NFLX Options History — July 2008 In July 2008, NFLX traded between $0.38 and $0.44. ATM implied volatility averaged 61.9%, placing in the 55.5% IV rank vs the trailing year. The 30-day expected move averaged 18.4%. IV traded above realized volatility by 12.5% (HV 20d: 49.4%). Max pain ranged from $0.39 to $0.46. Net GEX was positive for 3 of 22 trading days. Term structure was in contango for 8 of 22 days. Put/call ratio averaged 1.28.
Notable Days 2008-07-01 : Highest Volume — 1,111,040 contracts2008-07-25 : Largest IV drop — 40.9% change2008-07-24 : Highest IV Rank — 88.7%2008-07-24 : Largest Expected Move — 22.7%Monthly Statistics Metric Avg Min Max Open Close Price $0.40 $0.38 $0.44 $0.39 $0.44 Max Pain $0.42 $0.39 $0.46 $0.46 $0.39 ATM IV 61.9% 43.0% 79.2% 54.6% 46.0% Expected Move 18.4% 12.3% 22.7% 15.7% 13.2% HV 20d 49.4% 38.9% 55.2% 55.2% 45.5% HV 60d 57.7% 40.9% 73.2% 73.1% 46.1% IV Rank 55.5% 19.3% 88.7% 41.5% 24.9% IV Percentile 72.6% 20.2% 96.8% 72.2% 40.1% Term Structure -4.7% -16.9% 17.2% 14.7% 1.6% VWIV 64.5% 43.3% 82.7% 45.9% 46.9% Skew 25d 3.2% -2.2% 7.8% 1.6% -2.2% Skew 10d 7.3% -11.6% 16.8% 3.4% -2.9% Call IV 25d 64.5% 45.6% 80.2% 55.1% 49.1% Put IV 25d 67.7% 45.0% 88.0% 56.8% 46.9% Bid-Ask Spread % 16.55 11.45 22.36 12.95 11.69 Gamma HHI 0.20 0.16 0.26 0.16 0.24 Net GEX -177.1K -798.7K 739.2K -352.7K 705.0K Net DEX 32.7M -4.9M 49.6M 43.8M -2.5M Net VEX -349.8K -386.4K -240.3K -327.7K -380.5K Div Yield 0.0% 0.0% 0.0% 0.0% 0.0% P/C Ratio 1.28 0.17 3.63 0.17 1.55 Total Volume 362,848.182 32,480 1,111,040 1,111,040 453,530 Total OI 7,315,171.818 5,556,460 8,249,430 6,630,470 7,974,470
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 2008-07-01 $0.39 $0.46 54.6% 15.7% 55.2% 41.5% 45.9% 1.6% 14.7% -352.7K 43.8M -327.7K 0.17 12.95 N/A N/A 946,190 164,850 3,096,240 3,534,230 2008-07-02 $0.39 $0.46 50.5% 14.5% 54.8% 33.6% 51.0% 3.2% 17.0% -297.1K 42.1M -340.9K 2.40 15.47 N/A N/A 24,780 59,570 3,185,420 3,601,150 2008-07-03 $0.39 $0.46 50.0% 14.3% 53.5% 32.7% 50.3% 3.6% 17.2% -344.4K 41.8M -341.2K 0.69 13.49 N/A N/A 33,880 23,310 3,233,860 3,629,850 2008-07-07 $0.40 $0.43 54.7% 20.3% 54.4% 41.6% 70.7% 6.4% -8.7% -311.5K 35.2M -348.5K 1.22 18.92 N/A N/A 34,370 41,860 3,192,700 3,624,250 2008-07-08 $0.41 $0.43 54.2% 20.4% 54.2% 40.6% 71.1% 6.8% -8.7% -291.3K 33.3M -349.0K 0.58 19.71 N/A N/A 20,580 11,900 3,236,520 3,613,470 2008-07-09 $0.41 $0.43 53.0% 20.5% 