NFLX Options History — September 2010

In September 2010, NFLX traded between $1.93 and $2.44. ATM implied volatility averaged 53.7%, placing in the 55.8% IV rank vs the trailing year. The 30-day expected move averaged 15.1%. IV traded above realized volatility by 8.1% (HV 20d: 45.6%). Max pain ranged from $1.71 to $2.14. Net GEX was positive for 21 of 21 trading days. Term structure was in contango for 18 of 21 days. Put/call ratio averaged 0.94.

Notable Days

2010-09-23: Highest Volume — 9,639,000 contracts
2010-09-07: Largest IV spike — 41.5% change
2010-09-29: Highest IV Rank — 87.1%
2010-09-09: Largest Expected Move — 16.7%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$2.14	$1.93	$2.44	$1.93	$2.32
Max Pain	$1.98	$1.71	$2.14	$1.71	$2.14
ATM IV	53.7%	45.0%	67.5%	49.9%	56.5%
Expected Move	15.1%	13.6%	16.7%	14.3%	15.5%
HV 20d	45.6%	39.0%	58.4%	58.4%	42.1%
HV 60d	58.4%	56.2%	60.4%	60.4%	56.2%
IV Rank	55.8%	36.1%	87.1%	47.3%	62.2%
IV Percentile	75.8%	57.1%	97.6%	69.8%	84.1%
Term Structure	3.9%	-0.8%	8.8%	4.3%	8.8%
VWIV	53.3%	47.8%	59.1%	51.1%	55.0%
Skew 25d	3.5%	0.6%	7.4%	4.8%	1.5%
Skew 10d	6.9%	1.3%	15.8%	9.7%	3.3%
Call IV 25d	51.3%	46.4%	56.4%	48.6%	54.4%
Put IV 25d	54.8%	48.7%	60.4%	53.4%	55.9%
Bid-Ask Spread %	6.89	4.14	9.63	5.64	5.87
Gamma HHI	0.14	0.08	0.20	0.12	0.08
Net GEX	14.5M	4.9M	26.3M	9.3M	4.9M
Net DEX	-906.9M	-1.24B	-451.0M	-662.6M	-840.0M
Net VEX	-3.4M	-4.4M	-2.8M	-2.8M	-4.4M
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	0.94	0.66	1.48	0.78	0.94
Total Volume	4,195,486.667	1,778,630	9,639,000	4,082,400	7,617,680
Total OI	19,110,260	13,100,150	22,575,840	15,551,060	21,472,500

