NFLX Options History — September 2009 In September 2009, NFLX traded between $0.58 and $0.68. ATM implied volatility averaged 41.1%, placing in the 7.4% IV rank vs the trailing year. The 30-day expected move averaged 11.9%. IV traded above realized volatility by 7.2% (HV 20d: 33.9%). Max pain ranged from $0.61 to $0.68. Net GEX was positive for 16 of 21 trading days. Term structure was in contango for 21 of 21 days. Put/call ratio averaged 0.92.
Notable Days 2009-09-03 : Highest Volume — 921,410 contracts2009-09-03 : Largest IV spike — 9.8% change2009-09-14 : Highest IV Rank — 12.2%2009-09-14 : Largest Expected Move — 12.9%Monthly Statistics Metric Avg Min Max Open Close Price $0.64 $0.58 $0.68 $0.60 $0.66 Max Pain $0.64 $0.61 $0.68 $0.64 $0.64 ATM IV 41.1% 37.9% 44.9% 38.5% 39.9% Expected Move 11.9% 10.9% 12.9% 11.0% 11.4% HV 20d 33.9% 30.2% 36.1% 31.0% 32.2% HV 60d 38.4% 37.1% 39.9% 38.6% 37.1% IV Rank 7.4% 3.4% 12.2% 4.1% 5.9% IV Percentile 12.1% 3.2% 19.4% 3.6% 10.3% Term Structure 4.8% 1.9% 9.1% 4.6% 8.3% VWIV 41.9% 38.0% 45.0% 38.7% 38.0% Skew 25d 4.6% 2.1% 6.0% 3.4% 2.9% Skew 10d 8.8% 2.9% 11.6% 5.5% 6.6% Call IV 25d 39.7% 37.5% 42.2% 37.7% 38.0% Put IV 25d 44.3% 40.7% 47.6% 41.0% 40.9% Bid-Ask Spread % 14.21 7.58 19.35 11.81 15.71 Gamma HHI 0.24 0.14 0.81 0.17 0.14 Net GEX 645.2K -912.8K 6.5M -386.0K 396.2K Net DEX -13.0M -52.3M 28.7M 10.5M -16.3M Net VEX -261.7K -277.2K -238.0K -254.8K -262.4K Div Yield 0.0% 0.0% 0.0% 0.0% 0.0% P/C Ratio 0.92 0.14 2.33 1.45 0.63 Total Volume 292,900 91,350 921,410 346,010 165,060 Total OI 4,471,110 2,983,260 5,444,740 4,867,660 3,411,870
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 2009-09-01 $0.60 $0.64 38.5% 11.0% 31.0% 4.1% 38.7% 3.4% 4.6% -386.0K 10.5M -254.8K 1.45 11.81 N/A N/A 141,120 204,890 2,359,000 2,508,660 2009-09-02 $0.60 $0.64 38.5% 11.0% 31.0% 4.2% 39.2% 2.1% 4.4% -656.9K 15.7M -253.2K 1.64 10.22 N/A N/A 49,140 80,780 2,379,090 2,570,610 2009-09-03 $0.58 $0.64 42.3% 12.1% 32.8% 8.9% 43.5% 4.2% 2.5% -912.8K 28.7M -239.9K 2.33 7.58 N/A N/A 276,430 644,980 2,392,740 2,536,870 2009-09-04 $0.58 $0.68 40.0% 12.5% 30.7% 6.1% 42.9% 5.8% 4.1% -657.1K 21.3M -249.8K 0.52 17.24 N/A N/A 216,160 112,630 2,459,310 2,632,000 2009-09-08 $0.59 $0.68 40.3% 12.5% 30.2% 6.4% 43.6% 5.0% 3.3% -564.5K 16.8M -238.0K 0.21 