NFLX Options History — March 2009

In March 2009, NFLX traded between $0.49 and $0.62. ATM implied volatility averaged 60.0%, placing in the 29.0% IV rank vs the trailing year. The 30-day expected move averaged 17.2%. IV traded above realized volatility by 14.1% (HV 20d: 45.9%). Max pain ranged from $0.50 to $0.57. Net GEX was positive for 17 of 22 trading days. Term structure was in contango for 18 of 22 days. Put/call ratio averaged 0.99.

Notable Days

  • 2009-03-03: Highest Volume — 1,057,070 contracts
  • 2009-03-16: Largest IV spike — 7.8% change
  • 2009-03-09: Highest IV Rank — 40.8%
  • 2009-03-03: Largest Expected Move — 19.2%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$0.57$0.49$0.62$0.49$0.61
Max Pain$0.54$0.50$0.57$0.50$0.57
ATM IV60.0%53.9%69.2%63.0%57.7%
Expected Move17.2%15.5%19.2%18.1%16.5%
HV 20d45.9%35.5%54.1%35.5%49.9%
HV 60d53.5%50.6%56.5%55.7%55.3%
IV Rank29.0%21.2%40.8%32.9%26.0%
IV Percentile50.9%39.7%68.3%59.1%48.4%
Term Structure4.5%-3.5%15.3%-1.8%13.4%
VWIV60.6%55.0%67.7%62.4%60.2%
Skew 25d10.1%3.9%14.2%10.6%11.7%
Skew 10d18.1%7.0%34.0%14.4%23.5%
Call IV 25d55.8%50.3%68.5%60.8%52.3%
Put IV 25d65.9%60.7%72.4%71.4%64.0%
Bid-Ask Spread %16.059.1229.3316.7022.76
Gamma HHI0.180.090.350.170.09
Net GEX453.7K-291.6K1.4M-62.0K92.5K
Net DEX-31.0M-75.2M16.0M16.0M-37.1M
Net VEX-470.6K-559.6K-420.9K-420.9K-559.6K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.990.282.070.610.92
Total Volume472,869.091162,7501,057,070505,750655,620
Total OI7,039,4455,052,0407,951,3706,616,6106,938,890

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2009-03-02$0.49$0.5063.0%18.1%35.5%32.9%62.4%10.6%-1.8%-62.0K16.0M-420.9K0.6116.70N/AN/A314,650191,1003,361,1203,255,490
2009-03-03$0.52$0.5067.0%19.2%40.5%38.1%67.7%3.9%-3.5%446.4K-10.1M-467.5K0.7118.16N/AN/A617,540439,5303,606,1903,343,410
2009-03-04$0.54$0.5064.8%18.6%42.6%35.1%61.9%5.9%-2.3%440.5K-18.1M-476.4K0.5414.19N/AN/A306,320165,8303,642,5903,514,070
2009-03-05$0.54$0.5065.4%18.7%42.6%35.9%66.5%9.1%-1.6%525.4K-18.0M-482.0K1.0216.51N/AN/A180,810184,9403,749,6903,592,050
2009-03-06$0.55$0.5064.9%18.1%42.3%35.3%62.5%8.8%3.0%528.0K-19.1M-486.5K1.0110.10N/AN/A124,530126,0703,768,5903,655,190
2009-03-09$0.55$0.5069.2%19.1%42.0%40.8%65.3%10.2%0.5%621.0K-24.8M-471.8K0.979.12N/AN/A209,860203,9103,763,4803,598,420
2009-03-10$0.55$0.5464.5%18.3%42.0%34.8%63.6%11.0%3.5%592.4K-24.2M-463.1K0.809.83N/AN/A153,720122,7803,749,0603,656,870
2009-03-11$0.54$0.5460.1%17.8%42.5%29.1%62.4%9.0%3.7%481.1K-11.9M-453.4K1.549.83N/AN/A63,98098,7703,760,5403,644,760
2009-03-12$0.57$0.5460.0%17.2%47.8%29.0%60.1%9.6%3.7%879.0K-41.6M-455.0K0.7213.07N/AN/A129,99093,4503,737,5103,675,070
2009-03-13$0.56$0.5457.7%16.5%45.5%26.0%59.1%9.0%4.4%851.4K-36.8M-444.2K0.6310.89N/AN/A135,38085,8903,782,3803,709,860
2009-03-16$0.55$0.5462.2%17.8%45.7%31.8%59.6%10.3%1.8%900.3K-26.0M-439.9K0.389.33N/AN/A220,99085,0503,812,7603,732,820
2009-03-17$0.58$0.5458.3%16.7%47.5%26.7%58.0%10.1%1.3%1.4M-59.1M-437.9K2.0714.05N/AN/A100,310207,2003,913,4903,728,900
2009-03-18$0.59$0.5456.3%16.1%47.6%24.3%58.7%10.0%3.0%1.2M-71.4M-438.6K0.2818.17N/AN/A636,440175,5603,914,6103,784,760
2009-03-19$0.59$0.5455.8%16.0%47.7%23.6%58.7%11.3%3.0%883.3K-75.2M-422.8K0.6516.93N/AN/A246,890160,7204,053,0703,859,660
2009-03-20$0.59$0.5457.8%16.6%47.5%26.1%59.2%11.0%2.0%448.1K-72.0M-441.8K0.9217.10N/AN/A270,410249,3404,020,9403,930,430
2009-03-23$0.62$0.5757.9%16.6%46.5%26.3%58.9%14.2%6.8%260.9K-45.4M-431.8K1.4015.97N/AN/A326,900456,1902,227,2602,824,780
2009-03-24$0.62$0.5758.7%16.8%46.6%27.3%60.2%13.6%8.1%92.9K-42.6M-468.7K1.1419.13N/AN/A287,000327,8102,402,3303,186,120
2009-03-25$0.59$0.5754.6%15.7%50.1%22.1%57.1%11.5%11.5%-129.7K-20.6M-487.5K1.1824.19N/AN/A484,260569,8002,483,5303,404,170
2009-03-26$0.60$0.5753.9%15.5%50.0%21.2%56.5%10.0%11.3%-84.2K-21.6M-533.7K1.7419.17N/AN/A108,570189,4202,821,9803,753,050
2009-03-27$0.57$0.5754.5%15.6%54.1%21.9%55.0%11.4%15.3%-291.6K2.7M-534.3K1.7318.52N/AN/A119,630207,2002,862,0903,844,190
2009-03-30$0.60$0.5756.0%16.1%52.6%23.9%58.5%10.2%12.8%-108.6K-24.6M-536.1K0.7429.33N/AN/A212,240156,5202,877,0003,924,620
2009-03-31$0.61$0.5757.7%16.5%49.9%26.0%60.2%11.7%13.4%92.5K-37.1M-559.6K0.9222.76N/AN/A340,760314,8602,938,4604,000,430