NFLX Options History — November 2007

In November 2007, NFLX traded between $0.31 and $0.39. ATM implied volatility averaged 44.5%, placing in the 33.1% IV rank vs the trailing year. The 30-day expected move averaged 12.7%. IV traded below realized volatility by 8.1% (HV 20d: 52.6%). Max pain ranged from $0.32 to $0.32. Net GEX was positive for 12 of 21 trading days. Term structure was in contango for 21 of 21 days. Put/call ratio averaged 1.15.

Notable Days

2007-11-16: Highest Volume — 602,210 contracts
2007-11-12: Largest IV spike — 14.3% change
2007-11-12: Highest IV Rank — 58.4%
2007-11-09: Largest Expected Move — 14.1%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$0.35	$0.31	$0.39	$0.38	$0.33
Max Pain	$0.32	$0.32	$0.32	$0.32	$0.32
ATM IV	44.5%	39.8%	55.7%	43.9%	40.8%
Expected Move	12.7%	11.6%	14.1%	12.6%	11.7%
HV 20d	52.6%	42.5%	62.3%	54.1%	46.0%
HV 60d	47.9%	44.6%	50.0%	45.2%	49.7%
IV Rank	33.1%	22.5%	58.4%	31.7%	24.9%
IV Percentile	60.3%	41.8%	84.3%	61.9%	43.5%
Term Structure	3.0%	0.3%	6.2%	3.5%	6.2%
VWIV	44.9%	40.6%	49.7%	42.7%	40.9%
Skew 25d	3.5%	0.6%	8.8%	0.6%	6.8%
Skew 10d	6.4%	0.1%	23.3%	5.1%	9.0%
Call IV 25d	44.2%	39.2%	49.7%	46.1%	39.2%
Put IV 25d	47.7%	42.9%	51.2%	46.7%	46.0%
Bid-Ask Spread %	11.56	6.90	20.29	15.01	8.88
Gamma HHI	0.19	0.16	0.27	0.19	0.17
Net GEX	393.2K	-194.1K	1.1M	993.2K	-22.8K
Net DEX	-41.5M	-93.9M	5.6M	-82.5M	-14.1M
Net VEX	-307.7K	-349.9K	-285.7K	-349.9K	-294.6K
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	1.15	0.18	5.87	0.60	1.88
Total Volume	244,220	77,840	602,210	300,650	274,820
Total OI	8,882,280	8,018,150	9,642,360	9,464,350	8,318,520

