NFLX Options History — June 2008 In June 2008, NFLX traded between $0.37 and $0.47. ATM implied volatility averaged 49.0%, placing in the 30.7% IV rank vs the trailing year. The 30-day expected move averaged 14.3%. IV traded above realized volatility by 7.2% (HV 20d: 41.8%). Max pain ranged from $0.43 to $0.46. Net GEX was positive for 16 of 21 trading days. Term structure was in contango for 21 of 21 days. Put/call ratio averaged 1.28.
Notable Days 2008-06-19 : Highest Volume — 788,830 contracts2008-06-12 : Largest IV spike — 11.4% change2008-06-30 : Highest IV Rank — 44.7%2008-06-30 : Largest Expected Move — 16.1%Monthly Statistics Metric Avg Min Max Open Close Price $0.44 $0.37 $0.47 $0.44 $0.37 Max Pain $0.46 $0.43 $0.46 $0.46 $0.46 ATM IV 49.0% 42.9% 56.3% 44.1% 56.3% Expected Move 14.3% 12.3% 16.1% 12.6% 16.1% HV 20d 41.8% 32.7% 54.8% 32.7% 54.5% HV 60d 71.7% 70.3% 72.6% 72.5% 72.5% IV Rank 30.7% 19.0% 44.7% 21.3% 44.7% IV Percentile 53.9% 23.4% 73.8% 32.1% 73.8% Term Structure 6.6% 1.9% 15.3% 2.6% 15.3% VWIV 49.7% 42.2% 56.7% 43.4% 56.7% Skew 25d 1.7% -5.4% 5.2% 2.0% -0.5% Skew 10d 5.0% -5.9% 20.4% 6.7% -4.2% Call IV 25d 49.4% 41.4% 57.2% 42.9% 56.9% Put IV 25d 51.1% 43.6% 56.5% 44.9% 56.5% Bid-Ask Spread % 16.36 10.90 23.28 11.13 14.97 Gamma HHI 0.22 0.14 0.42 0.20 0.17 Net GEX 267.7K -847.6K 1.1M 149.1K -354.5K Net DEX 9.5M -31.3M 47.3M 12.2M 47.3M Net VEX -418.0K -492.5K -305.3K -464.3K -305.3K Div Yield 0.0% 0.0% 0.0% 0.0% 0.0% P/C Ratio 1.28 0.18 5.16 0.20 1.25 Total Volume 253,686.667 63,350 788,830 127,680 114,590 Total OI 8,789,516.667 5,840,310 10,193,540 9,411,780 6,645,030
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 2008-06-02 $0.44 $0.46 44.1% 12.6% 32.7% 21.3% 43.4% 2.0% 2.6% 149.1K 12.2M -464.3K 0.20 11.13 N/A N/A 106,190 21,490 4,616,850 4,794,930 2008-06-03 $0.46 $0.46 43.3% 12.4% 34.6% 19.7% 43.5% 1.5% 3.0% 553.9K -8.8M -478.9K 0.72 13.98 N/A N/A 69,860 50,610 4,646,600 4,797,870 2008-06-04 $0.46 $0.43 43.6% 12.5% 34.9% 20.4% 43.5% 2.6% 2.5% 749.7K -17.0M -482.9K 1.09 15.87 N/A N/A 66,150 71,820 4,656,750 4,801,790 2008-06-05 $0.47 $0.46 42.9% 12.3% 34.1% 19.0% 42.2% 2.2% 4.0% 1.1M -31.3M -486.4K 0.18 10.94 N/A N/A 632,870 113,750 4,666,060 4,828,250 2008-06-06 $0.45 $0.46 43.8% 14.1% 37.9% 20.8% 48.0% 3.7% 4.1% 884.7K -11.8M -492.5K 0.25 