NFLX Options History — April 2011

In April 2011, NFLX traded between $3.26 and $3.60. ATM implied volatility averaged 44.5%, placing in the 25.8% IV rank vs the trailing year. The 30-day expected move averaged 14.3%. IV traded above realized volatility by 8.0% (HV 20d: 36.6%). Max pain ranged from $3.14 to $3.43. Net GEX was positive for 13 of 20 trading days. Term structure was in contango for 5 of 20 days. Put/call ratio averaged 1.04.

Notable Days

2011-04-26: Highest Volume — 18,219,110 contracts
2011-04-14: Largest IV spike — 52.8% change
2011-04-25: Highest IV Rank — 63.8%
2011-04-25: Largest Expected Move — 17.0%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$3.41	$3.26	$3.60	$3.46	$3.32
Max Pain	$3.28	$3.14	$3.43	$3.14	$3.36
ATM IV	44.5%	34.9%	59.2%	38.9%	38.0%
Expected Move	14.3%	10.7%	17.0%	11.1%	10.7%
HV 20d	36.6%	27.3%	45.8%	45.8%	45.8%
HV 60d	49.1%	41.8%	50.8%	50.5%	46.1%
IV Rank	25.8%	0.9%	63.8%	11.1%	8.8%
IV Percentile	27.0%	0.4%	83.7%	3.6%	1.6%
Term Structure	-2.2%	-7.8%	12.6%	12.6%	2.4%
VWIV	50.4%	38.1%	58.9%	39.5%	38.1%
Skew 25d	4.0%	2.0%	5.9%	2.0%	2.6%
Skew 10d	8.1%	3.6%	11.9%	3.6%	4.5%
Call IV 25d	48.0%	36.8%	54.8%	38.1%	36.8%
Put IV 25d	52.0%	39.3%	60.3%	40.1%	39.3%
Bid-Ask Spread %	6.84	4.90	8.86	6.12	6.18
Gamma HHI	0.09	0.04	0.49	0.06	0.04
Net GEX	5.1M	-80.1M	34.8M	19.5M	-8.1K
Net DEX	-842.9M	-1.40B	-56.8M	-1.34B	-277.0M
Net VEX	-8.9M	-9.9M	-8.6M	-8.7M	-9.9M
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	1.04	0.63	1.32	0.94	1.06
Total Volume	6,351,751	2,810,500	18,219,110	7,679,070	4,863,600
Total OI	23,057,930	17,499,090	28,527,450	23,247,980	28,527,450

