NFLX Options History — August 2010 In August 2010, NFLX traded between $1.46 and $1.96. ATM implied volatility averaged 50.3%, placing in the 48.2% IV rank vs the trailing year. The 30-day expected move averaged 14.5%. IV traded below realized volatility by 15.8% (HV 20d: 66.1%). Max pain ranged from $1.43 to $1.71. Net GEX was positive for 20 of 22 trading days. Term structure was in contango for 18 of 22 days. Put/call ratio averaged 0.82.
Notable Days 2010-08-10 : Highest Volume — 7,922,320 contracts2010-08-11 : Largest IV spike — 8.3% change2010-08-17 : Highest IV Rank — 61.8%2010-08-17 : Largest Expected Move — 16.1%Monthly Statistics Metric Avg Min Max Open Close Price $1.76 $1.46 $1.96 $1.46 $1.79 Max Pain $1.60 $1.43 $1.71 $1.57 $1.71 ATM IV 50.3% 42.1% 56.3% 47.3% 50.2% Expected Move 14.5% 12.1% 16.1% 13.6% 14.4% HV 20d 66.1% 53.6% 80.1% 73.1% 54.6% HV 60d 59.6% 57.6% 64.1% 64.1% 58.7% IV Rank 48.2% 29.7% 61.8% 41.5% 47.9% IV Percentile 73.4% 59.1% 85.7% 69.0% 70.6% Term Structure 2.2% -2.1% 6.5% -0.1% 6.5% VWIV 51.3% 43.1% 57.2% 47.4% 50.6% Skew 25d 4.2% 2.3% 6.0% 3.0% 5.7% Skew 10d 8.6% 5.6% 12.1% 6.4% 10.9% Call IV 25d 49.1% 41.5% 55.6% 45.8% 48.2% Put IV 25d 53.3% 44.6% 58.8% 48.8% 53.9% Bid-Ask Spread % 6.48 4.01 8.06 4.96 5.74 Gamma HHI 0.15 0.07 0.81 0.11 0.08 Net GEX 9.9M -3.1M 70.5M -3.1M 4.4M Net DEX -483.5M -1.05B 12.3M 12.3M -387.7M Net VEX -2.6M -2.9M -2.3M -2.3M -2.8M Div Yield 0.0% 0.0% 0.0% 0.0% 0.0% P/C Ratio 0.82 0.48 1.30 0.58 0.72 Total Volume 3,153,967.727 986,720 7,922,320 1,387,890 986,720 Total OI 16,639,210 13,998,530 20,997,410 15,088,990 15,417,150
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 2010-08-02 $1.46 $1.57 47.3% 13.6% 73.1% 41.5% 47.4% 3.0% -0.1% -3.1M 12.3M -2.3M 0.58 4.96 N/A N/A 879,760 508,130 7,161,000 7,927,990 2010-08-03 $1.49 $1.57 43.4% 12.4% 73.8% 32.6% 44.9% 3.7% 1.8% -1.1M -56.1M -2.3M 0.62 6.53 N/A N/A 1,111,250 691,390 7,168,070 7,973,280 2010-08-04 $1.54 $1.50 43.5% 12.5% 65.1% 32.9% 45.5% 4.5% 2.0% 1.9M -159.5M -2.3M 0.88 4.01 N/A N/A 1,142,400 1,010,100 7,176,820 8,029,630 2010-08-05 $1.58 $1.50 42.1% 12.1% 65.7% 29.7% 43.1% 3.1% 3.0% 4.7M -238.2M -2.3M 0.82 4.92 N/A N/A 796,880 651,000 7,226,800 7,949,550 2010-08-06 $1.69 $1.43 42.9% 12.9% 70.4% 31.5% 47.3% 5.5% 3.5% 10.1M -472.4M -2.4M 0.82 7.48 N/A N/A 2,118,270 1,730,610 7,349,160 7,963,340 2010-08-09 $1.67 $1.50 45.5% 