NFLX Options History — October 2010 In October 2010, NFLX traded between $2.13 and $2.55. ATM implied volatility averaged 52.6%, placing in the 53.4% IV rank vs the trailing year. The 30-day expected move averaged 16.0%. IV traded above realized volatility by 1.2% (HV 20d: 51.4%). Max pain ranged from $2.14 to $2.36. Net GEX was positive for 16 of 21 trading days. Term structure was in contango for 7 of 21 days. Put/call ratio averaged 1.01.
Notable Days 2010-10-21 : Highest Volume — 14,875,980 contracts2010-10-14 : Largest IV spike — 49.8% change2010-10-05 : Highest IV Rank — 79.2%2010-10-20 : Largest Expected Move — 18.3%Monthly Statistics Metric Avg Min Max Open Close Price $2.29 $2.13 $2.55 $2.21 $2.48 Max Pain $2.28 $2.14 $2.36 $2.14 $2.36 ATM IV 52.6% 40.6% 64.0% 53.1% 59.4% Expected Move 16.0% 12.6% 18.3% 14.8% 14.5% HV 20d 51.4% 42.4% 64.1% 46.2% 55.9% HV 60d 54.1% 47.6% 57.7% 57.1% 53.0% IV Rank 53.4% 26.3% 79.2% 54.6% 68.8% IV Percentile 68.2% 40.1% 96.0% 72.6% 86.9% Term Structure -2.3% -9.3% 10.9% 10.9% -0.6% VWIV 56.6% 44.9% 64.0% 53.0% 51.3% Skew 25d 2.1% -0.7% 5.3% -0.6% -0.7% Skew 10d 4.0% -2.8% 9.9% -2.8% -1.6% Call IV 25d 55.4% 42.3% 63.9% 53.3% 51.9% Put IV 25d 57.5% 46.7% 65.2% 52.7% 51.1% Bid-Ask Spread % 6.23 3.95 9.97 6.06 9.97 Gamma HHI 0.11 0.06 0.46 0.46 0.07 Net GEX 3.1M -32.1M 26.0M -32.1M 3.8M Net DEX -653.1M -1.27B -240.2M -397.4M -952.0M Net VEX -4.6M -5.3M -4.3M -4.5M -5.3M Div Yield 0.0% 0.0% 0.0% 0.0% 0.0% P/C Ratio 1.01 0.59 1.51 1.31 1.03 Total Volume 5,542,523.333 2,291,240 14,875,980 9,043,860 7,831,040 Total OI 22,585,883.333 16,830,940 25,846,170 22,669,360 25,846,170
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 2010-10-01 $2.21 $2.14 53.1% 14.8% 46.2% 54.6% 53.0% -0.6% 10.9% -32.1M -397.4M -4.5M 1.31 6.06 N/A N/A 3,909,220 5,134,640 10,500,770 12,168,590 2010-10-04 $2.23 $2.36 60.7% 18.0% 46.3% 71.7% 63.1% 2.6% -3.9% 3.7M -595.1M -4.5M 0.84 3.95 N/A N/A 2,389,310 1,999,130 9,974,720 11,565,050 2010-10-05 $2.23 $2.36 64.0% 17.9% 45.9% 79.2% 62.5% 1.8% -4.2% 4.5M -598.0M -4.6M 0.74 4.55 N/A N/A 2,244,410 1,670,620 10,483,550 12,007,730 2010-10-06 $2.15 $2.36 53.8% 18.3% 47.3% 56.1% 64.0% 0.8% -4.3% -5.5M -275.1M -4.5M 1.26 4.28 N/A N/A 2,843,610 3,596,670 10,636,640 12,301,660 2010-10-07 $2.16 $2.36 50.6% 17.9% 47.4% 49.0% 62.5% 2.1% -4.0% -4.1M -343.8M -4.6M 1.09 4.83 N/A N/A 1,836,170 