NFLX Options History — February 2011

In February 2011, NFLX traded between $2.95 and $3.54. ATM implied volatility averaged 42.0%, placing in the 29.4% IV rank vs the trailing year. The 30-day expected move averaged 12.1%. IV traded below realized volatility by 17.6% (HV 20d: 59.6%). Max pain ranged from $2.86 to $3.07. Net GEX was positive for 12 of 19 trading days. Term structure was in contango for 19 of 19 days. Put/call ratio averaged 1.15.

Notable Days

  • 2011-02-14: Highest Volume — 15,304,170 contracts
  • 2011-02-28: Largest IV spike — 18.6% change
  • 2011-02-28: Highest IV Rank — 52.2%
  • 2011-02-22: Largest Expected Move — 13.2%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$3.18$2.95$3.54$3.04$2.95
Max Pain$2.95$2.86$3.07$2.86$3.07
ATM IV42.0%34.6%52.0%39.0%52.0%
Expected Move12.1%10.8%13.2%11.4%13.1%
HV 20d59.6%47.0%69.4%57.9%47.0%
HV 60d49.1%47.7%50.5%48.5%49.7%
IV Rank29.4%12.7%52.2%22.7%52.2%
IV Percentile25.5%10.7%58.7%19.8%58.7%
Term Structure3.6%0.0%6.6%1.8%0.4%
VWIV43.1%38.7%47.2%40.8%47.2%
Skew 25d4.0%2.0%6.1%3.3%5.7%
Skew 10d8.3%4.8%12.4%6.3%12.1%
Call IV 25d40.6%37.1%44.9%38.6%43.4%
Put IV 25d44.6%39.1%49.0%41.9%49.0%
Bid-Ask Spread %15.845.5527.6610.5118.51
Gamma HHI0.150.050.720.090.05
Net GEX21.2M-44.9M222.2M14.9M-12.1M
Net DEX-1.20B-2.57B-32.4M-1.05B-65.3M
Net VEX-7.6M-8.3M-6.9M-7.0M-8.1M
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.150.801.641.641.29
Total Volume7,249,001.0532,910,25015,304,1704,653,9506,059,130
Total OI25,991,394.21119,777,66031,339,49023,814,35022,289,820

Daily Data (19 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2011-02-01$3.04$2.8639.0%11.4%57.9%22.7%40.8%3.3%1.8%14.9M-1.05B-7.0M1.6410.51N/AN/A1,762,6002,891,35010,314,99013,499,360
2011-02-02$3.02$2.8642.1%11.5%58.1%29.8%40.5%3.8%2.5%4.4M-904.4M-7.4M1.355.55N/AN/A2,336,6003,151,61010,539,41014,235,270
2011-02-03$3.02$2.8637.4%10.8%57.9%19.2%38.7%2.0%3.9%1.1M-894.8M-7.4M1.336.73N/AN/A1,464,8201,946,63010,936,31014,904,960
2011-02-04$3.14$2.8639.4%11.8%58.5%23.5%42.9%6.1%4.6%222.2M-1.57B-7.3M0.9227.66N/AN/A6,165,4605,656,14011,213,86015,148,840
2011-02-07$3.11$2.8640.0%11.7%58.9%25.0%42.2%4.5%5.1%16.2M-1.21B-7.5M1.0917.73N/AN/A2,277,6602,488,22010,535,42014,732,130
2011-02-08$3.11$2.8639.1%11.4%57.4%23.0%41.3%4.3%5.1%10.7M-1.14B-7.4M1.2121.30N/AN/A1,314,0401,596,21011,092,62015,513,960
2011-02-09$3.18$2.8634.6%11.6%57.3%12.7%41.3%3.7%5.7%37.6M-1.51B-7.2M1.1016.78N/AN/A2,369,7802,609,81011,274,48015,567,580
2011-02-10$3.19$2.8639.3%11.3%57.4%23.3%40.6%3.7%6.6%41.8M-1.54B-7.2M1.3415.72N/AN/A1,778,5602,377,55011,546,08015,958,040
2011-02-11$3.30$2.9340.6%11.7%58.1%26.4%42.0%3.6%6.5%103.4M-2.14B-7.1M0.9514.16N/AN/A6,093,5005,804,19011,567,78016,279,830
2011-02-14$3.54$2.9344.3%12.7%61.6%34.7%45.7%4.5%3.6%38.4M-2.57B-6.9M0.8012.32N/AN/A8,511,5106,792,66010,521,98015,781,570
2011-02-15$3.44$3.0042.9%12.3%63.3%31.4%43.7%2.8%4.0%16.4M-2.01B-7.7M1.1019.02N/AN/A3,598,1403,954,93011,729,69017,613,610
2011-02-16$3.40$3.0042.6%12.2%63.2%30.8%43.3%2.3%4.5%9.2M-1.84B-7.8M1.0015.91N/AN/A3,534,8603,533,11011,990,79017,818,500
2011-02-17$3.37$3.0742.2%12.1%61.7%30.0%43.3%3.3%5.6%-1.6M-1.67B-7.9M1.0814.25N/AN/A3,592,4003,875,34012,354,16018,085,550
2011-02-18$3.36$3.0741.5%11.9%61.0%28.4%42.4%4.2%6.2%-44.9M-1.66B-8.0M0.9419.81N/AN/A3,597,9303,366,09012,727,47018,612,020
2011-02-22$3.17$3.0746.1%13.2%66.4%38.7%46.9%3.9%0.0%-10.2M-469.3M-7.9M1.3020.45N/AN/A3,761,5204,908,3308,211,70011,565,960
2011-02-23$3.02$3.0745.6%13.1%69.4%37.6%46.7%5.1%0.5%-28.1M-32.4M-8.0M1.1712.71N/AN/A5,515,1606,461,8409,334,92012,395,040
2011-02-24$3.07$3.0744.7%12.8%68.8%35.7%46.1%4.9%0.6%-10.4M-333.9M-8.3M1.1211.89N/AN/A2,763,8803,087,42010,260,32013,099,170
2011-02-25$3.03$3.0043.9%12.4%47.7%33.7%44.1%4.4%1.5%-6.9M-196.1M-8.3M1.0719.95N/AN/A3,252,9703,479,07010,762,22013,821,080
2011-02-28$2.95$3.0752.0%13.1%47.0%52.2%47.2%5.7%0.4%-12.1M-65.3M-8.1M1.2918.51N/AN/A2,646,4903,412,6409,642,78012,647,040