17.55 N/A N/A 213,500 45,710 2,477,020 2,662,240 2009-09-09 $0.62 $0.61 42.5% 12.8% 34.3% 9.2% 44.5% 5.4% 2.2% 430.4K -7.3M -261.3K 0.43 19.35 N/A N/A 352,030 150,430 2,617,090 2,669,310 2009-09-10 $0.62 $0.61 44.6% 12.8% 34.3% 11.8% 43.7% 5.3% 2.1% 649.5K -9.9M -266.1K 0.49 17.60 N/A N/A 215,390 105,210 2,640,260 2,664,690 2009-09-11 $0.61 $0.61 43.8% 12.6% 34.8% 10.8% 43.8% 4.4% 2.1% 243.9K -321.7K -266.3K 0.79 18.69 N/A N/A 51,030 40,320 2,709,070 2,718,870 2009-09-14 $0.62 $0.61 44.9% 12.9% 32.7% 12.2% 45.0% 6.0% 1.9% 478.5K -4.6M -254.3K 0.89 17.78 N/A N/A 72,100 64,400 2,691,290 2,707,460 2009-09-15 $0.64 $0.61 42.1% 12.1% 33.6% 8.6% 42.8% 6.0% 2.9% 1.5M -27.9M -258.8K 1.03 13.31 N/A N/A 288,890 296,800 2,699,900 2,718,800 2009-09-16 $0.67 $0.64 42.1% 12.1% 36.1% 8.6% 44.0% 4.8% 2.4% 1.6M -44.2M -263.0K 0.27 10.74 N/A N/A 544,250 144,830 2,611,980 2,801,400 2009-09-17 $0.66 $0.64 42.2% 12.1% 34.9% 8.8% 42.9% 4.6% 2.8% 1.7M -42.1M -269.0K 0.42 9.33 N/A N/A 192,710 80,640 2,639,210 2,756,670 2009-09-18 $0.68 $0.64 41.2% 11.8% 35.5% 7.5% 41.8% 4.6% 3.7% 6.5M -52.3M -267.3K 0.61 9.74 N/A N/A 188,930 115,080 2,668,120 2,776,620 2009-09-21 $0.68 $0.64 41.8% 12.0% 35.5% 8.3% 42.7% 4.9% 6.3% 521.5K -31.2M -266.7K 0.68 9.98 N/A N/A 108,220 73,850 1,515,850 1,467,410 2009-09-22 $0.68 $0.64 40.9% 11.7% 34.7% 7.2% 41.9% 5.0% 6.7% 557.9K -33.1M -263.1K 1.28 14.03 N/A N/A 100,660 129,150 1,549,870 1,505,560 2009-09-23 $0.67 $0.64 40.2% 11.5% 35.6% 6.3% 41.7% 4.2% 7.8% 450.7K -24.6M -274.2K 1.01 16.25 N/A N/A 85,050 86,240 1,569,610 1,577,800 2009-09-24 $0.67 $0.64 39.2% 11.2% 35.4% 5.0% 40.5% 4.3% 8.0% 440.8K -21.5M -277.1K 1.16 17.98 N/A N/A 44,240 51,520 1,609,090 1,639,400 2009-09-25 $0.66 $0.64 38.1% 10.9% 35.5% 3.7% 40.5% 4.3% 8.9% 426.2K -18.7M -277.2K 1.82 15.20 N/A N/A 35,070 63,910 1,624,840 1,665,090 2009-09-28 $0.66 $0.64 41.4% 11.9% 35.5% 7.8% 39.7% 4.7% 7.3% 402.9K -15.3M -268.8K 1.46 12.95 N/A N/A 38,290 55,720 1,631,490 1,693,650 2009-09-29 $0.66 $0.64 37.9% 10.9% 35.0% 3.4% 38.4% 3.9% 9.1% 396.0K -16.9M -265.2K 0.14 15.42 N/A N/A 197,120 28,420 1,638,840 1,724,660 2009-09-30 $0.66 $0.64 39.9% 11.4% 32.2% 5.9% 38.0% 2.9% 8.3% 396.2K -16.3M -262.4K 0.63 15.71 N/A N/A 101,570 63,490 1,671,460 1,740,410
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