1,996,610 10,953,250 12,880,420 2010-10-08 $2.14 $2.29 47.1% 17.1% 47.6% 41.0% 60.1% 1.8% -3.7% -17.4M -240.2M -4.4M 1.17 5.53 N/A N/A 2,186,940 2,561,160 11,194,260 12,947,830 2010-10-11 $2.20 $2.29 52.1% 17.8% 48.3% 52.3% 62.5% 1.5% -5.4% 5.1M -515.8M -4.5M 1.38 6.64 N/A N/A 1,519,630 2,100,700 10,670,520 12,788,790 2010-10-12 $2.22 $2.21 45.6% 17.5% 48.3% 37.5% 61.3% 2.3% -5.2% 6.7M -600.4M -4.5M 0.59 4.96 N/A N/A 1,614,690 945,840 10,988,390 13,172,600 2010-10-13 $2.21 $2.21 40.6% 17.3% 47.3% 26.3% 60.6% 1.8% -5.1% 6.8M -564.7M -4.5M 1.00 7.19 N/A N/A 1,288,840 1,287,090 11,100,530 13,276,690 2010-10-14 $2.18 $2.21 60.8% 17.4% 46.9% 72.0% 61.2% 2.4% -5.0% 15.9K -436.7M -4.4M 1.24 4.98 N/A N/A 1,244,880 1,538,600 11,125,660 13,377,000 2010-10-15 $2.22 $2.21 57.0% 16.3% 47.2% 63.3% 57.4% 3.0% -3.3% 10.2M -694.3M -4.3M 0.86 7.13 N/A N/A 2,274,020 1,966,160 11,233,180 13,613,740 2010-10-18 $2.19 $2.21 59.7% 17.1% 47.6% 69.4% 60.2% 0.8% -5.6% 253.4K -378.6M -4.3M 0.85 6.71 N/A N/A 1,237,320 1,053,920 7,410,970 9,419,970 2010-10-19 $2.13 $2.21 62.4% 17.9% 47.5% 75.5% 62.6% 0.7% -7.9% -529.1K -293.1M -4.3M 0.87 6.54 N/A N/A 1,744,680 1,514,240 7,819,700 9,782,990 2010-10-20 $2.19 $2.21 63.7% 18.3% 42.4% 78.6% 63.5% 5.1% -9.3% 2.4M -429.4M -4.5M 0.81 7.30 N/A N/A 4,231,430 3,413,340 8,299,480 10,068,170 2010-10-21 $2.47 $2.21 44.2% 12.7% 60.1% 34.4% 46.9% 5.3% 0.9% 26.0M -1.27B -4.4M 1.03 7.66 N/A N/A 7,337,820 7,538,160 9,809,450 11,398,100 2010-10-22 $2.40 $2.29 44.5% 12.7% 61.0% 35.0% 46.2% 3.0% 2.4% 5.8M -857.5M -4.8M 1.13 6.47 N/A N/A 2,863,140 3,230,920 10,466,330 13,141,870 2010-10-25 $2.38 $2.29 44.0% 12.6% 60.8% 34.1% 44.9% 4.4% 2.6% 5.8M -745.4M -4.7M 1.51 7.94 N/A N/A 1,356,600 2,043,230 9,116,380 11,700,430 2010-10-26 $2.54 $2.29 47.7% 13.7% 64.1% 42.4% 49.2% 2.8% 0.5% 15.2M -1.20B -4.7M 0.66 5.65 N/A N/A 5,951,120 3,917,340 9,358,580 12,341,210 2010-10-27 $2.55 $2.36 47.4% 13.6% 61.6% 41.6% 48.5% 2.2% 0.6% 18.3M -1.25B -4.9M 0.73 6.18 N/A N/A 4,684,400 3,413,550 10,421,460 13,439,160 2010-10-28 $2.51 $2.36 46.1% 13.2% 58.8% 38.8% 47.0% 0.8% 1.2% 11.0M -1.09B -5.2M 1.12 6.27 N/A N/A 2,306,850 2,574,950 11,327,260 14,174,300 2010-10-29 $2.48 $2.36 59.4% 14.5% 55.9% 68.8% 51.3% -0.7% -0.6% 3.8M -952.0M -5.3M 1.03 9.97 N/A N/A 3,855,600 3,975,440 11,372,200 14,473,970
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