NFLX Options History — March 2008 In March 2008, NFLX traded between $0.44 and $0.55. ATM implied volatility averaged 58.3%, placing in the 50.6% IV rank vs the trailing year. The 30-day expected move averaged 17.3%. IV traded above realized volatility by 4.7% (HV 20d: 53.6%). Max pain ranged from $0.36 to $0.50. Net GEX was positive for 8 of 20 trading days. Term structure was in contango for 8 of 20 days. Put/call ratio averaged 1.15.
Notable Days 2008-03-26 : Highest Volume — 1,018,010 contracts2008-03-13 : Largest IV spike — 23.8% change2008-03-27 : Highest IV Rank — 75.0%2008-03-27 : Largest Expected Move — 20.6%Monthly Statistics Metric Avg Min Max Open Close Price $0.49 $0.44 $0.55 $0.44 $0.49 Max Pain $0.44 $0.36 $0.50 $0.36 $0.50 ATM IV 58.3% 45.0% 71.9% 49.9% 69.3% Expected Move 17.3% 12.9% 20.6% 14.3% 19.9% HV 20d 53.6% 46.4% 61.1% 48.1% 52.0% HV 60d 57.9% 56.8% 59.5% 56.8% 58.1% IV Rank 50.6% 26.3% 75.0% 35.3% 70.2% IV Percentile 80.5% 56.3% 96.4% 72.6% 94.0% Term Structure 0.7% -5.5% 11.6% 7.6% 0.9% VWIV 60.8% 45.8% 72.1% 48.9% 70.5% Skew 25d 4.4% 2.0% 6.8% 5.8% 2.0% Skew 10d 8.4% 4.0% 19.1% 12.7% 5.3% Call IV 25d 58.8% 43.7% 70.8% 47.9% 70.8% Put IV 25d 63.2% 49.4% 73.7% 53.7% 72.9% Bid-Ask Spread % 13.65 9.49 19.04 9.60 12.59 Gamma HHI 0.23 0.16 0.40 0.30 0.18 Net GEX 12.6K -601.3K 830.2K -221.9K -601.3K Net DEX -86.2M -138.8M -26.5M -64.6M -26.5M Net VEX -516.1K -563.1K -482.6K -511.6K -563.1K Div Yield 0.0% 0.0% 0.0% 0.0% 0.0% P/C Ratio 1.15 0.47 2.54 0.57 1.76 Total Volume 552,821.5 208,810 1,018,010 313,600 630,980 Total OI 9,161,292 7,010,780 10,151,400 9,116,660 8,461,180
Daily Data (20 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 2008-03-03 $0.44 $0.36 49.9% 14.3% 48.1% 35.3% 48.9% 5.8% 7.6% -221.9K -64.6M -511.6K 0.57 9.60 N/A N/A 200,200 113,400 4,063,710 5,052,950 2008-03-04 $0.45 $0.36 45.0% 12.9% 48.1% 26.3% 45.8% 5.6% 10.4% -46.1K -75.2M -505.9K 1.50 9.89 N/A N/A 293,720 439,180 4,124,470 5,071,010 2008-03-05 $0.46 $0.39 45.8% 13.1% 46.4% 27.7% 48.3% 5.2% 11.6% -197.0K -82.3M -520.6K 0.94 13.52 N/A N/A 316,540 297,570 4,259,080 5,375,230 2008-03-06 $0.44 $0.39 47.5% 13.6% 50.4% 30.9% 47.8% 2.3% 10.9% -262.7K -59.3M -520.5K 1.88 9.72 N/A N/A 82,460 154,770 4,360,230 5,308,240 2008-03-07 $0.45 $0.43 45.0% 16.4% 49.9% 26.4% 58.8% 3.9% -1.0% -194.6K -69.6M -516.6K 1.75 13.26 N/A N/A 149,310 260,960 4,383,890 5,351,710 2008-03-10 $0.47 $0.43 51.9% 17.0% 53.2% 39.1% 58.4% 6.2% 0.7% 195.3K -105.6M -510.1K 1.35 13.98 N/A N/A 246,680 333,690 4,427,570 5,390,280 2008-03-11 $0.47 $0.43 48.6% 16.8% 53.3% 32.9% 58.7% 3.1% -0.9% 301.5K -103.7M -504.2K 0.97 15.73 N/A N/A 192,010 185,500 4,434,780 5,325,670 2008-03-12 $0.49 $0.43 47.6% 16.8% 53.5% 31.1% 60.7% 5.4% -2.0% 353.7K -116.5M -500.0K 0.98 10.92 N/A N/A 319,760 313,180 4,381,020 5,420,030 2008-03-13 $0.49 $0.43 58.9% 16.9% 53.6% 51.8% 59.6% 6.8% -1.6% 274.2K -113.2M -506.6K 0.73 15.20 N/A N/A 206,010 151,130 4,303,460 5,495,560 2008-03-14 $0.48 $0.43 58.3% 16.7% 54.2% 50.8% 57.5% 3.8% 2.1% -1.4K -94.3M -528.3K 0.48 19.04 N/A N/A 198,870 94,710 4,375,280 5,585,090 2008-03-17 $0.47 $0.43 60.8% 17.4% 54.3% 55.3% 60.6% 3.1% -0.0% 133.3K -92.4M -512.9K 1.47 16.18 N/A N/A 84,560 124,250 4,477,060 5,624,710 2008-03-18 $0.50 $0.43 58.1% 16.7% 57.0% 50.4% 59.4% 6.5% 1.5% 751.1K -133.4M -484.9K 1.17 12.11 N/A N/A 309,120 361,410 4,461,730 5,585,230 2008-03-19 $0.50 $0.46 62.5% 17.9% 57.1% 58.4% 62.7% 2.2% -2.3% 830.2K -126.4M -504.0K 0.47 15.74 N/A N/A 621,600 289,730 4,454,660 5,628,140 2008-03-20 $0.52 $0.46 68.3% 19.6% 57.9% 68.9% 67.5% 3.6% -5.5% 466.4K -138.8M -502.1K 0.92 15.04 N/A N/A 500,010 460,880 4,370,450 5,780,950 2008-03-24 $0.55 $0.46 70.4% 20.2% 59.1% 72.8% 69.5% 5.5% -5.0% -193.8K -83.8M -482.6K 0.76 11.92 N/A N/A 488,390 371,840 2,969,820 4,040,960 2008-03-25 $0.53 $0.50 68.5% 19.6% 61.1% 68.5% 68.8% 3.5% -4.0% -276.1K -70.5M -506.1K 0.96 9.49 N/A N/A 137,550 131,880 3,068,030 4,192,160 2008-03-26 $0.54 $0.50 69.1% 19.8% 60.6% 69.7% 69.1% 5.7% -3.5% -246.6K -75.3M -518.3K 0.60 16.52 N/A N/A 637,350 380,660 3,111,290 4,247,460 2008-03-27 $0.52 $0.50 71.9% 20.6% 51.2% 75.0% 72.1% 5.0% -4.7% -323.5K -52.5M -563.1K 2.54 15.41 N/A N/A 187,950 477,190 3,406,340 4,561,060 2008-03-28 $0.51 $0.50 69.0% 19.8% 50.7% 69.5% 70.4% 3.2% -0.6% -488.4K -39.5M -560.9K 1.19 17.11 N/A N/A 141,960 169,470 3,468,780 4,826,570 2008-03-31 $0.49 $0.50 69.3% 19.9% 52.0% 70.2% 70.5% 2.0% 0.9% -601.3K -26.5M -563.1K 1.76 12.59 N/A N/A 228,340 402,640 3,548,090 4,913,090
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