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
2007-11-01	$0.38	$0.32	43.9%	12.6%	54.1%	31.7%	42.7%	0.6%	3.5%	993.2K	-82.5M	-349.9K	0.60	15.01	N/A	N/A	187,740	112,910	4,685,660	4,778,690
2007-11-02	$0.38	$0.32	40.3%	11.6%	53.1%	23.8%	41.4%	1.7%	5.0%	1.0M	-83.3M	-341.9K	0.42	12.92	N/A	N/A	104,020	43,890	4,727,240	4,772,740
2007-11-05	$0.38	$0.32	42.5%	13.1%	53.1%	28.7%	46.6%	1.1%	0.7%	943.0K	-83.7M	-325.1K	0.49	10.41	N/A	N/A	166,880	81,550	4,579,890	4,779,740
2007-11-06	$0.39	$0.32	39.8%	12.6%	53.2%	22.5%	44.7%	3.0%	1.8%	1.1M	-93.9M	-312.1K	0.58	10.56	N/A	N/A	58,940	34,440	4,554,900	4,764,480
2007-11-07	$0.38	$0.32	41.8%	13.0%	53.3%	26.9%	46.2%	1.9%	1.0%	1.0M	-89.7M	-316.3K	1.00	12.21	N/A	N/A	120,540	120,050	4,555,600	4,765,110
2007-11-08	$0.39	$0.32	42.7%	13.4%	52.2%	29.1%	47.7%	1.4%	0.4%	1.1M	-93.6M	-308.4K	0.62	16.26	N/A	N/A	144,130	89,950	4,572,540	4,801,930
2007-11-09	$0.36	$0.32	48.8%	14.1%	59.9%	42.7%	49.7%	1.3%	0.8%	700.1K	-61.3M	-323.0K	1.45	20.29	N/A	N/A	135,660	196,280	4,544,960	4,798,920
2007-11-12	$0.35	$0.32	55.7%	14.0%	59.5%	58.4%	48.9%	2.2%	0.3%	495.7K	-47.4M	-315.5K	0.90	11.23	N/A	N/A	128,380	116,060	4,557,000	4,870,740
2007-11-13	$0.36	$0.32	49.6%	13.1%	60.8%	44.6%	45.8%	1.8%	2.4%	745.6K	-62.2M	-306.6K	1.24	10.55	N/A	N/A	127,330	158,340	4,541,250	4,817,190
2007-11-14	$0.35	$0.32	48.9%	12.2%	61.3%	43.1%	43.0%	1.8%	2.7%	678.6K	-52.5M	-298.3K	0.88	13.36	N/A	N/A	240,940	211,260	4,563,160	4,826,080
2007-11-15	$0.34	$0.32	45.8%	13.1%	62.3%	36.1%	47.7%	4.3%	1.4%	434.1K	-35.4M	-306.0K	1.01	15.14	N/A	N/A	168,210	169,330	4,606,280	4,945,430
2007-11-16	$0.34	$0.32	44.4%	12.7%	61.2%	33.0%	45.7%	3.6%	3.1%	-52.0K	-28.9M	-305.4K	0.56	10.39	N/A	N/A	385,350	216,860	4,617,550	5,024,810
2007-11-19	$0.33	$0.32	41.3%	11.8%	61.8%	26.0%	41.5%	3.1%	3.3%	-14.8K	-16.9M	-300.8K	0.90	12.00	N/A	N/A	136,780	122,570	3,665,550	4,352,600
2007-11-20	$0.32	$0.32	41.8%	12.0%	42.5%	27.0%	42.5%	7.0%	3.4%	-124.3K	-7.7M	-298.4K	1.60	13.25	N/A	N/A	93,030	148,610	3,689,280	4,418,190
2007-11-21	$0.31	$0.32	46.2%	13.2%	44.5%	36.9%	48.0%	4.0%	3.1%	-189.9K	4.5M	-296.0K	1.71	8.16	N/A	N/A	68,670	117,390	3,698,940	4,387,950
2007-11-23	$0.31	$0.32	44.9%	12.9%	44.7%	33.9%	44.9%	5.1%	3.8%	-194.1K	3.7M	-290.3K	0.24	10.40	N/A	N/A	62,650	15,190	3,708,110	4,395,020
2007-11-26	$0.31	$0.32	47.0%	13.5%	44.7%	38.8%	47.7%	3.6%	2.8%	-194.0K	5.6M	-285.7K	5.87	9.21	N/A	N/A	23,730	139,300	3,726,030	4,400,690
2007-11-27	$0.32	$0.32	44.2%	12.7%	44.0%	32.5%	43.8%	4.2%	5.6%	-109.4K	-3.6M	-293.4K	1.83	8.02	N/A	N/A	48,580	88,970	3,734,920	4,453,540
2007-11-28	$0.33	$0.32	42.1%	12.1%	45.9%	27.8%	42.3%	8.8%	6.0%	-49.3K	-12.7M	-297.1K	0.18	6.90	N/A	N/A	138,880	25,690	3,753,190	4,477,970
2007-11-29	$0.33	$0.32	41.5%	11.9%	46.0%	26.5%	40.6%	6.0%	6.1%	6.1K	-14.9M	-297.5K	0.22	7.62	N/A	N/A	85,890	18,830	3,806,950	4,488,540
2007-11-30	$0.33	$0.32	40.8%	11.7%	46.0%	24.9%	40.9%	6.8%	6.2%	-22.8K	-14.1M	-294.6K	1.88	8.88	N/A	N/A	95,340	179,480	3,818,430	4,500,090