NFLX Options History — October 2009 In October 2009, NFLX traded between $0.64 and $0.79. ATM implied volatility averaged 41.0%, placing in the 8.5% IV rank vs the trailing year. The 30-day expected move averaged 12.8%. IV traded above realized volatility by 5.7% (HV 20d: 35.2%). Max pain ranged from $0.64 to $0.71. Net GEX was positive for 21 of 22 trading days. Term structure was in contango for 8 of 22 days. Put/call ratio averaged 1.15.
Notable Days 2009-10-23 : Highest Volume — 1,638,140 contracts2009-10-15 : Largest IV spike — 33.8% change2009-10-22 : Highest IV Rank — 18.8%2009-10-06 : Largest Expected Move — 14.4%Monthly Statistics Metric Avg Min Max Open Close Price $0.70 $0.64 $0.79 $0.64 $0.76 Max Pain $0.68 $0.64 $0.71 $0.64 $0.71 ATM IV 41.0% 33.6% 49.0% 40.5% 40.8% Expected Move 12.8% 10.7% 14.4% 11.6% 11.7% HV 20d 35.2% 24.6% 50.2% 34.8% 50.2% HV 60d 36.4% 31.8% 39.4% 37.8% 39.4% IV Rank 8.5% 0.0% 18.8% 6.7% 8.8% IV Percentile 15.5% 0.0% 36.9% 13.9% 19.0% Term Structure -1.0% -5.2% 10.2% 8.0% 1.5% VWIV 45.6% 38.0% 55.1% 40.6% 40.8% Skew 25d 5.0% 1.2% 8.3% 4.8% 1.7% Skew 10d 9.0% -0.2% 14.4% 8.6% 2.8% Call IV 25d 42.6% 36.8% 46.9% 38.3% 40.4% Put IV 25d 47.6% 39.3% 54.2% 43.1% 42.0% Bid-Ask Spread % 14.38 9.71 18.59 14.66 18.28 Gamma HHI 0.14 0.10 0.18 0.14 0.14 Net GEX 464.7K -84.5K 1.0M 302.8K 768.9K Net DEX -30.3M -64.8M -2.8M -2.8M -47.4M Net VEX -266.5K -311.2K -241.8K -262.3K -311.2K Div Yield 0.0% 0.0% 0.0% 0.0% 0.0% P/C Ratio 1.15 0.47 5.04 0.69 1.17 Total Volume 329,165.455 48,790 1,638,140 194,810 325,780 Total OI 3,685,220 3,087,070 4,131,470 3,464,720 4,131,470
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 2009-10-01 $0.64 $0.64 40.5% 11.6% 34.8% 6.7% 40.6% 4.8% 8.0% 302.8K -2.8M -262.3K 0.69 14.66 N/A N/A 115,430 79,380 1,700,020 1,764,700 2009-10-02 $0.64 $0.64 38.7% 11.1% 31.5% 4.5% 39.9% 3.1% 10.2% 397.1K -3.4M -264.9K 0.71 12.96 N/A N/A 36,750 26,250 1,729,910 1,792,350 2009-10-05 $0.65 $0.68 40.9% 14.2% 31.4% 7.2% 49.1% 6.2% -2.8% 478.3K -9.6M -258.1K 1.45 10.86 N/A N/A 19,950 28,840 1,732,780 1,803,830 2009-10-06 $0.66 $0.68 40.9% 14.4% 31.6% 7.2% 55.1% 8.3% -3.7% 530.2K -16.6M -252.7K 5.04 12.01 N/A N/A 52,220 263,130 1,737,190 1,808,730 2009-10-07 $0.66 $0.68 39.6% 14.3% 28.6% 5.5% 49.3% 7.7% -3.8% 445.3K -15.3M -266.4K 0.50 12.15 N/A N/A 73,360 36,890 1,768,410 1,982,400 2009-10-08 $0.66 $0.68 37.9% 