NFLX Options History — December 2010

In December 2010, NFLX traded between $2.51 and $2.86. ATM implied volatility averaged 48.1%, placing in the 43.2% IV rank vs the trailing year. The 30-day expected move averaged 13.7%. IV traded above realized volatility by 0.0% (HV 20d: 48.1%). Max pain ranged from $2.29 to $2.57. Net GEX was positive for 10 of 22 trading days. Term structure was in contango for 22 of 22 days. Put/call ratio averaged 0.98.

Notable Days

2010-12-03: Highest Volume — 11,464,950 contracts
2010-12-13: Largest IV spike — 29.7% change
2010-12-13: Highest IV Rank — 69.0%
2010-12-13: Largest Expected Move — 15.0%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$2.64	$2.51	$2.86	$2.86	$2.51
Max Pain	$2.40	$2.29	$2.57	$2.50	$2.43
ATM IV	48.1%	40.1%	59.5%	57.0%	42.4%
Expected Move	13.7%	11.8%	15.0%	15.0%	13.0%
HV 20d	48.1%	41.1%	53.6%	42.7%	41.1%
HV 60d	50.1%	47.8%	52.3%	48.6%	47.8%
IV Rank	43.2%	25.1%	69.0%	63.3%	30.4%
IV Percentile	46.0%	21.4%	86.5%	81.0%	24.6%
Term Structure	7.1%	0.2%	13.6%	0.2%	12.0%
VWIV	48.4%	42.2%	53.0%	53.0%	45.8%
Skew 25d	1.6%	-0.5%	5.1%	-0.4%	1.8%
Skew 10d	3.4%	-1.6%	10.3%	0.8%	3.2%
Call IV 25d	47.6%	40.9%	53.4%	53.4%	45.0%
Put IV 25d	49.2%	43.5%	53.5%	53.0%	46.8%
Bid-Ask Spread %	7.40	3.14	17.18	7.50	4.28
Gamma HHI	0.17	0.06	0.77	0.13	0.34
Net GEX	-6.9M	-121.6M	64.6M	13.8M	-39.9M
Net DEX	-755.1M	-1.64B	-207.7M	-1.64B	-207.7M
Net VEX	-5.0M	-5.2M	-4.8M	-4.9M	-5.0M
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	0.98	0.66	1.25	0.89	1.08
Total Volume	6,269,823.636	2,312,520	11,464,950	8,663,900	3,832,990
Total OI	25,211,855.455	18,306,820	30,138,570	25,505,620	23,268,140

