NFLX Options History — July 2010

In July 2010, NFLX traded between $1.40 and $1.76. ATM implied volatility averaged 52.4%, placing in the 53.0% IV rank vs the trailing year. The 30-day expected move averaged 16.0%. IV traded below realized volatility by 5.5% (HV 20d: 58.0%). Max pain ranged from $1.57 to $1.71. Net GEX was positive for 11 of 21 trading days. Term structure was in contango for 7 of 21 days. Put/call ratio averaged 1.11.

Notable Days

2010-07-22: Highest Volume — 6,566,350 contracts
2010-07-15: Largest IV spike — 36.6% change
2010-07-19: Highest IV Rank — 79.1%
2010-07-06: Largest Expected Move — 18.6%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$1.60	$1.40	$1.76	$1.57	$1.46
Max Pain	$1.65	$1.57	$1.71	$1.71	$1.57
ATM IV	52.4%	44.2%	64.0%	56.9%	45.5%
Expected Move	16.0%	13.0%	18.6%	16.3%	13.0%
HV 20d	58.0%	45.3%	73.5%	45.3%	73.5%
HV 60d	63.7%	57.2%	66.1%	63.1%	64.2%
IV Rank	53.0%	34.5%	79.1%	63.2%	37.4%
IV Percentile	79.1%	65.9%	96.0%	89.3%	65.9%
Term Structure	-1.2%	-5.7%	9.0%	6.8%	0.3%
VWIV	56.3%	46.5%	64.3%	57.9%	46.7%
Skew 25d	7.0%	3.3%	12.2%	8.4%	3.7%
Skew 10d	13.7%	6.0%	24.9%	17.6%	6.7%
Call IV 25d	52.7%	43.8%	61.1%	53.7%	44.7%
Put IV 25d	59.6%	48.3%	69.5%	62.1%	48.3%
Bid-Ask Spread %	6.03	4.97	8.09	4.97	5.07
Gamma HHI	0.10	0.08	0.13	0.08	0.11
Net GEX	-180.3K	-5.0M	4.9M	-3.1M	-2.3M
Net DEX	-136.7M	-371.5M	109.2M	-35.4M	-4.8M
Net VEX	-2.2M	-2.3M	-2.0M	-2.2M	-2.3M
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	1.11	0.72	2.09	1.44	0.80
Total Volume	1,882,400	803,110	6,566,350	1,573,320	1,470,140
Total OI	12,709,720	10,362,730	14,870,030	11,744,390	14,870,030

