NFLX Options History — March 2007 In March 2007, NFLX traded between $0.29 and $0.34. ATM implied volatility averaged 38.1%. The 30-day expected move averaged 10.4%. IV traded above realized volatility by 0.9% (HV 20d: 37.2%). Max pain ranged from $0.32 to $0.32. Net GEX was positive for 12 of 22 trading days. Term structure was in contango for 20 of 22 days. Put/call ratio averaged 1.16.
Notable Days 2007-03-05 : Highest Volume — 503,510 contracts2007-03-05 : Largest IV spike — 32.8% change2007-03-05 : Largest Expected Move — 11.9%Monthly Statistics Metric Avg Min Max Open Close Price $0.32 $0.29 $0.34 $0.33 $0.33 Max Pain $0.32 $0.32 $0.32 $0.32 $0.32 ATM IV 38.1% 30.6% 49.2% 38.4% 34.2% Expected Move 10.4% 8.8% 11.9% 11.0% 9.8% HV 20d 37.2% 31.8% 41.5% 31.8% 36.7% HV 60d 37.6% 36.7% 38.5% 37.7% 37.1% Term Structure 10.0% -2.1% 15.1% -2.1% 15.1% VWIV 36.4% 31.1% 41.8% 41.8% 34.4% Skew 25d 4.1% 1.3% 13.9% 6.8% 1.7% Skew 10d 10.4% 1.4% 22.9% 15.9% 10.9% Call IV 25d 34.9% 27.0% 38.9% 38.5% 35.3% Put IV 25d 38.9% 32.7% 45.3% 45.3% 36.9% Bid-Ask Spread % 9.85 4.93 17.62 9.59 5.94 Gamma HHI 0.26 0.17 0.35 0.17 0.30 Net GEX 90.7K -545.1K 552.0K 200.5K 386.9K Net DEX 5.8M -22.5M 34.3M -2.4M -16.0M Net VEX -427.7K -465.9K -388.5K -445.4K -464.0K Div Yield 0.0% 0.0% 0.0% 0.0% 0.0% P/C Ratio 1.16 0.13 3.46 1.54 1.15 Total Volume 251,707.273 54,390 503,510 336,490 96,740 Total OI 8,377,501.364 6,604,220 9,633,540 8,921,850 7,705,250
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 2007-03-01 $0.33 $0.32 38.4% 11.0% 31.8% 0.0% 41.8% 6.8% -2.1% 200.5K -2.4M -445.4K 1.54 9.59 N/A N/A 132,650 203,840 4,732,630 4,189,220 2007-03-02 $0.32 $0.32 37.0% 10.6% 32.9% 0.0% 38.1% 13.9% -0.5% 127.0K 8.2M -438.7K 0.55 11.66 N/A N/A 128,940 71,190 4,774,350 4,290,300 2007-03-05 $0.30 $0.32 49.2% 11.9% 38.3% 0.0% 40.1% 4.6% 6.6% -159.9K 28.0M -408.9K 0.57 10.60 N/A N/A 320,600 182,910 4,834,410 4,308,780 2007-03-06 $0.31 $0.32 41.5% 10.9% 39.0% 0.0% 39.3% 3.9% 8.5% 551 19.7M -429.4K 0.31 13.29 N/A N/A 263,760 82,950 5,042,310 4,318,580 2007-03-07 $0.30 $0.32 47.8% 11.7% 39.0% 0.0% 39.5% 4.4% 7.1% -64.2K 24.1M -420.5K 0.13 10.49 N/A N/A 328,370 41,440 5,127,430 4,342,170 2007-03-08 $0.30 $0.32 43.9% 11.6% 37.6% 0.0% 40.0% 4.0% 7.7% -61.7K 23.6M -417.1K 0.96 8.42 N/A