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
2010-12-01	$2.86	$2.50	57.0%	15.0%	42.7%	63.3%	53.0%	-0.4%	0.2%	13.8M	-1.64B	-4.9M	0.89	7.50	N/A	N/A	4,578,700	4,085,200	11,243,120	14,262,500
2010-12-02	$2.76	$2.57	50.9%	14.3%	45.1%	49.6%	51.2%	0.9%	0.6%	-1.2M	-1.20B	-5.0M	0.86	7.80	N/A	N/A	4,312,980	3,702,090	11,573,030	14,789,460
2010-12-03	$2.65	$2.57	49.6%	13.9%	47.3%	46.7%	49.5%	-0.5%	2.0%	-62.1M	-777.1M	-5.1M	1.23	5.53	N/A	N/A	5,130,650	6,334,300	12,012,280	15,107,120
2010-12-06	$2.76	$2.29	55.5%	14.5%	49.1%	60.0%	51.4%	2.1%	2.6%	11.8M	-1.33B	-5.0M	0.84	7.49	N/A	N/A	3,275,370	2,745,190	11,322,710	14,404,530
2010-12-07	$2.71	$2.29	50.9%	14.7%	50.0%	49.6%	51.7%	-0.0%	3.3%	8.3M	-1.14B	-5.0M	0.90	7.54	N/A	N/A	3,219,790	2,891,000	11,808,580	15,016,400
2010-12-08	$2.69	$2.29	50.4%	14.9%	50.2%	48.5%	52.6%	1.0%	2.6%	1.1M	-997.0M	-5.1M	1.13	8.37	N/A	N/A	4,516,820	5,102,230	12,265,540	15,686,720
2010-12-09	$2.73	$2.36	46.6%	14.5%	49.0%	39.8%	51.4%	0.7%	4.8%	15.7M	-1.22B	-5.1M	1.16	9.33	N/A	N/A	2,703,470	3,129,630	12,513,970	16,215,640
2010-12-10	$2.78	$2.36	45.9%	14.3%	48.9%	38.3%	50.3%	-0.2%	5.0%	64.6M	-1.46B	-5.0M	0.79	8.37	N/A	N/A	6,122,550	4,858,490	12,658,170	16,595,950
2010-12-13	$2.63	$2.36	59.5%	15.0%	53.5%	69.0%	52.8%	0.7%	3.5%	-3.7M	-747.4M	-5.1M	1.09	11.59	N/A	N/A	3,834,320	4,168,500	12,368,440	15,646,050
2010-12-14	$2.55	$2.36	58.9%	14.8%	53.6%	67.7%	52.4%	2.2%	5.0%	-21.2M	-330.9M	-5.0M	1.18	8.46	N/A	N/A	4,073,440	4,824,960	12,247,620	16,230,340
2010-12-15	$2.55	$2.36	48.7%	14.0%	53.1%	44.6%	49.7%	3.7%	6.4%	-19.4M	-379.2M	-5.0M	1.25	8.45	N/A	N/A	2,412,270	3,016,440	12,709,620	16,526,440
2010-12-16	$2.59	$2.36	46.4%	13.3%	53.3%	39.5%	47.1%	3.2%	7.8%	-4.7M	-603.0M	-4.9M	0.94	7.90	N/A	N/A	2,031,540	1,907,430	12,891,200	16,821,280
2010-12-17	$2.57	$2.36	48.7%	14.0%	53.5%	44.6%	48.5%	0.2%	5.7%	-121.6M	-510.0M	-4.8M	0.83	17.18	N/A	N/A	4,309,760	3,560,970	13,152,510	16,986,060
2010-12-20	$2.54	$2.43	44.1%	12.7%	52.9%	34.3%	45.2%	5.1%	10.3%	-3.8M	-346.0M	-4.8M	1.23	3.14	N/A	N/A	2,265,340	2,777,670	7,862,540	10,444,280
2010-12-21	$2.66	$2.43	43.5%	12.5%	46.1%	32.8%	44.4%	1.3%	12.6%	10.5M	-694.2M	-4.9M	0.86	3.78	N/A	N/A	3,433,010	2,955,680	8,220,170	11,373,040
2010-12-22	$2.65	$2.43	43.3%	12.4%	46.1%	32.4%	44.0%	0.7%	12.4%	11.1M	-681.1M	-5.1M	0.85	5.87	N/A	N/A	2,521,470	2,133,250	9,111,060	12,115,320
2010-12-23	$2.64	$2.43	41.3%	11.8%	46.0%	27.8%	42.2%	2.6%	13.6%	2.7M	-568.1M	-5.1M	0.96	6.60	N/A	N/A	2,240,910	2,143,820	9,450,840	12,508,580
2010-12-27	$2.57	$2.43	44.5%	12.8%	46.3%	35.2%	45.4%	3.4%	11.6%	-4.4M	-390.8M	-5.1M	1.01	8.51	N/A	N/A	1,859,620	1,878,450	8,724,870	11,654,720
2010-12-28	$2.62	$2.43	44.6%	12.8%	44.8%	35.5%	45.6%	3.8%	11.2%	4.9M	-578.2M	-5.1M	0.66	5.18	N/A	N/A	2,328,340	1,547,840	9,190,650	12,263,650
2010-12-29	$2.58	$2.43	44.8%	12.8%	42.7%	35.8%	45.4%	1.8%	11.8%	-3.8M	-423.4M	-5.2M	0.89	4.33	N/A	N/A	1,514,310	1,342,810	9,820,090	12,704,930
2010-12-30	$2.57	$2.43	40.1%	12.7%	41.9%	25.1%	45.0%	1.6%	12.0%	-9.6M	-392.5M	-5.2M	0.98	5.60	N/A	N/A	1,166,550	1,145,970	9,916,620	12,976,040
2010-12-31	$2.51	$2.43	42.4%	13.0%	41.1%	30.4%	45.8%	1.8%	12.0%	-39.9M	-207.7M	-5.0M	1.08	4.28	N/A	N/A	1,839,810	1,993,180	10,094,420	13,173,720