NFLX Options History — April 2007

In April 2007, NFLX traded between $0.31 and $0.36. ATM implied volatility averaged 37.2%. The 30-day expected move averaged 11.2%. IV traded above realized volatility by 1.7% (HV 20d: 35.6%). Max pain ranged from $0.32 to $0.36. Net GEX was positive for 19 of 20 trading days. Term structure was in contango for 12 of 20 days. Put/call ratio averaged 2.22.

Notable Days

  • 2007-04-18: Highest Volume — 2,129,050 contracts
  • 2007-04-12: Largest IV spike — 37.1% change
  • 2007-04-11: Largest Expected Move — 14.1%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$0.33$0.31$0.36$0.34$0.32
Max Pain$0.35$0.32$0.36$0.32$0.36
ATM IV37.2%32.2%49.0%35.6%33.8%
Expected Move11.2%9.2%14.1%10.2%9.7%
HV 20d35.6%28.0%44.1%29.5%43.3%
HV 60d35.8%32.6%38.3%35.9%37.3%
Term Structure1.8%-5.6%15.6%15.6%0.4%
VWIV40.3%33.2%52.8%35.0%34.0%
Skew 25d3.7%0.7%7.6%3.1%0.7%
Skew 10d5.9%-5.9%15.0%15.0%-0.0%
Call IV 25d39.5%31.2%48.9%34.8%37.0%
Put IV 25d43.1%36.3%54.4%37.8%37.7%
Bid-Ask Spread %10.574.7615.346.3614.87
Gamma HHI0.330.230.420.310.31
Net GEX535.5K-221.3K1.1M447.7K285.3K
Net DEX-13.2M-46.0M27.6M-20.3M5.3M
Net VEX-450.2K-493.6K-396.3K-464.1K-422.1K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio2.220.1313.861.564.98
Total Volume351,39346,9702,129,05082,320107,940
Total OI8,659,8547,721,2109,904,4407,721,2109,152,780

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2007-04-02$0.34$0.3235.6%10.2%29.5%0.0%35.0%3.1%15.6%447.7K-20.3M-464.1K1.566.36N/AN/A32,20050,1203,994,4803,726,730
2007-04-03$0.34$0.3233.8%9.7%29.2%0.0%35.5%1.9%14.3%565.8K-24.7M-465.5K0.136.14N/AN/A403,34051,7303,997,0703,756,200
2007-04-04$0.35$0.3232.9%9.4%29.9%0.0%33.6%2.0%15.3%1.0M-42.0M-493.6K0.6210.92N/AN/A98,84061,2504,327,1203,778,880
2007-04-05$0.35$0.3235.1%10.1%30.7%0.0%35.4%7.6%14.0%897.2K-36.3M-487.6K0.559.54N/AN/A59,71033,1104,328,5203,812,270
2007-04-09$0.35$0.3237.9%13.7%30.2%0.0%48.0%5.1%-2.9%1.0M-38.3M-477.9K4.739.89N/AN/A59,430280,9804,339,7203,815,700
2007-04-10$0.36$0.3636.0%13.8%30.5%0.0%49.9%3.2%-3.4%1.0M-46.0M-486.6K0.6611.94N/AN/A126,91083,4404,359,2504,007,850
2007-04-11$0.35$0.3635.3%14.1%28.7%0.0%52.8%5.3%-4.4%979.6K-40.2M-480.2K0.5113.06N/AN/A31,15015,8204,325,5804,039,070
2007-04-12$0.35$0.3648.4%13.9%28.1%0.0%50.4%6.1%-4.7%1.1M-39.8M-473.7K1.5714.60N/AN/A41,72065,6604,325,8604,014,990
2007-04-13$0.35$0.3647.4%13.6%28.2%0.0%47.6%5.4%-4.6%1.1M-39.6M-470.9K13.8615.34N/AN/A13,300184,3104,328,8704,047,680
2007-04-16$0.35$0.3649.0%14.0%28.0%0.0%50.4%5.7%-4.5%1.1M-36.0M-469.9K0.4615.11N/AN/A51,10023,3804,333,8404,197,410
2007-04-17$0.34$0.3645.5%13.0%29.8%0.0%47.5%3.0%-5.6%651.1K-24.1M-451.2K0.3114.87N/AN/A381,570119,5604,345,0404,196,640
2007-04-18$0.31$0.3637.6%10.8%43.9%0.0%38.7%4.0%0.4%-221.3K20.1M-396.3K1.178.04N/AN/A980,0701,148,9804,606,8404,295,410
2007-04-19$0.31$0.3635.0%10.0%42.7%0.0%36.1%5.3%1.5%57.6K27.6M-416.5K1.9012.91N/AN/A242,900461,7205,142,6204,761,820
2007-04-20$0.32$0.3633.4%9.6%44.1%0.0%34.7%3.1%1.7%96816.1M-439.3K4.409.27N/AN/A86,800382,3404,988,2704,850,160
2007-04-23$0.31$0.3633.7%9.7%43.0%0.0%35.3%4.1%0.8%27.4K13.4M-416.0K0.524.76N/AN/A246,680127,6804,491,7604,240,390
2007-04-24$0.31$0.3634.2%9.8%42.6%0.0%34.5%1.5%0.4%85.0K15.0M-414.0K3.437.54N/AN/A60,620208,0404,665,0104,262,020
2007-04-25$0.31$0.3634.2%9.8%42.1%0.0%34.8%1.6%1.7%50.8K16.1M-415.0K1.967.57N/AN/A29,47057,7504,684,3304,334,890
2007-04-26$0.32$0.3634.0%9.8%43.4%0.0%38.9%0.9%-0.3%226.6K5.9M-432.2K0.348.76N/AN/A397,040135,2404,693,2904,335,590
2007-04-27$0.32$0.3632.2%9.2%43.4%0.0%33.2%4.2%1.2%383.5K4.5M-432.3K0.739.98N/AN/A49,56036,4004,927,6504,365,480
2007-04-30$0.32$0.3633.8%9.7%43.3%0.0%34.0%0.7%0.4%285.3K5.3M-422.1K4.9814.87N/AN/A18,06089,8804,784,7804,368,000