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
2011-04-01	$3.46	$3.14	38.9%	11.1%	45.8%	11.1%	39.5%	2.0%	12.6%	19.5M	-1.34B	-8.7M	0.94	6.12	N/A	N/A	3,965,010	3,714,060	10,390,660	12,857,320
2011-04-04	$3.50	$3.14	43.9%	14.7%	45.0%	24.1%	51.9%	4.5%	-3.1%	25.2M	-1.32B	-8.7M	1.14	6.67	N/A	N/A	1,691,270	1,928,080	9,510,340	12,122,040
2011-04-05	$3.49	$3.14	40.6%	14.6%	37.5%	15.6%	51.7%	3.8%	-3.0%	23.8M	-1.29B	-8.7M	1.15	7.59	N/A	N/A	2,100,070	2,406,740	9,858,310	12,724,320
2011-04-06	$3.43	$3.21	40.0%	14.9%	38.0%	13.9%	52.4%	3.8%	-3.1%	6.6M	-1.02B	-8.8M	1.19	6.88	N/A	N/A	2,814,770	3,345,650	10,280,620	13,141,800
2011-04-07	$3.34	$3.21	38.2%	15.0%	38.9%	9.4%	53.1%	4.2%	-3.2%	-27.5M	-626.9M	-9.0M	1.19	8.70	N/A	N/A	3,094,210	3,689,700	10,661,070	13,714,610
2011-04-08	$3.36	$3.29	37.3%	15.3%	38.5%	6.9%	53.8%	4.1%	-3.5%	-80.1M	-733.3M	-9.1M	1.07	7.34	N/A	N/A	3,003,280	3,221,610	11,088,840	14,246,680
2011-04-11	$3.26	$3.29	40.4%	15.6%	39.7%	15.1%	54.8%	3.9%	-4.2%	-4.4M	-513.7M	-8.8M	1.19	6.26	N/A	N/A	2,464,000	2,941,960	9,960,860	12,953,360
2011-04-12	$3.34	$3.29	38.2%	15.5%	31.0%	9.3%	54.4%	5.0%	-4.0%	10.5M	-825.6M	-8.8M	0.94	7.70	N/A	N/A	2,466,240	2,323,230	10,174,010	13,299,370
2011-04-13	$3.41	$3.29	34.9%	15.2%	30.7%	0.9%	54.1%	5.3%	-3.9%	30.4M	-1.08B	-8.7M	1.01	7.19	N/A	N/A	1,761,690	1,780,870	10,320,450	13,525,890
2011-04-14	$3.38	$3.29	53.4%	15.3%	31.1%	48.7%	53.8%	4.5%	-3.3%	22.5M	-952.2M	-8.6M	0.80	8.86	N/A	N/A	2,464,420	1,983,590	10,418,310	13,750,170
2011-04-15	$3.36	$3.29	53.1%	15.2%	29.8%	48.0%	53.3%	4.1%	-4.1%	16.5M	-903.7M	-8.6M	1.08	6.01	N/A	N/A	1,746,640	1,880,480	10,495,660	13,806,800
2011-04-18	$3.33	$3.29	53.7%	15.4%	29.9%	49.5%	54.3%	4.9%	-5.1%	4.1M	-585.9M	-8.6M	0.92	5.35	N/A	N/A	1,462,650	1,347,850	7,703,780	9,795,310
2011-04-19	$3.45	$3.29	53.3%	15.3%	29.3%	48.3%	53.8%	5.9%	-4.9%	21.6M	-888.0M	-8.8M	1.11	5.52	N/A	N/A	2,046,030	2,278,570	8,194,830	10,274,530
2011-04-20	$3.49	$3.29	53.2%	15.3%	27.3%	48.2%	53.9%	4.3%	-5.1%	34.8M	-1.04B	-8.8M	0.88	5.83	N/A	N/A	2,306,570	2,026,640	8,710,590	10,806,530
2011-04-21	$3.60	$3.36	53.9%	15.5%	29.0%	50.1%	54.7%	4.4%	-5.3%	13.8M	-1.40B	-8.9M	0.63	7.13	N/A	N/A	5,102,300	3,195,710	8,949,500	11,174,450
2011-04-25	$3.60	$3.36	59.2%	17.0%	29.1%	63.8%	58.9%	5.5%	-7.8%	13.3M	-1.10B	-9.0M	1.01	8.48	N/A	N/A	5,491,150	5,558,910	8,522,220	10,984,680
2011-04-26	$3.27	$3.43	39.9%	11.4%	44.2%	13.7%	40.5%	2.0%	1.2%	-22.7M	-56.8M	-8.8M	1.19	7.75	N/A	N/A	8,323,210	9,895,900	10,742,200	13,385,750
2011-04-27	$3.37	$3.36	42.0%	12.0%	45.6%	19.1%	42.6%	3.0%	0.7%	-1.9M	-495.8M	-9.6M	1.32	6.35	N/A	N/A	4,450,670	5,888,540	11,934,020	14,613,830
2011-04-28	$3.35	$3.36	38.8%	11.1%	45.7%	10.9%	39.2%	2.8%	1.9%	-4.1M	-415.7M	-9.7M	1.05	4.90	N/A	N/A	2,925,720	3,083,430	12,341,000	15,196,440
2011-04-29	$3.32	$3.36	38.0%	10.7%	45.8%	8.8%	38.1%	2.6%	2.4%	-8.1K	-277.0M	-9.9M	1.06	6.18	N/A	N/A	2,363,480	2,500,120	12,662,090	15,865,360