NFLX Options History — November 2010 In November 2010, NFLX traded between $2.36 and $2.94. ATM implied volatility averaged 51.1%, placing in the 50.1% IV rank vs the trailing year. The 30-day expected move averaged 13.8%. IV traded below realized volatility by 0.0% (HV 20d: 51.1%). Max pain ranged from $2.14 to $2.43. Net GEX was positive for 16 of 21 trading days. Term structure was in contango for 15 of 21 days. Put/call ratio averaged 0.80.
Notable Days 2010-11-22 : Highest Volume — 9,901,920 contracts2010-11-29 : Largest IV spike — 22.1% change2010-11-01 : Highest IV Rank — 82.8%2010-11-30 : Largest Expected Move — 15.5%Monthly Statistics Metric Avg Min Max Open Close Price $2.53 $2.36 $2.94 $2.39 $2.94 Max Pain $2.27 $2.14 $2.43 $2.36 $2.43 ATM IV 51.1% 44.6% 65.6% 65.6% 57.1% Expected Move 13.8% 12.8% 15.5% 14.7% 15.5% HV 20d 51.1% 37.2% 58.3% 57.8% 40.9% HV 60d 49.1% 47.0% 52.2% 52.2% 48.2% IV Rank 50.1% 35.4% 82.8% 82.8% 63.7% IV Percentile 59.6% 37.3% 96.4% 96.4% 81.7% Term Structure 0.3% -1.1% 2.0% 0.0% -0.6% VWIV 49.1% 45.6% 55.5% 52.7% 55.5% Skew 25d 1.3% -1.6% 2.9% -1.3% 0.9% Skew 10d 2.7% -2.4% 6.1% -2.4% 2.8% Call IV 25d 48.4% 44.0% 55.0% 53.3% 55.0% Put IV 25d 49.7% 45.8% 55.9% 52.0% 55.9% Bid-Ask Spread % 10.24 3.99 18.29 7.78 5.51 Gamma HHI 0.11 0.07 0.21 0.08 0.15 Net GEX 10.3M -10.5M 29.1M 4.4M 23.3M Net DEX -1.07B -1.96B -543.9M -709.9M -1.96B Net VEX -4.7M -5.2M -4.0M -5.2M -4.5M Div Yield 0.0% 0.0% 0.0% 0.0% 0.0% P/C Ratio 0.80 0.52 1.19 1.05 0.65 Total Volume 5,005,483.333 2,336,110 9,901,920 4,691,820 9,702,210 Total OI 25,338,340 19,217,310 28,105,490 24,025,680 23,936,640
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 2010-11-01 $2.39 $2.36 65.6% 14.7% 57.8% 82.8% 52.7% -1.3% 0.0% 4.4M -709.9M -5.2M 1.05 7.78 N/A N/A 2,292,430 2,399,390 10,587,640 13,438,040 2010-11-02 $2.45 $2.36 63.6% 13.9% 58.3% 78.3% 49.2% 0.0% 0.9% 11.3M -917.5M -5.2M 0.68 9.90 N/A N/A 2,220,890 1,508,220 11,016,110 13,928,180 2010-11-03 $2.45 $2.36 49.7% 13.1% 56.1% 46.8% 46.7% 0.3% 1.6% 14.1M -915.7M -5.1M 1.06 8.83 N/A N/A 1,710,030 1,813,770 11,178,090 14,206,990 2010-11-04 $2.40 $2.36 48.9% 13.2% 57.0% 45.0% 46.8% -1.6% 0.9% -1.4M -707.5M -5.1M 0.52 7.36 N/A N/A 3,730,510 1,949,010 11,470,690 14,721,700 2010-11-05 $2.40 $2.14 52.9% 14.0% 56.6% 54.2% 49.6% 2.9% 0.7% 4.9M -758.4M -5.2M 0.73 17.68 N/A N/A 2,645,020 