18.62 N/A N/A 168,350 41,510 5,068,770 4,878,090 2008-06-09 $0.44 $0.46 47.0% 14.5% 38.3% 26.8% 48.4% 3.6% 4.4% 387.4K 4.8M -453.8K 1.34 19.05 N/A N/A 132,300 176,960 5,068,980 4,891,390 2008-06-10 $0.44 $0.46 44.9% 14.5% 38.8% 22.8% 49.5% 3.0% 4.8% 171.3K 14.7M -435.9K 4.13 19.01 N/A N/A 44,100 182,280 5,010,880 4,838,960 2008-06-11 $0.43 $0.46 45.7% 14.6% 39.1% 24.3% 49.5% 4.3% 4.9% -4.9K 20.2M -430.1K 1.13 16.76 N/A N/A 71,540 80,500 4,973,360 4,914,070 2008-06-12 $0.44 $0.46 50.9% 14.6% 40.0% 34.4% 47.7% 5.2% 5.2% 148.6K 11.8M -432.4K 0.85 19.29 N/A N/A 60,970 51,660 4,945,430 4,916,590 2008-06-13 $0.46 $0.46 48.5% 13.9% 41.6% 29.8% 48.7% 5.1% 6.1% 972.1K -13.5M -446.5K 0.60 19.74 N/A N/A 118,090 71,260 4,952,640 4,932,340 2008-06-16 $0.46 $0.46 49.3% 14.1% 36.9% 31.2% 49.9% 5.1% 5.1% 681.3K -5.0M -426.7K 0.40 19.30 N/A N/A 64,890 25,690 4,956,210 4,954,180 2008-06-17 $0.45 $0.46 48.5% 13.9% 36.7% 29.7% 49.5% 2.2% 6.0% 64.9K 8.3M -409.3K 0.55 14.78 N/A N/A 40,880 22,470 4,899,580 4,962,370 2008-06-18 $0.43 $0.46 51.1% 14.7% 38.1% 34.8% 50.8% 2.9% 4.1% -847.6K 29.2M -384.6K 2.96 17.66 N/A N/A 72,940 215,600 4,891,740 4,960,480 2008-06-19 $0.46 $0.46 52.1% 14.9% 44.4% 36.6% 52.6% 2.5% 3.2% 757.4K -6.2M -412.5K 0.26 17.31 N/A N/A 623,630 165,200 4,902,520 4,988,410 2008-06-20 $0.45 $0.46 53.8% 15.4% 45.1% 39.9% 53.7% 1.5% 1.9% 466.4K 7.3M -408.0K 2.00 13.76 N/A N/A 87,150 174,370 5,176,780 5,016,760 2008-06-23 $0.42 $0.46 52.5% 15.1% 49.4% 37.5% 53.2% -5.4% 13.1% 149.3K 18.1M -376.9K 1.04 11.71 N/A N/A 225,050 233,800 2,792,230 3,048,080 2008-06-24 $0.41 $0.46 52.8% 15.2% 48.6% 38.1% 54.3% -2.1% 11.2% 7.1K 24.4M -372.9K 1.53 23.28 N/A N/A 106,190 161,980 2,964,010 3,231,620 2008-06-25 $0.42 $0.46 51.6% 14.8% 48.5% 35.8% 53.8% -1.5% 10.6% 10.9K 22.9M -388.5K 0.55 18.62 N/A N/A 49,350 27,300 2,995,930 3,345,580 2008-06-26 $0.41 $0.46 53.1% 15.2% 48.7% 38.6% 51.8% -0.7% 12.1% -115.2K 28.9M -368.8K 5.16 16.86 N/A N/A 37,380 193,060 2,981,440 3,342,430 2008-06-27 $0.38 $0.46 53.3% 15.3% 54.8% 38.9% 53.5% -1.6% 13.7% -285.8K 42.5M -320.7K 0.73 10.90 N/A N/A 204,960 148,680 2,981,440 3,342,430 2008-06-30 $0.37 $0.46 56.3% 16.1% 54.5% 44.7% 56.7% -0.5% 15.3% -354.5K 47.3M -305.3K 1.25 14.97 N/A N/A 51,030 63,560 3,107,090 3,537,940
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