NFLX Options History — August 2008 In August 2008, NFLX traded between $0.42 and $0.46. ATM implied volatility averaged 44.4%, placing in the 21.6% IV rank vs the trailing year. The 30-day expected move averaged 12.8%. IV traded below realized volatility by 3.2% (HV 20d: 47.5%). Max pain ranged from $0.43 to $0.50. Net GEX was positive for 9 of 21 trading days. Term structure was in contango for 21 of 21 days. Put/call ratio averaged 2.23.
Notable Days 2008-08-14 : Highest Volume — 928,970 contracts2008-08-11 : Largest IV spike — 16.3% change2008-08-04 : Highest IV Rank — 32.7%2008-08-04 : Largest Expected Move — 14.0%Monthly Statistics Metric Avg Min Max Open Close Price $0.44 $0.42 $0.46 $0.42 $0.44 Max Pain $0.50 $0.43 $0.50 $0.43 $0.50 ATM IV 44.4% 39.4% 50.0% 43.7% 39.4% Expected Move 12.8% 11.3% 14.0% 12.5% 11.3% HV 20d 47.5% 32.5% 52.5% 50.5% 32.5% HV 60d 47.3% 46.7% 47.9% 47.2% 46.7% IV Rank 21.6% 11.1% 32.7% 20.6% 11.1% IV Percentile 28.2% 1.6% 56.7% 24.2% 1.6% Term Structure 5.4% 0.8% 7.7% 6.7% 6.7% VWIV 44.9% 39.6% 49.6% 46.8% 39.6% Skew 25d 1.2% -1.8% 4.5% -0.8% -1.8% Skew 10d 2.8% -4.8% 11.1% 1.5% -4.8% Call IV 25d 44.6% 39.9% 48.4% 47.2% 42.0% Put IV 25d 45.8% 40.1% 50.7% 46.5% 40.1% Bid-Ask Spread % 14.15 10.78 22.67 22.67 13.15 Gamma HHI 0.26 0.18 0.62 0.23 0.21 Net GEX 226.9K -714.9K 2.6M -80.6K -605.9K Net DEX 16.0M -23.3M 34.2M 22.8M 24.8M Net VEX -330.3K -374.1K -295.7K -366.8K -295.7K Div Yield 0.0% 0.0% 0.0% 0.0% 0.0% P/C Ratio 2.23 0.05 9.41 1.55 8.75 Total Volume 214,236.667 32,830 928,970 249,550 83,300 Total OI 7,269,936.667 5,918,010 8,626,170 8,173,480 6,216,490
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 2008-08-01 $0.42 $0.43 43.7% 12.5% 50.5% 20.6% 46.8% -0.8% 6.7% -80.6K 22.8M -366.8K 1.55 22.67 N/A N/A 97,930 151,620 3,647,560 4,525,920 2008-08-04 $0.43 $0.50 50.0% 14.0% 49.6% 32.7% 49.2% 2.3% 6.6% 225.5K 14.8M -374.1K 0.05 13.73 N/A N/A 787,150 42,280 3,668,280 4,574,080 2008-08-05 $0.43 $0.50 48.7% 13.8% 49.6% 30.2% 47.0% 2.5% 6.1% 329.5K 13.0M -362.5K 2.08 15.17 N/A N/A 38,710 80,570 3,656,100 4,569,740 2008-08-06 $0.43 $0.50 49.1% 13.6% 49.5% 30.9% 47.8% 2.4% 7.2% 310.7K 13.5M -356.5K 3.06 15.81 N/A N/A 47,880 146,300 3,649,450 4,617,340 2008-08-07 $0.44 $0.50 43.2% 13.2% 48.4% 19.7% 45.4% 1.8% 7.7% 655.8K 8.2M -360.9K 9.41 17.47 