NFLX Options History — January 2011

In January 2011, NFLX traded between $2.54 and $3.11. ATM implied volatility averaged 49.5%, placing in the 46.5% IV rank vs the trailing year. The 30-day expected move averaged 15.0%. IV traded above realized volatility by 12.9% (HV 20d: 36.7%). Max pain ranged from $2.43 to $2.79. Net GEX was positive for 15 of 20 trading days. Term structure was in contango for 7 of 20 days. Put/call ratio averaged 1.08.

Notable Days

2011-01-27: Highest Volume — 21,465,010 contracts
2011-01-13: Largest IV spike — 42.6% change
2011-01-26: Highest IV Rank — 76.8%
2011-01-26: Largest Expected Move — 18.0%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$2.71	$2.54	$3.11	$2.55	$3.06
Max Pain	$2.58	$2.43	$2.79	$2.43	$2.79
ATM IV	49.5%	38.2%	62.9%	43.5%	44.0%
Expected Move	15.0%	11.5%	18.0%	12.8%	12.2%
HV 20d	36.7%	29.2%	58.1%	39.2%	57.7%
HV 60d	45.3%	39.5%	48.7%	47.9%	48.7%
IV Rank	46.5%	20.8%	76.8%	33.0%	34.0%
IV Percentile	50.7%	18.7%	92.5%	26.6%	28.6%
Term Structure	-1.1%	-9.4%	12.7%	9.7%	0.5%
VWIV	53.0%	41.6%	63.6%	45.5%	44.2%
Skew 25d	3.3%	-0.4%	6.1%	2.1%	5.1%
Skew 10d	6.9%	-0.5%	13.2%	3.3%	9.6%
Call IV 25d	50.8%	38.2%	59.9%	44.4%	40.7%
Put IV 25d	54.2%	42.8%	66.0%	46.5%	45.8%
Bid-Ask Spread %	8.20	3.70	18.48	5.07	18.48
Gamma HHI	0.11	0.05	0.28	0.07	0.08
Net GEX	10.6M	-22.1M	64.6M	-3.8M	17.9M
Net DEX	-737.2M	-1.93B	-210.7M	-368.0M	-1.15B
Net VEX	-5.1M	-7.0M	-4.6M	-5.0M	-7.0M
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	1.08	0.84	1.39	1.03	1.28
Total Volume	6,281,737	3,264,940	21,465,010	4,548,180	5,873,280
Total OI	23,399,285	14,331,170	26,547,500	21,859,670	22,764,280