54.2% 38.5% 69.0% 4.3% -10.1% -210.6K 29.0M -357.0K 0.24 19.49 N/A N/A 72,800 17,780 3,235,120 3,614,870 2008-07-10 $0.40 $0.43 69.5% 19.9% 54.7% 70.0% 68.1% 7.2% -11.4% -314.8K 38.1M -333.6K 2.64 18.58 N/A N/A 245,490 648,480 3,284,610 3,622,780 2008-07-11 $0.39 $0.43 70.1% 20.1% 54.0% 71.1% 71.4% 6.6% -11.2% -567.4K 49.6M -351.1K 3.63 16.91 N/A N/A 40,320 146,160 3,357,480 4,094,230 2008-07-14 $0.40 $0.43 77.0% 22.1% 52.5% 84.5% 77.7% 2.9% -12.4% -607.2K 45.9M -240.3K 0.23 19.36 N/A N/A 847,980 193,620 2,547,790 3,008,670 2008-07-15 $0.40 $0.43 78.4% 22.5% 52.5% 87.1% 80.1% 0.3% -13.9% -164.0K 36.6M -380.4K 0.34 16.28 N/A N/A 326,130 111,860 3,908,590 4,097,450 2008-07-16 $0.40 $0.39 76.2% 21.8% 52.8% 82.8% 75.9% 0.8% -13.6% -71.8K 32.2M -386.4K 1.52 17.73 N/A N/A 110,740 168,770 4,011,210 4,158,210 2008-07-17 $0.40 $0.39 74.9% 21.5% 51.6% 80.3% 75.0% 3.7% -12.4% -161.7K 40.1M -375.5K 1.79 19.15 N/A N/A 45,430 81,410 4,041,660 4,207,770 2008-07-18 $0.39 $0.39 73.2% 21.0% 45.7% 77.1% 76.0% 2.7% -10.8% -271.6K 45.0M -350.7K 0.64 17.23 N/A N/A 151,830 97,860 4,068,890 4,158,840 2008-07-21 $0.39 $0.43 75.4% 21.6% 45.8% 81.4% 75.7% 4.0% -13.9% -196.5K 34.4M -354.2K 1.58 15.28 N/A N/A 32,060 50,540 3,208,310 3,804,360 2008-07-22 $0.39 $0.43 73.0% 20.9% 41.5% 76.8% 73.4% 3.3% -12.6% -234.6K 36.3M -349.7K 1.02 11.45 N/A N/A 103,530 105,560 3,227,280 3,850,840 2008-07-23 $0.40 $0.39 74.4% 21.3% 42.5% 79.4% 74.2% 5.1% -14.2% -160.1K 30.9M -364.5K 0.72 11.70 N/A N/A 154,140 111,300 3,264,450 3,906,840 2008-07-24 $0.38 $0.39 79.2% 22.7% 44.4% 88.7% 82.7% 7.8% -16.9% -282.1K 40.3M -349.9K 2.56 12.05 N/A N/A 224,980 575,680 3,315,830 3,962,350 2008-07-25 $0.40 $0.39 46.8% 13.4% 46.4% 26.6% 48.5% 4.6% 3.0% -798.7K 40.9M -327.1K 1.03 21.19 N/A N/A 243,040 250,110 3,406,130 4,228,560 2008-07-28 $0.41 $0.39 44.6% 12.8% 38.9% 22.3% 46.2% 0.1% 4.7% -425.7K 31.2M -334.1K 2.49 22.36 N/A N/A 134,680 335,930 3,426,780 4,199,650 2008-07-29 $0.44 $0.39 43.5% 12.5% 46.0% 20.2% 43.3% -0.6% 4.3% 723.6K -4.9M -376.7K 0.64 14.95 N/A N/A 265,650 170,870 3,500,210 4,322,290 2008-07-30 $0.44 $0.39 43.0% 12.3% 45.4% 19.3% 44.8% -1.5% 5.2% 739.2K -575.0K -376.4K 0.44 18.23 N/A N/A 71,680 31,430 3,567,690 4,401,880 2008-07-31 $0.44 $0.39 46.0% 13.2% 45.5% 24.9% 46.9% -2.2% 1.6% 705.0K -2.5M -380.5K 1.55 11.69 N/A N/A 177,730 275,800 3,561,740 4,412,730
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