NFLX Options History — September 2008 In September 2008, NFLX traded between $0.40 and $0.47. ATM implied volatility averaged 48.1%, placing in the 28.1% IV rank vs the trailing year. The 30-day expected move averaged 14.1%. IV traded above realized volatility by 10.5% (HV 20d: 37.6%). Max pain ranged from $0.46 to $0.50. Net GEX was positive for 0 of 21 trading days. Term structure was in contango for 21 of 21 days. Put/call ratio averaged 2.26.
Notable Days 2008-09-18 : Highest Volume — 730,450 contracts2008-09-29 : Largest IV spike — 22.2% change2008-09-17 : Highest IV Rank — 46.5%2008-09-17 : Largest Expected Move — 16.5%Monthly Statistics Metric Avg Min Max Open Close Price $0.43 $0.40 $0.47 $0.44 $0.44 Max Pain $0.48 $0.46 $0.50 $0.50 $0.50 ATM IV 48.1% 41.7% 57.6% 41.7% 46.2% Expected Move 14.1% 11.9% 16.5% 11.9% 13.2% HV 20d 37.6% 30.8% 46.8% 31.8% 46.8% HV 60d 44.6% 42.0% 46.2% 45.9% 42.7% IV Rank 28.1% 15.5% 46.5% 15.5% 24.2% IV Percentile 46.5% 8.3% 75.4% 8.3% 40.9% Term Structure 5.9% 1.1% 14.0% 3.7% 14.0% VWIV 50.0% 41.5% 64.0% 41.5% 52.1% Skew 25d 3.2% -1.5% 7.7% -1.5% 1.2% Skew 10d 8.4% -9.7% 27.5% -6.9% 5.2% Call IV 25d 48.3% 42.4% 57.8% 42.8% 49.4% Put IV 25d 51.5% 41.3% 61.4% 41.3% 50.7% Bid-Ask Spread % 32.32 13.03 82.10 13.57 46.38 Gamma HHI 0.25 0.17 0.43 0.22 0.21 Net GEX -751.1K -1.1M -330.1K -614.0K -827.6K Net DEX 30.9M 3.9M 56.7M 26.0M 20.2M Net VEX -279.2K -293.1K -262.9K -288.2K -267.2K Div Yield 0.0% 0.0% 0.0% 0.0% 0.0% P/C Ratio 2.26 0.21 8.30 0.73 0.91 Total Volume 157,950 33,250 730,450 73,430 128,660 Total OI 5,991,893.333 4,619,510 7,264,530 6,236,720 4,830,490
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 2008-09-02 $0.44 $0.50 41.7% 11.9% 31.8% 15.5% 41.5% -1.5% 3.7% -614.0K 26.0M -288.2K 0.73 13.57 N/A N/A 42,420 31,010 2,384,410 3,852,310 2008-09-03 $0.44 $0.50 42.3% 12.1% 31.8% 16.8% 42.2% 0.1% 5.1% -574.6K 25.4M -290.5K 1.62 15.20 N/A N/A 60,900 98,770 2,399,670 3,862,950 2008-09-04 $0.43 $0.50 42.4% 12.2% 34.3% 17.0% 42.3% 1.2% 4.1% -580.4K 36.0M -286.1K 0.71 13.03 N/A N/A 62,160 43,960 2,444,820 3,920,210 2008-09-05 $0.42 $0.46 41.9% 13.5% 33.9% 16.0% 46.4% 5.0% 7.6% -615.8K 38.4M -278.2K 3.91 18.50 N/A N/A 55,370 216,580 2,427,180 3,926,720 2008-09-08 $0.43 $0.46 44.7% 13.9% 33.6% 21.4% 48.8% 4.0% 5.5% -659.2K 36.7M -281.4K 