1,925,910 12,349,260 15,154,160 2010-11-08 $2.42 $2.14 58.3% 13.9% 56.1% 66.4% 49.2% 1.8% -0.7% 6.3M -840.5M -5.0M 0.84 15.06 N/A N/A 2,015,650 1,699,670 11,219,320 14,409,500 2010-11-09 $2.44 $2.14 54.5% 13.6% 56.1% 57.8% 48.1% 1.2% 0.1% 10.7M -922.1M -4.9M 0.75 18.29 N/A N/A 2,716,490 2,049,740 11,685,380 14,886,690 2010-11-10 $2.53 $2.21 45.2% 13.5% 57.1% 36.7% 47.4% 2.2% 0.2% 29.1M -1.33B -4.8M 0.65 13.26 N/A N/A 3,283,490 2,145,780 11,969,440 15,208,550 2010-11-11 $2.50 $2.21 47.4% 13.6% 57.0% 41.6% 48.1% 2.9% 0.5% 24.3M -1.19B -4.8M 0.72 14.93 N/A N/A 2,061,080 1,479,590 12,294,450 15,545,180 2010-11-12 $2.47 $2.21 48.4% 13.9% 57.2% 44.0% 49.3% 2.8% 0.5% 8.3M -1.00B -4.9M 1.13 8.64 N/A N/A 2,489,830 2,809,800 12,384,820 15,720,670 2010-11-15 $2.40 $2.21 51.0% 14.6% 57.8% 49.8% 51.5% 0.9% -1.1% -1.1M -726.5M -4.7M 0.61 9.76 N/A N/A 2,383,010 1,449,700 11,226,390 15,097,950 2010-11-16 $2.36 $2.21 51.2% 14.7% 57.4% 50.3% 51.7% 1.8% -0.1% -10.5M -543.9M -4.7M 1.17 14.45 N/A N/A 1,812,860 2,113,930 11,658,920 15,419,670 2010-11-17 $2.38 $2.21 50.2% 14.4% 56.9% 48.0% 50.3% 2.5% 0.4% -10.5M -615.9M -4.5M 0.65 12.92 N/A N/A 1,419,390 916,720 11,594,380 15,285,760 2010-11-18 $2.40 $2.21 46.2% 13.2% 37.2% 39.0% 46.9% 2.2% 1.1% -4.7M -748.7M -4.4M 1.19 10.70 N/A N/A 1,286,950 1,531,460 11,688,670 15,330,980 2010-11-19 $2.47 $2.21 44.9% 12.9% 37.2% 36.1% 45.8% 2.8% 2.0% 10.1M -1.06B -4.3M 0.72 10.22 N/A N/A 2,577,960 1,857,520 11,832,590 15,582,420 2010-11-22 $2.69 $2.21 46.7% 13.4% 47.3% 40.0% 47.9% 2.4% -0.7% 15.6M -1.38B -4.0M 0.67 3.99 N/A N/A 5,936,210 3,965,710 8,472,240 10,745,070 2010-11-23 $2.68 $2.29 47.6% 13.6% 42.4% 42.1% 48.6% -0.2% 0.2% 24.4M -1.39B -4.3M 0.84 8.04 N/A N/A 3,964,800 3,330,320 9,772,630 11,811,870 2010-11-24 $2.70 $2.36 44.8% 12.8% 42.4% 35.8% 45.6% 0.3% 1.2% 25.9M -1.41B -4.3M 0.77 6.25 N/A N/A 2,724,680 2,088,310 10,292,870 12,712,980 2010-11-26 $2.74 $2.36 44.6% 13.6% 42.1% 35.4% 47.9% 0.1% -0.5% 13.1M -1.59B -4.3M 0.75 5.69 N/A N/A 2,416,540 1,803,130 10,714,900 13,237,140 2010-11-29 $2.84 $2.43 54.5% 14.5% 43.0% 57.7% 52.1% 1.4% 0.3% 19.0M -1.70B -4.4M 0.65 5.85 N/A N/A 4,163,390 2,724,050 9,876,440 12,439,770 2010-11-30 $2.94 $2.43 57.1% 15.5% 40.9% 63.7% 55.5% 0.9% -0.6% 23.3M -1.96B -4.5M 0.65 5.51 N/A N/A 5,892,810 3,809,400 10,678,710 13,257,930
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