10.4%28.2%0.0%36.1%0.7%0.3%331.6K-18.4M-467.3K0.254.81N/AN/A248,43061,5304,581,2904,178,440
2007-02-23$0.34$0.3236.3%10.4%27.5%0.0%36.3%4.2%-0.6%143.4K-11.5M-457.6K0.984.98N/AN/A62,58061,3904,511,2204,205,040
2007-02-26$0.33$0.3235.9%10.3%28.2%0.0%35.4%3.6%-0.2%144.6K-4.8M-439.6K0.665.54N/AN/A79,31052,4304,526,6904,227,440
2007-02-27$0.32$0.3239.1%11.2%31.2%0.0%39.8%1.2%-2.6%-56.0K12.3M-427.8K0.5010.04N/AN/A234,360117,5304,547,6904,230,450
2007-02-28$0.32$0.3237.4%10.7%31.4%0.0%37.5%5.5%-1.0%123.8K4.3M-437.9K0.4814.67N/AN/A112,21053,9704,715,2004,236,820