3.18 19.67 N/A N/A 33,390 106,120 2,421,650 4,029,900 2008-09-09 $0.41 $0.46 46.5% 14.8% 34.4% 25.0% 51.5% 2.8% 5.5% -797.5K 47.8M -270.8K 3.27 20.94 N/A N/A 35,000 114,450 2,425,570 4,030,600 2008-09-10 $0.41 $0.46 45.9% 14.5% 31.3% 23.8% 49.3% 4.9% 7.7% -887.8K 49.6M -272.7K 0.49 15.89 N/A N/A 32,060 15,750 2,443,000 4,097,240 2008-09-11 $0.41 $0.46 49.1% 14.1% 30.9% 30.0% 50.7% 3.8% 5.4% -858.4K 48.9M -262.9K 2.92 20.08 N/A N/A 51,940 151,620 2,451,050 4,081,770 2008-09-12 $0.42 $0.46 49.0% 14.1% 30.8% 29.9% 49.8% 6.2% 4.2% -747.1K 44.6M -276.2K 6.80 13.96 N/A N/A 34,300 233,170 2,462,670 4,158,770 2008-09-15 $0.40 $0.46 52.5% 15.1% 34.0% 36.6% 53.4% 1.9% 4.6% -1.1M 56.7M -271.3K 0.97 14.71 N/A N/A 85,260 82,880 2,468,270 4,295,060 2008-09-16 $0.41 $0.46 52.8% 15.1% 34.0% 37.2% 51.1% 3.7% 4.3% -1.1M 54.8M -264.1K 0.64 21.43 N/A N/A 29,400 18,830 2,484,930 4,319,840 2008-09-17 $0.41 $0.46 57.6% 16.5% 34.2% 46.5% 64.0% 3.6% 2.8% -890.0K 47.4M -281.4K 0.35 35.53 N/A N/A 137,830 48,300 2,494,660 4,365,970 2008-09-18 $0.44 $0.46 52.9% 15.2% 43.1% 37.3% 55.4% 7.7% 3.1% -330.1K 28.2M -278.3K 7.27 51.21 N/A N/A 88,340 642,110 2,537,990 4,297,020 2008-09-19 $0.46 $0.50 50.7% 14.5% 43.7% 33.1% 49.1% 6.1% 1.1% -405.7K 32.1M -277.4K 0.21 60.23 N/A N/A 134,400 28,210 2,557,310 4,707,220 2008-09-22 $0.45 $0.50 50.6% 14.5% 43.3% 32.8% 50.9% 3.3% 2.3% -768.7K 12.2M -280.9K 8.30 61.63 N/A N/A 15,680 130,130 1,568,560 3,050,950 2008-09-23 $0.45 $0.50 49.8% 14.3% 42.3% 31.3% 50.4% 3.4% 11.4% -784.2K 12.9M -293.1K 0.44 39.82 N/A N/A 39,410 17,500 1,604,540 3,155,320 2008-09-24 $0.45 $0.50 50.0% 14.3% 42.4% 31.6% 50.8% 2.5% 5.8% -783.6K 10.8M -286.2K 0.63 30.68 N/A N/A 20,370 12,880 1,627,710 3,175,130 2008-09-25 $0.47 $0.50 44.3% 12.7% 43.8% 20.6% 48.0% 4.3% 10.2% -837.5K 3.9M -288.0K 1.85 35.06 N/A N/A 43,260 80,080 1,637,510 3,176,320 2008-09-26 $0.47 $0.50 45.0% 12.9% 43.6% 22.0% 46.2% 2.7% 9.9% -831.1K 4.1M -278.2K 0.37 49.20 N/A N/A 30,870 11,270 1,658,090 3,165,400 2008-09-29 $0.45 $0.50 55.0% 15.8% 46.0% 41.4% 55.8% 0.6% 6.7% -723.6K 12.2M -290.5K 1.85 82.10 N/A N/A 25,410 46,900 1,665,370 3,165,610 2008-09-30 $0.44 $0.50 46.2% 13.2% 46.8% 24.2% 52.1% 1.2% 14.0% -827.6K 20.2M -267.2K 0.91 46.38 N/A N/A 67,270 61,390 1,656,130 3,174,360
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