14.1% 28.7% 3.4% 50.7% 6.4% -3.3% 470.1K -13.6M -262.2K 1.56 14.63 N/A N/A 66,780 104,230 1,784,090 1,980,020 2009-10-09 $0.67 $0.68 33.6% 13.7% 27.9% 0.0% 48.9% 7.2% -3.5% 460.7K -23.6M -254.1K 1.80 11.47 N/A N/A 39,550 71,190 1,757,140 1,987,930 2009-10-12 $0.66 $0.68 41.3% 14.1% 28.8% 9.4% 46.9% 7.3% -3.1% 516.1K -13.9M -249.7K 0.76 15.36 N/A N/A 260,050 197,400 1,775,270 1,987,790 2009-10-13 $0.66 $0.68 37.8% 13.6% 25.8% 5.2% 49.1% 7.5% -2.9% 484.0K -17.4M -253.3K 0.74 14.19 N/A N/A 30,380 22,610 1,813,840 2,033,850 2009-10-14 $0.69 $0.68 35.4% 13.7% 24.6% 2.2% 51.2% 7.6% -3.0% 499.0K -36.5M -246.2K 1.37 13.13 N/A N/A 110,390 151,200 1,786,750 2,037,700 2009-10-15 $0.72 $0.68 47.4% 13.6% 29.1% 16.9% 48.3% 6.0% -3.0% 458.1K -62.5M -243.9K 0.66 12.98 N/A N/A 463,750 307,300 1,810,550 2,119,600 2009-10-16 $0.70 $0.68 47.2% 13.5% 30.4% 16.7% 48.2% 5.6% -3.3% 211.7K -43.8M -269.7K 1.05 17.41 N/A N/A 152,880 160,650 1,868,300 2,248,260 2009-10-19 $0.71 $0.68 45.7% 13.1% 30.9% 14.8% 46.3% 5.5% -4.2% 69.8K -23.9M -257.6K 1.06 12.97 N/A N/A 80,990 85,960 1,327,130 1,759,940 2009-10-20 $0.70 $0.68 44.2% 12.7% 31.6% 13.0% 45.7% 5.1% -2.4% 4.4K -18.6M -266.8K 0.84 14.33 N/A N/A 90,860 76,300 1,357,790 1,801,590 2009-10-21 $0.68 $0.68 47.1% 13.5% 32.0% 16.5% 47.8% 5.9% -3.5% -84.5K -12.5M -265.5K 2.29 17.13 N/A N/A 66,640 152,460 1,389,850 1,817,060 2009-10-22 $0.71 $0.68 49.0% 14.0% 34.3% 18.8% 49.3% 4.3% -5.2% 21.5K -22.0M -268.4K 0.74 9.71 N/A N/A 319,410 235,550 1,398,950 1,873,760 2009-10-23 $0.78 $0.68 38.2% 11.0% 48.4% 5.7% 38.9% 1.2% 0.4% 903.7K -64.8M -241.8K 0.73 18.59 N/A N/A 949,270 688,870 1,557,500 1,993,390 2009-10-26 $0.79 $0.71 39.6% 11.4% 48.1% 7.3% 40.2% 1.8% 0.5% 726.1K -58.0M -281.3K 0.47 18.14 N/A N/A 273,420 129,360 1,697,990 2,128,980 2009-10-27 $0.77 $0.71 38.2% 10.9% 49.0% 5.6% 38.7% 2.2% 1.4% 818.3K -53.1M -287.5K 0.64 17.38 N/A N/A 165,060 105,420 1,791,860 2,164,400 2009-10-28 $0.76 $0.71 39.6% 11.4% 49.5% 7.3% 39.8% 1.9% 1.3% 717.2K -46.7M -301.7K 0.54 12.52 N/A N/A 244,510 131,810 1,842,050 2,174,620 2009-10-29 $0.79 $0.71 37.2% 10.7% 47.7% 4.4% 38.0% 2.5% 2.1% 1.0M -60.4M -297.1K 0.54 15.59 N/A N/A 162,120 87,290 1,876,210 2,178,890 2009-10-30 $0.76 $0.71 40.8% 11.7% 50.2% 8.8% 40.8% 1.7% 1.5% 768.9K -47.4M -311.2K 1.17 18.28 N/A N/A 150,290 175,490 1,923,950 2,207,520
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