NFLX Options History — May 2007

In May 2007, NFLX traded between $0.31 and $0.33. ATM implied volatility averaged 34.5%. The 30-day expected move averaged 10.0%. IV traded above realized volatility by 5.4% (HV 20d: 29.1%). Max pain ranged from $0.32 to $0.36. Net GEX was positive for 21 of 22 trading days. Term structure was in contango for 21 of 22 days. Put/call ratio averaged 1.88.

Notable Days

  • 2007-05-23: Highest Volume — 834,820 contracts
  • 2007-05-29: Largest IV spike — 9.2% change
  • 2007-05-07: Largest Expected Move — 10.7%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$0.32$0.31$0.33$0.32$0.31
Max Pain$0.32$0.32$0.36$0.36$0.32
ATM IV34.5%33.1%36.6%35.4%34.5%
Expected Move10.0%9.5%10.7%10.2%9.9%
HV 20d29.1%13.8%43.0%43.0%21.4%
HV 60d35.2%32.3%37.3%37.3%32.3%
Term Structure2.6%-0.7%4.7%-0.7%1.1%
VWIV35.9%33.3%38.9%35.5%34.5%
Skew 25d2.0%-0.8%5.3%5.3%0.6%
Skew 10d4.9%-6.6%16.7%7.4%3.2%
Call IV 25d36.7%34.4%40.9%37.0%37.8%
Put IV 25d38.7%36.8%42.3%42.3%38.4%
Bid-Ask Spread %8.224.1313.996.647.18
Gamma HHI0.280.210.410.300.23
Net GEX310.5K-11.9K1.0M257.6K288.9K
Net DEX3.8M-27.9M19.2M5.5M5.1M
Net VEX-400.5K-436.2K-363.2K-422.6K-391.5K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.880.136.550.312.05
Total Volume187,202.27332,830834,820115,43044,450
Total OI9,085,290.4557,806,8909,475,9009,143,5408,929,410

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2007-05-01$0.32$0.3635.4%10.2%43.0%0.0%35.5%5.3%-0.7%257.6K5.5M-422.6K0.316.64N/AN/A87,85027,5804,749,3604,394,180
2007-05-02$0.32$0.3234.2%9.8%42.6%0.0%34.9%-0.3%2.5%247.5K6.3M-421.2K2.2812.85N/AN/A173,250395,3604,768,9604,407,760
2007-05-03$0.32$0.3233.1%9.5%40.8%0.0%33.3%0.6%3.1%238.6K4.4M-436.2K0.354.13N/AN/A59,85021,1404,835,9504,545,170
2007-05-04$0.32$0.3233.1%10.3%40.7%0.0%36.7%2.7%3.4%175.9K7.7M-428.0K1.5413.99N/AN/A20,79031,9204,834,0604,546,500
2007-05-07$0.32$0.3234.8%10.7%40.6%0.0%38.9%2.9%2.0%210.5K6.8M-414.6K2.626.43N/AN/A41,230108,1504,848,9004,520,110
2007-05-08$0.32$0.3234.4%10.4%39.5%0.0%36.4%2.9%3.1%190.4K7.3M-418.3K0.185.65N/AN/A72,94012,8804,875,4304,564,630
2007-05-09$0.32$0.3234.2%10.2%39.5%0.0%34.7%3.7%3.2%175.1K9.0M-410.2K0.648.33N/AN/A51,38032,9004,907,8404,568,060
2007-05-10$0.31$0.3234.6%9.9%39.4%0.0%36.1%2.2%3.4%120.5K13.3M-400.6K3.046.25N/AN/A8,12024,7104,892,0904,561,480
2007-05-11$0.32$0.3234.5%9.9%39.6%0.0%36.0%2.1%4.2%132.3K11.4M-396.6K3.676.22N/AN/A20,72076,0904,889,8504,562,320
2007-05-14$0.31$0.3234.4%9.8%39.6%0.0%34.7%4.5%4.1%34.6K13.5M-388.7K4.988.92N/AN/A6,51032,4104,892,0904,555,740
2007-05-15$0.31$0.3234.2%9.8%39.1%0.0%34.6%3.4%4.7%-11.9K18.8M-368.8K0.556.85N/AN/A46,34025,3404,891,5304,523,400
2007-05-16$0.31$0.3234.6%9.9%17.1%0.0%35.9%3.1%4.5%111.4K19.2M-363.9K1.187.17N/AN/A30,87036,4004,897,2004,445,700
2007-05-17$0.31$0.3234.5%9.9%16.8%0.0%34.6%1.8%4.2%133.5K16.4M-363.2K3.057.65N/AN/A34,300104,5804,893,9104,387,740
2007-05-18$0.31$0.3234.5%9.9%13.8%0.0%35.3%2.4%4.5%115.0K15.3M-367.6K1.419.57N/AN/A51,38072,4504,915,4004,441,220
2007-05-21$0.32$0.3233.5%9.6%15.1%0.0%35.3%2.9%1.5%412.0K-9.6M-372.8K0.138.04N/AN/A389,55048,7904,080,7203,726,170
2007-05-22$0.33$0.3233.7%9.7%16.5%0.0%36.2%0.4%1.0%851.8K-23.0M-394.0K0.557.64N/AN/A319,760176,7504,408,3903,742,060
2007-05-23$0.33$0.3235.0%10.0%16.4%0.0%37.8%1.1%2.2%1.0M-27.9M-411.9K6.559.48N/AN/A110,600724,2204,587,6603,841,180
2007-05-24$0.32$0.3236.6%10.5%17.9%0.0%38.4%0.5%0.6%697.5K-11.6M-422.7K0.8513.01N/AN/A130,830110,8804,619,0204,147,010
2007-05-25$0.32$0.3233.5%9.6%17.9%0.0%37.9%-0.8%2.2%716.5K-10.8M-417.4K0.988.50N/AN/A57,61056,2104,649,3304,209,030
2007-05-29$0.31$0.3236.6%10.5%21.0%0.0%37.8%0.1%0.6%292.6K4.8M-397.0K2.069.32N/AN/A62,230128,0304,626,0204,250,820
2007-05-30$0.32$0.3234.7%10.0%21.3%0.0%35.1%1.6%1.8%404.9K1.1M-402.2K2.467.09N/AN/A14,77036,3304,649,4704,293,520
2007-05-31$0.31$0.3234.5%9.9%21.4%0.0%34.5%0.6%1.1%288.9K5.1M-391.5K2.057.18N/AN/A14,56029,8904,643,6604,285,750