NFLX Options History — April 2009 In April 2009, NFLX traded between $0.61 and $0.71. ATM implied volatility averaged 62.7%, placing in the 32.4% IV rank vs the trailing year. The 30-day expected move averaged 18.8%. IV traded above realized volatility by 10.0% (HV 20d: 52.7%). Max pain ranged from $0.57 to $0.64. Net GEX was positive for 13 of 21 trading days. Term structure was in contango for 5 of 21 days. Put/call ratio averaged 1.29.
Notable Days 2009-04-23 : Highest Volume — 2,370,760 contracts2009-04-09 : Largest IV spike — 36.6% change2009-04-22 : Highest IV Rank — 64.6%2009-04-22 : Largest Expected Move — 25.1%Monthly Statistics Metric Avg Min Max Open Close Price $0.65 $0.61 $0.71 $0.61 $0.65 Max Pain $0.63 $0.57 $0.64 $0.57 $0.64 ATM IV 62.7% 44.8% 87.7% 55.2% 51.9% Expected Move 18.8% 14.9% 25.1% 15.8% 14.9% HV 20d 52.7% 48.3% 61.0% 48.8% 58.5% HV 60d 52.0% 46.0% 54.0% 53.8% 49.7% IV Rank 32.4% 9.4% 64.6% 22.8% 18.5% IV Percentile 56.8% 14.7% 96.8% 43.3% 32.9% Term Structure -5.1% -18.4% 13.3% 13.2% 2.7% VWIV 68.5% 52.5% 91.3% 55.5% 52.5% Skew 25d 13.8% 7.9% 24.2% 9.2% 7.9% Skew 10d 26.5% 15.6% 43.6% 19.9% 18.8% Call IV 25d 59.9% 49.7% 74.2% 51.5% 49.7% Put IV 25d 73.7% 57.6% 98.4% 60.7% 57.6% Bid-Ask Spread % 13.20 8.62 31.51 17.13 13.93 Gamma HHI 0.13 0.09 0.18 0.09 0.14 Net GEX 117.4K -1.4M 1.3M 21.0K 153.0K Net DEX -61.2M -135.5M 12.3M -37.6M -46.7M Net VEX -567.6K -647.2K -481.3K -548.5K -633.2K Div Yield 0.0% 0.0% 0.0% 0.0% 0.0% P/C Ratio 1.29 0.48 4.96 1.27 0.48 Total Volume 772,570 165,340 2,370,760 165,340 319,830 Total OI 8,513,133.333 7,124,670 10,732,470 7,229,740 10,728,130
Daily Data (21 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 2009-04-01 $0.61 $0.57 55.2% 15.8% 48.8% 22.8% 55.5% 9.2% 13.2% 21.0K -37.6M -548.5K 1.27 17.13 N/A N/A 72,870 92,470 3,117,310 4,112,430 2009-04-02 $0.62 $0.57 54.5% 15.6% 48.8% 21.9% 53.7% 10.3% 13.3% 62.2K -41.0M -539.0K 1.00 18.87 N/A N/A 92,820 92,540 3,044,230 4,082,260 2009-04-03 $0.62 $0.61 51.7% 19.1% 48.9% 18.2% 68.9% 13.8% -7.6% 97.6K -37.9M -543.9K 2.96 10.05 N/A N/A 56,840 168,490 3,037,370 4,087,300 2009-04-06 $0.64 $0.61 52.4% 18.6% 49.8% 19.2% 66.5% 13.7% -5.8% 287.7K -60.7M -509.8K 0.79 11.22 N/A N/A 451,850 358,120 3,040,100 4,089,330 2009-04-07 $0.62 $0.64 54.6% 19.1% 50.6% 22.1% 68.0% 12.7% -7.6% 478.1K -50.1M -547.5K 0.65 10.24 N/A N/A 