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
2010-07-01	$1.57	$1.71	56.9%	16.3%	45.3%	63.2%	57.9%	8.4%	6.8%	-3.1M	-35.4M	-2.2M	1.44	4.97	N/A	N/A	643,930	929,390	5,130,160	6,614,230
2010-07-02	$1.53	$1.71	54.5%	15.6%	45.6%	57.8%	53.1%	6.8%	9.0%	-3.6M	8.4M	-2.1M	0.72	5.36	N/A	N/A	473,900	341,740	5,210,800	6,631,240
2010-07-06	$1.53	$1.64	59.2%	18.6%	45.6%	68.4%	63.7%	11.4%	-2.9%	-3.3M	-4.4M	-2.1M	1.04	5.72	N/A	N/A	462,770	483,140	5,363,540	6,600,370
2010-07-07	$1.69	$1.64	49.7%	16.5%	57.8%	46.9%	60.3%	12.2%	-1.8%	965.7K	-239.7M	-2.1M	0.85	5.75	N/A	N/A	1,055,670	893,130	5,408,060	6,643,700
2010-07-08	$1.67	$1.64	50.3%	17.0%	55.9%	48.2%	59.5%	11.8%	-2.6%	766.1K	-208.0M	-2.1M	1.05	6.59	N/A	N/A	905,660	951,860	5,598,460	6,826,330
2010-07-09	$1.68	$1.64	44.2%	16.2%	55.0%	34.5%	59.1%	11.9%	-1.8%	267.8K	-208.4M	-2.1M	1.19	7.84	N/A	N/A	406,000	482,090	5,682,460	6,912,500
2010-07-12	$1.71	$1.64	50.8%	16.6%	55.0%	49.3%	59.9%	12.0%	-2.2%	1.5M	-253.4M	-2.0M	1.36	6.08	N/A	N/A	482,160	658,000	5,703,600	7,011,200
2010-07-13	$1.73	$1.64	48.7%	17.5%	52.0%	44.6%	58.2%	9.5%	-3.8%	1.8M	-294.7M	-2.0M	0.87	5.55	N/A	N/A	938,490	817,810	5,743,990	7,108,290
2010-07-14	$1.76	$1.64	45.9%	18.0%	51.6%	38.2%	61.7%	8.1%	-4.6%	4.9M	-371.5M	-2.1M	0.76	5.70	N/A	N/A	1,032,500	788,830	6,054,510	7,151,690
2010-07-15	$1.73	$1.71	62.7%	18.0%	51.8%	76.2%	63.0%	6.2%	-4.6%	1.0M	-318.5M	-2.1M	1.47	7.91	N/A	N/A	1,037,330	1,526,560	6,379,590	7,276,220
2010-07-16	$1.69	$1.71	62.2%	17.8%	52.1%	75.2%	62.6%	4.3%	-4.1%	1.9M	-220.2M	-2.3M	0.98	6.63	N/A	N/A	763,280	745,500	6,527,080	7,570,500
2010-07-19	$1.70	$1.71	64.0%	18.3%	52.1%	79.1%	64.3%	5.9%	-5.7%	2.9M	-260.8M	-2.3M	1.22	6.15	N/A	N/A	360,990	442,120	4,852,820	5,509,910
2010-07-20	$1.72	$1.71	59.6%	17.1%	47.7%	69.1%	60.6%	4.9%	-4.6%	3.3M	-282.1M	-2.3M	2.09	6.73	N/A	N/A	308,350	645,750	4,976,790	5,696,670
2010-07-21	$1.71	$1.71	59.0%	16.9%	47.1%	67.8%	58.9%	5.5%	-4.8%	2.9M	-263.5M	-2.3M	1.10	8.09	N/A	N/A	1,244,250	1,374,590	5,068,770	5,960,780
2010-07-22	$1.48	$1.71	50.1%	14.4%	69.7%	47.8%	50.0%	3.7%	0.7%	-2.6M	34.5M	-2.2M	0.84	4.98	N/A	N/A	3,574,970	2,991,380	5,567,800	6,455,050
2010-07-23	$1.54	$1.64	45.3%	13.0%	71.3%	36.8%	46.5%	5.1%	2.3%	-231.1K	-78.5M	-2.2M	0.76	5.29	N/A	N/A	1,612,520	1,228,570	6,027,840	6,692,770
2010-07-26	$1.47	$1.57	49.6%	14.2%	72.1%	46.6%	50.6%	3.8%	-0.5%	-1.6M	511.3K	-2.3M	1.03	5.19	N/A	N/A	867,510	892,150	6,508,110	7,045,010
2010-07-27	$1.49	$1.57	49.0%	14.0%	72.4%	45.3%	49.4%	3.7%	-0.7%	-988.7K	-29.4M	-2.3M	1.05	6.44	N/A	N/A	537,810	566,090	6,653,150	7,138,250
2010-07-28	$1.43	$1.57	47.9%	13.7%	72.0%	42.8%	48.4%	3.3%	0.3%	-3.1M	49.7M	-2.3M	1.47	5.45	N/A	N/A	948,430	1,389,430	6,807,150	7,264,320
2010-07-29	$1.40	$1.57	46.0%	13.2%	71.5%	38.4%	46.9%	3.8%	0.8%	-5.0M	109.2M	-2.2M	1.17	5.19	N/A	N/A	1,037,260	1,218,350	6,993,420	7,666,960
2010-07-30	$1.46	$1.57	45.5%	13.0%	73.5%	37.4%	46.7%	3.7%	0.3%	-2.3M	-4.8M	-2.3M	0.80	5.07	N/A	N/A	817,950	652,190	7,074,830	7,795,200