NFLX Options History — August 2009 In August 2009, NFLX traded between $0.62 and $0.66. ATM implied volatility averaged 38.4%, placing in the 2.2% IV rank vs the trailing year. The 30-day expected move averaged 11.1%. IV traded below realized volatility by 2.2% (HV 20d: 40.6%). Max pain ranged from $0.61 to $0.64. Net GEX was positive for 21 of 21 trading days. Term structure was in contango for 21 of 21 days. Put/call ratio averaged 1.01.
Notable Days 2009-08-10 : Highest Volume — 670,040 contracts2009-08-31 : Largest IV spike — 7.1% change2009-08-18 : Highest IV Rank — 6.4%2009-08-18 : Largest Expected Move — 11.9%Monthly Statistics Metric Avg Min Max Open Close Price $0.64 $0.62 $0.66 $0.64 $0.62 Max Pain $0.61 $0.61 $0.64 $0.61 $0.64 ATM IV 38.4% 35.2% 41.4% 39.5% 37.6% Expected Move 11.1% 10.1% 11.9% 11.3% 10.8% HV 20d 40.6% 29.2% 47.6% 47.0% 29.2% HV 60d 40.0% 38.0% 42.4% 42.2% 38.0% IV Rank 2.2% 0.0% 6.4% 1.3% 3.1% IV Percentile 2.7% 0.0% 9.5% 1.6% 2.8% Term Structure 4.7% 1.5% 7.8% 1.6% 4.3% VWIV 39.3% 36.1% 46.5% 38.7% 37.3% Skew 25d 2.3% -0.2% 3.4% 1.4% 3.3% Skew 10d 4.8% 0.7% 7.1% 6.3% 6.7% Call IV 25d 38.3% 35.5% 40.7% 39.9% 36.0% Put IV 25d 40.6% 37.4% 43.5% 41.3% 39.3% Bid-Ask Spread % 10.73 7.00 13.91 12.51 10.58 Gamma HHI 0.19 0.14 0.46 0.15 0.16 Net GEX 1.2M 144.0K 3.1M 1.2M 152.0K Net DEX -31.1M -62.5M -4.6M -40.8M -4.6M Net VEX -294.5K -337.9K -259.3K -335.9K -263.2K Div Yield 0.0% 0.0% 0.0% 0.0% 0.0% P/C Ratio 1.01 0.24 6.28 0.49 0.66 Total Volume 237,773.333 80,570 670,040 191,870 147,840 Total OI 5,452,726.667 4,357,640 5,955,670 5,639,130 4,844,700
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 2009-08-03 $0.64 $0.61 39.5% 11.3% 47.0% 1.3% 38.7% 1.4% 1.6% 1.2M -40.8M -335.9K 0.49 12.51 N/A N/A 128,380 63,490 2,893,030 2,746,100 2009-08-04 $0.63 $0.61 38.7% 11.1% 46.4% 0.2% 39.8% -0.2% 1.8% 1.0M -31.9M -337.9K 0.42 8.84 N/A N/A 127,050 53,760 2,912,000 2,758,910 2009-08-05 $0.63 $0.61 38.2% 10.9% 46.3% 0.0% 38.4% 0.4% 1.9% 1.1M -33.7M -333.3K 1.00 11.54 N/A N/A 40,250 40,320 2,921,940 2,762,410 2009-08-06 $0.62 $0.61 38.6% 11.1% 46.2% 0.5% 39.0% 0.8% 1.5% 517.6K -18.7M -322.6K 0.75 12.15 N/A N/A 79,590 60,060 2,913,820 2,773,260 2009-08-07 $0.64 $0.61 36.4% 11.2% 47.4% 0.0% 40.2% 3.1% 5.9% 1.4M -41.5M -322.0K 0.87 