NFLX Options History — January 2009

In January 2009, NFLX traded between $0.42 and $0.53. ATM implied volatility averaged 68.5%, placing in the 42.7% IV rank vs the trailing year. The 30-day expected move averaged 20.8%. IV traded above realized volatility by 14.9% (HV 20d: 53.6%). Max pain ranged from $0.39 to $0.50. Net GEX was positive for 13 of 20 trading days. Term structure was in contango for 5 of 20 days. Put/call ratio averaged 0.97.

Notable Days

2009-01-29: Highest Volume — 1,820,000 contracts
2009-01-27: Largest IV drop — 37.8% change
2009-01-20: Highest IV Rank — 60.4%
2009-01-20: Largest Expected Move — 23.8%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$0.46	$0.42	$0.53	$0.43	$0.52
Max Pain	$0.47	$0.39	$0.50	$0.43	$0.50
ATM IV	68.5%	51.3%	82.9%	61.3%	65.1%
Expected Move	20.8%	14.7%	23.8%	17.6%	18.7%
HV 20d	53.6%	37.8%	72.2%	53.4%	71.9%
HV 60d	85.4%	77.4%	90.3%	89.2%	79.2%
IV Rank	42.7%	21.6%	60.4%	33.9%	38.6%
IV Percentile	70.9%	42.9%	93.3%	57.9%	61.9%
Term Structure	-4.0%	-10.3%	10.4%	10.4%	0.6%
VWIV	73.4%	51.3%	83.0%	63.1%	73.4%
Skew 25d	12.9%	7.5%	15.9%	11.6%	13.9%
Skew 10d	22.9%	15.5%	28.8%	25.3%	28.8%
Call IV 25d	66.2%	47.5%	77.2%	56.2%	57.1%
Put IV 25d	79.1%	55.4%	89.4%	67.8%	71.0%
Bid-Ask Spread %	15.35	11.80	18.90	17.74	18.90
Gamma HHI	0.22	0.13	0.30	0.17	0.13
Net GEX	82.5K	-234.3K	518.5K	155.2K	518.5K
Net DEX	-17.5M	-36.3M	2.6M	-13.3M	-36.3M
Net VEX	-170.1K	-334.6K	-142.7K	-147.1K	-334.6K
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	0.97	0.19	2.62	0.35	1.39
Total Volume	396,690	35,910	1,820,000	35,910	1,102,990
Total OI	3,548,510	2,159,430	4,928,630	3,838,590	4,928,630

