NFLX Options History — July 2007

In July 2007, NFLX traded between $0.23 and $0.29. ATM implied volatility averaged 49.0%, placing in the 47.1% IV rank vs the trailing year. The 30-day expected move averaged 14.7%. IV traded below realized volatility by 1.4% (HV 20d: 50.4%). Max pain ranged from $0.29 to $0.29. Net GEX was positive for 9 of 21 trading days. Term structure was in contango for 9 of 21 days. Put/call ratio averaged 1.23.

Notable Days

2007-07-23: Highest Volume — 2,670,710 contracts
2007-07-12: Largest IV spike — 36.5% change
2007-07-23: Highest IV Rank — 95.5%
2007-07-23: Largest Expected Move — 20.0%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$0.27	$0.23	$0.29	$0.28	$0.25
Max Pain	$0.29	$0.29	$0.29	$0.29	$0.29
ATM IV	49.0%	37.9%	69.6%	45.2%	51.5%
Expected Move	14.7%	12.0%	20.0%	13.0%	14.8%
HV 20d	50.4%	33.7%	63.8%	61.4%	63.7%
HV 60d	44.4%	38.5%	51.8%	43.7%	51.8%
IV Rank	47.1%	19.3%	95.5%	34.5%	52.1%
IV Percentile	78.9%	55.4%	98.6%	77.0%	84.0%
Term Structure	-0.7%	-13.0%	11.8%	9.4%	1.1%
VWIV	52.0%	41.0%	69.9%	47.1%	55.3%
Skew 25d	0.7%	-9.4%	10.6%	-5.0%	-9.4%
Skew 10d	0.9%	-16.2%	18.9%	-12.6%	-5.1%
Call IV 25d	52.9%	44.3%	66.6%	48.3%	58.2%
Put IV 25d	53.7%	41.8%	77.3%	43.3%	48.8%
Bid-Ask Spread %	12.07	5.58	22.58	10.33	8.10
Gamma HHI	0.20	0.15	0.32	0.19	0.23
Net GEX	-27.4K	-410.0K	334.0K	-166.8K	-216.1K
Net DEX	21.5M	-79.7K	52.4M	24.1M	34.2M
Net VEX	-397.2K	-446.3K	-222.3K	-419.7K	-371.4K
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	1.23	0.17	6.11	0.44	0.69
Total Volume	481,960	115,780	2,670,710	115,780	500,360
Total OI	10,342,823.333	7,370,860	11,372,340	10,077,830	10,374,070

