NFLX Options History — June 2010 In June 2010, NFLX traded between $1.53 and $1.81. ATM implied volatility averaged 57.0%, placing in the 63.4% IV rank vs the trailing year. The 30-day expected move averaged 16.4%. IV traded above realized volatility by 2.7% (HV 20d: 54.3%). Max pain ranged from $1.29 to $1.79. Net GEX was positive for 17 of 22 trading days. Term structure was in contango for 18 of 22 days. Put/call ratio averaged 1.17.
Notable Days 2010-06-09 : Highest Volume — 3,652,810 contracts2010-06-02 : Largest IV drop — 10.2% change2010-06-01 : Highest IV Rank — 84.8%2010-06-01 : Largest Expected Move — 19.1%Monthly Statistics Metric Avg Min Max Open Close Price $1.67 $1.53 $1.81 $1.53 $1.55 Max Pain $1.62 $1.29 $1.79 $1.29 $1.71 ATM IV 57.0% 47.8% 66.5% 66.5% 57.9% Expected Move 16.4% 13.7% 19.1% 19.1% 16.6% HV 20d 54.3% 37.8% 72.4% 72.4% 45.3% HV 60d 62.4% 60.8% 64.2% 60.8% 63.9% IV Rank 63.4% 42.6% 84.8% 84.8% 65.4% IV Percentile 89.0% 76.6% 97.6% 97.6% 90.5% Term Structure 3.4% -0.5% 7.4% -0.5% 6.6% VWIV 58.4% 49.5% 66.1% 65.9% 58.4% Skew 25d 9.0% 6.0% 12.2% 11.3% 8.6% Skew 10d 18.9% 12.1% 24.4% 24.4% 18.1% Call IV 25d 53.4% 44.6% 60.8% 60.8% 54.7% Put IV 25d 62.4% 52.3% 72.1% 72.1% 63.3% Bid-Ask Spread % 7.41 5.42 10.02 10.02 5.42 Gamma HHI 0.11 0.07 0.23 0.09 0.07 Net GEX 3.0M -2.7M 10.1M -136.1K -2.7M Net DEX -399.2M -785.6M -19.8M -314.9M -19.8M Net VEX -2.1M -2.3M -2.0M -2.1M -2.1M Div Yield 0.0% 0.0% 0.0% 0.0% 0.0% P/C Ratio 1.17 0.71 1.88 1.10 1.88 Total Volume 1,769,883.182 642,740 3,652,810 738,010 2,054,010 Total OI 13,453,306.364 9,956,310 17,581,130 12,719,980 11,377,940
Daily Data (22 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 2010-06-01 $1.53 $1.29 66.5% 19.1% 72.4% 84.8% 65.9% 11.3% -0.5% -136.1K -314.9M -2.1M 1.10 10.02 N/A N/A 351,050 386,960 5,398,120 7,321,860 2010-06-02 $1.58 $1.29 59.7% 17.1% 72.3% 69.5% 60.0% 10.3% 2.2% 1.5M -391.2M -2.0M 0.72 8.66 N/A N/A 943,810 680,470 5,424,580 7,359,870 2010-06-03 $1.60 $1.29 56.9% 16.3% 72.0% 63.2% 57.2% 7.8% 3.1% 3.8M -437.5M -2.0M 1.11 8.42 N/A N/A 533,820 594,930 5,843,040 7,483,840 2010-06-04 $1.57 $1.50 59.6% 17.9% 72.3% 69.3% 66.1% 11.3% 0.6% 2.5M -386.1M -2.1M 1.71 8.52 N/A N/A 620,900 1,061,550 5,946,080 7,688,450 2010-06-07 $1.56 $1.50 62.7% 17.9% 67.8% 76.3% 63.3% 10.8% 0.1% 2.1M -371.3M -2.0M 1.05 9.26 N/A N/A 963,620 1,011,430 5,968,620 7,737,030 2010-06-08 $1.58 $1.50 61.0% 18.1% 64.1% 72.5% 63.6% 10.8% -0.5% 2.8M -401.1M -2.0M 1.30 8.87 N/A N/A 769,160 1,000,090 6,063,960 7,824,880 2010-06-09 $1.65 $1.50 64.0% 18.5% 65.3% 79.1% 64.3% 12.2% -0.4% 5.1M -505.9M -2.1M 0.73 8.72 N/A N/A 2,113,020 1,539,790 6,155,170 8,013,180 2010-06-10 $1.70 $1.57 60.8% 17.4% 60.5% 71.9% 62.7% 11.8% 0.7% 7.3M -592.1M -2.1M 1.41 7.15 N/A N/A 879,690 1,239,280 6,544,440 8,401,820 2010-06-11 $1.72 $1.57 60.5% 17.4% 60.4% 71.4% 63.1% 10.9% 1.3% 7.6M -622.5M -2.1M 1.22 7.86 N/A N/A 1,133,020 1,386,490 6,705,720 8,659,840 2010-06-14 $1.81 $1.64 60.9% 17.5% 51.0% 72.1% 61.9% 9.6% -0.1% 10.1M -785.6M -2.0M 1.04 7.57 N/A N/A 1,608,460 1,664,950 6,879,180 8,881,810 2010-06-15 $1.76 $1.71 58.0% 16.6% 49.9% 65.7% 59.8% 9.5% 1.7% 7.1M -636.7M -2.1M 1.14 7.29 N/A N/A 1,240,470 1,415,960 6,992,930 9,518,670 2010-06-16 $1.78 $1.71 56.3% 16.1% 46.4% 61.7% 58.0% 9.6% 2.2% 7.0M -656.9M -2.2M 1.34 6.21 N/A N/A 899,220 1,201,130 7,100,030 9,770,110 2010-06-17 $1.80 $1.79 51.7% 14.8% 45.5% 51.4% 51.4% 8.0% 4.9% 9.8M -704.6M -2.2M 0.71 7.08 N/A N/A 1,109,990 789,110 7,185,360 10,002,510 2010-06-18 $1.81 $1.79 47.8% 13.7% 37.8% 42.6% 49.5% 7.7% 7.3% 4.2M -748.9M -2.2M 0.87 6.39 N/A N/A 689,010 597,940 7,455,000 10,126,130 2010-06-21 $1.70 $1.79 51.5% 14.8% 44.3% 51.0% 52.6% 6.4% 6.0% 293.7K -209.3M -2.2M 1.08 5.82 N/A N/A 729,050 787,990 4,368,910 5,587,400 2010-06-22 $1.66 $1.79 53.9% 15.5% 45.3% 56.4% 54.4% 7.4% 5.5% -197.9K -170.0M -2.2M 1.19 5.60 N/A N/A 1,005,270 1,195,530 4,536,910 5,754,770 2010-06-23 $1.68 $1.79 50.8% 14.6% 44.3% 49.5% 52.9% 7.1% 6.6% 8.0K -188.7M -2.3M 1.17 8.13 N/A N/A 422,800 496,510 4,911,340 6,111,140 2010-06-24 $1.65 $1.79 53.9% 15.4% 45.3% 56.3% 54.7% 6.8% 6.2% -785.6K -148.2M -2.3M 1.15 5.62 N/A N/A 380,520 437,150 4,897,690 6,138,090 2010-06-25 $1.69 $1.71 51.1% 14.7% 44.1% 50.1% 52.8% 6.6% 7.4% 291.1K -206.6M -2.3M 1.55 7.71 N/A N/A 408,310 631,400 5,011,090 6,211,940 2010-06-28 $1.68 $1.71 52.5% 15.0% 43.8% 53.1% 53.8% 6.0% 6.5% 53.7K -196.0M -2.3M 0.74 6.64 N/A N/A 369,670 273,070 5,074,790 6,240,290 2010-06-29 $1.61 $1.71 56.1% 16.1% 44.8% 61.4% 57.4% 7.4% 6.8% -1.8M -89.6M -2.2M 1.55 5.98 N/A N/A 517,230 803,600 4,982,250 6,315,960 2010-06-30 $1.55 $1.71 57.9% 16.6% 45.3% 65.4% 58.4% 8.6% 6.6% -2.7M -19.8M -2.1M 1.88 5.42 N/A N/A 713,580 1,340,430 5,019,630 6,358,310
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