NFLX Options History — April 2010 In April 2010, NFLX traded between $1.07 and $1.55. ATM implied volatility averaged 43.8%, placing in the 29.6% IV rank vs the trailing year. The 30-day expected move averaged 13.6%. IV traded below realized volatility by 2.5% (HV 20d: 46.3%). Max pain ranged from $1.00 to $1.29. Net GEX was positive for 17 of 21 trading days. Term structure was in contango for 7 of 21 days. Put/call ratio averaged 1.01.
Notable Days 2010-04-22 : Highest Volume — 6,112,540 contracts2010-04-15 : Largest IV spike — 39.3% change2010-04-26 : Highest IV Rank — 53.5%2010-04-20 : Largest Expected Move — 16.1%Monthly Statistics Metric Avg Min Max Open Close Price $1.28 $1.07 $1.55 $1.07 $1.41 Max Pain $1.12 $1.00 $1.29 $1.00 $1.29 ATM IV 43.8% 31.7% 56.2% 31.7% 45.7% Expected Move 13.6% 9.1% 16.1% 9.1% 13.1% HV 20d 46.3% 21.6% 74.3% 21.6% 74.3% HV 60d 52.2% 44.3% 59.2% 52.1% 47.9% IV Rank 29.6% 4.7% 53.5% 4.7% 45.6% IV Percentile 55.6% 4.0% 93.7% 4.0% 73.0% Term Structure -2.1% -6.6% 12.2% 12.2% 2.3% VWIV 48.7% 34.2% 56.9% 34.2% 46.5% Skew 25d 3.6% 0.3% 5.2% 3.9% 0.3% Skew 10d 7.4% 1.5% 13.7% 13.7% 1.5% Call IV 25d 46.6% 31.7% 55.1% 31.7% 46.6% Put IV 25d 50.2% 35.7% 58.6% 35.7% 46.9% Bid-Ask Spread % 13.03 8.16 20.38 8.67 17.47 Gamma HHI 0.19 0.10 0.47 0.24 0.17 Net GEX 2.5M -3.9M 7.1M 3.8M -3.9M Net DEX -339.4M -540.2M -177.9M -177.9M -295.8M Net VEX -1.3M -2.0M -853.5K -959.4K -2.0M Div Yield 0.0% 0.0% 0.0% 0.0% 0.0% P/C Ratio 1.01 0.42 2.11 1.35 1.24 Total Volume 1,716,396.667 523,600 6,112,540 523,600 697,760 Total OI 10,505,780 7,518,770 13,989,500 7,518,770 13,989,500
Daily Data (21 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 2010-04-01 $1.07 $1.00 31.7% 9.1% 21.6% 4.7% 34.2% 3.9% 12.2% 3.8M -177.9M -959.4K 1.35 8.67 N/A N/A 222,880 300,720 3,804,360 3,714,410 2010-04-05 $1.14 $1.00 36.7% 12.8% 29.8% 13.1% 45.7% 5.0% -4.2% 5.6M -289.5M -853.5K 1.44 8.53 N/A N/A 596,190 860,510 3,889,130 3,933,930 2010-04-06 $1.19 $1.00 39.0% 13.3% 32.0% 17.0% 47.4% 5.2% -3.8% 3.7M -327.5M -900.5K 0.99 11.92 N/A N/A 1,207,430 1,196,090 4,023,530 4,377,240 2010-04-07 $1.14 $1.04 37.5% 13.3% 37.2% 14.5% 47.4% 4.6% -4.0% 3.4M -251.2M -1.1M 1.32 12.59 N/A N/A 761,250 1,005,830 4,450,880 4,985,750 2010-04-08 $1.17 $1.04 38.5% 13.7% 37.5% 16.3% 48.7% 5.0% -3.7% 3.8M -298.2M -1.0M 0.81 