8.08 N/A N/A 106,960 93,380 2,906,050 2,777,600 2009-08-10 $0.65 $0.61 38.6% 11.1% 44.4% 2.8% 46.5% 2.4% 6.6% 1.8M -52.1M -310.1K 6.28 11.92 N/A N/A 92,050 577,990 2,888,760 2,777,250 2009-08-11 $0.66 $0.61 38.7% 11.6% 43.7% 3.0% 40.3% 3.1% 5.6% 1.9M -55.7M -315.9K 0.24 13.91 N/A N/A 311,220 73,430 2,892,610 2,837,030 2009-08-12 $0.66 $0.61 38.7% 11.4% 42.9% 2.9% 39.9% 2.4% 5.0% 2.3M -62.5M -314.7K 0.48 9.36 N/A N/A 91,490 43,750 3,028,340 2,850,470 2009-08-13 $0.66 $0.61 39.5% 11.3% 42.8% 4.0% 39.4% 2.8% 5.1% 2.4M -62.5M -306.2K 0.50 11.89 N/A N/A 111,790 56,000 3,005,380 2,821,350 2009-08-14 $0.64 $0.61 39.5% 11.3% 45.3% 4.0% 40.0% 3.1% 5.7% 1.5M -35.5M -301.3K 1.22 8.16 N/A N/A 142,170 173,320 2,998,660 2,837,800 2009-08-17 $0.62 $0.61 41.4% 11.9% 46.3% 6.3% 41.5% 3.2% 5.6% 144.0K -11.1M -291.4K 1.03 13.26 N/A N/A 136,500 140,630 2,989,560 2,937,620 2009-08-18 $0.62 $0.61 41.4% 11.9% 46.5% 6.4% 41.5% 2.5% 5.6% 529.8K -18.3M -283.7K 0.91 13.29 N/A N/A 79,590 72,030 2,993,480 2,904,440 2009-08-19 $0.64 $0.61 40.2% 11.5% 47.6% 4.8% 40.7% 2.5% 6.1% 1.6M -38.0M -280.3K 0.58 8.10 N/A N/A 170,310 98,980 2,984,450 2,903,460 2009-08-20 $0.64 $0.61 39.9% 11.4% 46.7% 4.4% 39.4% 2.2% 5.7% 1.8M -39.6M -271.2K 0.60 11.66 N/A N/A 186,900 112,700 2,941,820 2,884,700 2009-08-21 $0.64 $0.61 37.5% 10.7% 30.5% 1.4% 38.0% 2.0% 7.8% 3.1M -41.1M -268.6K 1.04 10.99 N/A N/A 164,990 172,200 3,011,890 2,943,780 2009-08-24 $0.63 $0.61 37.4% 10.7% 30.9% 1.2% 38.2% 2.8% 4.0% 536.5K -17.1M -263.7K 1.37 7.00 N/A N/A 131,950 180,880 2,144,940 2,212,700 2009-08-25 $0.64 $0.61 36.5% 10.5% 30.6% 0.1% 37.2% 3.4% 5.0% 462.0K -16.6M -266.6K 0.45 12.83 N/A N/A 85,120 38,640 2,214,240 2,323,230 2009-08-26 $0.63 $0.61 36.2% 10.4% 30.8% 0.0% 37.7% 2.9% 4.5% 331.8K -12.4M -259.9K 0.84 11.55 N/A N/A 59,150 49,630 2,208,710 2,336,880 2009-08-27 $0.63 $0.61 36.7% 10.5% 30.0% 0.6% 36.7% 2.3% 5.3% 261.9K -10.3M -259.3K 0.86 10.16 N/A N/A 218,540 187,670 2,229,850 2,362,500 2009-08-28 $0.63 $0.61 35.2% 10.1% 30.1% 0.0% 36.1% 2.0% 4.5% 322.6K -10.1M -275.5K 0.71 7.57 N/A N/A 54,250 38,290 2,349,270 2,482,270 2009-08-31 $0.62 $0.64 37.6% 10.8% 29.2% 3.1% 37.3% 3.3% 4.3% 152.0K -4.6M -263.2K 0.66 10.58 N/A N/A 89,320 58,520 2,347,660 2,497,040
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