NFLX Options History — June 2009 In June 2009, NFLX traded between $0.54 and $0.59. ATM implied volatility averaged 45.7%, placing in the 8.4% IV rank vs the trailing year. The 30-day expected move averaged 13.1%. IV traded above realized volatility by 4.1% (HV 20d: 41.6%). Max pain ranged from $0.57 to $0.57. Net GEX was positive for 8 of 22 trading days. Term structure was in contango for 22 of 22 days. Put/call ratio averaged 1.07.
Notable Days 2009-06-17 : Highest Volume — 886,340 contracts2009-06-08 : Largest IV spike — 7.3% change2009-06-08 : Highest IV Rank — 14.2%2009-06-08 : Largest Expected Move — 14.1%Monthly Statistics Metric Avg Min Max Open Close Price $0.57 $0.54 $0.59 $0.58 $0.59 Max Pain $0.57 $0.57 $0.57 $0.57 $0.57 ATM IV 45.7% 38.5% 50.1% 48.7% 38.5% Expected Move 13.1% 11.0% 14.1% 14.0% 11.0% HV 20d 41.6% 33.6% 51.5% 51.5% 38.5% HV 60d 51.1% 49.0% 53.2% 52.8% 49.7% IV Rank 8.4% 0.0% 14.2% 12.3% 0.0% IV Percentile 11.6% 0.0% 22.6% 18.3% 0.0% Term Structure 7.4% 0.5% 13.3% 0.6% 13.3% VWIV 45.8% 39.8% 50.6% 47.8% 40.1% Skew 25d 5.0% 2.4% 8.2% 5.7% 3.3% Skew 10d 10.5% 6.4% 19.6% 7.4% 15.5% Call IV 25d 43.7% 38.3% 46.9% 45.6% 38.3% Put IV 25d 48.7% 41.2% 53.7% 51.3% 41.6% Bid-Ask Spread % 15.98 7.73 24.71 7.73 18.86 Gamma HHI 0.17 0.12 0.30 0.14 0.13 Net GEX 19.3K -607.4K 1.1M 558.3K 34.8K Net DEX 6.8M -48.4M 51.6M -14.8M -5.7M Net VEX -341.2K -413.6K -291.8K -413.6K -331.5K Div Yield 0.0% 0.0% 0.0% 0.0% 0.0% P/C Ratio 1.07 0.26 3.27 0.26 3.27 Total Volume 332,754.545 129,780 886,340 382,550 556,850 Total OI 6,716,671.818 3,559,430 8,331,330 7,769,790 4,193,210
Daily Data (22 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 2009-06-01 $0.58 $0.57 48.7% 14.0% 51.5% 12.3% 47.8% 5.7% 0.6% 558.3K -14.8M -413.6K 0.26 7.73 N/A N/A 302,610 79,940 3,507,140 4,262,650 2009-06-02 $0.59 $0.57 49.0% 14.0% 51.4% 12.6% 48.1% 5.7% 1.1% 601.2K -18.5M -412.2K 1.34 9.69 N/A N/A 100,170 134,330 3,521,070 4,268,740 2009-06-03 $0.58 $0.57 48.4% 13.9% 51.5% 11.9% 47.7% 5.2% 0.5% 194.9K -2.4M -400.3K 1.10 10.57 N/A N/A 61,740 68,040 3,460,170 4,358,480 2009-06-04 $0.58 $0.57 46.8% 13.4% 49.0% 9.8% 47.2% 6.1% 3.0% 332.1K -8.8M -401.4K 1.06 10.73 N/A N/A 71,820 76,090 3,476,550 4,372,900 2009-06-05 $0.56 $0.57 46.7% 13.9% 43.7% 9.7% 48.0% 8.2% 6.6% -2.6K 16.6M -380.5K 1.88 15.97 N/A N/A 112,980 212,100 3,497,060 4,345,250 2009-06-08 $0.55 $0.57 