NFLX Options History — March 2011 In March 2011, NFLX traded between $2.76 and $3.40. ATM implied volatility averaged 47.1%, placing in the 39.0% IV rank vs the trailing year. The 30-day expected move averaged 13.2%. IV traded below realized volatility by 2.3% (HV 20d: 49.4%). Max pain ranged from $2.93 to $3.14. Net GEX was positive for 13 of 23 trading days. Term structure was in contango for 23 of 23 days. Put/call ratio averaged 0.95.
Notable Days 2011-03-08 : Highest Volume — 12,024,250 contracts2011-03-28 : Largest IV spike — 21.9% change2011-03-08 : Highest IV Rank — 58.9%2011-03-16 : Largest Expected Move — 14.8%Monthly Statistics Metric Avg Min Max Open Close Price $3.08 $2.76 $3.40 $2.92 $3.40 Max Pain $3.00 $2.93 $3.14 $3.00 $3.14 ATM IV 47.1% 41.2% 55.4% 52.3% 42.5% Expected Move 13.2% 11.8% 14.8% 13.2% 12.0% HV 20d 49.4% 46.4% 52.7% 46.7% 46.7% HV 60d 49.8% 47.7% 50.9% 49.3% 50.5% IV Rank 39.0% 22.8% 58.9% 52.7% 26.0% IV Percentile 36.9% 10.7% 73.4% 60.3% 13.5% Term Structure 5.6% 1.0% 10.6% 1.0% 10.3% VWIV 46.9% 42.0% 52.3% 46.7% 43.4% Skew 25d 4.8% 0.3% 9.7% 6.7% 1.2% Skew 10d 9.8% 1.0% 19.7% 14.3% 2.3% Call IV 25d 44.3% 40.6% 50.1% 43.2% 42.0% Put IV 25d 49.1% 42.6% 55.9% 49.9% 43.2% Bid-Ask Spread % 14.57 4.26 29.04 10.24 8.34 Gamma HHI 0.14 0.04 0.70 0.07 0.08 Net GEX 13.0M -36.7M 169.1M -14.5M 19.4M Net DEX -465.4M -1.12B 577.0M 14.5M -1.07B Net VEX -8.4M -8.9M -8.0M -8.3M -8.8M Div Yield 0.0% 0.0% 0.0% 0.0% 0.0% P/C Ratio 0.95 0.71 1.30 1.07 1.18 Total Volume 6,519,115.217 3,467,800 12,024,250 5,811,470 3,581,760 Total OI 23,931,307.826 16,282,560 29,251,460 23,555,280 22,516,830
Daily Data (23 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 2011-03-01 $2.92 $3.00 52.3% 13.2% 46.7% 52.7% 46.7% 6.7% 1.0% -14.5M 14.5M -8.3M 1.07 10.24 N/A N/A 2,809,310 3,002,160 10,222,870 13,332,410 2011-03-02 $2.92 $3.00 48.6% 12.7% 46.7% 44.5% 45.1% 5.0% 2.5% -10.2M -26.7M -8.2M 0.75 17.89 N/A N/A 2,469,460 1,862,910 10,858,260 13,739,810 2011-03-03 $2.91 $3.00 44.6% 12.7% 46.7% 35.4% 45.3% 5.4% 3.1% -16.6M 24.3M -8.2M 0.89 16.41 N/A N/A 2,778,440 2,467,780 11,168,500 13,984,880 2011-03-04 $3.01 $3.00 44.6% 13.7% 48.5% 35.4% 48.7% 7.2% 2.7% 31.9M -501.5M -8.4M 0.89 15.01 N/A N/A 5,095,440 4,536,140 11,762,100 14,422,590 2011-03-07 $2.96 $3.00 50.4% 14.2% 46.4% 47.4% 49.5% 7.0% 2.2% -10.4M -187.9M -8.5M 0.95 15.24 N/A N/A 2,727,410 2,580,060 10,712,660 13,941,970 2011-03-08 $2.79 $2.93 55.4% 14.7% 50.6% 58.9% 51.4% 8.4% 1.5% -30.5M 452.6M -8.1M 1.30 17.26 N/A N/A 