NFLX Options History — July 2009 In July 2009, NFLX traded between $0.55 and $0.66. ATM implied volatility averaged 45.4%, placing in the 9.0% IV rank vs the trailing year. The 30-day expected move averaged 14.1%. IV traded above realized volatility by 5.4% (HV 20d: 40.0%). Max pain ranged from $0.57 to $0.64. Net GEX was positive for 14 of 22 trading days. Term structure was in contango for 8 of 22 days. Put/call ratio averaged 0.85.
Notable Days 2009-07-13 : Highest Volume — 1,675,240 contracts2009-07-13 : Largest IV spike — 34.5% change2009-07-16 : Highest IV Rank — 20.0%2009-07-13 : Largest Expected Move — 16.4%Monthly Statistics Metric Avg Min Max Open Close Price $0.61 $0.55 $0.66 $0.58 $0.63 Max Pain $0.59 $0.57 $0.64 $0.57 $0.61 ATM IV 45.4% 38.6% 53.9% 40.2% 38.6% Expected Move 14.1% 11.1% 16.4% 11.5% 11.1% HV 20d 40.0% 32.4% 47.9% 38.6% 46.7% HV 60d 46.0% 40.8% 49.3% 49.3% 44.6% IV Rank 9.0% 0.1% 20.0% 2.1% 0.1% IV Percentile 15.8% 0.4% 37.7% 1.2% 0.4% Term Structure -1.3% -6.0% 13.8% 13.4% 1.9% VWIV 49.3% 39.1% 56.2% 40.0% 39.1% Skew 25d 4.7% 0.5% 7.6% 3.2% 1.5% Skew 10d 8.5% -0.7% 14.4% 8.2% 2.2% Call IV 25d 47.2% 38.7% 53.2% 38.8% 38.7% Put IV 25d 51.9% 40.2% 60.5% 42.0% 40.2% Bid-Ask Spread % 12.65 8.99 16.52 12.17 12.24 Gamma HHI 0.15 0.12 0.20 0.17 0.14 Net GEX 225.1K -503.4K 1.2M -204.6K 789.0K Net DEX -13.5M -50.6M 21.9M 4.2M -27.6M Net VEX -343.8K -370.3K -312.6K -342.2K -352.6K Div Yield 0.0% 0.0% 0.0% 0.0% 0.0% P/C Ratio 0.85 0.19 2.54 0.67 0.39 Total Volume 493,035.455 70,000 1,675,240 145,250 227,290 Total OI 4,964,282.273 4,231,430 5,641,300 4,467,540 5,586,840
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 2009-07-01 $0.58 $0.57 40.2% 11.5% 38.6% 2.1% 40.0% 3.2% 13.4% -204.6K 4.2M -342.2K 0.67 12.17 N/A N/A 87,010 58,240 2,038,540 2,429,000 2009-07-02 $0.57 $0.57 40.0% 11.5% 39.0% 2.0% 39.4% 4.0% 13.8% -300.0K 10.2M -337.0K 1.33 14.40 N/A N/A 116,550 155,330 2,055,550 2,440,970 2009-07-06 $0.57 $0.57 41.7% 15.5% 36.5% 4.2% 53.9% 6.4% -3.4% -354.9K 13.5M -324.2K 0.81 12.52 N/A N/A 38,780 31,220 2,095,450 2,481,990 2009-07-07 $0.55 $0.57 41.1% 15.2% 37.5% 3.4% 53.4% 6.4% -1.9% -503.4K 21.2M -312.6K 1.12 11.50 N/A N/A 181,020 202,720 2,107,770 2,465,120 2009-07-08 $0.55 $0.57 46.2% 16.3% 37.5% 10.0% 54.7% 6.6% -4.7% -494.8K 21.9M -316.8K 0.62 12.71 N/A N/A 200,200 124,600 2,191,070 2,524,340 2009-07-09 $0.57 $0.57 42.4% 