NFLX Options History — February 2009

In February 2009, NFLX traded between $0.51 and $0.55. ATM implied volatility averaged 59.7%, placing in the 30.2% IV rank vs the trailing year. The 30-day expected move averaged 17.2%. IV traded above realized volatility by 0.0% (HV 20d: 59.6%). Max pain ranged from $0.50 to $0.50. Net GEX was positive for 19 of 19 trading days. Term structure was in contango for 18 of 19 days. Put/call ratio averaged 1.41.

Notable Days

  • 2009-02-24: Highest Volume — 784,280 contracts
  • 2009-02-10: Largest IV spike — 12.1% change
  • 2009-02-10: Highest IV Rank — 37.6%
  • 2009-02-17: Largest Expected Move — 18.1%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$0.53$0.51$0.55$0.53$0.52
Max Pain$0.50$0.50$0.50$0.50$0.50
ATM IV59.7%56.9%64.3%61.8%56.9%
Expected Move17.2%16.3%18.1%17.7%16.3%
HV 20d59.6%30.9%71.9%71.9%30.9%
HV 60d66.8%55.0%79.1%79.1%55.0%
IV Rank30.2%25.0%37.6%34.5%25.0%
IV Percentile54.0%46.8%60.7%57.9%46.8%
Term Structure2.4%-1.2%4.9%2.7%1.0%
VWIV62.5%55.4%71.0%71.0%57.4%
Skew 25d9.9%5.3%16.9%15.3%7.4%
Skew 10d20.7%12.6%34.8%32.5%13.1%
Call IV 25d57.0%52.8%61.5%59.3%53.5%
Put IV 25d66.9%60.9%74.6%74.6%60.9%
Bid-Ask Spread %16.6310.3521.0910.3518.42
Gamma HHI0.140.110.210.130.17
Net GEX345.1K79.3K654.2K550.9K259.7K
Net DEX-28.5M-55.0M4.6M-43.9M-2.2M
Net VEX-403.6K-455.6K-365.6K-365.6K-455.6K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.410.516.671.590.69
Total Volume307,815.78997,300784,280419,30097,300
Total OI6,670,355.2635,623,3807,480,0605,697,5106,582,170

Daily Data (19 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2009-02-02$0.53$0.5061.8%17.7%71.9%34.5%71.0%15.3%2.7%550.9K-43.9M-365.6K1.5910.35N/AN/A161,910257,3903,159,5902,537,920
2009-02-03$0.52$0.5061.5%17.6%68.9%34.1%69.0%15.3%1.6%504.6K-41.0M-371.9K6.6717.52N/AN/A85,610570,9903,195,7102,674,700
2009-02-04$0.53$0.5059.0%16.9%68.3%31.0%65.5%16.4%3.7%341.5K-37.3M-400.6K0.6414.70N/AN/A97,86062,3703,220,4203,190,740
2009-02-05$0.54$0.5057.4%16.5%68.3%29.2%66.9%16.9%2.6%445.3K-44.4M-394.2K1.8613.10N/AN/A51,38095,3403,252,6203,206,980
2009-02-06$0.53$0.5056.9%17.1%68.6%28.5%62.1%9.7%2.5%331.9K-38.9M-387.0K1.5414.12N/AN/A56,91087,3603,263,1203,246,530
2009-02-09$0.53$0.5057.4%17.1%67.5%29.1%62.3%10.2%1.8%388.8K-40.8M-375.3K0.8613.57N/AN/A101,15086,5903,270,2603,285,240
2009-02-10$0.52$0.5064.3%17.9%66.7%37.6%61.6%9.2%3.5%228.9K-32.0M-378.1K2.5416.29N/AN/A193,690492,2403,303,4403,304,140
2009-02-11$0.52$0.5058.1%17.5%66.5%29.9%59.9%9.7%2.6%96.1K-20.7M-413.9K1.1917.35N/AN/A119,420141,9603,422,6503,702,230
2009-02-12$0.54$0.5060.0%17.2%64.7%32.3%60.8%7.8%3.9%441.0K-43.0M-431.4K1.0615.31N/AN/A137,480145,6003,458,0703,722,250
2009-02-13$0.55$0.5060.3%17.3%61.3%29.4%60.7%5.3%4.0%654.2K-55.0M-424.9K0.9316.57N/AN/A189,630176,6803,510,8503,802,190
2009-02-17$0.53$0.5063.1%18.1%62.9%33.1%63.0%6.9%2.2%495.5K-39.2M-415.7K0.5819.03N/AN/A110,67064,4703,549,6303,871,000
2009-02-18$0.53$0.5061.6%17.6%59.7%31.1%65.5%10.0%2.7%324.2K-34.7M-403.1K0.9819.90N/AN/A80,57078,6803,525,1303,897,320
2009-02-19$0.53$0.5060.8%17.4%59.4%30.1%66.0%8.7%2.9%424.4K-39.3M-396.5K1.2321.09N/AN/A108,640133,7003,547,3903,899,490
2009-02-20$0.53$0.5060.3%17.3%59.7%29.5%63.9%6.3%4.9%612.4K-36.4M-396.6K1.2517.71N/AN/A72,24090,2303,566,9203,913,140
2009-02-23$0.51$0.5062.0%17.8%61.2%31.7%60.8%9.2%-1.2%79.3K359.8K-368.7K0.7119.53N/AN/A355,040252,4902,831,7102,791,670
2009-02-24$0.52$0.5058.2%16.7%60.9%26.8%57.4%6.9%1.7%138.2K-900.3K-395.1K0.7918.47N/AN/A438,830345,4502,975,8402,941,610
2009-02-25$0.51$0.5057.1%16.4%34.2%25.3%57.6%8.1%1.3%121.8K3.4M-451.3K1.1017.09N/AN/A88,06096,7403,309,0403,234,490
2009-02-26$0.51$0.5057.4%16.4%31.4%25.6%55.4%8.1%0.8%119.2K4.6M-442.0K0.5115.82N/AN/A82,11041,7203,325,0703,245,480
2009-02-27$0.52$0.5056.9%16.3%30.9%25.0%57.4%7.4%1.0%259.7K-2.2M-455.6K0.6918.42N/AN/A57,47039,8303,342,3603,239,810