NFLX Options History — April 2008 In April 2008, NFLX traded between $0.43 and $0.58. ATM implied volatility averaged 61.8%, placing in the 55.9% IV rank vs the trailing year. The 30-day expected move averaged 18.1%. IV traded below realized volatility by 8.4% (HV 20d: 70.3%). Max pain ranged from $0.50 to $0.61. Net GEX was positive for 3 of 22 trading days. Term structure was in contango for 3 of 22 days. Put/call ratio averaged 1.48.
Notable Days 2008-04-22 : Highest Volume — 2,676,380 contracts2008-04-22 : Largest IV drop — 35.5% change2008-04-21 : Highest IV Rank — 94.5%2008-04-21 : Largest Expected Move — 23.6%Monthly Statistics Metric Avg Min Max Open Close Price $0.51 $0.43 $0.58 $0.52 $0.46 Max Pain $0.57 $0.50 $0.61 $0.50 $0.54 ATM IV 61.8% 44.7% 82.2% 68.2% 46.9% Expected Move 18.1% 12.8% 23.6% 19.5% 13.4% HV 20d 70.3% 48.5% 112.6% 53.7% 111.0% HV 60d 61.6% 51.5% 77.5% 58.8% 76.0% IV Rank 55.9% 23.7% 94.5% 67.9% 26.7% IV Percentile 78.4% 42.9% 98.8% 91.3% 48.8% Term Structure -3.5% -15.9% 0.7% -1.8% -1.5% VWIV 63.9% 45.8% 81.0% 69.8% 46.5% Skew 25d 5.2% -0.7% 11.2% 5.4% -0.7% Skew 10d 11.4% 3.1% 20.6% 18.3% 3.1% Call IV 25d 61.4% 45.2% 77.1% 67.6% 46.7% Put IV 25d 66.6% 45.9% 81.9% 73.0% 45.9% Bid-Ask Spread % 13.04 7.91 22.04 15.93 8.07 Gamma HHI 0.19 0.15 0.23 0.15 0.21 Net GEX -554.9K -1.1M 806.8K -534.6K -1.1M Net DEX -31.2M -138.1M 49.7M -51.1M 40.3M Net VEX -539.4K -581.5K -432.7K -566.5K -494.0K Div Yield 0.0% 0.0% 0.0% 0.0% 0.0% P/C Ratio 1.48 0.45 5.79 1.78 1.45 Total Volume 624,218.636 133,350 2,676,380 483,350 145,740 Total OI 9,544,640 8,261,120 10,622,080 8,685,740 10,027,780
Daily Data (22 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 2008-04-01 $0.52 $0.50 68.2% 19.5% 53.7% 67.9% 69.8% 5.4% -1.8% -534.6K -51.1M -566.5K 1.78 15.93 N/A N/A 173,600 309,750 3,619,070 5,066,670 2008-04-02 $0.52 $0.50 69.2% 19.8% 53.7% 69.9% 69.2% 4.7% -0.3% -647.5K -45.0M -581.5K 1.13 19.79 N/A N/A 75,880 85,610 3,675,630 5,280,030 2008-04-03 $0.53 $0.50 69.8% 20.0% 54.0% 71.0% 71.0% 6.4% 0.4% -568.2K -58.6M -577.3K 1.32 22.04 N/A N/A 234,360 308,770 3,713,710 5,306,560 2008-04-04 $0.52 $0.61 72.4% 20.9% 52.1% 75.9% 72.1% 11.2% -5.6% -586.5K -44.9M -559.2K 1.89 10.53 N/A N/A 86,870 164,010 3,815,560 5,366,620 2008-04-07 $0.51 $0.61 71.1% 20.2% 52.2% 73.6% 71.7% 8.9% -4.7% -577.5K -40.4M -568.9K 2.16 9.75 N/A N/A 130,900 283,290 3,833,270 5,323,150 2008-04-08 $0.53 $0.61 53.8% 