NFLX Options History — November 2008 In November 2008, NFLX traded between $0.27 and $0.35. ATM implied volatility averaged 79.0%, placing in the 64.9% IV rank vs the trailing year. The 30-day expected move averaged 22.6%. IV traded below realized volatility by 32.3% (HV 20d: 111.4%). Max pain ranged from $0.43 to $0.46. Net GEX was positive for 0 of 19 trading days. Term structure was in contango for 10 of 19 days. Put/call ratio averaged 2.67.
Notable Days 2008-11-21 : Highest Volume — 566,510 contracts2008-11-20 : Largest IV spike — 22.2% change2008-11-20 : Highest IV Rank — 100.0%2008-11-20 : Largest Expected Move — 33.0%Monthly Statistics Metric Avg Min Max Open Close Price $0.31 $0.27 $0.35 $0.33 $0.33 Max Pain $0.43 $0.43 $0.46 $0.43 $0.43 ATM IV 79.0% 61.3% 115.1% 71.9% 72.7% Expected Move 22.6% 17.6% 33.0% 20.6% 20.9% HV 20d 111.4% 101.4% 122.4% 119.4% 109.5% HV 60d 85.5% 77.1% 95.3% 77.3% 95.1% IV Rank 64.9% 42.6% 100.0% 59.0% 48.0% IV Percentile 89.2% 73.4% 100.0% 86.9% 84.1% Term Structure 0.8% -6.7% 10.8% -3.2% 7.5% VWIV 78.0% 62.0% 109.4% 71.3% 80.0% Skew 25d 21.2% 13.3% 31.0% 13.3% 26.9% Skew 10d 32.7% 18.0% 57.1% 35.7% 44.6% Call IV 25d 69.8% 58.7% 93.5% 65.7% 61.7% Put IV 25d 91.0% 76.4% 116.2% 79.0% 88.6% Bid-Ask Spread % 19.81 15.93 26.57 21.78 23.67 Gamma HHI 0.25 0.17 0.67 0.18 0.25 Net GEX -841.7K -1.9M -558.2K -814.4K -702.4K Net DEX 55.0M 40.9M 68.3M 50.5M 41.2M Net VEX -151.4K -181.0K -129.4K -178.7K -147.9K Div Yield 0.0% 0.0% 0.0% 0.0% 0.0% P/C Ratio 2.67 0.26 11.65 0.69 0.67 Total Volume 141,322.632 11,900 566,510 87,080 17,500 Total OI 5,593,361.053 4,869,900 6,104,630 5,548,690 5,024,810
Daily Data (19 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 2008-11-03 $0.33 $0.43 71.9% 20.6% 119.4% 59.0% 71.3% 13.3% -3.2% -814.4K 50.5M -178.7K 0.69 21.78 N/A N/A 51,450 35,630 1,803,620 3,745,070 2008-11-04 $0.34 $0.43 61.3% 17.6% 102.5% 42.6% 62.0% 17.8% -0.9% -858.7K 49.4M -181.0K 0.57 19.55 N/A N/A 17,220 9,800 1,804,810 3,760,190 2008-11-05 $0.33 $0.43 69.4% 19.9% 103.7% 55.1% 65.5% 14.5% 0.7% -796.7K 52.6M -175.7K 1.22 24.93 N/A N/A 10,710 13,090 1,806,560 3,755,360 2008-11-06 $0.31 $0.43 77.9% 22.3% 106.4% 68.3% 77.4% 17.3% -3.6% -701.9K 57.2M -156.7K 11.65 26.57 N/A N/A 10,850 126,350 1,808,730 3,761,450 2008-11-07 $0.31 $0.46 70.6% 20.0% 104.4% 57.0% 66.0% 22.0% 0.7% -880.3K 60.9M -159.8K 0.26 19.85 N/A N/A 9,450 2,450 1,811,810 3,983,980 2008-11-10 $0.31 $0.46 72.8% 20.6% 102.7% 60.3% 71.2% 17.2% 0.5% -829.1K 60.5M -151.2K 0.27 20.90 N/A N/A 14,280 3,850 1,786,960 3,935,190 2008-11-11 $0.31 $0.46 74.1% 21.1% 101.7% 62.4% 65.5% 19.4% -0.3% -864.8K 58.3M -156.7K 0.31 17.23 N/A N/A 64,960 20,160 1,789,620 3,933,930 2008-11-12 $0.30 $0.43 85.6% 23.3% 101.4% 80.1% 77.5% 15.7% 0.9% -770.3K 61.7M -140.7K 4.91 20.23 N/A N/A 6,930 34,020 1,826,510 3,932,460 2008-11-13 $0.35 $0.43 70.9% 20.3% 116.7% 57.4% 68.2% 30.2% 0.7% -947.8K 48.2M -168.5K 0.47 16.09 N/A N/A 82,390 38,710 1,825,320 3,948,350 2008-11-14 $0.31 $0.43 79.7% 22.9% 122.2% 71.1% 83.9% 20.5% -2.4% -823.3K 56.4M -157.3K 0.87 19.02 N/A N/A 21,840 18,900 1,868,160 3,960,460 2008-11-17 $0.30 $0.43 87.8% 25.2% 122.4% 83.4% 83.8% 16.0% -2.2% -819.2K 60.6M -139.7K 0.49 20.18 N/A N/A 10,780 5,250 1,862,350 3,962,000 2008-11-18 $0.31 $0.43 78.2% 22.4% 112.9% 68.7% 92.9% 25.9% 1.2% -859.2K 61.7M -137.2K 2.95 19.53 N/A N/A 30,660 90,300 1,869,280 3,958,290 2008-11-19 $0.29 $0.43 94.2% 27.0% 114.0% 93.4% 83.2% 13.5% -1.1% -838.1K 62.2M -135.8K 6.21 16.81 N/A N/A 70,840 440,230 1,880,340 4,008,410 2008-11-20 $0.27 $0.43 115.1% 33.0% 118.6% 100.0% 92.5% 21.2% -6.7% -700.5K 66.6M -129.4K 8.92 21.65 N/A N/A 39,270 350,210 1,933,400 4,082,540 2008-11-21 $0.29 $0.43 99.9% 28.6% 116.5% 81.3% 109.4% 30.1% -1.5% -1.9M 68.3M -132.1K 4.23 16.50 N/A N/A 108,290 458,220 1,958,740 4,145,890 2008-11-24 $0.32 $0.43 79.0% 22.6% 119.8% 55.6% 93.5% 31.0% 5.7% -606.0K 42.9M -143.7K 3.22 16.69 N/A N/A 50,750 163,520 1,701,490 3,168,410 2008-11-25 $0.31 $0.43 70.2% 20.1% 110.7% 44.8% 73.7% 26.5% 10.8% -558.2K 44.7M -137.3K 2.07 19.28 N/A N/A 34,300 70,840 1,737,260 3,233,160 2008-11-26 $0.33 $0.43 70.5% 20.2% 110.6% 45.2% 64.3% 23.3% 8.6% -694.4K 40.9M -147.7K 0.85 15.93 N/A N/A 81,900 69,230 1,753,710 3,145,240 2008-11-28 $0.33 $0.43 72.7% 20.9% 109.5% 48.0% 80.0% 26.9% 7.5% -702.4K 41.2M -147.9K 0.67 23.67 N/A N/A 10,500 7,000 1,817,690 3,207,120
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