15.8% 37.4% 5.0% 55.0% 7.0% -4.2% -70.4K 6.4M -335.1K 0.66 11.84 N/A N/A 139,580 92,120 2,269,750 2,497,670 2009-07-10 $0.57 $0.57 39.1% 15.8% 37.4% 0.7% 54.4% 7.6% -4.1% -60.5K 5.8M -330.1K 2.05 8.99 N/A N/A 74,410 152,390 2,284,660 2,517,340 2009-07-13 $0.60 $0.57 52.5% 16.4% 41.1% 18.3% 56.2% 7.3% -6.0% 259.9K -18.5M -334.3K 0.57 10.16 N/A N/A 1,068,200 607,040 2,284,800 2,547,650 2009-07-14 $0.62 $0.57 50.0% 16.2% 41.8% 15.0% 55.7% 6.1% -5.1% 256.4K -29.4M -355.6K 0.49 11.23 N/A N/A 411,810 199,780 2,507,050 2,813,860 2009-07-15 $0.63 $0.57 46.1% 15.6% 41.9% 9.8% 55.8% 7.2% -5.0% 735.5K -48.5M -359.5K 1.07 13.25 N/A N/A 243,250 260,470 2,642,570 2,822,960 2009-07-16 $0.63 $0.57 53.9% 15.4% 36.1% 20.0% 54.5% 6.2% -4.0% 847.1K -42.3M -357.7K 2.02 12.49 N/A N/A 131,110 265,020 2,646,700 2,804,270 2009-07-17 $0.63 $0.61 52.8% 15.1% 35.5% 18.6% 54.8% 6.8% -3.8% 508.9K -35.2M -343.6K 2.54 13.81 N/A N/A 140,210 356,510 2,535,680 2,776,340 2009-07-20 $0.64 $0.61 52.1% 14.9% 35.8% 17.8% 52.7% 5.7% -5.8% 388.5K -27.5M -334.1K 0.91 10.04 N/A N/A 138,180 126,000 2,024,540 2,206,890 2009-07-21 $0.64 $0.61 51.8% 14.9% 34.2% 17.4% 52.3% 6.1% -4.3% 367.8K -26.2M -340.5K 0.38 10.39 N/A N/A 168,560 64,680 2,042,180 2,262,960 2009-07-22 $0.65 $0.61 50.4% 14.5% 32.4% 15.6% 49.2% 6.9% -3.9% 555.5K -33.4M -341.6K 0.19 12.49 N/A N/A 725,340 140,070 2,140,250 2,266,390 2009-07-23 $0.66 $0.61 52.7% 15.1% 33.0% 18.5% 53.2% 2.4% -5.5% 1.2M -50.6M -370.3K 0.43 15.28 N/A N/A 906,290 391,930 2,468,900 2,299,640 2009-07-24 $0.60 $0.64 43.2% 12.4% 47.9% 6.1% 43.8% 1.6% 0.8% 212.6K -3.5M -362.0K 0.65 13.91 N/A N/A 612,990 399,350 2,725,380 2,525,530 2009-07-27 $0.60 $0.61 42.2% 12.1% 47.6% 4.8% 43.3% 2.2% 0.4% -134.5K 4.3M -345.6K 0.37 15.68 N/A N/A 450,520 168,070 2,690,450 2,630,180 2009-07-28 $0.60 $0.61 41.4% 11.9% 47.3% 3.7% 42.3% 1.7% 0.7% 74.8K -5.3M -351.4K 0.50 16.52 N/A N/A 177,240 88,060 2,753,030 2,673,020 2009-07-29 $0.61 $0.61 40.9% 11.7% 47.4% 3.1% 41.9% 0.6% 1.1% 233.3K -11.7M -358.5K 0.43 14.70 N/A N/A 251,160 108,640 2,793,350 2,702,280 2009-07-30 $0.62 $0.61 40.0% 11.5% 47.3% 1.9% 40.1% 0.5% 2.3% 687.4K -23.9M -357.5K 0.41 11.93 N/A N/A 259,210 105,630 2,892,750 2,748,550 2009-07-31 $0.63 $0.61 38.6% 11.1% 46.7% 0.1% 39.1% 1.5% 1.9% 789.0K -27.6M -352.6K 0.39 12.24 N/A N/A 164,080 63,210 2,856,140 2,730,700
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