NFLX Options History — February 2008

In February 2008, NFLX traded between $0.36 and $0.46. ATM implied volatility averaged 44.9%, placing in the 26.4% IV rank vs the trailing year. The 30-day expected move averaged 12.8%. IV traded below realized volatility by 12.2% (HV 20d: 57.0%). Max pain ranged from $0.32 to $0.36. Net GEX was positive for 18 of 20 trading days. Term structure was in contango for 19 of 20 days. Put/call ratio averaged 1.05.

Notable Days

  • 2008-02-28: Highest Volume — 1,792,140 contracts
  • 2008-02-14: Largest IV spike — 30.9% change
  • 2008-02-06: Highest IV Rank — 42.0%
  • 2008-02-01: Largest Expected Move — 14.1%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$0.40$0.36$0.46$0.36$0.45
Max Pain$0.33$0.32$0.36$0.32$0.36
ATM IV44.9%33.7%53.1%49.2%48.5%
Expected Move12.8%10.7%14.1%14.1%13.9%
HV 20d57.0%39.4%73.1%73.1%46.8%
HV 60d54.4%51.7%56.8%56.5%56.5%
IV Rank26.4%5.6%42.0%35.1%32.8%
IV Percentile51.9%5.2%79.8%71.8%66.3%
Term Structure7.8%-4.3%16.2%-4.3%8.1%
VWIV45.3%40.8%50.8%50.8%49.0%
Skew 25d5.4%0.7%8.4%5.3%1.6%
Skew 10d11.1%3.0%16.0%5.1%3.0%
Call IV 25d43.5%37.1%49.0%48.3%49.0%
Put IV 25d48.9%42.6%53.6%53.6%50.6%
Bid-Ask Spread %12.327.0715.8915.0915.89
Gamma HHI0.230.180.320.220.32
Net GEX735.6K-224.5K1.3M917.6K-224.5K
Net DEX-69.1M-106.6M-45.1M-50.4M-75.7M
Net VEX-396.7K-514.5K-345.4K-345.4K-514.5K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.050.332.650.440.55
Total Volume564,133.573,8501,792,140551,670609,490
Total OI7,762,9656,866,3009,087,6107,122,7109,087,610

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2008-02-01$0.36$0.3249.2%14.1%73.1%35.1%50.8%5.3%-4.3%917.6K-50.4M-345.4K0.4415.09N/AN/A383,180168,4904,004,7003,118,010
2008-02-04$0.37$0.3251.6%13.5%70.3%39.4%46.6%3.6%2.2%1.0M-62.2M-359.9K0.338.34N/AN/A405,930135,3104,213,2303,202,500
2008-02-05$0.36$0.3252.2%13.5%70.9%40.4%47.7%3.4%3.6%1.0M-53.3M-378.0K0.8115.51N/AN/A220,990180,1104,384,6603,263,750
2008-02-06$0.37$0.3253.1%14.0%67.0%42.0%48.2%3.2%3.7%1.2M-67.5M-385.1K0.6913.98N/AN/A253,470174,3704,487,2803,286,150
2008-02-07$0.38$0.3250.5%14.0%67.2%37.5%49.5%6.2%4.3%1.2M-80.5M-395.1K1.5113.92N/AN/A197,120298,0604,613,4903,362,660
2008-02-08$0.38$0.3242.3%13.6%62.9%21.5%47.2%6.2%4.5%1.1M-80.2M-404.4K0.5814.68N/AN/A78,26045,6404,622,5903,492,300
2008-02-11$0.38$0.3248.1%13.2%59.1%32.1%43.1%8.4%5.5%1.2M-79.9M-393.7K0.3711.25N/AN/A370,650138,6704,620,7703,508,050
2008-02-12$0.38$0.3243.3%12.8%57.8%23.2%44.7%7.8%5.7%1.2M-76.8M-390.3K0.5712.55N/AN/A101,78058,0304,634,9103,556,280
2008-02-13$0.39$0.3233.7%12.3%55.8%5.6%43.6%7.1%7.5%1.3M-81.2M-384.1K0.6911.33N/AN/A202,720139,4404,602,7803,587,080
2008-02-14$0.38$0.3244.1%12.6%56.8%24.7%44.0%7.3%7.2%968.9K-71.4M-391.5K0.4413.14N/AN/A167,93073,4304,637,7103,658,200
2008-02-15$0.38$0.3244.4%12.7%56.5%25.2%45.9%5.8%8.8%788.9K-68.4M-386.9K2.6515.78N/AN/A140,700372,6804,616,2203,675,700
2008-02-19$0.38$0.3243.0%12.3%56.4%22.6%44.2%8.2%13.6%553.6K-45.1M-390.8K1.2515.39N/AN/A131,600164,3603,624,4603,241,840
2008-02-20$0.39$0.3242.9%12.3%56.5%22.5%43.2%6.2%14.7%561.8K-53.0M-389.2K0.9512.89N/AN/A231,840220,6403,673,9503,300,010
2008-02-21$0.40$0.3241.7%12.0%53.1%20.3%42.0%5.7%13.7%513.2K-57.7M-395.3K1.718.69N/AN/A124,460212,3803,723,0203,377,010
2008-02-22$0.40$0.3240.5%11.6%42.1%18.1%43.0%6.5%16.2%462.7K-55.5M-396.7K1.4013.41N/AN/A30,73043,1203,700,7603,476,690
2008-02-25$0.40$0.3242.8%12.3%41.5%22.3%42.5%7.0%13.0%469.9K-58.3M-388.0K2.087.56N/AN/A61,110127,1203,713,0103,483,130
2008-02-26$0.41$0.3237.4%10.7%39.4%12.3%40.8%5.5%8.7%444.9K-71.4M-380.8K2.0911.00N/AN/A467,040977,4803,721,8303,569,440
2008-02-27$0.46$0.3641.2%11.8%53.0%19.4%42.3%2.4%10.8%77.1K-106.6M-403.5K0.918.98N/AN/A932,750849,4503,716,7204,228,350
2008-02-28$0.45$0.3647.3%13.6%54.6%30.7%48.3%0.7%8.1%-70.7K-86.4M-461.2K1.027.07N/AN/A885,010907,1303,860,0804,612,370
2008-02-29$0.45$0.3648.5%13.9%46.8%32.8%49.0%1.6%8.1%-224.5K-75.7M-514.5K0.5515.89N/AN/A393,610215,8804,026,4005,061,210