NFLX Options History — October 2008 In October 2008, NFLX traded between $0.26 and $0.43. ATM implied volatility averaged 74.5%, placing in the 66.5% IV rank vs the trailing year. The 30-day expected move averaged 21.3%. IV traded below realized volatility by 11.2% (HV 20d: 85.6%). Max pain ranged from $0.39 to $0.50. Net GEX was positive for 0 of 23 trading days. Term structure was in contango for 3 of 23 days. Put/call ratio averaged 5.42.
Notable Days 2008-10-16 : Highest Volume — 739,410 contracts2008-10-06 : Largest IV spike — 41.0% change2008-10-08 : Highest IV Rank — 100.0%2008-10-09 : Largest Expected Move — 25.7%Monthly Statistics Metric Avg Min Max Open Close Price $0.33 $0.26 $0.43 $0.43 $0.35 Max Pain $0.43 $0.39 $0.50 $0.50 $0.43 ATM IV 74.5% 52.2% 98.5% 52.2% 66.8% Expected Move 21.3% 15.0% 25.7% 15.0% 19.1% HV 20d 85.6% 47.0% 121.7% 47.8% 121.7% HV 60d 61.2% 43.1% 76.7% 43.1% 76.7% IV Rank 66.5% 36.0% 100.0% 36.0% 51.1% IV Percentile 88.7% 65.9% 100.0% 65.9% 75.4% Term Structure -5.0% -11.5% 8.8% 5.8% -2.2% VWIV 72.2% 45.8% 84.8% 46.1% 67.3% Skew 25d 16.3% 1.9% 30.5% 4.9% 16.7% Skew 10d 29.6% 4.3% 65.1% 4.7% 33.3% Call IV 25d 67.7% 51.9% 79.8% 51.9% 60.5% Put IV 25d 84.0% 56.8% 107.1% 56.8% 77.2% Bid-Ask Spread % 33.93 17.13 60.21 31.67 18.69 Gamma HHI 0.22 0.16 0.33 0.21 0.18 Net GEX -706.3K -1.2M -434.6K -759.2K -899.3K Net DEX 53.0M 24.8M 69.6M 24.8M 45.2M Net VEX -188.5K -264.7K -112.0K -264.7K -200.3K Div Yield 0.0% 0.0% 0.0% 0.0% 0.0% P/C Ratio 5.42 0.46 22.69 1.34 0.46 Total Volume 234,807.391 21,070 739,410 72,240 165,900 Total OI 5,243,696.957 4,823,070 5,982,340 4,827,620 5,498,220
Daily Data (23 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 2008-10-01 $0.43 $0.50 52.2% 15.0% 47.8% 36.0% 46.1% 4.9% 5.8% -759.2K 24.8M -264.7K 1.34 31.67 N/A N/A 30,870 41,370 1,656,760 3,170,860 2008-10-02 $0.42 $0.50 59.9% 17.2% 47.0% 50.9% 45.8% 1.9% 1.8% -761.0K 30.5M -256.3K 4.39 34.22 N/A N/A 16,310 71,540 1,658,230 3,164,840 2008-10-03 $0.41 $0.50 54.8% 15.7% 47.1% 41.0% 56.6% 6.8% 8.8% -734.3K 31.5M -254.7K 0.48 29.80 N/A N/A 14,280 6,790 1,662,360 3,192,490 2008-10-06 $0.38 $0.46 77.2% 22.0% 56.0% 84.7% 78.6% 17.1% -7.5% -578.0K 41.7M -229.1K 2.51 31.44 N/A N/A 92,120 231,490 1,666,700 3,193,330 2008-10-07 $0.32 $0.43 84.1% 24.4% 80.2% 98.0% 84.2% 12.7% -4.7% -448.1K 55.4M -173.7K 3.90 50.21 N/A N/A 101,150 394,730 1,684,690 3,287,690 2008-10-08 $0.32 $0.43 86.8% 24.8% 80.9% 100.0% 84.8% 15.3% -11.1% -546.2K 55.3M -194.4K 7.40 38.31 N/A N/A 