NFLX Options History — February 2010 In February 2010, NFLX traded between $0.86 and $0.95. ATM implied volatility averaged 35.5%, placing in the 5.9% IV rank vs the trailing year. The 30-day expected move averaged 10.4%. IV traded below realized volatility by 43.2% (HV 20d: 78.7%). Max pain ranged from $0.82 to $0.86. Net GEX was positive for 18 of 19 trading days. Term structure was in contango for 18 of 19 days. Put/call ratio averaged 1.69.
Notable Days 2010-02-24 : Highest Volume — 3,295,180 contracts2010-02-11 : Largest IV spike — 11.5% change2010-02-25 : Highest IV Rank — 11.2%2010-02-05 : Largest Expected Move — 11.3%Monthly Statistics Metric Avg Min Max Open Close Price $0.91 $0.86 $0.95 $0.87 $0.94 Max Pain $0.84 $0.82 $0.86 $0.82 $0.86 ATM IV 35.5% 31.4% 38.2% 38.2% 36.4% Expected Move 10.4% 9.7% 11.3% 10.9% 10.4% HV 20d 78.7% 26.0% 85.9% 85.9% 26.0% HV 60d 54.3% 53.9% 54.7% 54.7% 54.3% IV Rank 5.9% 0.0% 11.2% 8.6% 8.8% IV Percentile 6.2% 0.0% 18.7% 15.1% 9.9% Term Structure 2.9% -0.3% 5.9% 1.0% -0.3% VWIV 37.7% 33.6% 42.1% 39.4% 39.6% Skew 25d 5.5% 3.0% 10.0% 5.6% 8.6% Skew 10d 11.2% 7.8% 18.4% 11.3% 15.3% Call IV 25d 34.1% 32.1% 37.1% 35.9% 32.2% Put IV 25d 39.6% 36.2% 43.7% 41.5% 40.8% Bid-Ask Spread % 12.84 7.67 17.71 17.71 12.23 Gamma HHI 0.36 0.17 0.62 0.22 0.28 Net GEX 1.4M -305.3K 3.8M 734.6K -305.3K Net DEX -109.6M -191.7M -58.5M -94.3M -75.9M Net VEX -610.7K -885.5K -509.8K -584.9K -885.5K Div Yield 0.0% 0.0% 0.0% 0.0% 0.0% P/C Ratio 1.69 0.23 5.12 1.03 2.48 Total Volume 768,283.158 191,940 3,295,180 937,370 579,390 Total OI 6,427,296.842 4,517,870 7,581,490 6,370,350 7,581,490
Daily Data (19 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 2010-02-01 $0.87 $0.82 38.2% 10.9% 85.9% 8.6% 39.4% 5.6% 1.0% 734.6K -94.3M -584.9K 1.03 17.71 N/A N/A 462,350 475,020 2,973,460 3,396,890 2010-02-02 $0.88 $0.82 37.4% 10.7% 84.9% 7.2% 37.4% 5.2% 1.3% 871.3K -102.4M -584.0K 3.24 13.59 N/A N/A 90,370 292,530 2,953,160 3,352,160 2010-02-03 $0.89 $0.82 36.5% 10.5% 83.3% 5.5% 36.1% 6.1% 1.6% 836.4K -101.5M -592.4K 0.93 10.82 N/A N/A 99,400 92,610 2,944,830 3,454,780 2010-02-04 $0.86 $0.82 36.6% 10.5% 83.7% 5.7% 37.0% 4.8% 1.6% 256.9K -76.9M -600.9K 2.60 10.65 N/A N/A 131,320 341,250 2,969,680 3,466,750 2010-02-05 $0.87 $0.82 35.4% 11.3% 83.2% 3.4% 38.8% 4.3% 2.5% 679.7K -85.8M -581.2K 1.93 13.90 N/A N/A 194,880 376,390 2,982,490 3,449,390 2010-02-08 $0.87 $0.82 34.8% 11.1% 83.1% 2.3% 40.5% 5.2% 3.5% 981.9K -90.8M -560.3K 1.09 17.22 N/A N/A 166,320 181,090 3,005,590 3,443,300 2010-02-09 $0.89 $0.82 34.4% 10.9% 83.2% 1.7% 37.9% 5.3% 4.4% 1.5M -111.1M -551.3K 2.40 16.84 N/A N/A 74,480 179,060 2,996,840 3,437,700 2010-02-10 $0.88 $0.86 31.4% 10.7% 83.0% 0.0% 37.6% 4.3% 4.4% 1.1M -100.8M -557.4K 2.04 15.19 N/A N/A 67,410 137,270 2,973,250 3,492,580 2010-02-11 $0.91 $0.82 35.0% 10.0% 83.0% 6.4% 36.6% 3.9% 5.7% 2.0M -129.3M -530.1K 0.77 15.71 N/A N/A 277,480 214,410 2,955,750 3,450,790 2010-02-12 $0.90 $0.86 33.8% 9.7% 79.6% 4.2% 36.4% 4.8% 5.9% 2.0M -130.7M -527.1K 1.23 13.83 N/A N/A 85,890 106,050 3,023,020 3,526,040 2010-02-16 $0.93 $0.86 36.3% 10.4% 79.7% 8.7% 35.9% 4.4% 4.8% 3.0M -158.4M -509.8K 0.23 11.44 N/A N/A 435,190 98,630 3,033,240 3,538,220 2010-02-17 $0.92 $0.86 35.1% 10.1% 79.9% 6.5% 36.6% 3.0% 5.1% 3.7M -156.4M -545.8K 0.46 9.29 N/A N/A 221,830 102,760 3,269,070 3,558,240 2010-02-18 $0.94 $0.86 33.9% 9.7% 79.9% 4.4% 34.5% 4.0% 5.3% 3.8M -182.3M -547.1K 0.62 12.11 N/A N/A 261,240 161,770 3,288,670 3,579,800 2010-02-19 $0.95 $0.86 33.7% 9.7% 79.7% 4.1% 33.6% 4.1% 5.3% 2.2M -191.7M -570.5K 0.56 11.09 N/A N/A 266,350 148,400 3,357,900 3,637,130 2010-02-22 $0.93 $0.86 36.3% 10.4% 80.4% 8.7% 38.3% 6.6% 0.5% 1.8M -86.8M -583.5K 2.04 7.67 N/A N/A 726,180 1,479,310 2,376,150 2,141,720 2010-02-23 $0.92 $0.86 34.3% 9.8% 79.1% 5.2% 36.2% 4.8% 1.7% 324.7K -58.5M -704.5K 1.55 12.69 N/A N/A 381,920 590,940 2,666,790 2,889,530 2010-02-24 $0.92 $0.86 36.9% 10.6% 79.1% 9.8% 42.1% 9.4% 0.5% 1.7M -75.2M -744.0K 5.12 10.11 N/A N/A 538,230 2,756,950 2,958,410 2,839,620 2010-02-25 $0.94 $0.86 37.7% 10.8% 79.1% 11.2% 41.7% 10.0% 0.4% 87.9K -73.4M -842.9K 1.88 11.82 N/A N/A 625,240 1,177,470 3,180,310 3,973,900 2010-02-26 $0.94 $0.86 36.4% 10.4% 26.0% 8.8% 39.6% 8.6% -0.3% -305.3K -75.9M -885.5K 2.48 12.23 N/A N/A 166,670 412,720 3,218,810 4,362,680
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