N/A 27,790 26,600 4,973,360 4,341,400 2007-03-09 $0.30 $0.32 44.2% 11.4% 34.5% 0.0% 37.7% 3.8% 7.6% -196.7K 26.8M -401.1K 0.57 12.84 N/A N/A 99,050 56,000 4,977,560 4,321,170 2007-03-12 $0.30 $0.32 41.6% 11.7% 33.6% 0.0% 39.1% 5.8% 7.0% -186.2K 27.4M -390.5K 0.93 17.62 N/A N/A 130,060 120,680 5,039,300 4,333,770 2007-03-13 $0.29 $0.32 46.0% 10.7% 34.3% 0.0% 37.5% 2.1% 10.3% -545.1K 34.3M -388.5K 3.46 9.31 N/A N/A 74,620 258,300 5,113,290 4,388,370 2007-03-14 $0.30 $0.32 42.0% 11.7% 36.2% 0.0% 40.3% 3.3% 7.3% -179.4K 24.7M -397.4K 2.38 10.40 N/A N/A 84,350 200,620 5,134,150 4,399,430 2007-03-15 $0.30 $0.32 38.6% 11.1% 36.1% 0.0% 37.7% 4.0% 8.4% -58.1K 24.8M -395.0K 0.61 14.60 N/A N/A 86,030 52,150 5,173,560 4,439,400 2007-03-16 $0.30 $0.32 37.5% 10.7% 36.1% 0.0% 36.7% 4.5% 9.4% -72.6K 26.3M -391.4K 2.31 8.42 N/A N/A 81,060 187,600 5,173,910 4,459,630 2007-03-19 $0.31 $0.32 31.1% 8.9% 36.1% 0.0% 32.4% 2.8% 13.2% -129.2K 6.6M -394.4K 2.20 6.57 N/A N/A 139,090 306,530 3,412,430 3,191,790 2007-03-20 $0.32 $0.32 30.6% 8.8% 39.6% 0.0% 31.4% 2.8% 13.6% 22.9K -3.5M -431.7K 0.87 12.32 N/A N/A 185,640 161,700 3,487,330 3,405,850 2007-03-21 $0.33 $0.32 32.0% 9.2% 40.7% 0.0% 32.2% 4.0% 13.3% 238.8K -11.6M -444.5K 0.55 9.22 N/A N/A 99,820 55,160 3,571,190 3,449,600 2007-03-22 $0.33 $0.32 30.9% 8.9% 40.3% 0.0% 31.1% 1.3% 14.5% 261.8K -12.3M -444.8K 0.88 6.39 N/A N/A 30,870 27,230 3,609,200 3,471,020 2007-03-23 $0.34 $0.32 33.3% 9.5% 41.4% 0.0% 32.9% 1.4% 14.5% 429.9K -21.2M -457.3K 0.14 4.93 N/A N/A 355,810 51,240 3,613,470 3,477,250 2007-03-26 $0.33 $0.32 33.7% 9.7% 41.5% 0.0% 36.1% 4.9% 15.0% 445.3K -17.4M -458.8K 0.96 11.02 N/A N/A 84,000 80,850 3,861,130 3,495,870 2007-03-27 $0.34 $0.32 34.7% 10.0% 38.0% 0.0% 33.6% 2.6% 14.2% 552.0K -22.5M -464.9K 0.24 6.69 N/A N/A 111,020 26,250 3,885,070 3,499,300 2007-03-28 $0.33 $0.32 34.3% 9.8% 37.8% 0.0% 33.1% 2.9% 14.2% 500.5K -19.5M -458.9K 2.43 8.68 N/A N/A 54,460 132,510 3,906,210 3,515,260 2007-03-29 $0.33 $0.32 34.9% 10.0% 37.5% 0.0% 34.9% 3.8% 14.9% 482.7K -20.3M -465.9K 1.74 7.76 N/A N/A 108,360 188,720 3,937,220 3,582,110 2007-03-30 $0.33 $0.32 34.2% 9.8% 36.7% 0.0% 34.4% 1.7% 15.1% 386.9K -16.0M -464.0K 1.15 5.94 N/A N/A 44,940 51,800 3,999,030 3,706,220
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