14.16 N/A N/A 341,950 276,290 4,450,880 4,985,750 2010-04-09 $1.18 $1.04 35.4% 13.7% 37.4% 10.9% 47.5% 4.5% -3.8% 4.9M -327.3M -1.1M 0.44 12.88 N/A N/A 374,010 163,590 4,792,690 5,469,590 2010-04-12 $1.19 $1.04 36.1% 13.9% 36.3% 12.2% 49.5% 4.5% -4.5% 5.4M -340.2M -1.0M 0.62 12.77 N/A N/A 340,200 209,440 4,750,550 5,503,820 2010-04-13 $1.23 $1.04 40.7% 14.4% 37.3% 20.1% 51.4% 4.8% -6.1% 4.9M -401.2M -1.0M 0.50 17.09 N/A N/A 938,980 472,430 4,734,240 5,550,160 2010-04-14 $1.25 $1.04 39.1% 14.8% 37.3% 17.2% 53.7% 4.1% -5.5% 4.3M -417.1M -1.1M 0.42 12.95 N/A N/A 1,350,650 572,530 4,891,460 5,784,660 2010-04-15 $1.24 $1.07 54.4% 15.6% 37.8% 43.4% 55.0% 4.8% -6.3% 4.6M -415.1M -1.3M 2.11 10.93 N/A N/A 332,430 699,930 5,518,870 6,059,340 2010-04-16 $1.22 $1.07 55.1% 15.8% 38.7% 44.5% 56.5% 4.2% -5.7% 7.1M -374.4M -1.4M 0.57 13.73 N/A N/A 590,590 333,900 5,501,090 6,403,460 2010-04-19 $1.21 $1.07 55.8% 16.0% 39.0% 45.6% 56.6% 3.5% -6.6% 1.9M -219.4M -1.4M 0.50 20.38 N/A N/A 544,600 274,820 4,108,790 4,048,240 2010-04-20 $1.24 $1.14 56.2% 16.1% 38.4% 46.4% 56.9% 4.2% -6.6% 2.2M -252.4M -1.4M 0.71 11.50 N/A N/A 522,410 368,690 4,176,550 4,186,980 2010-04-21 $1.24 $1.14 53.9% 15.5% 38.5% 42.5% 54.4% 2.5% -5.0% 2.5M -259.0M -1.4M 1.06 12.78 N/A N/A 972,790 1,028,020 4,355,050 4,387,740 2010-04-22 $1.43 $1.14 39.3% 11.3% 60.4% 17.6% 40.4% 3.3% 0.3% 4.3M -481.8M -1.2M 1.59 17.35 N/A N/A 2,361,240 3,751,300 4,658,780 4,832,380 2010-04-23 $1.42 $1.29 37.4% 10.7% 60.9% 16.6% 39.3% 2.5% 2.3% 258.6K -408.8M -1.5M 1.65 12.82 N/A N/A 1,310,890 2,157,540 4,955,860 6,404,650 2010-04-26 $1.55 $1.29 48.6% 13.9% 65.2% 53.5% 50.3% 3.8% -0.9% 1.4M -540.2M -1.6M 0.79 8.16 N/A N/A 2,572,150 2,042,460 5,267,150 7,069,300 2010-04-27 $1.46 $1.29 47.4% 13.6% 70.2% 50.1% 47.7% 1.3% 0.9% -2.0M -376.1M -1.9M 1.38 13.10 N/A N/A 799,680 1,102,710 5,447,890 7,920,920 2010-04-28 $1.42 $1.29 46.2% 13.3% 71.8% 47.0% 47.1% 1.7% 1.3% -3.7M -290.2M -1.9M 1.22 10.39 N/A N/A 526,680 644,210 5,319,580 8,232,280 2010-04-29 $1.47 $1.29 44.9% 12.9% 71.3% 43.4% 46.4% 1.2% 2.4% -2.2M -383.1M -1.8M 0.58 13.45 N/A N/A 769,650 448,910 5,363,050 8,320,900 2010-04-30 $1.41 $1.29 45.7% 13.1% 74.3% 45.6% 46.5% 0.3% 2.3% -3.9M -295.8M -2.0M 1.24 17.47 N/A N/A 311,360 386,400 5,570,040 8,419,460
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