210,560 137,690 3,322,270 4,309,130 2009-04-08 $0.63 $0.64 44.8% 18.3% 49.1% 9.4% 64.7% 12.7% -6.2% 752.2K -60.3M -531.6K 1.32 9.72 N/A N/A 73,990 97,860 3,360,770 4,368,630 2009-04-09 $0.67 $0.64 61.2% 17.6% 48.3% 30.6% 64.7% 9.6% -4.1% 1.3M -105.1M -492.8K 0.62 8.65 N/A N/A 397,250 247,310 3,356,920 4,404,680 2009-04-13 $0.71 $0.64 65.9% 18.9% 49.8% 36.6% 71.2% 8.2% -9.0% 1.1M -135.5M -481.3K 0.86 10.27 N/A N/A 610,960 528,430 3,329,480 4,474,610 2009-04-14 $0.68 $0.64 69.8% 20.0% 51.3% 41.6% 83.0% 10.7% -10.5% 953.5K -103.0M -524.0K 4.96 31.51 N/A N/A 244,440 1,212,540 3,385,200 4,695,040 2009-04-15 $0.67 $0.64 68.5% 19.6% 50.2% 40.0% 72.5% 16.7% -6.0% 509.7K -76.5M -544.4K 1.35 13.85 N/A N/A 185,710 250,320 3,391,010 5,443,060 2009-04-16 $0.69 $0.64 70.7% 20.3% 51.0% 42.8% 75.2% 19.2% -11.8% 372.2K -102.7M -541.7K 1.19 10.14 N/A N/A 254,450 303,660 3,333,820 5,412,050 2009-04-17 $0.70 $0.64 68.0% 19.5% 50.9% 39.3% 75.1% 19.3% -11.0% -237.2K -107.5M -539.8K 0.67 10.72 N/A N/A 187,810 126,210 3,364,200 5,540,430 2009-04-20 $0.71 $0.64 73.4% 21.0% 50.9% 46.2% 79.5% 21.7% -12.6% -295.9K -72.1M -533.1K 1.39 10.60 N/A N/A 358,820 497,280 2,635,920 4,573,590 2009-04-21 $0.67 $0.64 79.9% 22.9% 55.3% 54.7% 82.6% 24.1% -14.0% -499.8K -41.4M -591.5K 0.95 8.62 N/A N/A 477,890 453,320 2,844,450 4,943,190 2009-04-22 $0.66 $0.64 87.7% 25.1% 55.7% 64.6% 91.3% 24.2% -18.4% -626.0K -30.2M -620.6K 2.03 9.53 N/A N/A 450,870 913,640 3,010,350 5,141,080 2009-04-23 $0.65 $0.64 79.7% 22.8% 53.2% 54.3% 82.0% 15.6% -12.3% -837.8K -22.1M -647.2K 1.19 11.57 N/A N/A 1,081,220 1,289,540 3,221,470 5,756,940 2009-04-24 $0.61 $0.64 59.3% 17.0% 57.8% 28.0% 58.7% 10.1% -2.5% -1.4M 12.3M -645.8K 0.78 9.18 N/A N/A 773,780 607,040 3,801,140 6,414,030 2009-04-27 $0.66 $0.64 55.0% 15.8% 61.0% 22.5% 57.7% 9.6% 2.0% -11.5K -59.6M -625.8K 0.48 12.44 N/A N/A 804,230 384,440 3,815,350 6,441,540 2009-04-28 $0.66 $0.64 57.0% 16.3% 58.2% 25.1% 58.9% 9.0% -0.2% 312.8K -67.1M -631.2K 0.94 18.68 N/A N/A 474,250 446,390 4,106,900 6,507,620 2009-04-29 $0.65 $0.64 54.6% 15.7% 58.5% 22.0% 55.5% 10.6% 0.9% -45.5K -41.1M -646.0K 1.11 20.23 N/A N/A 206,710 229,530 4,122,650 6,609,820 2009-04-30 $0.65 $0.64 51.9% 14.9% 58.5% 18.5% 52.5% 7.9% 2.7% 153.0K -46.7M -633.2K 0.48 13.93 N/A N/A 216,230 103,600 4,125,520 6,602,610
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