44,520 329,420 1,677,060 3,448,620 2008-10-09 $0.33 $0.43 98.5% 25.7% 81.1% 100.0% 78.5% 21.6% -11.5% -681.3K 56.1M -205.3K 6.49 41.41 N/A N/A 24,500 158,970 1,686,860 3,630,760 2008-10-10 $0.35 $0.43 79.5% 23.7% 83.9% 70.8% 81.5% 30.5% -10.4% -811.8K 57.0M -213.7K 3.83 60.21 N/A N/A 60,970 233,450 1,691,200 3,660,860 2008-10-13 $0.36 $0.43 72.0% 21.1% 84.9% 59.1% 74.7% 17.9% -4.7% -952.5K 51.6M -221.1K 2.48 38.08 N/A N/A 36,260 89,880 1,708,070 3,714,900 2008-10-14 $0.34 $0.39 70.9% 21.4% 86.4% 57.4% 74.7% 15.5% -7.7% -892.5K 57.7M -201.8K 22.19 40.19 N/A N/A 12,110 268,730 1,729,420 3,699,780 2008-10-15 $0.32 $0.39 87.1% 24.8% 88.2% 82.5% 79.9% 15.3% -10.4% -886.2K 65.7M -186.6K 22.69 42.40 N/A N/A 9,660 219,170 1,733,690 3,854,130 2008-10-16 $0.33 $0.39 85.9% 24.6% 84.8% 80.6% 59.9% 15.8% -8.6% -476.0K 60.6M -190.5K 16.46 43.84 N/A N/A 42,350 697,060 1,740,760 3,869,320 2008-10-17 $0.33 $0.43 83.3% 23.9% 83.4% 76.5% 80.7% 14.0% -9.9% -1.2M 69.6M -202.9K 10.22 46.02 N/A N/A 26,670 272,650 1,756,650 4,225,690 2008-10-20 $0.34 $0.43 70.9% 20.3% 84.4% 57.4% 79.9% 28.1% -6.7% -748.2K 50.1M -190.8K 1.91 50.87 N/A N/A 144,760 277,200 1,575,560 3,309,390 2008-10-21 $0.30 $0.43 68.7% 19.7% 94.1% 54.0% 65.3% 20.2% -4.1% -609.8K 58.2M -143.4K 1.17 23.83 N/A N/A 111,790 130,340 1,640,100 3,425,100 2008-10-22 $0.30 $0.43 73.1% 20.9% 93.6% 60.8% 75.5% 18.5% -8.5% -614.7K 58.4M -143.1K 1.14 27.33 N/A N/A 56,350 64,190 1,658,650 3,474,100 2008-10-23 $0.30 $0.43 71.4% 20.5% 91.6% 58.2% 76.1% 16.7% -3.5% -610.9K 58.0M -148.6K 2.39 20.84 N/A N/A 22,960 54,950 1,670,340 3,483,690 2008-10-24 $0.27 $0.43 72.1% 20.7% 94.5% 59.2% 80.2% 11.6% -4.8% -476.1K 59.0M -130.6K 4.78 18.74 N/A N/A 27,160 129,850 1,673,280 3,500,350 2008-10-27 $0.26 $0.43 85.1% 24.4% 94.9% 79.4% 78.7% 13.5% -5.1% -434.6K 60.1M -112.0K 3.85 27.47 N/A N/A 55,090 212,100 1,684,550 3,547,390 2008-10-28 $0.29 $0.43 74.6% 21.4% 111.6% 63.2% 74.1% 22.5% -7.3% -626.8K 60.0M -136.9K 2.98 22.94 N/A N/A 49,560 147,910 1,716,470 3,624,740 2008-10-29 $0.31 $0.43 70.0% 20.1% 114.8% 56.0% 72.8% 17.8% -2.2% -712.4K 57.1M -163.1K 1.08 24.81 N/A N/A 79,100 85,260 1,735,790 3,716,160 2008-10-30 $0.33 $0.43 68.3% 19.6% 116.8% 53.4% 64.3% 20.6% -1.1% -783.4K 55.1M -171.9K 0.59 17.13 N/A N/A 37,170 21,910 1,745,520 3,759,910 2008-10-31 $0.35 $0.43 66.8% 19.1% 121.7% 51.1% 67.3% 16.7% -2.2% -899.3K 45.2M -200.3K 0.46 18.69 N/A N/A 113,820 52,080 1,761,200 3,737,020
« Sep 2008 | All History | Nov 2008 » Home NFLX History October 2008