Daily Data (21 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
2007-07-02	$0.28	$0.29	45.2%	13.0%	61.4%	0.0%	47.1%	-5.0%	9.4%	-166.8K	24.1M	-419.7K	0.44	10.33	N/A	N/A	80,500	35,280	5,286,120	4,791,710
2007-07-03	$0.28	$0.29	44.5%	12.7%	61.8%	0.0%	45.1%	-1.9%	10.8%	-53.7K	18.7M	-426.7K	0.17	12.51	N/A	N/A	108,570	18,340	5,316,290	4,808,160
2007-07-05	$0.28	$0.29	44.2%	12.7%	57.8%	34.5%	44.3%	-6.7%	11.8%	-13.6K	17.9M	-422.2K	0.54	6.61	N/A	N/A	100,100	53,900	5,364,170	4,813,060
2007-07-06	$0.29	$0.29	42.0%	16.1%	54.4%	29.2%	56.4%	-0.5%	-6.3%	178.4K	8.3M	-441.4K	0.38	11.20	N/A	N/A	181,020	68,390	5,396,300	4,817,470
2007-07-09	$0.29	$0.29	40.9%	15.1%	54.3%	26.6%	52.5%	-0.4%	-4.1%	153.9K	7.6M	-439.0K	0.22	14.94	N/A	N/A	346,150	76,020	5,497,730	4,858,280
2007-07-10	$0.29	$0.29	39.5%	14.0%	49.8%	23.2%	48.9%	4.7%	-1.2%	167.6K	12.2M	-427.6K	0.20	10.20	N/A	N/A	360,010	71,470	5,756,660	4,842,600
2007-07-11	$0.29	$0.29	37.9%	14.2%	38.7%	19.3%	50.1%	4.0%	-2.2%	219.5K	12.0M	-429.5K	1.65	9.25	N/A	N/A	72,660	120,120	5,968,200	4,863,390
2007-07-12	$0.29	$0.29	51.7%	14.8%	36.7%	52.5%	52.5%	4.5%	-2.8%	235.4K	10.8M	-433.9K	3.26	9.73	N/A	N/A	51,380	167,440	6,008,520	4,927,020
2007-07-13	$0.29	$0.29	52.3%	15.0%	36.3%	54.0%	53.6%	2.7%	-3.8%	159.0K	12.5M	-446.3K	0.38	9.04	N/A	N/A	213,220	80,220	6,021,190	5,099,080
2007-07-16	$0.29	$0.29	54.2%	15.5%	35.1%	58.6%	57.8%	5.6%	-4.2%	334.0K	-79.7K	-222.3K	1.74	18.36	N/A	N/A	70,000	121,590	4,559,100	2,811,760
2007-07-17	$0.29	$0.29	56.5%	16.2%	34.8%	63.9%	55.9%	2.8%	-5.2%	69.8K	10.0M	-442.3K	0.35	22.58	N/A	N/A	103,670	36,330	6,125,910	5,162,150
2007-07-18	$0.29	$0.29	56.9%	16.3%	34.8%	65.0%	57.3%	1.7%	-5.6%	46.3K	10.9M	-438.9K	6.11	15.94	N/A	N/A	48,020	293,230	6,141,590	5,164,180
2007-07-19	$0.28	$0.29	57.6%	16.5%	34.2%	66.7%	57.8%	3.0%	-5.6%	-60.3K	14.9M	-434.9K	1.13	20.45	N/A	N/A	80,010	90,230	6,122,830	5,226,340
2007-07-20	$0.28	$0.29	62.7%	18.0%	33.7%	79.0%	63.8%	-3.1%	-9.3%	-33.5K	26.1M	-425.4K	1.64	19.00	N/A	N/A	234,290	383,600	6,131,930	5,240,410
2007-07-23	$0.25	$0.29	69.6%	20.0%	56.3%	95.5%	69.9%	10.6%	-13.0%	-156.8K	36.4M	-353.7K	1.17	10.95	N/A	N/A	1,230,950	1,439,760	4,446,680	4,390,050
2007-07-24	$0.23	$0.29	45.6%	13.1%	60.9%	37.9%	45.3%	0.6%	1.8%	-410.0K	52.4M	-309.7K	1.07	7.89	N/A	N/A	701,890	753,200	5,142,550	4,918,620
2007-07-25	$0.24	$0.29	43.5%	12.5%	63.3%	32.9%	46.0%	3.4%	1.3%	-320.8K	42.5M	-335.2K	0.81	5.58	N/A	N/A	235,340	190,820	5,208,840	4,821,740
2007-07-26	$0.25	$0.29	43.1%	12.3%	63.8%	31.8%	43.8%	5.3%	3.5%	-253.3K	31.0M	-381.7K	0.98	13.12	N/A	N/A	340,620	332,290	5,270,930	4,971,680
2007-07-27	$0.24	$0.29	41.9%	12.0%	63.5%	29.0%	41.0%	-5.3%	6.4%	-237.1K	35.5M	-367.1K	1.34	9.82	N/A	N/A	143,150	191,590	5,336,450	4,897,270
2007-07-30	$0.25	$0.29	47.9%	13.7%	63.8%	43.5%	48.0%	-1.5%	1.7%	-218.1K	33.4M	-372.8K	1.48	7.94	N/A	N/A	159,180	236,250	5,378,240	4,920,020
2007-07-31	$0.25	$0.29	51.5%	14.8%	63.7%	52.1%	55.3%	-9.4%	1.1%	-216.1K	34.2M	-371.4K	0.69	8.10	N/A	N/A	295,890	204,470	5,396,650	4,977,420