NFLX Options History — September 2007

In September 2007, NFLX traded between $0.25 and $0.31. ATM implied volatility averaged 45.4%, placing in the 37.4% IV rank vs the trailing year. The 30-day expected move averaged 12.9%. IV traded above realized volatility by 7.8% (HV 20d: 37.7%). Max pain ranged from $0.21 to $0.29. Net GEX was positive for 10 of 19 trading days. Term structure was in contango for 19 of 19 days. Put/call ratio averaged 0.81.

Notable Days

  • 2007-09-25: Highest Volume — 907,760 contracts
  • 2007-09-10: Largest IV spike — 14.8% change
  • 2007-09-10: Highest IV Rank — 51.8%
  • 2007-09-17: Largest Expected Move — 14.7%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$0.27$0.25$0.31$0.26$0.30
Max Pain$0.25$0.21$0.29$0.29$0.25
ATM IV45.4%40.3%51.4%40.5%42.8%
Expected Move12.9%11.6%14.7%11.6%12.3%
HV 20d37.7%32.6%47.7%35.5%47.7%
HV 60d48.4%46.1%52.2%52.2%50.5%
IV Rank37.4%25.2%51.8%25.6%31.1%
IV Percentile67.7%53.3%79.7%54.8%60.8%
Term Structure7.5%0.1%16.4%1.1%16.4%
VWIV45.8%40.9%52.9%40.9%42.5%
Skew 25d3.9%-1.2%9.1%4.8%1.8%
Skew 10d7.0%-8.5%21.2%7.0%14.0%
Call IV 25d44.7%40.6%48.4%40.9%42.7%
Put IV 25d48.6%44.3%55.1%45.7%44.5%
Bid-Ask Spread %10.226.6516.598.586.95
Gamma HHI0.170.120.330.140.12
Net GEX33.3K-262.2K428.4K-220.0K242.7K
Net DEX8.8M-33.2M33.4M23.3M-14.3M
Net VEX-349.7K-387.0K-325.8K-346.1K-372.1K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.810.103.050.320.38
Total Volume305,214.73772,940907,760291,900149,310
Total OI9,813,071.5797,590,31010,944,78010,002,5108,017,310

Daily Data (19 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2007-09-04$0.26$0.2940.5%11.6%35.5%25.6%40.9%4.8%1.1%-220.0K23.3M-346.1K0.328.58N/AN/A221,62070,2804,901,6805,100,830
2007-09-05$0.26$0.2940.3%11.6%35.2%25.2%44.3%2.9%2.6%-250.6K27.0M-336.4K3.058.48N/AN/A17,99054,9504,903,7805,103,140
2007-09-06$0.26$0.2942.1%12.1%32.9%29.6%42.5%9.1%0.1%-253.4K26.6M-332.1K0.7813.57N/AN/A128,380100,3104,914,9805,121,830
2007-09-07$0.26$0.2544.8%12.5%32.6%35.9%46.0%3.8%9.4%-234.5K26.5M-337.8K0.8016.59N/AN/A115,36092,3304,996,1105,192,040
2007-09-10$0.25$0.2551.4%13.7%35.0%51.8%49.0%4.8%6.5%-262.2K33.4M-331.1K1.307.83N/AN/A212,660275,8705,050,9905,215,630
2007-09-11$0.25$0.2550.1%13.9%33.8%48.6%49.1%5.8%7.3%-181.4K30.0M-337.0K0.5513.21N/AN/A144,27079,4505,196,8705,260,500
2007-09-12$0.25$0.2549.7%13.9%34.4%47.7%48.6%4.2%6.6%-155.4K32.4M-325.8K1.058.28N/AN/A89,32094,0105,285,4905,206,250
2007-09-13$0.25$0.2550.3%14.4%34.4%49.2%48.8%6.1%5.2%-147.4K32.6M-329.3K0.107.08N/AN/A240,38023,6605,357,1705,239,780
2007-09-14$0.25$0.2550.9%14.6%33.1%50.6%52.9%6.9%5.2%-3.6K26.0M-340.8K2.427.57N/AN/A128,030310,2405,545,4705,242,720
2007-09-17$0.26$0.2151.1%14.7%35.0%51.2%49.6%6.7%4.5%95.8K10.7M-355.9K0.819.68N/AN/A248,220201,1805,615,0505,287,240
2007-09-18$0.27$0.2144.7%12.8%37.7%35.8%47.7%6.3%7.6%227.6K-2.4M-359.9K0.8816.12N/AN/A69,86061,4605,536,3005,250,700
2007-09-19$0.28$0.2542.5%12.2%38.1%30.5%43.4%3.7%7.3%405.1K-9.0M-357.8K0.737.32N/AN/A115,64084,4205,549,7405,213,740
2007-09-20$0.28$0.2543.5%12.5%38.4%32.8%45.8%2.8%6.9%362.1K-5.0M-355.4K0.929.25N/AN/A126,210116,4105,564,4405,222,070
2007-09-21$0.27$0.2542.0%12.0%38.7%29.2%42.6%1.5%8.0%76.6K2.2M-348.6K0.2010.26N/AN/A233,17047,3905,622,0505,322,730
2007-09-24$0.28$0.2542.3%12.1%37.4%30.1%42.9%0.9%12.5%34.2K600.9K-344.8K0.2311.53N/AN/A293,44066,8503,573,0104,017,300
2007-09-25$0.30$0.2545.6%13.1%44.1%37.9%44.6%3.1%11.6%186.3K-18.4M-366.2K0.2715.22N/AN/A714,700193,0603,691,7304,034,450
2007-09-26$0.31$0.2544.3%12.7%45.0%34.9%45.0%0.8%11.4%428.4K-33.2M-387.0K0.186.65N/AN/A433,72076,6503,980,6904,106,340
2007-09-27$0.31$0.2544.0%12.6%46.6%33.9%43.6%-1.2%11.5%283.1K-21.9M-379.1K0.469.94N/AN/A115,22053,0603,872,1904,136,020
2007-09-28$0.30$0.2542.8%12.3%47.7%31.1%42.5%1.8%16.4%242.7K-14.3M-372.1K0.386.95N/AN/A107,87041,4403,866,9404,150,370