NFLX Options History — May 2008

In May 2008, NFLX traded between $0.43 and $0.46. ATM implied volatility averaged 44.9%, placing in the 22.9% IV rank vs the trailing year. The 30-day expected move averaged 13.2%. IV traded below realized volatility by 35.5% (HV 20d: 80.4%). Max pain ranged from $0.43 to $0.54. Net GEX was positive for 8 of 21 trading days. Term structure was in contango for 19 of 21 days. Put/call ratio averaged 1.11.

Notable Days

2008-05-16: Highest Volume — 1,726,410 contracts
2008-05-16: Largest IV spike — 20.6% change
2008-05-16: Highest IV Rank — 41.4%
2008-05-16: Largest Expected Move — 15.6%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$0.44	$0.43	$0.46	$0.44	$0.43
Max Pain	$0.46	$0.43	$0.54	$0.54	$0.43
ATM IV	44.9%	37.5%	54.5%	45.9%	42.5%
Expected Move	13.2%	12.2%	15.6%	13.1%	12.2%
HV 20d	80.4%	32.1%	110.6%	110.6%	32.1%
HV 60d	75.1%	72.7%	76.7%	76.1%	73.0%
IV Rank	22.9%	8.7%	41.4%	24.7%	18.3%
IV Percentile	39.0%	9.5%	70.6%	47.2%	22.2%
Term Structure	4.5%	-1.1%	8.5%	2.3%	4.0%
VWIV	45.7%	42.6%	54.7%	44.0%	43.6%
Skew 25d	2.3%	-1.6%	6.0%	-1.6%	-0.5%
Skew 10d	3.8%	-2.4%	9.4%	-0.2%	0.2%
Call IV 25d	45.4%	42.3%	54.8%	47.6%	44.9%
Put IV 25d	47.7%	44.4%	54.6%	45.9%	44.4%
Bid-Ask Spread %	13.36	9.62	18.69	9.62	10.87
Gamma HHI	0.29	0.20	0.59	0.25	0.20
Net GEX	-446.7K	-1.1M	433.7K	-1.1M	57.1K
Net DEX	34.8M	-14.0M	74.1M	55.7M	16.0M
Net VEX	-464.7K	-522.6K	-410.5K	-481.2K	-468.8K
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	1.11	0.13	3.68	1.40	2.64
Total Volume	459,403.333	74,690	1,726,410	808,570	359,380
Total OI	9,907,986.667	8,239,630	10,934,210	10,044,230	9,350,740

