NFLX Options History — October 2007 In October 2007, NFLX traded between $0.30 and $0.38. ATM implied volatility averaged 50.8%, placing in the 49.5% IV rank vs the trailing year. The 30-day expected move averaged 15.3%. IV traded above realized volatility by 2.5% (HV 20d: 48.3%). Max pain ranged from $0.25 to $0.32. Net GEX was positive for 23 of 23 trading days. Term structure was in contango for 6 of 23 days. Put/call ratio averaged 1.44.
Notable Days 2007-10-23 : Highest Volume — 1,683,850 contracts2007-10-23 : Largest IV drop — 43.2% change2007-10-22 : Highest IV Rank — 100.0%2007-10-22 : Largest Expected Move — 21.3%Monthly Statistics Metric Avg Min Max Open Close Price $0.34 $0.30 $0.38 $0.30 $0.38 Max Pain $0.31 $0.25 $0.32 $0.25 $0.32 ATM IV 50.8% 40.2% 74.2% 43.2% 40.9% Expected Move 15.3% 11.7% 21.3% 12.4% 11.7% HV 20d 48.3% 43.7% 55.8% 47.8% 53.8% HV 60d 47.2% 38.6% 52.0% 50.4% 45.5% IV Rank 49.5% 24.9% 100.0% 32.1% 25.1% IV Percentile 71.4% 47.1% 100.0% 61.5% 47.4% Term Structure -2.6% -16.5% 17.4% 14.5% 4.5% VWIV 53.8% 40.2% 76.3% 40.2% 41.9% Skew 25d 1.8% -2.3% 6.5% 3.9% 0.3% Skew 10d 4.9% -4.8% 12.3% 7.2% 7.3% Call IV 25d 53.9% 39.0% 77.2% 39.0% 43.2% Put IV 25d 55.7% 41.9% 77.5% 43.0% 43.5% Bid-Ask Spread % 10.98 5.73 20.67 7.21 13.88 Gamma HHI 0.17 0.12 0.26 0.13 0.19 Net GEX 464.2K 53.5K 1.3M 317.9K 961.6K Net DEX -50.6M -91.2M -11.9M -20.0M -84.4M Net VEX -370.3K -395.4K -334.3K -369.4K -335.4K Div Yield 0.0% 0.0% 0.0% 0.0% 0.0% P/C Ratio 1.44 0.26 10.02 5.56 0.62 Total Volume 428,037.826 74,270 1,683,850 365,540 286,160 Total OI 8,965,752.174 8,098,090 9,616,180 8,098,090 9,392,530
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 2007-10-01 $0.30 $0.25 43.2% 12.4% 47.8% 32.1% 40.2% 3.9% 14.5% 317.9K -20.0M -369.4K 5.56 7.21 N/A N/A 55,720 309,820 3,922,800 4,175,290 2007-10-02 $0.30 $0.29 42.3% 12.1% 47.0% 30.0% 40.2% 1.9% 17.4% 133.0K -15.6M -378.0K 1.09 7.66 N/A N/A 186,620 202,930 3,938,900 4,413,290 2007-10-03 $0.30 $0.29 43.6% 12.5% 46.7% 33.2% 42.7% 0.1% 15.5% 53.5K -11.9M -381.0K 0.52 8.03 N/A N/A 48,930 25,340 4,027,240 4,548,880 2007-10-04 $0.30 $0.29 43.5% 12.5% 46.7% 32.9% 43.6% 1.8% 16.6% 54.9K -12.6M -379.2K 10.02 5.73 N/A N/A 9,170 91,910 4,040,890 4,564,560 2007-10-05 $0.31 $0.32 40.2% 16.0% 48.0% 24.9% 57.5% 6.5% -5.7% 69.9K -25.1M -386.5K 2.30 20.67 N/A N/A 73,290 168,350 4,040,400 4,589,760 2007-10-08 $0.32 $0.32 42.1% 17.0% 44.8% 29.5% 59.7% 5.6% -6.5% 118.4K -29.7M -383.4K 0.50 15.44 N/A