20.2% 48.9% 40.8% 73.0% 11.1% -5.5% -570.6K -55.9M -562.3K 1.65 9.31 N/A N/A 231,420 381,010 3,892,980 5,500,670 2008-04-09 $0.52 $0.61 53.7% 19.8% 49.3% 40.6% 72.8% 7.4% -5.1% -538.7K -47.3M -570.8K 5.79 11.05 N/A N/A 64,120 371,000 3,909,290 5,558,700 2008-04-10 $0.52 $0.61 68.0% 19.5% 48.5% 67.7% 70.8% 8.4% -4.8% -696.3K -48.4M -564.2K 2.01 10.20 N/A N/A 64,610 129,640 3,895,220 5,758,130 2008-04-11 $0.51 $0.61 68.6% 19.7% 49.8% 68.8% 68.7% 7.5% -3.0% -765.0K -31.3M -552.3K 1.16 12.05 N/A N/A 86,310 99,820 3,919,370 5,763,030 2008-04-14 $0.51 $0.61 69.8% 20.0% 48.6% 71.1% 71.0% 3.4% -2.8% -840.2K -35.6M -552.9K 0.58 11.63 N/A N/A 279,650 162,960 3,920,420 5,766,740 2008-04-15 $0.52 $0.61 68.9% 19.8% 48.7% 69.4% 69.1% 4.3% -4.5% -714.8K -53.2M -527.9K 2.77 12.71 N/A N/A 35,350 98,000 3,997,070 5,753,090 2008-04-16 $0.56 $0.61 68.1% 19.5% 49.7% 67.8% 68.0% 4.8% -6.5% -215.1K -99.0M -510.3K 0.45 18.06 N/A N/A 1,038,380 470,120 3,972,220 5,740,350 2008-04-17 $0.58 $0.57 68.6% 19.7% 51.4% 68.7% 68.9% 5.7% -5.7% 806.8K -138.1M -556.4K 0.75 15.15 N/A N/A 317,590 239,680 4,678,800 5,819,660 2008-04-18 $0.55 $0.57 72.2% 20.7% 54.4% 75.7% 71.9% 4.9% -6.2% 164.0K -87.8M -568.3K 1.40 13.22 N/A N/A 290,850 407,680 4,684,470 5,937,610 2008-04-21 $0.56 $0.57 82.2% 23.6% 51.7% 94.5% 81.0% 4.8% -15.9% 134.2K -76.5M -578.3K 1.36 11.90 N/A N/A 766,220 1,045,730 3,880,380 4,380,740 2008-04-22 $0.43 $0.57 53.1% 15.2% 109.5% 39.5% 53.1% 1.7% -2.1% -502.7K 39.1M -432.7K 1.00 15.43 N/A N/A 1,341,200 1,335,180 3,880,380 4,380,740 2008-04-23 $0.45 $0.57 48.4% 13.9% 110.5% 30.6% 49.4% 3.4% -0.7% -760.8K 49.7M -485.8K 0.97 10.19 N/A N/A 356,580 345,240 4,517,380 5,316,640 2008-04-24 $0.47 $0.57 46.9% 13.5% 112.2% 27.8% 47.6% 2.4% 0.7% -842.6K 25.4M -514.2K 0.74 14.94 N/A N/A 523,180 388,850 4,564,490 5,372,430 2008-04-25 $0.49 $0.54 44.7% 12.8% 112.6% 23.7% 45.8% 3.6% 0.1% -842.3K 10.1M -525.0K 0.91 14.72 N/A N/A 240,240 219,660 4,766,790 5,455,100 2008-04-28 $0.47 $0.57 49.0% 14.1% 112.6% 31.8% 48.9% 3.5% -1.2% -998.0K 24.8M -519.9K 0.69 7.91 N/A N/A 151,060 104,930 4,439,190 5,534,340 2008-04-29 $0.46 $0.57 47.0% 13.5% 111.0% 27.0% 46.8% 1.5% -0.8% -1.1M 38.5M -499.0K 0.53 12.27 N/A N/A 96,880 50,890 4,438,140 5,559,470 2008-04-30 $0.46 $0.54 46.9% 13.4% 111.0% 26.7% 46.5% -0.7% -1.5% -1.1M 40.3M -494.0K 1.45 8.07 N/A N/A 59,570 86,170 4,458,300 5,569,480
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