NFLX Options History — June 2007

In June 2007, NFLX traded between $0.27 and $0.34. ATM implied volatility averaged 47.7%. The 30-day expected move averaged 12.8%. IV traded above realized volatility by 0.2% (HV 20d: 47.5%). Max pain ranged from $0.29 to $0.32. Net GEX was positive for 8 of 21 trading days. Term structure was in contango for 17 of 21 days. Put/call ratio averaged 1.03.

Notable Days

  • 2007-06-06: Highest Volume — 4,619,650 contracts
  • 2007-06-06: Largest IV spike — 88.8% change
  • 2007-06-07: Largest Expected Move — 17.2%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$0.29$0.27$0.34$0.31$0.28
Max Pain$0.31$0.29$0.32$0.32$0.29
ATM IV47.7%34.3%71.5%34.3%42.3%
Expected Move12.8%9.8%17.2%9.8%12.1%
HV 20d47.5%21.7%61.3%21.8%61.3%
HV 60d39.4%32.3%44.1%32.3%43.7%
Term Structure6.0%-6.3%13.0%2.1%11.0%
VWIV46.7%35.3%60.0%35.3%42.5%
Skew 25d-3.8%-10.0%1.7%1.7%-4.0%
Skew 10d-9.0%-19.4%7.6%4.6%-10.3%
Call IV 25d48.6%35.9%63.7%36.1%45.3%
Put IV 25d44.8%37.1%57.5%37.8%41.3%
Bid-Ask Spread %13.068.4517.4911.9813.41
Gamma HHI0.240.180.420.210.20
Net GEX136.5K-583.9K2.1M128.3K-207.0K
Net DEX14.1M-55.9M46.1M11.8M25.5M
Net VEX-442.6K-513.0K-374.4K-378.6K-418.8K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.030.206.976.970.30
Total Volume867,66069,1604,619,650216,44085,960
Total OI10,491,123.3338,944,74013,405,4208,944,74010,049,340

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2007-06-01$0.31$0.3234.3%9.8%21.8%0.0%35.3%1.7%2.1%128.3K11.8M-378.6K6.9711.98N/AN/A27,160189,2804,644,5004,300,240
2007-06-04$0.31$0.3237.4%10.3%21.8%0.0%36.6%1.3%6.8%54.3K14.5M-379.4K0.8115.65N/AN/A38,22030,9404,645,0604,378,220
2007-06-05$0.31$0.3234.7%10.1%21.7%0.0%35.8%1.3%7.1%14.7K16.5M-374.4K1.1415.24N/AN/A35,77040,6004,659,7604,385,500
2007-06-06$0.32$0.3265.4%15.8%29.6%0.0%56.2%-4.5%-1.1%639.8K-14.6M-424.7K0.2012.11N/AN/A3,846,290773,3604,673,6904,379,900
2007-06-07$0.34$0.3270.4%17.2%35.7%0.0%60.0%-6.2%-6.3%1.9M-55.9M-508.3K0.4112.97N/AN/A2,187,570887,1806,059,4804,800,740
2007-06-08$0.33$0.3252.1%14.4%36.5%0.0%52.3%-6.1%-1.3%2.1M-45.5M-513.0K0.4010.06N/AN/A655,900262,9206,703,2004,996,390
2007-06-11$0.31$0.3252.6%13.4%44.0%0.0%47.7%0.9%-1.6%929.9K3.8M-467.2K0.5416.47N/AN/A619,780336,4906,941,3405,129,110
2007-06-12$0.29$0.3271.5%14.2%54.0%0.0%51.1%-3.5%0.4%-222.7K41.7M-409.4K1.459.64N/AN/A670,110974,8906,808,3405,194,210
2007-06-13$0.28$0.3259.6%14.1%54.9%0.0%51.4%-4.9%2.3%-583.9K46.1M-402.9K1.0015.24N/AN/A1,039,9901,040,6207,017,0805,380,970
2007-06-14$0.27$0.3248.6%13.9%54.9%0.0%49.5%-6.5%2.0%-320.5K41.3M-440.0K0.9315.09N/AN/A312,760290,2907,659,2605,620,090
2007-06-15$0.28$0.3249.2%14.1%56.1%0.0%54.7%-3.7%1.6%-125.0K34.8M-471.9K0.9817.37N/AN/A354,200347,9707,773,9205,631,500
2007-06-18$0.29$0.3242.2%12.1%56.5%0.0%44.9%-5.7%10.9%-222.0K18.9M-467.6K1.5712.08N/AN/A227,850358,6804,627,5604,781,700
2007-06-19$0.28$0.3240.4%11.6%55.4%0.0%42.3%-3.1%13.0%-262.6K21.1M-465.5K0.8314.76N/AN/A133,000109,9004,717,7204,882,500
2007-06-20$0.28$0.3240.1%11.5%54.5%0.0%41.5%-4.9%12.7%-367.9K26.8M-452.8K0.4411.97N/AN/A178,50078,4004,786,7404,934,650
2007-06-21$0.29$0.3243.3%12.4%55.3%0.0%47.6%-5.7%11.4%-243.2K20.4M-464.4K0.5117.49N/AN/A658,350332,6404,798,2204,929,050
2007-06-22$0.28$0.3245.7%13.1%54.8%0.0%46.7%-6.6%8.4%-179.5K22.6M-454.3K0.509.49N/AN/A116,20057,5405,068,0704,862,620
2007-06-25$0.28$0.3243.4%12.4%54.8%0.0%44.0%-10.0%12.7%-150.3K22.0M-444.9K0.4811.44N/AN/A123,13059,2905,142,9004,816,350
2007-06-26$0.28$0.2944.0%12.6%54.1%0.0%50.8%-4.0%10.7%-146.2K22.8M-441.8K0.278.45N/AN/A57,47015,6805,173,2104,834,410
2007-06-27$0.30$0.2942.5%12.2%59.1%0.0%46.4%-4.9%10.7%182.7K3.6M-471.7K0.4912.54N/AN/A354,340173,6705,199,9504,823,350
2007-06-28$0.28$0.2941.9%12.0%61.1%0.0%42.7%-1.8%11.5%-40.2K17.5M-443.0K1.4910.83N/AN/A55,37082,6005,301,7304,801,020
2007-06-29$0.28$0.2942.3%12.1%61.3%0.0%42.5%-4.0%11.0%-207.0K25.5M-418.8K0.3013.41N/AN/A66,22019,7405,262,0404,787,300