13.0% 70.2% 37.4% 45.9% 4.0% 4.2% 9.3M -426.9M -2.3M 0.66 4.65 N/A N/A 1,295,350 851,900 7,542,500 8,226,610 2010-08-10 $1.79 $1.50 47.5% 13.9% 74.2% 41.9% 49.0% 4.0% 1.9% 13.6M -675.4M -2.3M 0.62 5.18 N/A N/A 4,887,890 3,034,430 7,508,620 8,269,730 2010-08-11 $1.81 $1.50 51.4% 15.1% 74.1% 50.8% 52.8% 2.3% 0.4% 14.8M -743.1M -2.6M 0.48 7.96 N/A N/A 3,619,210 1,753,920 8,421,980 8,892,520 2010-08-12 $1.90 $1.50 53.6% 15.4% 75.8% 55.7% 54.4% 4.5% -0.1% 16.6M -941.0M -2.6M 0.77 6.63 N/A N/A 3,386,600 2,612,260 8,521,940 8,979,110 2010-08-13 $1.89 $1.57 55.0% 15.8% 75.2% 58.9% 55.1% 3.9% 0.6% 16.0M -873.4M -2.7M 0.92 6.73 N/A N/A 1,394,190 1,287,020 8,970,360 9,767,940 2010-08-16 $1.96 $1.57 56.1% 16.1% 76.0% 61.3% 56.2% 4.5% -0.7% 19.7M -1.05B -2.6M 0.87 7.63 N/A N/A 3,056,620 2,660,000 8,901,970 9,964,080 2010-08-17 $1.90 $1.57 56.3% 16.1% 77.2% 61.8% 57.2% 3.2% -2.1% 14.6M -844.3M -2.8M 1.00 8.06 N/A N/A 3,062,850 3,057,250 9,406,880 10,767,050 2010-08-18 $1.80 $1.64 53.1% 15.2% 80.1% 54.7% 53.7% 4.4% 1.8% 1.4M -453.1M -2.8M 0.85 6.98 N/A N/A 3,339,630 2,839,200 9,573,970 11,041,170 2010-08-19 $1.83 $1.64 54.1% 15.5% 58.5% 56.9% 55.4% 5.1% 1.1% 5.7M -602.9M -2.9M 1.03 7.06 N/A N/A 2,104,270 2,161,040 9,815,190 11,143,440 2010-08-20 $1.86 $1.71 52.1% 14.9% 57.6% 52.3% 52.9% 3.5% 2.9% 70.5M -681.3M -2.9M 1.30 7.79 N/A N/A 1,072,190 1,393,210 9,857,890 11,139,520 2010-08-23 $1.81 $1.71 54.3% 15.6% 55.1% 57.3% 54.3% 2.9% 0.4% 3.0M -377.6M -2.8M 0.87 6.20 N/A N/A 912,520 795,620 6,405,420 7,593,110 2010-08-24 $1.73 $1.71 54.1% 15.5% 58.6% 56.9% 54.4% 4.2% 3.2% 1.4M -246.4M -2.8M 1.25 7.19 N/A N/A 968,310 1,209,110 6,689,410 7,756,000 2010-08-25 $1.77 $1.71 52.7% 15.1% 56.4% 53.7% 53.6% 5.1% 3.9% 2.9M -327.4M -2.9M 0.76 6.62 N/A N/A 792,960 604,940 6,797,630 7,718,690 2010-08-26 $1.80 $1.71 52.0% 14.9% 54.9% 52.2% 52.4% 6.0% 4.0% 4.0M -376.7M -2.9M 0.53 7.55 N/A N/A 940,520 496,440 6,949,810 7,810,390 2010-08-27 $1.80 $1.71 48.6% 13.9% 53.6% 44.5% 49.4% 5.4% 6.2% 4.5M -395.6M -2.9M 0.85 6.39 N/A N/A 615,510 523,950 7,163,800 7,900,130 2010-08-30 $1.76 $1.71 50.7% 14.5% 54.7% 49.0% 51.9% 4.4% 5.2% 3.4M -325.1M -2.8M 0.87 6.23 N/A N/A 551,390 480,480 7,296,870 7,926,100 2010-08-31 $1.79 $1.71 50.2% 14.4% 54.6% 47.9% 50.6% 5.7% 6.5% 4.4M -387.7M -2.8M 0.72 5.74 N/A N/A 574,770 411,950 7,330,330 8,086,820
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