NFLX Options History — August 2007 In August 2007, NFLX traded between $0.24 and $0.26. ATM implied volatility averaged 48.7%, placing in the 45.4% IV rank vs the trailing year. The 30-day expected move averaged 13.0%. IV traded below realized volatility by 4.3% (HV 20d: 53.0%). Max pain ranged from $0.25 to $0.29. Net GEX was positive for 3 of 23 trading days. Term structure was in contango for 21 of 23 days. Put/call ratio averaged 1.22.
Notable Days 2007-08-20 : Highest Volume — 642,740 contracts2007-08-27 : Largest IV spike — 17.3% change2007-08-09 : Highest IV Rank — 78.9%2007-08-03 : Largest Expected Move — 17.7%Monthly Statistics Metric Avg Min Max Open Close Price $0.25 $0.24 $0.26 $0.25 $0.25 Max Pain $0.28 $0.25 $0.29 $0.25 $0.29 ATM IV 48.7% 33.0% 62.7% 54.6% 38.0% Expected Move 13.0% 9.5% 17.7% 15.6% 10.9% HV 20d 53.0% 31.2% 67.7% 63.2% 34.4% HV 60d 53.0% 51.6% 54.3% 51.8% 51.6% IV Rank 45.4% 7.6% 78.9% 59.4% 19.6% IV Percentile 66.7% 8.6% 91.4% 87.6% 46.1% Term Structure 3.7% -9.8% 7.1% 1.2% 3.6% VWIV 46.0% 32.5% 59.4% 55.3% 38.2% Skew 25d 3.7% -9.6% 10.7% -1.9% 3.0% Skew 10d 5.9% -23.3% 16.5% 2.4% 5.3% Call IV 25d 46.5% 32.1% 65.4% 56.8% 43.0% Put IV 25d 50.2% 39.6% 56.1% 55.0% 46.0% Bid-Ask Spread % 14.12 7.55 25.96 11.54 11.00 Gamma HHI 0.18 0.13 0.25 0.19 0.16 Net GEX -261.8K -466.0K 32.5K -183.9K -271.9K Net DEX 36.0M 26.2M 46.4M 33.7M 31.5M Net VEX -354.5K -384.8K -330.8K -379.6K -337.1K Div Yield 0.0% 0.0% 0.0% 0.0% 0.0% P/C Ratio 1.22 0.16 6.16 1.01 6.16 Total Volume 275,206.522 105,350 642,740 196,000 143,290 Total OI 10,450,296.957 9,324,630 11,278,960 10,540,460 9,930,200
Daily Data (23 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 2007-08-01 $0.25 $0.25 54.6% 15.6% 63.2% 59.4% 55.3% -1.9% 1.2% -183.9K 33.7M -379.6K 1.01 11.54 N/A N/A 97,300 98,700 5,526,990 5,013,470 2007-08-02 $0.24 $0.25 55.3% 15.9% 63.1% 61.2% 55.6% -2.3% -3.1% -201.9K 35.4M -377.6K 2.05 10.55 N/A N/A 161,700 331,940 5,550,650 5,067,160 2007-08-03 $0.24 $0.25 61.7% 17.7% 62.2% 76.4% 59.4% -9.6% -9.8% -234.6K 41.9M -363.0K 1.11 10.24 N/A N/A 178,500 198,660 5,637,590 5,251,680 2007-08-06 $0.24 $0.29 60.9% 14.4% 63.3% 74.6% 49.6% 3.8% 3.7% -137.8K 39.4M -363.2K 1.25 20.10 N/A N/A 166,180 207,690 5,725,090 5,215,140 2007-08-07 $0.25 $0.29 59.9% 13.7% 64.2% 72.2% 48.4% 5.5% 4.7% -87.2K 34.7M -369.2K 0.85 18.82 N/A N/A 95,270 81,270 5,775,560 5,205,620 2007-08-08 $0.26 $0.29 62.1% 13.4% 66.0% 77.5% 47.3% 5.0% 4.8% 32.5K 26.2M -384.4K 0.37 8.16 N/A N/A 197,050 73,220 5,800,270 5,224,100 2007-08-09 $0.25 $0.29 62.7% 14.1% 65.9% 78.9% 48.9% 4.6% 3.5% 15.7K 28.8M -376.0K 0.80 21.18 N/A N/A 133,420 106,260 5,825,120 5,235,790 2007-08-10 $0.26 $0.29 57.7% 14.1% 66.0% 67.0% 50.1% 5.3% 3.4% 4.7K 27.0M -384.8K 1.47 25.96 N/A N/A 86,030 126,210 5,824,070 5,275,830 2007-08-13 $0.25 $0.29 60.5% 14.5% 66.5% 73.5% 51.2% 2.7% 4.0% -127.5K 35.9M -361.2K 1.51 17.75 N/A N/A 63,350 95,760 5,853,540 5,321,540 2007-08-14 $0.25 $0.29 54.4% 14.8% 66.5% 59.0% 51.5% 5.4% 3.9% -191.1K 36.6M -357.2K 0.60 17.62 N/A N/A 307,440 184,450 5,863,340 5,372,430 2007-08-15 $0.25 $0.29 57.0% 14.3% 66.5% 65.3% 50.5% 3.3% 5.5% -336.1K 37.8M -364.2K 0.72 18.36 N/A N/A 85,960 61,670 5,781,510 5,462,030 2007-08-16 $0.24 $0.29 49.5% 14.2% 67.1% 47.3% 50.1% 5.3% 6.4% -386.9K 44.4M -348.2K 1.73 15.58 N/A N/A 78,820 136,430 5,784,030 5,494,930 2007-08-17 $0.25 $0.29 47.0% 13.5% 67.7% 41.3% 47.6% 7.7% 6.9% -426.4K 46.4M -347.7K 1.44 17.27 N/A N/A 200,970 288,750 5,777,100 5,481,980 2007-08-20 $0.25 $0.29 41.1% 11.8% 50.3% 27.0% 41.8% 3.1% 3.2% -466.0K 38.9M -336.0K 0.38 7.55 N/A N/A 464,450 178,290 4,380,320 4,944,310 2007-08-21 $0.25 $0.29 36.4% 10.4% 42.5% 15.8% 39.3% 3.9% 6.4% -452.1K 38.2M -338.0K 0.67 10.07 N/A N/A 62,930 42,420 4,562,390 5,026,910 2007-08-22 $0.25 $0.29 35.7% 10.2% 40.6% 14.2% 36.0% 1.9% 6.9% -440.9K 37.4M -342.6K 2.22 10.07 N/A N/A 63,350 140,840 4,588,990 5,027,610 2007-08-23 $0.25 $0.29 34.3% 9.8% 32.9% 10.8% 35.3% 4.0% 7.1% -444.9K 38.3M -334.2K 0.64 7.59 N/A N/A 131,250 83,650 4,592,000 4,999,190 2007-08-24 $0.25 $0.29 33.0% 9.5% 31.2% 7.6% 32.5% 8.4% 6.5% -387.7K 32.0M -347.1K 1.14 7.94 N/A N/A 100,660 114,730 4,655,490 4,994,150 2007-08-27 $0.24 $0.29 38.7% 11.1% 33.7% 21.3% 39.2% 5.1% 3.4% -373.5K 37.8M -333.8K 0.46 9.89 N/A N/A 113,120 52,290 4,712,610 5,067,440 2007-08-28 $0.24 $0.29 39.5% 11.3% 33.7% 23.3% 42.6% 5.1% 3.8% -340.3K 38.3M -330.8K 0.16 17.01 N/A N/A 440,020 70,490 4,748,520 5,020,120 2007-08-29 $0.25 $0.29 40.5% 11.6% 35.4% 25.7% 41.5% 10.7% 5.8% -283.8K 32.1M -342.7K 0.78 15.78 N/A N/A 88,200 68,670 4,836,370 5,024,740 2007-08-30 $0.25 $0.29 40.5% 11.6% 36.0% 25.7% 46.1% 5.9% 3.0% -299.3K 35.1M -334.6K 0.52 14.65 N/A N/A 84,210 43,890 4,851,280 5,047,630 2007-08-31 $0.25 $0.29 38.0% 10.9% 34.4% 19.6% 38.2% 3.0% 3.6% -271.9K 31.5M -337.1K 6.16 11.00 N/A N/A 20,020 123,270 4,891,180 5,039,020
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