NFLX Options History — December 2009 In December 2009, NFLX traded between $0.76 and $0.84. ATM implied volatility averaged 37.2%, placing in the 6.6% IV rank vs the trailing year. The 30-day expected move averaged 10.8%. IV traded above realized volatility by 10.3% (HV 20d: 26.9%). Max pain ranged from $0.71 to $0.86. Net GEX was positive for 11 of 22 trading days. Term structure was in contango for 22 of 22 days. Put/call ratio averaged 0.98.
Notable Days 2009-12-29 : Highest Volume — 1,040,690 contracts2009-12-10 : Largest IV spike — 11.3% change2009-12-31 : Highest IV Rank — 12.3%2009-12-07 : Largest Expected Move — 12.0%Monthly Statistics Metric Avg Min Max Open Close Price $0.80 $0.76 $0.84 $0.83 $0.79 Max Pain $0.78 $0.71 $0.86 $0.79 $0.86 ATM IV 37.2% 33.5% 40.3% 36.4% 40.2% Expected Move 10.8% 9.6% 12.0% 10.4% 11.5% HV 20d 26.9% 22.4% 33.3% 26.6% 32.6% HV 60d 36.9% 35.5% 38.4% 37.0% 37.9% IV Rank 6.6% 0.0% 12.3% 4.8% 12.3% IV Percentile 9.7% 0.0% 32.1% 2.8% 32.1% Term Structure 6.9% 3.1% 10.8% 3.1% 6.7% VWIV 38.2% 34.4% 41.4% 38.7% 40.5% Skew 25d 3.7% 0.7% 5.2% 4.0% 2.5% Skew 10d 7.8% 2.2% 11.2% 11.2% 4.6% Call IV 25d 36.8% 33.4% 40.5% 35.3% 40.5% Put IV 25d 40.5% 37.4% 44.5% 39.2% 43.0% Bid-Ask Spread % 10.59 7.36 14.46 11.30 9.79 Gamma HHI 0.24 0.16 0.34 0.27 0.33 Net GEX 64.6K -1.5M 1.3M 1.0M -1.5M Net DEX -30.0M -62.3M 16.4M -52.8M 16.4M Net VEX -365.7K -422.0K -315.5K -373.8K -417.2K Div Yield 0.0% 0.0% 0.0% 0.0% 0.0% P/C Ratio 0.98 0.29 4.25 1.17 2.02 Total Volume 367,640 95,760 1,040,690 311,780 592,830 Total OI 4,548,600 3,343,900 5,192,320 4,319,070 4,986,450
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 2009-12-01 $0.83 $0.79 36.4% 10.4% 26.6% 4.8% 38.7% 4.0% 3.1% 1.0M -52.8M -373.8K 1.17 11.30 N/A N/A 143,710 168,070 2,119,670 2,199,400 2009-12-02 $0.84 $0.79 35.6% 10.2% 26.8% 3.5% 37.6% 4.9% 3.6% 1.3M -62.3M -373.4K 0.82 10.94 N/A N/A 70,910 58,100 2,157,190 2,263,030 2009-12-03 $0.83 $0.79 36.4% 10.4% 27.8% 4.9% 40.3% 2.7% 3.8% 960.8K -52.1M -384.0K 1.45 14.04 N/A N/A 139,160 201,460 2,176,720 2,283,050 2009-12-04 $0.80 $0.71 37.5% 11.8% 26.7% 6.8% 41.4% 5.2% 5.5% 249.3K -35.1M -375.6K 1.02 13.47 N/A N/A 168,070 171,290 2,242,170 2,393,860 2009-12-07 $0.80 $0.71 40.3% 12.0% 26.6% 11.6% 41.4% 5.1% 4.8% 90.7K -31.9M -370.2K 0.48 11.91 N/A N/A 174,440 83,860 2,269,120 2,446,780 2009-12-08 $0.80 $0.71 