NFLX Options History — December 2007

In December 2007, NFLX traded between $0.33 and $0.41. ATM implied volatility averaged 47.8%, placing in the 40.5% IV rank vs the trailing year. The 30-day expected move averaged 13.9%. IV traded above realized volatility by 6.8% (HV 20d: 40.9%). Max pain ranged from $0.32 to $0.32. Net GEX was positive for 19 of 20 trading days. Term structure was in contango for 20 of 20 days. Put/call ratio averaged 1.08.

Notable Days

  • 2007-12-20: Highest Volume — 881,370 contracts
  • 2007-12-04: Largest IV spike — 13.9% change
  • 2007-12-31: Highest IV Rank — 56.9%
  • 2007-12-31: Largest Expected Move — 15.8%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$0.36$0.33$0.41$0.34$0.38
Max Pain$0.32$0.32$0.32$0.32$0.32
ATM IV47.8%41.7%55.0%42.5%55.0%
Expected Move13.9%12.0%15.8%12.2%15.8%
HV 20d40.9%32.9%47.7%47.7%46.7%
HV 60d48.7%46.0%50.0%50.0%49.7%
IV Rank40.5%26.8%56.9%28.7%56.9%
IV Percentile72.1%46.6%85.6%55.0%85.6%
Term Structure8.2%3.7%11.3%4.6%9.6%
VWIV49.1%41.1%57.0%41.1%57.0%
Skew 25d5.1%3.1%8.3%3.8%3.4%
Skew 10d10.9%6.3%15.4%6.3%7.4%
Call IV 25d47.6%42.9%56.2%42.9%56.2%
Put IV 25d52.6%46.7%59.6%46.7%59.6%
Bid-Ask Spread %10.406.2314.756.238.48
Gamma HHI0.200.170.290.170.20
Net GEX287.9K-1.2K770.8K151.2K324.0K
Net DEX-37.3M-95.9M-13.2M-26.1M-42.7M
Net VEX-268.7K-297.2K-241.3K-289.6K-268.5K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.080.152.611.112.12
Total Volume239,186.554,880881,370369,740246,330
Total OI8,071,9246,845,3008,646,7508,203,5107,098,000

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2007-12-03$0.34$0.3242.5%12.2%47.7%28.7%41.1%3.8%4.6%151.2K-26.1M-289.6K1.116.23N/AN/A175,350194,3903,810,0304,393,480
2007-12-04$0.34$0.3248.4%13.9%47.4%42.0%46.6%4.9%3.7%123.4K-24.7M-292.6K0.857.88N/AN/A167,230141,8903,844,0504,446,120
2007-12-05$0.34$0.3244.2%12.7%46.2%32.5%45.9%4.7%3.9%141.3K-27.3M-297.2K2.297.75N/AN/A51,450117,8803,886,6804,528,370
2007-12-06$0.34$0.3241.7%12.0%46.1%26.8%49.0%4.9%4.1%103.4K-25.4M-295.9K2.6110.71N/AN/A15,75041,0903,906,3504,571,560
2007-12-07$0.34$0.3244.4%14.5%45.7%32.8%50.2%8.1%9.9%101.7K-21.9M-289.8K2.1910.15N/AN/A44,59097,7903,906,5604,535,020
2007-12-10$0.34$0.3248.7%14.5%38.3%42.5%52.6%7.1%9.6%49.4K-20.0M-282.5K2.317.96N/AN/A21,56049,7703,916,3604,597,320
2007-12-11$0.33$0.3247.6%14.8%37.1%40.0%50.6%4.2%9.4%73.0K-18.6M-275.4K0.8210.38N/AN/A30,17024,7103,921,3304,559,590
2007-12-12$0.33$0.3249.1%14.7%34.2%43.4%48.7%8.3%7.9%42.9K-16.3M-274.0K0.8014.75N/AN/A80,78064,9603,913,5604,553,640
2007-12-13$0.33$0.3249.4%14.2%33.5%44.2%48.2%6.0%10.5%-1.2K-13.2M-265.7K0.8313.43N/AN/A36,26030,2403,934,0704,555,390
2007-12-14$0.34$0.3250.6%14.5%32.9%46.9%50.3%5.8%9.0%160.3K-23.1M-267.3K0.1513.66N/AN/A157,99024,0103,953,6704,537,190
2007-12-17$0.33$0.3249.7%14.3%33.2%45.0%49.0%5.0%9.6%42.0K-15.6M-251.4K0.9812.54N/AN/A52,71051,4503,904,6704,549,020
2007-12-18$0.35$0.3245.6%13.1%36.0%35.7%48.3%6.6%9.6%262.5K-33.1M-247.7K0.2312.02N/AN/A68,25015,7503,888,8504,516,330
2007-12-19$0.36$0.3244.8%12.8%35.6%33.8%46.0%4.7%7.9%554.1K-43.7M-241.3K0.839.86N/AN/A144,060119,4903,912,0204,520,950
2007-12-20$0.39$0.3249.5%14.2%41.7%44.3%52.1%5.5%4.8%723.3K-77.1M-252.4K0.2613.57N/AN/A698,950182,4203,923,9204,560,360
2007-12-21$0.40$0.3247.4%13.6%42.3%39.7%48.4%3.2%6.9%770.8K-95.9M-255.3K0.488.05N/AN/A573,230275,1004,094,5104,552,240
2007-12-24$0.40$0.3245.6%13.1%41.8%35.6%45.4%4.1%11.3%594.2K-58.5M-248.3K0.877.30N/AN/A57,82050,3303,147,0603,698,240
2007-12-26$0.41$0.3248.7%14.0%41.0%42.7%48.2%4.0%10.4%677.1K-64.8M-254.8K0.5612.62N/AN/A106,12059,0103,147,2703,710,630
2007-12-27$0.39$0.3251.9%14.9%45.2%49.7%52.4%3.1%9.7%493.9K-51.8M-259.7K0.6913.14N/AN/A194,670134,7503,161,9703,741,360
2007-12-28$0.38$0.3250.7%14.5%46.3%47.0%51.4%3.9%11.3%371.8K-45.7M-265.3K0.697.52N/AN/A109,97075,4603,217,8303,822,910
2007-12-31$0.38$0.3255.0%15.8%46.7%56.9%57.0%3.4%9.6%324.0K-42.7M-268.5K2.128.48N/AN/A79,030167,3003,261,2303,836,770