5,230,190 6,794,060 11,135,460 14,474,460 2011-03-09 $2.76 $2.93 44.8% 14.1% 50.6% 34.4% 49.7% 8.2% 1.9% -36.7M 577.0M -8.1M 1.09 14.21 N/A N/A 3,466,400 3,774,610 11,768,750 15,272,180 2011-03-10 $2.86 $2.93 49.5% 14.2% 51.9% 45.2% 50.5% 9.7% 2.6% -14.5M 87.1M -8.4M 0.81 12.73 N/A N/A 6,104,770 4,926,110 12,237,470 15,497,510 2011-03-11 $2.92 $2.93 46.9% 13.4% 52.7% 39.2% 48.3% 7.6% 4.4% 84.0M -310.3M -8.5M 0.83 28.01 N/A N/A 4,053,210 3,347,890 13,095,950 16,155,510 2011-03-14 $2.87 $2.93 47.8% 13.7% 50.8% 41.2% 48.4% 6.6% 4.4% -12.4M -3.7M -8.1M 1.07 29.04 N/A N/A 2,341,570 2,496,340 11,588,570 14,548,030 2011-03-15 $3.10 $2.93 49.0% 14.1% 52.3% 44.1% 50.1% 4.6% 3.9% 19.7M -911.7M -8.4M 0.79 25.30 N/A N/A 5,850,670 4,596,060 11,725,770 14,826,140 2011-03-16 $3.05 $2.93 51.6% 14.8% 51.8% 50.0% 52.3% 4.2% 3.0% 8.5M -681.4M -8.5M 1.16 25.36 N/A N/A 2,707,110 3,144,540 12,071,150 15,106,140 2011-03-17 $3.06 $2.93 46.7% 13.4% 51.8% 38.7% 47.7% 5.1% 5.8% -1.3M -589.5M -8.2M 0.71 19.93 N/A N/A 2,228,170 1,591,590 12,199,600 15,536,780 2011-03-18 $2.99 $3.00 46.4% 13.3% 52.1% 38.0% 47.1% 4.7% 5.5% -32.9M -203.4M -8.0M 1.03 21.02 N/A N/A 3,551,730 3,662,750 12,253,780 15,743,840 2011-03-21 $3.04 $3.00 43.6% 12.5% 52.6% 31.3% 44.8% 5.0% 8.3% 3.9M -382.8M -8.0M 0.88 12.61 N/A N/A 2,426,200 2,126,950 7,397,950 8,884,610 2011-03-22 $3.16 $3.00 45.4% 13.0% 50.5% 35.3% 46.1% 4.1% 7.9% 14.6M -687.2M -8.3M 0.86 4.26 N/A N/A 3,675,490 3,148,600 7,999,460 9,658,320 2011-03-23 $3.27 $3.00 45.5% 13.0% 48.5% 35.5% 46.7% 3.5% 8.1% 31.3M -990.2M -8.5M 0.94 7.30 N/A N/A 3,963,050 3,727,710 8,793,330 10,455,060 2011-03-24 $3.27 $3.07 43.3% 12.4% 48.2% 27.9% 44.2% 2.1% 9.3% 32.7M -991.8M -8.7M 0.88 8.14 N/A N/A 3,298,050 2,909,900 9,398,970 11,338,880 2011-03-25 $3.29 $3.07 41.2% 11.8% 47.9% 22.8% 42.0% 2.2% 10.6% 169.1M -986.1M -8.7M 0.93 8.21 N/A N/A 3,058,020 2,847,740 9,777,460 11,882,080 2011-03-28 $3.39 $3.07 50.2% 12.7% 47.3% 44.6% 44.8% 1.1% 9.3% 21.0M -1.12B -8.7M 0.84 9.16 N/A N/A 4,233,880 3,536,470 8,770,440 10,729,740 2011-03-29 $3.39 $3.14 47.8% 12.2% 46.9% 38.8% 43.2% 0.3% 10.5% 20.0M -1.09B -8.9M 1.02 4.38 N/A N/A 1,848,280 1,892,870 9,628,780 11,652,760 2011-03-30 $3.40 $3.14 44.5% 11.8% 46.8% 30.8% 42.7% 1.0% 10.6% 22.1M -1.12B -8.9M 1.00 5.12 N/A N/A 1,734,530 1,733,270 10,040,520 12,111,750 2011-03-31 $3.40 $3.14 42.5% 12.0% 46.7% 26.0% 43.4% 1.2% 10.3% 19.4M -1.07B -8.8M 1.18 8.34 N/A N/A 1,644,160 1,937,600 10,122,280 12,394,550
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