37.4% 11.5% 25.1% 6.5% 39.6% 4.5% 5.9% -4.0K -34.0M -365.6K 1.16 14.46 N/A N/A 85,750 99,330 2,341,710 2,476,950 2009-12-09 $0.80 $0.79 35.7% 11.3% 23.8% 3.7% 39.7% 3.8% 5.9% -1.4K -35.9M -366.7K 0.46 8.62 N/A N/A 91,490 42,420 2,356,480 2,507,330 2009-12-10 $0.81 $0.79 39.8% 11.4% 23.4% 10.7% 39.3% 4.7% 6.9% 376.9K -43.5M -370.8K 0.58 10.21 N/A N/A 87,010 50,820 2,366,980 2,524,270 2009-12-11 $0.80 $0.79 39.1% 11.2% 23.1% 9.6% 40.7% 4.5% 7.2% -386.9K -33.8M -358.7K 0.94 13.74 N/A N/A 56,910 53,480 2,383,640 2,546,670 2009-12-14 $0.81 $0.79 39.1% 11.2% 22.4% 9.6% 39.2% 4.3% 7.1% -147.0K -39.8M -351.5K 0.93 10.93 N/A N/A 49,490 46,270 2,396,310 2,558,150 2009-12-15 $0.81 $0.79 38.6% 11.1% 22.7% 9.0% 37.9% 4.6% 7.3% 295.5K -47.0M -344.8K 0.69 8.31 N/A N/A 127,540 87,710 2,404,640 2,572,080 2009-12-16 $0.79 $0.79 36.9% 10.6% 23.4% 6.0% 37.2% 4.7% 8.5% -1.3M -23.5M -335.7K 0.57 10.84 N/A N/A 423,080 243,110 2,384,480 2,572,430 2009-12-17 $0.77 $0.79 36.4% 10.4% 24.0% 5.2% 37.1% 3.5% 7.8% -611.1K -13.8M -329.5K 0.76 7.74 N/A N/A 184,380 140,560 2,570,610 2,621,710 2009-12-18 $0.76 $0.79 35.8% 10.3% 23.8% 4.1% 36.4% 2.4% 8.5% -831.7K -5.2M -326.8K 0.66 11.28 N/A N/A 303,310 199,570 2,543,800 2,624,860 2009-12-21 $0.77 $0.79 33.5% 9.6% 24.8% 0.0% 34.4% 4.4% 10.8% -154.7K -11.1M -315.5K 0.67 9.99 N/A N/A 113,330 75,530 1,580,880 1,763,020 2009-12-22 $0.77 $0.79 35.6% 10.2% 24.4% 3.8% 36.0% 0.7% 8.3% -111.8K -10.0M -325.8K 0.35 13.34 N/A N/A 734,300 258,860 1,637,370 1,804,950 2009-12-23 $0.81 $0.79 36.6% 10.5% 33.3% 5.6% 36.1% 2.8% 7.8% 797.4K -36.4M -373.9K 0.40 7.95 N/A N/A 502,390 202,370 1,886,150 1,960,070 2009-12-24 $0.81 $0.79 36.1% 10.4% 33.3% 4.8% 36.0% 2.7% 8.3% 810.0K -36.7M -391.1K 0.29 7.36 N/A N/A 170,450 50,260 1,942,920 2,070,320 2009-12-28 $0.82 $0.79 36.7% 10.5% 32.4% 5.8% 36.2% 2.1% 8.8% 1.0M -40.4M -386.8K 0.68 8.81 N/A N/A 174,860 119,000 2,007,810 2,093,280 2009-12-29 $0.81 $0.79 38.3% 11.0% 32.1% 8.8% 37.3% 4.0% 6.7% 934.0K -37.9M -386.5K 4.25 7.91 N/A N/A 198,240 842,450 2,030,280 2,123,030 2009-12-30 $0.79 $0.86 37.4% 10.7% 33.0% 7.1% 37.3% 3.6% 8.3% -1.3M 6.2M -422.0K 1.09 10.05 N/A N/A 144,130 157,780 2,110,290 2,768,290 2009-12-31 $0.79 $0.86 40.2% 11.5% 32.6% 12.3% 40.5% 2.5% 6.7% -1.5M 16.4M -417.2K 2.02 9.79 N/A N/A 196,210 396,620 2,137,590 2,848,860
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