NFLX Options History — March 2010 In March 2010, NFLX traded between $0.96 and $1.07. ATM implied volatility averaged 32.3%, placing in the 5.0% IV rank vs the trailing year. The 30-day expected move averaged 9.4%. IV traded above realized volatility by 4.1% (HV 20d: 28.2%). Max pain ranged from $0.86 to $1.00. Net GEX was positive for 23 of 23 trading days. Term structure was in contango for 23 of 23 days. Put/call ratio averaged 1.40.
Notable Days 2010-03-12 : Highest Volume — 1,400,350 contracts2010-03-09 : Largest IV spike — 13.1% change2010-03-11 : Highest IV Rank — 9.9%2010-03-09 : Largest Expected Move — 10.1%Monthly Statistics Metric Avg Min Max Open Close Price $1.01 $0.96 $1.07 $1.00 $1.05 Max Pain $0.97 $0.86 $1.00 $0.86 $1.00 ATM IV 32.3% 29.0% 34.8% 34.3% 33.4% Expected Move 9.4% 8.6% 10.1% 9.8% 9.6% HV 20d 28.2% 21.1% 31.6% 31.1% 21.1% HV 60d 54.4% 52.8% 55.4% 55.3% 52.8% IV Rank 5.0% 0.0% 9.9% 5.1% 7.6% IV Percentile 3.2% 0.0% 8.3% 2.8% 6.3% Term Structure 6.8% 0.1% 11.1% 0.1% 10.7% VWIV 34.7% 30.7% 41.6% 41.6% 35.2% Skew 25d 3.8% 1.1% 7.0% 7.0% 3.1% Skew 10d 9.2% 4.2% 18.3% 18.3% 10.6% Call IV 25d 31.9% 29.5% 33.8% 32.8% 32.9% Put IV 25d 35.7% 31.7% 39.8% 39.8% 36.0% Bid-Ask Spread % 12.79 8.69 18.04 11.53 11.46 Gamma HHI 0.26 0.12 0.53 0.26 0.19 Net GEX 2.7M 1.0M 5.7M 1.5M 3.7M Net DEX -149.8M -191.2M -103.3M -143.8M -165.0M Net VEX -878.3K -993.6K -824.1K -824.9K -993.6K Div Yield 0.0% 0.0% 0.0% 0.0% 0.0% P/C Ratio 1.40 0.35 5.07 2.51 0.87 Total Volume 651,176.522 195,090 1,400,350 1,371,650 209,440 Total OI 7,977,890.87 5,593,280 9,942,240 7,752,570 7,589,260
Daily Data (23 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 2010-03-01 $1.00 $0.86 34.3% 9.8% 31.1% 5.1% 41.6% 7.0% 0.1% 1.5M -143.8M -824.9K 2.51 11.53 N/A N/A 390,390 981,260 3,254,510 4,498,060 2010-03-02 $0.99 $0.86 32.4% 9.3% 30.2% 1.7% 38.8% 4.8% 1.5% 1.9M -139.7M -839.1K 5.07 8.81 N/A N/A 157,360 798,070 3,436,930 4,543,770 2010-03-03 $0.96 $0.86 31.2% 8.9% 31.6% 0.0% 35.9% 5.5% 3.0% 1.0M -103.3M -852.6K 2.33 10.50 N/A N/A 405,230 943,880 3,410,820 4,426,240 2010-03-04 $0.97 $0.93 30.3% 8.7% 31.6% 0.0% 33.5% 3.7% 4.0% 1.6M -118.7M -845.2K 1.33 9.53 N/A N/A 229,390 304,850 3,537,590 4,519,830 2010-03-05 $0.97 $0.93 29.0% 9.9% 29.7% 0.0% 34.8% 6.2% 3.4% 1.1M -107.5M -903.9K 2.22 11.26 N/A N/A 153,720 340,690 3,688,720 4,652,690 2010-03-08 $0.98 $0.96 30.5% 9.8% 29.8% 2.6% 37.7% 5.3% 3.8% 2.7M -138.1M -856.8K 