NFLX Options History — January 2008

In January 2008, NFLX traded between $0.31 and $0.38. ATM implied volatility averaged 69.6%, placing in the 78.0% IV rank vs the trailing year. The 30-day expected move averaged 20.3%. IV traded above realized volatility by 9.6% (HV 20d: 60.0%). Max pain ranged from $0.32 to $0.39. Net GEX was positive for 10 of 21 trading days. Term structure was in contango for 2 of 21 days. Put/call ratio averaged 1.41.

Notable Days

2008-01-15: Highest Volume — 1,918,910 contracts
2008-01-24: Largest IV drop — 15.0% change
2008-01-10: Highest IV Rank — 100.0%
2008-01-15: Largest Expected Move — 24.4%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$0.33	$0.31	$0.38	$0.38	$0.36
Max Pain	$0.33	$0.32	$0.39	$0.32	$0.32
ATM IV	69.6%	50.6%	85.1%	58.6%	50.6%
Expected Move	20.3%	14.5%	24.4%	16.8%	14.5%
HV 20d	60.0%	46.3%	73.1%	46.3%	73.1%
HV 60d	52.2%	48.3%	56.5%	49.2%	56.5%
IV Rank	78.0%	37.6%	100.0%	64.9%	37.6%
IV Percentile	93.6%	75.4%	100.0%	88.4%	75.4%
Term Structure	-9.1%	-15.7%	7.1%	7.1%	-6.7%
VWIV	71.6%	50.2%	86.5%	59.4%	50.2%
Skew 25d	6.4%	-2.2%	13.8%	2.3%	4.2%
Skew 10d	12.9%	-7.7%	27.0%	7.3%	19.7%
Call IV 25d	69.3%	48.6%	82.6%	59.6%	48.6%
Put IV 25d	75.6%	52.8%	93.0%	61.9%	52.8%
Bid-Ask Spread %	14.33	9.80	20.19	12.73	11.49
Gamma HHI	0.27	0.15	0.52	0.18	0.22
Net GEX	-67.3K	-793.0K	839.5K	223.5K	839.5K
Net DEX	-5.6M	-44.9M	25.0M	-38.9M	-44.9M
Net VEX	-285.4K	-307.6K	-263.4K	-268.3K	-306.1K
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	1.41	0.40	4.82	0.77	0.61
Total Volume	766,100	137,690	1,918,910	137,690	1,168,230
Total OI	7,717,050	5,465,390	9,780,050	7,174,860	6,704,740