Daily Data (20 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
2009-01-02	$0.43	$0.43	61.3%	17.6%	53.4%	33.9%	63.1%	11.6%	10.4%	155.2K	-13.3M	-147.1K	0.35	17.74	N/A	N/A	26,670	9,240	1,822,170	2,016,420
2009-01-05	$0.46	$0.39	62.0%	20.0%	54.9%	34.8%	72.5%	15.2%	-5.9%	265.8K	-26.7M	-143.7K	0.24	12.83	N/A	N/A	215,740	52,430	1,836,380	2,017,120
2009-01-06	$0.47	$0.43	61.4%	20.5%	48.5%	34.0%	70.4%	15.7%	-6.1%	328.2K	-32.8M	-142.7K	0.70	15.37	N/A	N/A	68,180	47,880	1,839,670	2,051,770
2009-01-07	$0.47	$0.43	62.0%	21.4%	49.1%	34.7%	79.1%	14.9%	-4.1%	275.5K	-29.6M	-148.4K	2.03	18.41	N/A	N/A	64,610	131,390	1,848,560	2,084,040
2009-01-08	$0.47	$0.43	62.7%	21.6%	37.8%	35.6%	70.5%	15.9%	-6.3%	272.6K	-31.3M	-152.2K	0.49	17.99	N/A	N/A	62,300	30,660	1,863,260	2,150,400
2009-01-09	$0.46	$0.43	61.8%	21.4%	39.7%	34.6%	72.7%	13.3%	-5.8%	235.6K	-28.1M	-152.0K	1.48	16.01	N/A	N/A	26,880	39,760	1,897,000	2,163,210
2009-01-12	$0.45	$0.43	74.3%	23.4%	41.7%	49.9%	78.0%	14.9%	-6.6%	123.3K	-21.7M	-142.9K	2.61	17.56	N/A	N/A	142,450	371,840	1,902,040	2,176,720
2009-01-13	$0.44	$0.50	72.0%	23.1%	41.8%	47.0%	80.1%	14.6%	-7.2%	-131.4K	-11.0M	-155.4K	1.37	16.45	N/A	N/A	59,430	81,270	1,910,440	2,499,490
2009-01-14	$0.42	$0.50	69.8%	23.7%	45.5%	44.4%	81.4%	13.2%	-5.5%	-234.3K	2.6M	-149.9K	0.91	11.93	N/A	N/A	278,600	254,520	1,859,690	2,504,880
2009-01-15	$0.45	$0.50	78.4%	22.5%	51.2%	55.0%	80.7%	13.1%	-6.9%	-61.3K	-20.1M	-164.5K	0.65	15.40	N/A	N/A	131,740	85,750	2,047,220	2,595,040
2009-01-16	$0.45	$0.50	75.2%	21.6%	51.6%	51.0%	76.3%	13.2%	-5.8%	-127.6K	-21.4M	-159.1K	0.60	16.39	N/A	N/A	53,550	31,990	2,112,460	2,623,390
2009-01-20	$0.43	$0.50	82.9%	23.8%	54.1%	60.4%	83.0%	12.2%	-8.2%	-24.8K	2.5M	-150.3K	2.62	15.76	N/A	N/A	17,080	44,730	1,006,740	1,152,690
2009-01-21	$0.44	$0.50	80.0%	22.9%	54.1%	56.9%	82.0%	12.0%	-7.8%	-34.9K	556.2K	-153.1K	0.19	16.98	N/A	N/A	107,450	20,860	1,016,190	1,180,410
2009-01-22	$0.44	$0.50	81.0%	23.2%	54.1%	58.1%	79.7%	13.2%	-6.4%	1.5K	-1.8M	-165.0K	0.40	11.80	N/A	N/A	31,780	12,600	1,112,580	1,193,010
2009-01-23	$0.43	$0.50	78.0%	22.4%	53.2%	54.5%	77.3%	12.3%	-6.3%	4.0K	-439.1K	-162.3K	0.38	13.01	N/A	N/A	49,980	19,040	1,124,830	1,196,720
2009-01-26	$0.43	$0.46	82.5%	23.6%	53.4%	59.9%	81.5%	13.6%	-10.3%	20.8K	327.8K	-158.3K	1.05	11.83	N/A	N/A	234,710	246,820	1,150,590	1,203,090
2009-01-27	$0.50	$0.46	51.3%	14.7%	72.2%	21.6%	54.0%	9.9%	2.0%	-5.6K	-21.3M	-174.7K	0.56	11.98	N/A	N/A	766,430	432,180	1,234,450	1,365,980
2009-01-28	$0.52	$0.50	51.3%	14.7%	72.0%	21.6%	51.3%	7.9%	2.9%	40.3K	-28.4M	-194.3K	1.14	12.92	N/A	N/A	355,460	404,810	1,393,910	1,478,260
2009-01-29	$0.53	$0.50	56.0%	16.0%	71.8%	27.3%	60.3%	7.5%	3.7%	27.5K	-32.3M	-251.7K	0.27	17.71	N/A	N/A	1,435,630	384,370	1,600,130	1,810,620
2009-01-30	$0.52	$0.50	65.1%	18.7%	71.9%	38.6%	73.4%	13.9%	0.6%	518.5K	-36.3M	-334.6K	1.39	18.90	N/A	N/A	460,740	642,250	2,852,570	2,076,060