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
2010-09-01	$1.93	$1.71	49.9%	14.3%	58.4%	47.3%	51.1%	4.8%	4.3%	9.3M	-662.6M	-2.8M	0.78	5.64	N/A	N/A	2,294,600	1,787,800	7,396,060	8,155,000
2010-09-02	$1.97	$1.71	49.5%	13.9%	58.4%	46.4%	50.0%	6.0%	4.2%	10.4M	-745.9M	-2.9M	0.66	4.39	N/A	N/A	2,051,980	1,353,450	7,802,270	8,727,180
2010-09-03	$1.98	$1.79	45.0%	14.7%	54.4%	36.1%	52.1%	7.3%	3.6%	14.3M	-810.0M	-3.1M	0.90	9.63	N/A	N/A	1,421,630	1,284,710	8,535,800	9,123,310
2010-09-07	$2.03	$1.79	63.6%	16.1%	54.1%	78.3%	55.8%	7.4%	0.5%	14.6M	-904.4M	-3.0M	0.79	8.00	N/A	N/A	2,173,430	1,722,840	8,657,110	9,567,320
2010-09-08	$2.09	$1.86	52.8%	16.2%	50.3%	53.8%	56.4%	7.4%	-0.4%	20.7M	-1.12B	-3.1M	0.84	6.44	N/A	N/A	3,077,200	2,584,750	9,521,120	10,154,760
2010-09-09	$2.08	$2.00	58.3%	16.7%	50.4%	66.4%	59.1%	4.0%	-0.8%	23.4M	-1.12B	-3.5M	1.20	8.03	N/A	N/A	1,606,570	1,926,610	10,643,010	11,054,890
2010-09-10	$2.09	$2.00	56.0%	16.1%	47.7%	61.2%	56.6%	2.8%	0.2%	23.1M	-1.13B	-3.4M	1.34	8.75	N/A	N/A	1,046,290	1,405,950	10,783,430	11,486,020
2010-09-13	$2.11	$2.00	55.3%	15.9%	47.6%	59.6%	56.0%	2.4%	-0.0%	26.0M	-1.16B	-3.2M	1.48	6.34	N/A	N/A	938,560	1,385,230	10,312,330	10,972,290
2010-09-14	$2.09	$2.00	54.1%	15.5%	46.4%	56.9%	54.2%	2.3%	0.9%	26.3M	-1.09B	-3.2M	0.97	8.80	N/A	N/A	903,910	874,720	10,519,880	11,377,870
2010-09-15	$2.04	$2.00	52.8%	15.1%	45.7%	53.9%	52.9%	1.0%	1.5%	20.8M	-887.2M	-3.2M	1.07	6.52	N/A	N/A	1,287,790	1,373,120	10,641,890	11,490,710
2010-09-16	$2.01	$2.00	50.6%	14.5%	40.9%	48.8%	50.7%	0.6%	3.2%	15.0M	-730.3M	-3.1M	1.19	9.05	N/A	N/A	1,403,990	1,664,530	10,678,850	11,621,890
2010-09-17	$2.01	$2.00	47.8%	13.7%	40.6%	42.5%	48.2%	1.2%	6.0%	13.7M	-713.7M	-3.2M	0.98	6.79	N/A	N/A	1,394,820	1,370,320	10,710,350	11,865,490
2010-09-20	$2.04	$2.00	47.3%	13.6%	40.7%	41.5%	47.9%	2.0%	7.9%	5.5M	-451.0M	-3.0M	1.00	8.17	N/A	N/A	1,138,620	1,142,680	6,344,520	6,755,630
2010-09-21	$2.10	$2.00	47.6%	13.7%	40.2%	42.2%	47.8%	2.5%	7.5%	8.4M	-590.6M	-3.1M	0.77	8.15	N/A	N/A	1,944,670	1,490,300	6,688,710	7,105,420
2010-09-22	$2.24	$2.00	49.8%	14.3%	39.9%	47.2%	50.2%	2.2%	5.9%	13.3M	-911.3M	-3.1M	0.68	4.14	N/A	N/A	4,445,140	3,020,710	7,153,440	7,669,900
2010-09-23	$2.29	$2.07	53.4%	15.3%	39.8%	55.3%	54.0%	3.4%	4.9%	14.4M	-1.01B	-3.4M	0.78	5.75	N/A	N/A	5,402,250	4,236,750	8,045,450	8,637,090
2010-09-24	$2.32	$2.14	54.6%	15.2%	39.8%	57.9%	53.6%	3.1%	5.9%	9.3M	-1.05B	-4.0M	0.84	6.55	N/A	N/A	4,268,390	3,601,990	9,226,910	10,244,430
2010-09-27	$2.36	$2.14	59.4%	15.4%	39.6%	68.8%	54.7%	2.8%	6.0%	10.4M	-1.02B	-4.2M	0.88	5.06	N/A	N/A	1,984,570	1,741,880	9,126,740	10,238,830
2010-09-28	$2.31	$2.14	54.9%	15.4%	39.0%	58.7%	54.4%	3.5%	6.6%	7.6M	-854.5M	-4.3M	0.84	5.91	N/A	N/A	1,589,490	1,337,210	9,420,600	10,795,820
2010-09-29	$2.44	$2.14	67.5%	16.2%	41.4%	87.1%	58.0%	4.6%	5.9%	14.1M	-1.24B	-4.2M	0.83	6.66	N/A	N/A	2,633,050	2,175,040	9,625,560	10,965,080
2010-09-30	$2.32	$2.14	56.5%	15.5%	42.1%	62.2%	55.0%	1.5%	8.8%	4.9M	-840.0M	-4.4M	0.94	5.87	N/A	N/A	3,932,950	3,684,730	9,995,440	11,477,060