NFLX Options History — January 2010

In January 2010, NFLX traded between $0.70 and $0.90. ATM implied volatility averaged 48.1%, placing in the 27.0% IV rank vs the trailing year. The 30-day expected move averaged 14.3%. IV traded above realized volatility by 4.8% (HV 20d: 43.4%). Max pain ranged from $0.75 to $0.79. Net GEX was positive for 6 of 19 trading days. Term structure was in contango for 2 of 19 days. Put/call ratio averaged 1.40.

Notable Days

  • 2010-01-28: Highest Volume — 4,534,810 contracts
  • 2010-01-28: Largest IV drop — 33.9% change
  • 2010-01-27: Highest IV Rank — 45.1%
  • 2010-01-27: Largest Expected Move — 16.6%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$0.76$0.70$0.90$0.76$0.89
Max Pain$0.76$0.75$0.79$0.79$0.79
ATM IV48.1%38.3%58.0%44.2%40.8%
Expected Move14.3%11.0%16.6%13.8%11.7%
HV 20d43.4%33.6%86.0%33.6%85.6%
HV 60d39.3%32.8%54.5%38.5%54.5%
IV Rank27.0%8.8%45.1%19.6%13.4%
IV Percentile55.4%15.5%83.3%45.6%35.3%
Term Structure-4.3%-8.3%0.9%-2.7%0.4%
VWIV49.8%40.6%58.2%48.4%40.6%
Skew 25d4.8%3.2%5.9%3.2%5.6%
Skew 10d8.4%3.3%12.3%3.3%12.1%
Call IV 25d47.6%36.7%56.0%47.0%36.7%
Put IV 25d52.4%42.2%61.0%50.2%42.2%
Bid-Ask Spread %9.044.3317.284.3313.58
Gamma HHI0.220.130.400.380.25
Net GEX-617.2K-2.1M1.6M-2.1M1.6M
Net DEX4.9M-134.3M65.4M42.2M-123.8M
Net VEX-405.9K-532.5K-358.0K-404.4K-532.5K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.400.623.150.961.14
Total Volume964,198.421288,9604,534,810610,8901,666,630
Total OI5,022,234.7373,469,4105,908,9805,282,1305,908,980

Daily Data (19 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2010-01-04$0.76$0.7944.2%13.8%33.6%19.6%48.4%3.2%-2.7%-2.1M42.2M-404.4K0.964.33N/AN/A312,270298,6202,196,6703,085,460
2010-01-05$0.74$0.7949.9%14.6%34.4%30.2%51.0%3.9%-4.1%-1.9M65.4M-386.5K1.786.64N/AN/A637,8401,135,1202,264,9203,198,370
2010-01-06$0.76$0.7544.4%14.1%37.0%20.0%48.9%5.9%-3.3%-1.7M31.6M-418.6K1.636.17N/AN/A437,710714,9102,420,3903,208,100
2010-01-07$0.75$0.7546.6%14.2%37.4%24.1%49.1%4.4%-4.2%-1.2M25.9M-405.5K1.056.11N/AN/A195,790205,8702,499,9803,003,280
2010-01-08$0.76$0.7540.3%14.1%38.1%12.5%49.7%4.3%-4.4%-1.1M14.2M-418.8K2.878.38N/AN/A162,820467,2502,557,6603,063,130
2010-01-11$0.76$0.7543.7%13.9%37.6%18.8%49.9%4.4%-3.2%-1.2M17.1M-391.9K0.647.51N/AN/A324,660206,2202,543,8703,029,810
2010-01-12$0.75$0.7548.6%13.6%37.5%27.8%46.5%4.9%-2.3%-1.1M20.4M-372.6K0.978.66N/AN/A226,450219,6602,655,9403,040,240
2010-01-13$0.77$0.7941.6%13.4%38.9%15.0%47.1%5.1%-2.8%-975.1K1.2M-388.0K0.6711.02N/AN/A288,400191,9402,655,5903,050,880
2010-01-14$0.73$0.7949.3%14.1%43.1%29.1%48.7%5.0%-4.0%-1.4M28.5M-358.0K2.158.08N/AN/A254,800548,8702,643,8302,947,000
2010-01-15$0.73$0.7948.5%13.9%41.9%27.6%47.4%4.3%-3.7%-1.0M22.9M-362.2K0.636.56N/AN/A393,400246,0502,675,8903,032,260
2010-01-19$0.73$0.7947.8%13.7%41.3%26.4%47.7%4.6%-5.3%36.6K7.0M-370.5K3.158.81N/AN/A100,380316,6101,779,3301,690,080
2010-01-20$0.73$0.7552.3%15.0%41.2%34.6%51.9%4.7%-7.0%111.8K4.4M-374.5K0.629.12N/AN/A517,860320,0401,816,2901,681,050
2010-01-21$0.73$0.7553.0%15.2%40.9%35.9%52.0%5.3%-6.2%271.0K-721.6K-409.3K0.7710.68N/AN/A299,600230,4402,069,6901,845,550
2010-01-22$0.73$0.7554.1%15.5%40.8%38.0%53.8%5.8%-6.0%78.8K5.0M-413.2K2.2910.18N/AN/A87,850201,1102,068,0101,951,110
2010-01-25$0.70$0.7555.8%16.0%35.4%41.1%56.3%4.7%-7.2%-368.0K24.8M-391.0K2.329.39N/AN/A337,610783,3702,086,3502,075,920
2010-01-26$0.71$0.7557.5%16.5%36.3%44.3%57.0%4.6%-7.9%-763.3K25.4M-445.0K0.7910.17N/AN/A203,000159,6002,196,2502,525,320
2010-01-27$0.73$0.7558.0%16.6%37.2%45.1%58.2%5.1%-8.3%-697.1K16.6M-454.4K1.1517.28N/AN/A507,640584,5702,188,4102,595,460
2010-01-28$0.90$0.7538.3%11.0%86.0%8.8%41.2%4.9%0.9%1.6M-134.3M-415.2K1.009.04N/AN/A2,267,3002,267,5102,375,5202,795,870
2010-01-29$0.89$0.7940.8%11.7%85.6%13.4%40.6%5.6%0.4%1.6M-123.8M-532.5K1.1413.58N/AN/A780,570886,0602,839,2703,069,710