NFLX Options History — November 2009

In November 2009, NFLX traded between $0.77 and $0.87. ATM implied volatility averaged 38.7%, placing in the 6.4% IV rank vs the trailing year. The 30-day expected move averaged 11.1%. IV traded below realized volatility by 4.6% (HV 20d: 43.3%). Max pain ranged from $0.68 to $0.79. Net GEX was positive for 20 of 20 trading days. Term structure was in contango for 20 of 20 days. Put/call ratio averaged 0.79.

Notable Days

  • 2009-11-18: Highest Volume — 693,420 contracts
  • 2009-11-03: Largest IV spike — 5.6% change
  • 2009-11-03: Highest IV Rank — 9.4%
  • 2009-11-09: Largest Expected Move — 12.0%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$0.83$0.77$0.87$0.77$0.84
Max Pain$0.73$0.68$0.79$0.71$0.79
ATM IV38.7%34.0%41.3%39.1%37.2%
Expected Move11.1%9.8%12.0%11.2%10.7%
HV 20d43.3%26.3%51.5%50.2%26.3%
HV 60d38.5%36.9%39.6%38.9%36.9%
IV Rank6.4%0.7%9.4%6.7%6.1%
IV Percentile11.9%0.4%23.0%11.5%4.4%
Term Structure1.5%0.2%3.5%2.1%1.9%
VWIV39.6%35.9%41.6%41.1%40.2%
Skew 25d4.0%2.1%5.2%4.3%5.0%
Skew 10d8.0%5.0%12.2%12.2%11.0%
Call IV 25d37.8%33.6%40.0%39.1%36.1%
Put IV 25d41.8%37.0%44.1%43.4%41.1%
Bid-Ask Spread %14.558.6021.1519.348.71
Gamma HHI0.280.130.790.140.27
Net GEX1.8M619.5K9.7M688.6K1.1M
Net DEX-81.8M-121.0M-45.6M-46.1M-55.8M
Net VEX-340.9K-392.6K-286.6K-306.5K-379.9K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.790.251.591.231.45
Total Volume304,668114,030693,420114,030166,320
Total OI4,675,289.54,176,8305,574,5904,244,3804,322,080

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2009-11-02$0.77$0.7139.1%11.2%50.2%6.7%41.1%4.3%2.1%688.6K-46.1M-306.5K1.2319.34N/AN/A51,03063,0001,947,8902,296,490
2009-11-03$0.77$0.7141.3%11.8%50.2%9.4%40.6%5.0%0.6%693.0K-45.6M-311.9K1.3617.39N/AN/A126,770172,6201,951,1102,299,570
2009-11-04$0.77$0.7539.1%11.2%50.2%6.7%39.5%4.8%2.4%619.5K-48.9M-313.7K1.5421.15N/AN/A58,38090,1602,006,5502,393,720
2009-11-05$0.81$0.7537.8%10.8%51.2%5.1%38.7%5.2%3.5%849.2K-67.9M-311.0K0.4916.15N/AN/A249,340122,5702,020,0602,434,180
2009-11-06$0.80$0.6838.4%11.8%51.5%5.8%41.3%4.3%0.8%807.3K-63.8M-311.7K0.5414.07N/AN/A119,07063,9102,064,2302,462,320
2009-11-09$0.82$0.6839.8%12.0%50.8%7.5%40.0%4.1%0.4%1.1M-79.7M-297.8K0.3717.73N/AN/A173,60065,0302,098,1802,472,890
2009-11-10$0.83$0.6841.0%11.7%50.9%9.0%41.6%4.1%0.2%1.2M-91.8M-286.6K0.5515.30N/AN/A304,430167,4402,101,4702,491,790
2009-11-11$0.85$0.7140.3%11.5%50.3%8.2%41.3%3.5%0.9%1.4M-103.9M-300.3K0.4213.22N/AN/A377,930157,8502,203,8802,556,330
2009-11-12$0.83$0.7139.3%11.3%49.6%7.0%40.3%3.3%0.9%1.4M-92.4M-343.5K0.4917.70N/AN/A103,46050,9602,330,1602,613,520
2009-11-13$0.85$0.7139.3%11.3%48.1%7.0%39.9%2.6%1.9%1.6M-105.3M-333.1K0.5715.82N/AN/A148,89084,1402,338,0702,612,260
2009-11-16$0.85$0.7140.4%11.6%48.1%8.3%40.7%2.4%0.2%1.8M-105.0M-335.0K0.5214.88N/AN/A233,450122,2202,374,4702,634,520
2009-11-17$0.87$0.7140.2%11.5%47.2%8.0%40.6%2.1%1.0%2.0M-120.8M-332.9K0.7211.73N/AN/A268,800193,0602,437,5402,686,110
2009-11-18$0.87$0.7539.8%11.4%45.6%7.6%38.3%5.0%0.2%2.2M-121.0M-351.6K0.2515.36N/AN/A556,150137,2702,507,1202,745,400
2009-11-19$0.86$0.7539.2%11.2%45.6%6.8%39.5%4.8%1.0%3.2M-120.0M-373.4K1.1815.37N/AN/A100,240118,5102,751,2802,809,240
2009-11-20$0.86$0.7539.1%11.2%30.5%6.7%40.9%4.1%1.5%9.7M-109.3M-382.2K0.988.60N/AN/A254,310249,2702,717,5402,857,050
2009-11-23$0.86$0.7537.0%10.6%30.5%5.0%37.6%4.3%2.2%1.5M-76.4M-392.6K0.539.62N/AN/A134,12070,5602,093,3502,083,480
2009-11-24$0.85$0.7535.7%10.2%30.1%3.6%36.1%3.7%2.4%1.5M-69.7M-387.3K0.4213.55N/AN/A246,750104,8602,129,8902,088,030
2009-11-25$0.85$0.7934.0%9.8%29.7%0.7%35.9%3.4%2.6%1.3M-64.9M-377.2K1.5910.77N/AN/A66,430105,7002,128,2802,134,790
2009-11-27$0.83$0.7935.4%10.1%29.5%3.0%37.6%4.5%2.7%924.1K-48.3M-389.1K0.6314.47N/AN/A131,81082,9502,125,5502,185,400
2009-11-30$0.84$0.7937.2%10.7%26.3%6.1%40.2%5.0%1.9%1.1M-55.8M-379.9K1.458.71N/AN/A67,97098,3502,125,4102,196,670