N/A N/A 26,110 245,630 3,636,360 4,712,260 2008-08-08 $0.44 $0.50 40.6% 13.1% 47.6% 14.7% 46.4% 0.4% 6.8% 1.6M -3.1M -357.1K 0.22 16.44 N/A N/A 189,070 41,650 3,645,670 4,658,220 2008-08-11 $0.46 $0.50 47.3% 12.9% 48.5% 27.4% 45.1% 1.1% 7.3% 2.2M -23.3M -344.4K 0.43 11.20 N/A N/A 163,730 70,700 3,607,870 4,662,280 2008-08-12 $0.44 $0.50 46.8% 13.3% 51.7% 26.5% 46.4% -0.3% 7.4% 1.6M 4.6M -340.3K 0.40 14.28 N/A N/A 109,340 43,540 3,559,150 4,688,740 2008-08-13 $0.45 $0.50 41.1% 13.2% 51.6% 15.7% 44.3% 1.2% 7.2% 1.9M 990.4K -328.8K 1.88 12.89 N/A N/A 34,790 65,240 3,547,880 4,697,420 2008-08-14 $0.45 $0.50 46.6% 13.3% 51.5% 26.1% 49.6% 4.5% 4.6% 2.6M -9.3M -336.9K 2.96 10.78 N/A N/A 234,500 694,470 3,557,260 4,743,900 2008-08-15 $0.45 $0.50 44.7% 12.8% 51.1% 22.4% 45.8% 3.3% 6.9% -80.7K 7.0M -346.2K 0.46 14.00 N/A N/A 207,060 94,710 3,502,800 5,123,370 2008-08-18 $0.44 $0.50 45.5% 13.0% 52.1% 24.0% 45.2% 1.5% 0.8% -590.5K 25.2M -315.5K 1.78 11.86 N/A N/A 87,640 155,610 2,272,760 3,645,250 2008-08-19 $0.43 $0.50 45.0% 12.9% 52.5% 23.0% 45.2% 1.0% 1.8% -689.8K 31.9M -314.8K 1.24 11.26 N/A N/A 45,990 56,980 2,305,240 3,764,670 2008-08-20 $0.44 $0.50 44.9% 12.9% 51.9% 22.9% 44.5% 1.6% 2.7% -714.9K 27.9M -309.9K 1.21 12.64 N/A N/A 26,460 31,920 2,321,270 3,796,310 2008-08-21 $0.43 $0.50 44.1% 12.6% 49.2% 21.3% 44.6% -0.6% 3.9% -697.7K 31.7M -314.9K 7.18 13.21 N/A N/A 12,530 90,020 2,333,310 3,801,980 2008-08-22 $0.44 $0.50 42.4% 12.2% 47.8% 18.2% 42.3% 1.2% 5.0% -698.6K 27.3M -310.9K 0.28 13.60 N/A N/A 60,760 16,870 2,336,740 3,813,180 2008-08-25 $0.43 $0.50 43.0% 12.3% 48.0% 19.2% 43.6% 0.9% 4.3% -650.4K 34.2M -302.4K 0.44 11.89 N/A N/A 29,680 12,950 2,379,160 3,807,580 2008-08-26 $0.43 $0.50 42.5% 12.2% 38.1% 17.1% 42.4% -0.6% 3.2% -586.9K 31.9M -299.1K 1.35 15.97 N/A N/A 43,540 58,730 2,390,220 3,815,070 2008-08-27 $0.44 $0.50 41.7% 12.0% 38.2% 15.6% 41.5% 1.5% 5.1% -670.6K 28.1M -300.2K 1.51 16.08 N/A N/A 16,030 24,150 2,379,370 3,827,670 2008-08-28 $0.44 $0.50 41.0% 11.8% 38.4% 14.3% 39.8% 1.4% 5.2% -600.4K 23.1M -299.3K 0.62 12.98 N/A N/A 20,230 12,600 2,382,940 3,827,810 2008-08-29 $0.44 $0.50 39.4% 11.3% 32.5% 11.1% 39.6% -1.8% 6.7% -605.9K 24.8M -295.7K 8.75 13.15 N/A N/A 8,540 74,760 2,384,970 3,831,520
« Jul 2008 | All History | Sep 2008 » Home NFLX History August 2008