N/A 51,800 25,690 4,029,200 4,504,080 2007-10-09 $0.33 $0.32 44.1% 17.0% 44.9% 34.3% 59.0% 5.2% -7.1% 146.4K -36.9M -380.7K 0.27 14.76 N/A N/A 207,410 55,020 4,044,320 4,509,820 2007-10-10 $0.33 $0.32 46.8% 17.3% 43.7% 40.7% 59.9% 4.7% -8.9% 202.5K -46.9M -379.1K 0.26 8.69 N/A N/A 231,910 59,500 4,093,250 4,521,160 2007-10-11 $0.33 $0.32 60.7% 17.4% 45.3% 74.1% 60.7% 3.6% -9.3% 188.3K -40.1M -378.0K 1.39 11.86 N/A N/A 163,520 227,430 4,170,740 4,542,440 2007-10-12 $0.33 $0.32 61.2% 17.5% 45.4% 75.3% 61.2% 2.4% -9.9% 116.7K -41.1M -371.3K 3.20 9.44 N/A N/A 68,320 218,330 4,162,900 4,625,880 2007-10-15 $0.34 $0.32 66.1% 18.9% 45.6% 87.0% 66.7% 4.0% -12.8% 228.2K -57.7M -370.2K 0.69 11.27 N/A N/A 255,990 176,890 4,203,500 4,620,210 2007-10-16 $0.34 $0.32 65.3% 18.7% 44.3% 85.1% 65.2% 2.2% -11.6% 294.8K -58.3M -368.8K 1.06 11.60 N/A N/A 153,790 162,330 4,315,990 4,658,710 2007-10-17 $0.35 $0.32 63.0% 18.1% 44.1% 79.7% 64.0% 3.9% -11.5% 347.6K -63.3M -373.7K 0.26 9.07 N/A N/A 228,270 59,920 4,387,600 4,748,730 2007-10-18 $0.34 $0.32 62.4% 17.9% 44.3% 78.2% 63.4% 3.1% -10.7% 360.3K -59.6M -375.4K 0.28 9.51 N/A N/A 316,330 87,500 4,498,410 4,745,160 2007-10-19 $0.33 $0.32 67.8% 19.4% 46.1% 91.0% 70.9% -1.8% -12.0% 290.0K -49.6M -387.7K 0.41 14.70 N/A N/A 506,380 209,720 4,636,310 4,781,770 2007-10-22 $0.33 $0.32 74.2% 21.3% 46.6% 100.0% 76.3% 0.3% -16.5% 424.7K -35.6M -395.4K 0.42 8.85 N/A N/A 897,610 372,890 4,537,260 4,487,490 2007-10-23 $0.37 $0.32 42.1% 12.1% 55.5% 27.7% 42.7% -1.4% -1.2% 1.3M -91.2M -356.6K 0.46 8.25 N/A N/A 1,154,720 529,130 4,937,590 4,678,590 2007-10-24 $0.36 $0.32 46.1% 13.2% 55.8% 36.8% 47.1% 1.3% -2.9% 952.5K -68.9M -374.4K 1.16 13.47 N/A N/A 265,370 308,910 4,692,450 4,733,260 2007-10-25 $0.36 $0.32 44.9% 12.9% 54.4% 34.1% 45.9% -0.4% -0.8% 912.4K -69.6M -364.5K 1.48 11.47 N/A N/A 160,720 237,650 4,695,740 4,779,040 2007-10-26 $0.36 $0.32 41.6% 11.9% 52.8% 26.7% 42.1% -1.0% 1.1% 965.3K -69.7M -356.1K 0.27 10.65 N/A N/A 216,230 57,890 4,693,570 4,812,430 2007-10-29 $0.38 $0.32 41.9% 12.0% 54.1% 27.3% 42.8% -2.1% -1.9% 1.1M -88.9M -334.3K 0.38 9.81 N/A N/A 171,290 64,330 4,706,450 4,668,020 2007-10-30 $0.38 $0.32 44.0% 12.6% 54.0% 32.1% 43.4% -2.3% -0.2% 1.1M -88.2M -337.5K 0.64 10.42 N/A N/A 294,840 189,000 4,652,900 4,682,790 2007-10-31 $0.38 $0.32 40.9% 11.7% 53.8% 25.1% 41.9% 0.3% 4.5% 961.6K -84.4M -335.4K 0.62 13.88 N/A N/A 176,120 110,040 4,629,310 4,763,220
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