NFLX Options History — December 2008 In December 2008, NFLX traded between $0.31 and $0.43. ATM implied volatility averaged 74.5%, placing in the 50.2% IV rank vs the trailing year. The 30-day expected move averaged 21.5%. IV traded below realized volatility by 9.5% (HV 20d: 84.0%). Max pain ranged from $0.39 to $0.43. Net GEX was positive for 6 of 22 trading days. Term structure was in contango for 20 of 22 days. Put/call ratio averaged 1.64.
Notable Days 2008-12-10 : Highest Volume — 508,550 contracts2008-12-11 : Largest IV spike — 19.2% change2008-12-11 : Highest IV Rank — 70.5%2008-12-11 : Largest Expected Move — 26.1%Monthly Statistics Metric Avg Min Max Open Close Price $0.39 $0.31 $0.43 $0.31 $0.43 Max Pain $0.42 $0.39 $0.43 $0.43 $0.43 ATM IV 74.5% 60.9% 91.1% 81.7% 60.9% Expected Move 21.5% 17.5% 26.1% 23.4% 17.5% HV 20d 84.0% 53.5% 110.0% 105.8% 53.5% HV 60d 97.5% 95.4% 99.2% 95.4% 96.3% IV Rank 50.2% 33.5% 70.5% 59.0% 33.5% IV Percentile 79.3% 57.9% 98.4% 92.9% 57.9% Term Structure 6.4% -2.1% 11.9% 0.8% 11.4% VWIV 74.3% 60.4% 89.9% 68.3% 60.4% Skew 25d 20.1% 9.8% 30.0% 20.2% 9.8% Skew 10d 40.4% 18.8% 56.4% 38.3% 18.8% Call IV 25d 65.5% 53.7% 80.1% 72.8% 57.6% Put IV 25d 85.6% 67.4% 99.7% 93.0% 67.4% Bid-Ask Spread % 17.88 8.45 30.65 21.12 8.45 Gamma HHI 0.27 0.13 0.82 0.23 0.17 Net GEX -615.7K -3.4M 357.0K -623.1K 357.0K Net DEX 10.4M -16.7M 42.5M 42.5M -16.7M Net VEX -156.8K -190.4K -141.2K -143.9K -152.9K Div Yield 0.0% 0.0% 0.0% 0.0% 0.0% P/C Ratio 1.64 0.08 6.63 3.21 0.32 Total Volume 157,048.182 11,200 508,550 11,200 234,080 Total OI 4,951,351.364 3,518,480 6,055,840 5,021,450 3,927,140
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 2008-12-01 $0.31 $0.43 81.7% 23.4% 105.8% 59.0% 68.3% 20.2% 0.8% -623.1K 42.5M -143.9K 3.21 21.12 N/A N/A 2,660 8,540 1,822,240 3,199,210 2008-12-02 $0.33 $0.43 78.3% 22.4% 105.8% 54.8% 74.2% 27.6% 5.6% -733.4K 39.9M -145.0K 0.70 20.40 N/A N/A 30,730 21,560 1,823,780 3,197,880 2008-12-03 $0.34 $0.43 63.9% 18.3% 105.7% 37.1% 70.8% 30.0% 9.8% -793.5K 37.4M -150.9K 1.99 19.64 N/A N/A 8,120 16,170 1,847,580 3,214,890 2008-12-04 $0.33 $0.43 75.6% 21.7% 105.0% 51.5% 79.1% 21.5% 5.2% -739.0K 39.0M -148.2K 0.78 22.90 N/A N/A 37,030 28,910 1,848,840 3,216,640 2008-12-05 $0.36 $0.39 74.3% 21.6% 106.0% 49.8% 89.1% 26.7% 11.4% -869.4K 29.3M -156.1K 4.17 17.04 N/A N/A 27,090 113,050 1,862,770 3,225,250 2008-12-08 $0.36 $0.39 78.8% 22.7% 105.9% 55.4% 88.1% 23.3% 8.1% -869.5K 26.1M -156.4K 6.63 18.52 N/A N/A 20,790 137,900 1,877,890 3,294,480 2008-12-09 $0.40 $0.39 75.9% 22.1% 110.0% 51.9% 70.8% 30.0% 5.4% -860.9K 7.4M -162.4K 0.74 30.65 N/A N/A 259,420 191,940 1,888,110 3,384,080 2008-12-10 $0.41 $0.39 76.4% 23.0% 110.0% 52.5% 75.9% 22.5% 4.7% -632.0K 1.9M -169.2K 1.15 25.28 N/A N/A 236,880 271,670 2,058,980 3,407,180 2008-12-11 $0.40 $0.43 91.1% 26.1% 106.9% 70.5% 89.9% 18.6% -2.1% -744.2K 4.7M -186.4K 2.14 17.63 N/A N/A 105,420 225,820 2,177,280 3,582,320 2008-12-12 $0.41 $0.43 90.1% 25.8% 91.6% 69.3% 87.9% 20.2% -1.1% -802.9K 4.7M -190.4K 1.84 17.30 N/A N/A 10,710 19,740 2,237,970 3,739,960 2008-12-15 $0.41 $0.43 88.3% 25.3% 82.3% 67.1% 85.8% 17.1% 2.1% -763.2K 3.9M -175.9K 1.54 14.55 N/A N/A 51,170 78,750 2,224,320 3,729,880 2008-12-16 $0.41 $0.43 84.6% 24.3% 80.3% 62.6% 81.1% 18.1% 1.1% -728.5K 1.9M -171.4K 1.83 25.83 N/A N/A 45,640 83,440 2,222,570 3,702,160 2008-12-17 $0.41 $0.43 77.3% 22.1% 80.4% 53.5% 79.9% 20.3% 3.6% -752.5K 665.7K -165.3K 0.70 12.10 N/A N/A 32,620 22,750 2,237,830 3,711,190 2008-12-18 $0.40 $0.43 81.1% 23.3% 78.6% 58.3% 76.5% 17.6% 3.0% -969.1K 4.8M -155.4K 0.30 12.31 N/A N/A 126,070 37,240 2,256,100 3,703,140 2008-12-19 $0.40 $0.43 69.3% 19.9% 68.7% 43.7% 67.8% 18.6% 8.4% -3.4M 6.0M -153.8K 0.99 14.79 N/A N/A 108,220 106,750 2,348,640 3,707,200 2008-12-22 $0.40 $0.43 66.4% 19.0% 66.6% 40.2% 66.4% 20.0% 11.0% -82.3K 2.4M -142.2K 0.08 20.34 N/A N/A 180,110 15,260 1,557,640 1,960,840 2008-12-23 $0.39 $0.43 64.9% 18.6% 59.5% 38.3% 66.9% 14.9% 11.6% 40.9K 1.9M -145.7K 0.55 16.07 N/A N/A 40,880 22,400 1,725,710 1,970,920 2008-12-24 $0.39 $0.43 64.5% 18.5% 57.9% 37.9% 66.8% 16.6% 11.3% 50.2K 1.2M -146.1K 1.02 10.26 N/A N/A 22,890 23,450 1,738,800 1,971,270 2008-12-26 $0.41 $0.43 65.7% 18.8% 56.4% 39.3% 62.6% 15.5% 8.8% 78.7K -3.3M -145.7K 0.93 20.79 N/A N/A 30,240 28,140 1,749,580 1,983,100 2008-12-29 $0.40 $0.43 67.2% 19.3% 57.4% 41.2% 62.5% 16.0% 9.7% 72.1K -943.2K -141.2K 0.97 12.45 N/A N/A 153,160 147,840 1,760,570 1,987,650 2008-12-30 $0.41 $0.43 63.2% 18.1% 54.3% 36.3% 64.4% 16.7% 11.9% 175.4K -5.3M -144.6K 3.47 15.04 N/A N/A 20,090 69,720 1,851,010 1,995,140 2008-12-31 $0.43 $0.43 60.9% 17.5% 53.5% 33.5% 60.4% 9.8% 11.4% 357.0K -16.7M -152.9K 0.32 8.45 N/A N/A 177,100 56,980 1,933,330 1,993,810
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