Daily Data (20 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
2011-01-03	$2.55	$2.43	43.5%	12.8%	39.2%	33.0%	45.5%	2.1%	9.7%	-3.8M	-368.0M	-5.0M	1.03	5.07	N/A	N/A	2,236,220	2,311,960	9,392,530	12,467,140
2011-01-04	$2.59	$2.43	41.7%	12.5%	36.3%	28.8%	43.9%	1.3%	10.8%	8.0M	-530.1M	-5.0M	0.91	5.07	N/A	N/A	2,255,050	2,044,070	10,158,330	13,274,520
2011-01-05	$2.57	$2.43	41.6%	12.6%	35.9%	28.6%	44.7%	1.1%	11.7%	3.5M	-434.0M	-5.1M	1.14	5.36	N/A	N/A	1,537,130	1,753,290	10,467,100	13,701,520
2011-01-06	$2.54	$2.43	43.3%	12.3%	35.9%	32.5%	43.5%	-0.4%	12.7%	-6.7M	-332.7M	-5.0M	1.07	3.70	N/A	N/A	1,902,950	2,040,990	10,675,000	14,071,470
2011-01-07	$2.56	$2.57	41.5%	15.8%	35.5%	28.3%	55.8%	2.8%	-2.3%	-4.7M	-370.7M	-5.0M	1.25	7.60	N/A	N/A	1,860,110	2,322,180	10,806,950	14,427,490
2011-01-10	$2.68	$2.57	47.0%	16.0%	39.1%	40.8%	57.0%	5.2%	-3.2%	10.9M	-814.8M	-5.0M	0.84	10.35	N/A	N/A	3,409,700	2,861,390	10,101,980	13,613,600
2011-01-11	$2.67	$2.57	42.0%	16.0%	33.2%	29.5%	56.2%	2.2%	-2.7%	16.1M	-763.8M	-5.0M	0.93	4.46	N/A	N/A	2,662,380	2,473,660	10,693,970	14,274,610
2011-01-12	$2.70	$2.57	38.2%	15.5%	31.4%	20.8%	54.4%	2.9%	-2.6%	19.9M	-868.4M	-5.0M	1.06	12.11	N/A	N/A	1,589,910	1,677,620	10,936,520	14,518,140
2011-01-13	$2.74	$2.57	54.4%	15.6%	31.6%	57.5%	55.3%	3.4%	-3.3%	38.1M	-1.05B	-4.9M	0.85	11.14	N/A	N/A	2,910,040	2,463,230	11,120,270	14,825,860
2011-01-14	$2.74	$2.57	53.6%	15.4%	31.2%	55.6%	54.4%	3.6%	-3.1%	18.6M	-1.02B	-4.9M	1.14	13.20	N/A	N/A	2,424,030	2,766,750	11,280,640	15,184,820
2011-01-18	$2.77	$2.57	54.5%	15.6%	31.0%	57.7%	55.0%	1.8%	-5.1%	27.3M	-1.04B	-4.7M	0.85	8.80	N/A	N/A	2,336,250	1,976,100	10,370,290	14,360,920
2011-01-19	$2.73	$2.57	55.3%	15.8%	31.3%	59.4%	55.6%	2.6%	-5.2%	16.4M	-864.9M	-4.6M	1.11	11.81	N/A	N/A	1,550,010	1,714,930	10,629,080	14,496,510
2011-01-20	$2.64	$2.64	58.9%	16.9%	29.5%	67.6%	58.9%	2.5%	-7.2%	-22.1M	-451.7M	-4.6M	1.39	5.07	N/A	N/A	3,025,750	4,219,320	10,610,320	14,941,360
2011-01-21	$2.60	$2.64	59.7%	17.1%	30.0%	69.4%	59.8%	3.7%	-7.5%	-21.2M	-358.4M	-4.7M	1.39	4.43	N/A	N/A	2,198,910	3,059,840	11,279,240	15,268,260
2011-01-24	$2.63	$2.64	62.3%	17.9%	30.2%	75.4%	62.9%	5.7%	-9.0%	1.6M	-210.7M	-4.8M	0.96	4.74	N/A	N/A	2,764,300	2,643,620	6,423,200	7,907,970
2011-01-25	$2.67	$2.64	62.7%	18.0%	29.2%	76.3%	62.7%	6.1%	-9.4%	5.3M	-319.6M	-5.2M	1.03	6.71	N/A	N/A	1,954,820	2,008,580	7,526,330	8,839,950
2011-01-26	$2.61	$2.64	62.9%	18.0%	29.3%	76.8%	63.6%	6.1%	-9.3%	3.2M	-217.0M	-5.3M	1.13	14.18	N/A	N/A	5,429,060	6,126,260	8,375,080	9,505,160
2011-01-27	$3.01	$2.64	40.0%	11.5%	57.5%	24.9%	41.6%	4.6%	2.0%	64.6M	-1.64B	-5.3M	1.03	4.23	N/A	N/A	10,570,070	10,894,940	10,534,860	11,748,240
2011-01-28	$3.11	$2.71	43.7%	12.0%	58.1%	33.4%	44.4%	4.3%	1.2%	19.0M	-1.93B	-6.6M	1.32	7.49	N/A	N/A	5,069,610	6,716,430	11,884,250	14,527,940
2011-01-31	$3.06	$2.79	44.0%	12.2%	57.7%	34.0%	44.2%	5.1%	0.5%	17.9M	-1.15B	-7.0M	1.28	18.48	N/A	N/A	2,580,690	3,292,590	9,864,960	12,899,320