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
2008-01-02	$0.38	$0.32	58.6%	16.8%	46.3%	64.9%	59.4%	2.3%	7.1%	223.5K	-38.9M	-268.3K	0.77	12.73	N/A	N/A	77,840	59,850	3,266,480	3,908,380
2008-01-03	$0.37	$0.32	66.3%	19.0%	46.6%	82.4%	67.3%	-2.2%	4.8%	207.8K	-36.9M	-268.4K	1.82	12.31	N/A	N/A	409,500	746,060	3,278,940	3,908,240
2008-01-04	$0.35	$0.39	66.3%	20.9%	51.5%	82.2%	72.1%	6.5%	-7.6%	-278.5K	-11.7M	-276.9K	4.02	15.44	N/A	N/A	248,360	998,970	3,430,840	4,335,450
2008-01-07	$0.36	$0.39	67.1%	21.0%	51.6%	84.1%	74.7%	6.2%	-8.4%	-692.4K	-6.3M	-282.3K	4.82	16.21	N/A	N/A	41,160	198,520	3,420,760	4,757,200
2008-01-08	$0.33	$0.39	68.6%	21.3%	56.8%	87.4%	72.9%	8.8%	-8.7%	-793.0K	10.7M	-263.4K	0.66	19.50	N/A	N/A	451,360	297,780	3,423,490	4,665,990
2008-01-09	$0.33	$0.32	68.7%	22.1%	56.9%	87.6%	75.8%	6.5%	-10.6%	-751.1K	13.7M	-273.8K	1.24	15.40	N/A	N/A	646,380	799,470	3,676,820	4,733,120
2008-01-10	$0.35	$0.32	77.1%	22.1%	62.3%	100.0%	77.7%	7.9%	-12.3%	-363.8K	-19.0M	-307.6K	0.40	14.99	N/A	N/A	412,020	162,960	4,125,240	4,723,530
2008-01-11	$0.33	$0.32	79.7%	22.8%	65.5%	100.0%	77.6%	7.5%	-12.1%	-432.7K	-4.1M	-294.9K	0.85	11.17	N/A	N/A	94,570	80,710	4,266,010	4,661,510
2008-01-14	$0.33	$0.32	82.2%	23.6%	66.2%	100.0%	81.7%	9.3%	-14.4%	-587.7K	7.9M	-277.2K	0.83	13.17	N/A	N/A	172,900	144,340	4,298,980	4,709,320
2008-01-15	$0.32	$0.32	85.1%	24.4%	66.6%	100.0%	85.3%	10.8%	-14.7%	-621.6K	18.7M	-270.0K	2.39	12.38	N/A	N/A	565,460	1,353,450	4,371,220	4,759,020
2008-01-16	$0.32	$0.32	82.5%	23.7%	66.4%	95.4%	83.1%	8.1%	-15.2%	-715.8K	18.2M	-279.4K	1.41	13.63	N/A	N/A	461,440	648,410	4,508,140	4,949,070
2008-01-17	$0.31	$0.32	81.4%	23.3%	64.0%	93.2%	82.8%	10.1%	-14.1%	-487.1K	21.9M	-280.8K	2.01	12.15	N/A	N/A	143,500	288,470	4,712,750	4,979,310
2008-01-18	$0.31	$0.32	83.3%	23.9%	62.9%	96.8%	86.2%	10.4%	-15.6%	-25.7K	25.0M	-283.2K	1.12	9.80	N/A	N/A	153,580	172,620	4,773,720	5,006,330
2008-01-22	$0.32	$0.32	81.8%	23.5%	52.5%	94.1%	86.5%	13.8%	-15.7%	93.2K	-840.4K	-280.3K	0.40	17.56	N/A	N/A	328,370	130,060	2,773,190	2,692,200
2008-01-23	$0.34	$0.32	71.2%	20.4%	56.9%	74.8%	76.9%	9.3%	-11.8%	170.0K	-11.6M	-293.8K	0.48	19.63	N/A	N/A	990,220	480,200	2,823,450	2,736,370
2008-01-24	$0.31	$0.32	60.5%	17.3%	62.2%	55.5%	61.1%	0.1%	-7.6%	312.2K	-2.7M	-281.4K	1.04	13.14	N/A	N/A	849,380	880,460	3,368,750	2,896,250
2008-01-25	$0.31	$0.32	58.2%	16.7%	60.5%	51.4%	58.6%	1.5%	-4.7%	499.4K	-3.1M	-295.2K	1.81	20.19	N/A	N/A	209,230	377,790	3,699,290	2,925,930
2008-01-28	$0.33	$0.32	59.3%	17.0%	63.9%	53.3%	58.1%	5.0%	-8.9%	617.0K	-15.8M	-304.4K	0.79	10.96	N/A	N/A	220,640	173,810	3,627,750	2,883,020
2008-01-29	$0.33	$0.32	57.4%	16.5%	64.0%	49.9%	58.1%	4.9%	-6.6%	693.5K	-20.3M	-304.0K	1.48	13.37	N/A	N/A	80,290	118,720	3,728,130	2,882,250
2008-01-30	$0.33	$0.32	56.3%	16.1%	64.0%	48.0%	56.6%	2.4%	-6.9%	679.9K	-17.4M	-302.6K	0.63	15.64	N/A	N/A	153,860	97,160	3,728,550	2,938,320
2008-01-31	$0.36	$0.32	50.6%	14.5%	73.1%	37.6%	50.2%	4.2%	-6.7%	839.5K	-44.9M	-306.1K	0.61	11.49	N/A	N/A	725,480	442,750	3,741,920	2,962,820