NFLX Options History — May 2010

In May 2010, NFLX traded between $1.30 and $1.59. ATM implied volatility averaged 61.9%, placing in the 81.2% IV rank vs the trailing year. The 30-day expected move averaged 17.7%. IV traded below realized volatility by 16.5% (HV 20d: 78.4%). Max pain ranged from $1.21 to $1.29. Net GEX was positive for 4 of 20 trading days. Term structure was in contango for 10 of 20 days. Put/call ratio averaged 1.08.

Notable Days

  • 2010-05-13: Highest Volume — 4,725,700 contracts
  • 2010-05-07: Largest IV spike — 22.6% change
  • 2010-05-14: Highest IV Rank — 100.0%
  • 2010-05-20: Largest Expected Move — 21.0%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$1.46$1.30$1.59$1.46$1.59
Max Pain$1.27$1.21$1.29$1.29$1.29
ATM IV61.9%49.0%73.2%49.0%58.5%
Expected Move17.7%14.1%21.0%14.1%16.8%
HV 20d78.4%70.2%91.8%72.2%71.6%
HV 60d55.4%47.6%60.7%47.6%60.2%
IV Rank81.2%54.6%100.0%54.6%66.8%
IV Percentile96.0%83.7%100.0%83.7%95.2%
Term Structure-0.5%-4.5%2.2%0.7%2.2%
VWIV62.9%50.2%75.5%50.2%58.9%
Skew 25d7.6%0.3%14.5%1.5%11.5%
Skew 10d15.9%1.4%28.8%4.5%25.1%
Call IV 25d58.5%49.3%69.3%49.3%53.2%
Put IV 25d66.1%50.8%80.3%50.8%64.7%
Bid-Ask Spread %10.436.7718.948.846.77
Gamma HHI0.140.090.310.150.09
Net GEX-2.7M-7.6M1.4M-2.3M1.1M
Net DEX-306.8M-549.1M-78.4M-361.0M-385.9M
Net VEX-2.0M-2.1M-1.8M-1.9M-2.0M
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.080.551.750.910.70
Total Volume1,643,141.5747,0404,725,700747,0401,863,190
Total OI14,185,92711,474,40016,344,58013,963,67012,195,540

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2010-05-03$1.46$1.2949.0%14.1%72.2%54.6%50.2%1.5%0.7%-2.3M-361.0M-1.9M0.918.84N/AN/A391,020356,0205,549,5308,414,140
2010-05-04$1.42$1.2953.5%15.3%72.5%66.8%54.2%1.3%-1.4%-3.8M-291.9M-2.0M1.399.60N/AN/A395,150548,8005,551,8408,496,110
2010-05-05$1.40$1.2952.7%15.1%70.2%64.5%54.3%0.3%-0.4%-4.3M-265.5M-2.0M1.199.46N/AN/A371,350442,5405,594,3308,544,760
2010-05-06$1.39$1.2952.1%15.0%70.4%63.1%53.4%1.5%0.2%-4.7M-235.8M-2.0M1.4613.65N/AN/A728,4201,064,2805,732,0208,549,870
2010-05-07$1.30$1.2163.9%17.2%74.8%95.1%60.3%5.9%0.8%-5.5M-78.4M-2.1M1.7518.94N/AN/A685,5801,202,8805,755,7508,474,060
2010-05-10$1.39$1.2159.1%16.2%78.1%81.9%56.7%7.0%0.5%-4.0M-237.0M-2.0M0.9910.49N/AN/A434,000431,4805,755,7508,474,060
2010-05-11$1.43$1.2156.5%16.1%77.5%74.9%57.2%5.1%0.7%-3.0M-308.8M-2.0M0.558.78N/AN/A1,035,230573,8605,883,4308,597,750
2010-05-12$1.54$1.2154.8%16.1%81.4%70.3%59.4%7.5%-0.0%1.3M-517.7M-1.8M0.9210.58N/AN/A859,810787,5705,981,2908,618,120
2010-05-13$1.57$1.2962.2%17.8%81.2%90.4%62.9%6.2%-4.5%1.4M-549.1M-1.8M1.1212.48N/AN/A2,224,0402,501,6605,924,3808,751,890
2010-05-14$1.44$1.2965.9%18.9%88.4%100.0%66.2%7.6%-3.6%-4.7M-271.2M-2.1M1.637.48N/AN/A936,9501,529,5006,239,7309,450,490
2010-05-17$1.52$1.2972.2%20.7%89.8%100.0%72.7%7.6%-4.3%-1.3M-430.5M-2.1M0.578.13N/AN/A1,377,040786,3806,336,3309,368,940
2010-05-18$1.46$1.2970.6%20.2%91.5%96.3%70.3%7.2%-2.2%-3.3M-339.0M-2.1M0.887.89N/AN/A915,810802,9706,510,3509,464,840
2010-05-19$1.44$1.2969.6%20.0%91.8%94.1%70.8%8.1%-1.6%-4.1M-303.2M-2.1M0.968.96N/AN/A728,490696,7806,734,9809,495,500
2010-05-20$1.36$1.2973.2%21.0%79.4%100.0%74.0%11.0%-0.9%-7.3M-150.6M-2.1M1.5516.06N/AN/A872,9701,355,4806,797,9809,461,550
2010-05-21$1.42$1.2970.1%20.1%81.3%93.0%75.5%12.7%0.9%-7.6M-274.6M-2.0M1.209.70N/AN/A1,009,7501,211,0706,820,1709,524,410
2010-05-24$1.45$1.2969.5%19.9%75.9%91.6%70.3%11.6%-1.2%-1.2M-228.9M-2.1M0.8910.37N/AN/A495,740442,5404,768,1206,706,280
2010-05-25$1.50$1.2964.6%18.5%74.0%80.6%66.0%12.3%1.0%-481.4K-277.8M-2.1M0.9511.86N/AN/A415,170394,3104,828,9506,694,590
2010-05-26$1.50$1.2963.4%18.2%73.3%77.8%65.4%14.5%0.4%-296.3K-282.0M-2.1M1.1710.20N/AN/A431,760506,1704,969,0206,793,360
2010-05-27$1.56$1.2956.5%16.2%73.3%62.3%59.3%12.4%1.9%536.8K-347.8M-2.0M0.888.40N/AN/A561,400495,6704,983,4406,924,890
2010-05-28$1.59$1.2958.5%16.8%71.6%66.8%58.9%11.5%2.2%1.1M-385.9M-2.0M0.706.77N/AN/A1,093,820769,3705,111,8207,083,720