NFLX Options History — May 2009

In May 2009, NFLX traded between $0.53 and $0.64. ATM implied volatility averaged 54.8%, placing in the 21.1% IV rank vs the trailing year. The 30-day expected move averaged 15.6%. IV traded below realized volatility by 2.1% (HV 20d: 57.0%). Max pain ranged from $0.57 to $0.64. Net GEX was positive for 8 of 20 trading days. Term structure was in contango for 13 of 20 days. Put/call ratio averaged 0.91.

Notable Days

  • 2009-05-07: Highest Volume — 1,183,770 contracts
  • 2009-05-11: Largest IV spike — 14.3% change
  • 2009-05-13: Highest IV Rank — 34.8%
  • 2009-05-14: Largest Expected Move — 17.8%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$0.57$0.53$0.64$0.64$0.56
Max Pain$0.57$0.57$0.64$0.64$0.57
ATM IV54.8%48.4%65.7%50.0%49.8%
Expected Move15.6%14.3%17.8%14.3%14.3%
HV 20d57.0%47.8%65.1%59.0%49.3%
HV 60d52.8%49.7%54.6%49.9%52.3%
IV Rank21.1%13.7%34.8%16.1%13.7%
IV Percentile38.3%20.6%65.9%27.8%20.6%
Term Structure0.5%-2.9%3.4%3.1%1.2%
VWIV54.5%49.6%62.1%51.8%49.6%
Skew 25d8.2%4.5%10.2%9.0%4.5%
Skew 10d15.1%9.7%18.5%18.5%9.7%
Call IV 25d50.9%46.9%59.1%48.0%48.6%
Put IV 25d59.1%53.1%67.3%56.9%53.1%
Bid-Ask Spread %10.517.0217.6417.649.09
Gamma HHI0.160.120.330.140.13
Net GEX-826.0K-2.9M372.7K-360.3K226.5K
Net DEX23.3M-40.6M100.1M-25.6M6.0M
Net VEX-472.9K-627.3K-409.5K-627.3K-420.8K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.910.341.610.970.94
Total Volume469,434180,7401,183,770307,160210,420
Total OI9,268,346.56,934,62011,027,94010,771,2507,694,820

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2009-05-01$0.64$0.6450.0%14.3%59.0%16.1%51.8%9.0%3.1%-360.3K-25.6M-627.3K0.9717.64N/AN/A155,750151,4104,146,3806,624,870
2009-05-04$0.64$0.5750.2%14.9%59.1%16.3%54.5%9.3%3.4%-109.8K-35.3M-572.5K0.769.68N/AN/A167,020126,2104,166,9606,654,760
2009-05-05$0.64$0.5748.4%14.7%58.0%14.0%51.9%8.1%2.8%167.8K-40.6M-568.0K1.4912.04N/AN/A156,310232,8204,172,7006,671,630
2009-05-06$0.61$0.5752.7%15.3%60.2%19.5%51.8%8.7%1.7%-1.1M4.6M-545.5K0.6310.51N/AN/A457,870289,8704,143,7206,632,500
2009-05-07$0.57$0.5759.9%16.3%65.1%28.8%55.0%10.2%1.4%-2.7M67.9M-521.9K0.808.24N/AN/A656,110527,6604,208,5406,636,070
2009-05-08$0.57$0.5754.1%15.9%60.8%21.4%53.0%8.6%1.8%-2.2M51.8M-509.7K0.9212.53N/AN/A461,370426,4404,325,0206,547,730
2009-05-11$0.57$0.5761.8%16.1%56.7%31.3%56.8%9.3%1.2%-2.4M62.8M-473.9K0.628.93N/AN/A187,250116,8304,334,4006,492,710
2009-05-12$0.58$0.5759.8%16.5%57.0%27.0%56.0%8.4%0.3%-2.0M48.7M-471.1K0.5711.06N/AN/A233,030133,4204,334,4706,496,000
2009-05-13$0.54$0.5765.7%17.8%60.6%34.8%62.1%9.7%-2.9%-2.9M93.2M-441.3K1.448.92N/AN/A343,350494,8304,380,3206,500,550
2009-05-14$0.53$0.5762.2%17.8%58.1%30.1%61.6%7.4%-2.2%-2.8M100.1M-433.7K1.619.48N/AN/A272,440439,2504,531,3806,496,560
2009-05-15$0.55$0.5756.2%16.1%60.3%22.2%56.5%8.1%1.6%-1.2M70.6M-437.9K1.358.63N/AN/A247,870335,3004,632,2506,244,420
2009-05-18$0.55$0.5752.8%15.2%59.8%17.8%53.7%9.3%-0.6%-106.7K15.9M-414.6K0.819.33N/AN/A140,980113,6803,091,9003,842,720
2009-05-19$0.57$0.5750.2%14.4%57.9%14.3%50.3%8.0%1.5%15.6K5.9M-421.4K0.4110.94N/AN/A203,84083,6503,131,6603,887,800
2009-05-20$0.57$0.5752.8%15.1%58.4%17.6%52.7%8.8%-0.8%231.8K-4.2M-438.7K0.3413.61N/AN/A466,760160,5803,203,6903,905,440
2009-05-21$0.56$0.5757.1%16.4%58.9%23.4%57.4%8.3%-2.9%185.2K5.4M-449.1K0.667.02N/AN/A217,350143,5703,384,5003,974,740
2009-05-22$0.55$0.5756.7%16.3%55.7%22.9%56.8%9.4%-2.9%126.1K10.3M-445.8K0.838.67N/AN/A98,91081,8303,372,9504,003,930
2009-05-26$0.57$0.5752.3%15.0%47.8%17.1%53.5%7.2%-0.3%372.7K-3.9M-432.1K1.4313.62N/AN/A145,250207,2703,356,4304,007,500
2009-05-27$0.56$0.5751.8%14.8%48.4%16.4%52.4%6.6%0.5%82.3K13.6M-422.1K0.518.35N/AN/A156,52079,8003,388,2104,121,880
2009-05-28$0.55$0.5751.8%14.9%48.2%16.4%51.9%5.5%1.3%-5.4K19.6M-409.5K1.1211.86N/AN/A125,370140,4903,460,7304,164,090
2009-05-29$0.56$0.5749.8%14.3%49.3%13.7%49.6%4.5%1.2%226.5K6.0M-420.8K0.949.09N/AN/A108,570101,8503,476,9704,217,850