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
2008-05-01	$0.44	$0.54	45.9%	13.1%	110.6%	24.7%	44.0%	-1.6%	2.3%	-1.1M	55.7M	-481.2K	1.40	9.62	N/A	N/A	337,400	471,170	4,456,410	5,587,820
2008-05-02	$0.44	$0.54	44.5%	12.8%	110.4%	22.1%	44.4%	-0.3%	1.8%	-1.0M	50.5M	-482.7K	0.62	11.23	N/A	N/A	97,650	60,970	4,677,260	5,670,140
2008-05-05	$0.44	$0.46	45.0%	13.3%	110.4%	23.1%	46.4%	4.6%	8.3%	-1.0M	53.3M	-473.7K	0.98	15.83	N/A	N/A	61,530	60,060	4,711,630	5,684,840
2008-05-06	$0.44	$0.46	43.9%	13.1%	109.6%	21.0%	44.3%	4.5%	7.3%	-1.0M	57.7M	-456.8K	1.05	15.14	N/A	N/A	52,990	55,580	4,619,650	5,676,090
2008-05-07	$0.43	$0.46	43.2%	13.2%	109.8%	19.6%	46.1%	3.0%	7.6%	-1.0M	67.9M	-444.4K	0.90	14.88	N/A	N/A	53,270	48,160	4,641,140	5,691,420
2008-05-08	$0.43	$0.46	42.3%	12.9%	109.7%	17.8%	44.8%	3.2%	7.6%	-950.8K	67.5M	-441.6K	0.94	16.05	N/A	N/A	242,480	228,830	4,649,960	5,667,550
2008-05-09	$0.44	$0.46	37.5%	12.8%	109.9%	8.7%	44.3%	4.9%	7.9%	-962.8K	64.8M	-446.6K	1.13	15.22	N/A	N/A	49,350	55,860	4,857,510	5,824,980
2008-05-12	$0.44	$0.46	42.7%	13.2%	109.8%	18.6%	46.7%	3.4%	6.3%	-1.0M	65.3M	-441.9K	0.34	16.16	N/A	N/A	315,210	106,540	4,878,370	5,831,420
2008-05-13	$0.44	$0.43	43.8%	12.9%	109.4%	20.7%	43.4%	4.8%	8.5%	-845.9K	60.3M	-436.8K	1.62	18.69	N/A	N/A	47,180	76,650	5,071,570	5,862,640
2008-05-14	$0.43	$0.43	41.3%	13.0%	105.8%	15.9%	44.8%	6.0%	8.2%	-979.5K	66.7M	-431.2K	0.52	11.03	N/A	N/A	49,070	25,620	4,991,350	5,851,160
2008-05-15	$0.43	$0.43	45.2%	13.0%	103.7%	23.5%	42.6%	4.3%	7.9%	-1.1M	74.1M	-410.5K	2.23	13.12	N/A	N/A	68,740	153,300	5,002,060	5,854,030
2008-05-16	$0.45	$0.46	54.5%	15.6%	105.6%	41.4%	54.7%	-0.2%	-0.7%	-613.0K	45.4M	-439.8K	0.13	11.31	N/A	N/A	1,528,940	197,470	5,013,050	5,879,930
2008-05-19	$0.44	$0.46	50.8%	14.6%	105.1%	34.3%	50.4%	1.1%	-1.1%	123.4K	647.5K	-465.1K	0.66	15.70	N/A	N/A	374,360	247,660	3,901,100	4,338,530
2008-05-20	$0.45	$0.46	44.7%	12.8%	41.8%	22.5%	44.8%	1.5%	2.2%	249.4K	-8.5M	-466.7K	0.28	18.46	N/A	N/A	1,191,610	329,770	4,091,080	4,457,250
2008-05-21	$0.45	$0.46	45.4%	13.0%	39.3%	23.9%	46.1%	-0.0%	3.3%	407.6K	-14.0M	-495.8K	0.43	15.47	N/A	N/A	105,210	44,730	4,459,630	4,555,670
2008-05-22	$0.45	$0.46	45.4%	13.0%	33.7%	23.8%	45.8%	2.9%	1.8%	433.7K	-10.7M	-488.5K	0.34	9.68	N/A	N/A	130,200	44,870	4,430,300	4,550,700
2008-05-23	$0.45	$0.46	45.5%	13.0%	32.1%	24.0%	43.3%	2.4%	5.0%	404.1K	-2.0M	-483.5K	3.68	10.42	N/A	N/A	293,580	1,080,590	4,450,180	4,566,380
2008-05-27	$0.46	$0.43	47.0%	13.5%	32.6%	26.9%	47.1%	0.7%	1.9%	329.9K	-5.7M	-522.6K	0.17	9.68	N/A	N/A	342,650	57,960	4,447,450	4,883,200
2008-05-28	$0.44	$0.43	45.8%	13.1%	32.8%	24.6%	45.8%	2.6%	2.6%	235.5K	6.7M	-509.1K	0.79	11.84	N/A	N/A	134,190	106,470	4,568,200	4,870,110
2008-05-29	$0.43	$0.43	46.2%	13.2%	33.8%	25.3%	46.3%	1.8%	1.6%	-5.7K	19.8M	-472.0K	2.41	10.14	N/A	N/A	105,560	254,660	4,586,820	4,908,400
2008-05-30	$0.43	$0.43	42.5%	12.2%	32.1%	18.3%	43.6%	-0.5%	4.0%	57.1K	16.0M	-468.8K	2.64	10.87	N/A	N/A	98,840	260,540	4,573,100	4,777,640