50.1% 14.1% 43.7% 14.2% 50.6% 6.9% 6.5% -213.3K 24.2M -365.6K 1.10 17.51 N/A N/A 112,210 123,340 3,479,280 4,402,510 2009-06-09 $0.56 $0.57 47.7% 13.7% 43.4% 11.0% 47.9% 6.1% 6.8% -60.2K 21.8M -354.8K 1.12 21.00 N/A N/A 103,390 115,570 3,488,520 4,405,940 2009-06-10 $0.54 $0.57 46.8% 14.0% 44.0% 9.8% 49.2% 6.7% 5.7% -483.5K 41.5M -331.2K 0.50 16.23 N/A N/A 236,040 117,670 3,500,490 4,468,100 2009-06-11 $0.54 $0.57 48.6% 13.9% 36.6% 12.2% 48.4% 7.1% 6.6% -439.4K 44.6M -326.6K 0.86 18.94 N/A N/A 117,880 101,920 3,537,310 4,485,670 2009-06-12 $0.54 $0.57 45.2% 13.0% 36.1% 7.7% 46.3% 4.5% 6.8% -468.8K 46.2M -310.7K 2.37 11.46 N/A N/A 145,180 344,540 3,559,570 4,509,820 2009-06-15 $0.55 $0.57 46.9% 13.4% 33.6% 9.8% 46.7% 4.2% 6.4% -547.6K 45.3M -302.4K 1.15 19.92 N/A N/A 111,510 128,380 3,615,500 4,662,000 2009-06-16 $0.54 $0.57 46.6% 13.3% 33.6% 9.5% 44.1% 4.9% 6.8% -607.4K 51.6M -291.8K 0.76 14.23 N/A N/A 256,340 195,650 3,625,720 4,531,590 2009-06-17 $0.58 $0.57 46.2% 13.2% 40.5% 9.0% 45.8% 4.5% 7.1% 1.1M -11.0M -330.7K 0.36 20.19 N/A N/A 650,020 236,320 3,733,450 4,597,880 2009-06-18 $0.59 $0.57 45.5% 13.1% 40.9% 8.1% 46.2% 5.0% 6.2% 1.1M -38.3M -321.6K 0.38 24.71 N/A N/A 316,610 121,100 3,681,930 4,568,620 2009-06-19 $0.59 $0.57 44.2% 12.7% 39.3% 6.3% 45.2% 4.6% 6.8% 274.0K -48.4M -310.5K 0.44 17.54 N/A N/A 343,770 151,410 3,690,120 4,572,890 2009-06-22 $0.58 $0.57 47.0% 13.5% 40.4% 10.1% 46.4% 4.9% 9.4% -85.1K -2.4M -312.4K 1.31 15.53 N/A N/A 189,770 249,130 1,670,970 1,888,460 2009-06-23 $0.57 $0.57 45.7% 13.1% 39.8% 8.4% 45.7% 4.0% 11.1% -246.3K 6.7M -318.5K 0.74 10.98 N/A N/A 95,900 71,330 1,774,430 2,045,540 2009-06-24 $0.57 $0.57 43.6% 12.5% 38.3% 5.6% 43.9% 2.8% 12.5% -283.0K 7.6M -318.4K 0.81 17.46 N/A N/A 82,390 66,500 1,792,840 2,084,530 2009-06-25 $0.59 $0.57 41.9% 12.0% 40.2% 3.3% 41.4% 3.6% 12.7% -119.7K -3.2M -326.8K 0.54 19.70 N/A N/A 152,670 82,040 1,831,060 2,111,270 2009-06-26 $0.58 $0.57 39.9% 11.4% 40.2% 0.6% 39.8% 2.4% 13.0% -130.3K 1.2M -320.8K 1.32 13.90 N/A N/A 137,550 182,140 1,921,290 2,121,000 2009-06-29 $0.59 $0.57 40.8% 11.7% 38.6% 1.9% 40.5% 4.1% 12.0% -51.6K -4.1M -324.8K 0.84 18.78 N/A N/A 112,000 93,660 1,978,410 2,166,850 2009-06-30 $0.59 $0.57 38.5% 11.0% 38.5% 0.0% 40.1% 3.3% 13.3% 34.8K -5.7M -331.5K 3.27 18.86 N/A N/A 130,340 426,510 2,013,130 2,180,080
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