1.78 11.36 N/A N/A 81,480 144,830 3,720,360 4,634,210 2010-03-09 $1.00 $0.93 34.5% 10.1% 30.1% 9.4% 36.1% 5.6% 4.0% 3.4M -166.9M -860.1K 1.11 18.04 N/A N/A 575,120 641,130 3,756,060 4,649,330 2010-03-10 $1.02 $0.96 31.8% 9.6% 30.0% 4.8% 35.4% 5.3% 5.3% 4.1M -191.2M -854.9K 1.23 13.33 N/A N/A 224,770 276,290 3,781,190 4,733,960 2010-03-11 $1.02 $0.96 34.8% 10.0% 29.5% 9.9% 35.7% 5.0% 5.0% 3.7M -186.4M -835.4K 2.20 16.31 N/A N/A 83,440 183,190 3,734,780 4,856,390 2010-03-12 $1.00 $0.96 34.6% 9.9% 29.4% 9.6% 34.6% 4.7% 5.3% 3.5M -160.1M -846.2K 1.19 18.03 N/A N/A 639,800 760,550 3,743,740 4,849,880 2010-03-15 $0.99 $1.00 32.8% 9.4% 29.5% 6.6% 33.7% 3.9% 6.5% 3.0M -145.0M -886.2K 1.81 8.69 N/A N/A 139,020 251,650 4,223,590 5,356,190 2010-03-16 $1.01 $1.00 33.3% 9.5% 28.7% 7.4% 33.8% 4.3% 5.5% 3.4M -175.6M -878.2K 0.59 12.63 N/A N/A 232,750 136,360 4,275,180 5,529,370 2010-03-17 $1.01 $1.00 33.6% 9.6% 28.5% 7.9% 33.7% 3.1% 6.3% 4.1M -186.7M -873.2K 0.50 12.85 N/A N/A 309,540 155,960 4,292,050 5,528,880 2010-03-18 $1.01 $1.00 31.1% 8.9% 27.7% 3.7% 31.9% 3.9% 7.1% 5.7M -179.5M -866.1K 0.72 15.36 N/A N/A 193,410 139,370 4,310,810 5,571,160 2010-03-19 $1.01 $1.00 29.9% 8.6% 27.7% 1.6% 30.7% 2.2% 9.2% 5.7M -178.9M -861.1K 0.85 17.67 N/A N/A 391,300 332,640 4,356,450 5,585,790 2010-03-22 $1.04 $1.00 30.9% 8.9% 28.3% 3.3% 31.2% 1.4% 9.7% 1.0M -115.3M -824.1K 0.50 15.29 N/A N/A 467,390 232,610 2,658,810 2,934,470 2010-03-23 $1.04 $1.00 30.5% 8.7% 27.4% 2.7% 31.9% 1.6% 10.8% 1.2M -122.0M -880.5K 0.59 10.12 N/A N/A 248,360 147,770 2,902,690 3,073,210 2010-03-24 $1.03 $1.00 30.1% 8.6% 27.9% 2.0% 31.7% 1.1% 11.1% 1.3M -118.9M -920.7K 0.97 12.90 N/A N/A 99,190 95,900 3,066,420 3,161,760 2010-03-25 $1.05 $1.00 34.1% 9.8% 28.0% 8.7% 34.6% 1.3% 10.5% 1.7M -140.2M -917.6K 0.66 13.79 N/A N/A 567,420 371,980 3,125,780 3,195,010 2010-03-26 $1.06 $1.00 33.2% 9.5% 28.0% 7.2% 34.2% 2.0% 10.6% 2.2M -154.2M -925.4K 0.87 12.72 N/A N/A 264,880 230,650 3,290,000 3,298,890 2010-03-29 $1.06 $1.00 33.7% 9.7% 21.8% 8.1% 36.3% 2.1% 10.6% 1.7M -145.2M -934.4K 1.89 11.46 N/A N/A 94,640 178,710 3,340,820 3,477,810 2010-03-30 $1.07 $1.00 32.5% 9.3% 21.6% 6.0% 34.8% 3.7% 11.1% 2.1M -164.4M -921.3K 0.35 10.45 N/A N/A 866,670 304,010 3,360,070 3,557,960 2010-03-31 $1.05 $1.00 33.4% 9.6% 21.1% 7.6% 35.2% 3.1% 10.7% 3.7M -165.0M -993.6K 0.87 11.46 N/A N/A 112,210 97,230 3,934,910 3,654,350
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