NFLX Options History — May 2011 In May 2011, NFLX traded between $3.27 and $3.87. ATM implied volatility averaged 36.6%, placing in the 8.5% IV rank vs the trailing year. The 30-day expected move averaged 10.6%. IV traded below realized volatility by 5.2% (HV 20d: 41.8%). Max pain ranged from $3.14 to $3.43. Net GEX was positive for 16 of 21 trading days. Term structure was in contango for 21 of 21 days. Put/call ratio averaged 1.03.
Notable Days 2011-05-25 : Highest Volume — 10,133,760 contracts2011-05-31 : Largest IV spike — 21.1% change2011-05-31 : Highest IV Rank — 17.5%2011-05-09 : Largest Expected Move — 11.2%Monthly Statistics Metric Avg Min Max Open Close Price $3.49 $3.27 $3.87 $3.39 $3.87 Max Pain $3.26 $3.14 $3.43 $3.36 $3.43 ATM IV 36.6% 30.7% 41.2% 41.2% 37.1% Expected Move 10.6% 9.8% 11.2% 10.9% 10.1% HV 20d 41.8% 27.4% 46.9% 45.8% 29.9% HV 60d 43.3% 40.3% 46.3% 46.3% 40.9% IV Rank 8.5% 0.0% 17.5% 17.1% 17.5% IV Percentile 3.3% 0.0% 9.5% 9.5% 5.6% Term Structure 4.8% 1.8% 8.7% 1.8% 2.4% VWIV 37.9% 34.9% 39.6% 39.0% 36.4% Skew 25d 2.7% 0.8% 4.3% 1.8% 2.8% Skew 10d 5.6% 1.4% 8.7% 4.6% 5.1% Call IV 25d 36.2% 34.1% 38.3% 37.7% 34.3% Put IV 25d 38.9% 35.2% 41.0% 39.4% 37.1% Bid-Ask Spread % 17.15 8.67 25.96 9.78 17.27 Gamma HHI 0.11 0.05 0.49 0.05 0.10 Net GEX 24.4M -21.2M 110.7M 7.0M 39.0M Net DEX -935.7M -1.85B -219.4M -628.9M -1.78B Net VEX -9.5M -9.9M -9.0M -9.9M -9.9M Div Yield 0.0% 0.0% 0.0% 0.0% 0.0% P/C Ratio 1.03 0.71 1.48 0.89 0.93 Total Volume 4,950,056.667 3,076,920 10,133,760 4,584,580 5,060,160 Total OI 25,445,563.333 19,896,660 27,545,140 24,248,070 24,714,480
Daily Data (21 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 2011-05-02 $3.39 $3.36 41.2% 10.9% 45.8% 17.1% 39.0% 1.8% 1.8% 7.0M -628.9M -9.9M 0.89 9.78 N/A N/A 2,424,310 2,160,270 10,405,990 13,842,080 2011-05-03 $3.30 $3.36 38.6% 11.0% 46.4% 10.4% 39.1% 1.5% 2.5% -10.8M -310.8M -9.9M 1.36 10.10 N/A N/A 1,855,070 2,519,440 11,041,380 14,429,030 2011-05-04 $3.27 $3.36 38.8% 10.8% 46.4% 11.0% 38.7% 0.8% 2.5% -14.8M -240.1M -9.8M 1.24 10.42 N/A N/A 1,929,970 2,387,070 11,291,910 14,669,900 2011-05-05 $3.29 $3.36 38.2% 10.7% 46.2% 9.3% 38.1% 2.7% 2.5% -8.7M -300.2M -9.9M 0.99 8.67 N/A N/A 1,549,800 1,527,120 11,580,800 14,939,190 2011-05-06 $3.28 $3.14 33.4% 11.1% 45.4% 0.0% 38.5% 3.7% 6.3% -21.2M -219.4M -9.7M 1.48 11.65 N/A N/A 1,626,520 2,414,790 11,813,690 15,236,480 2011-05-09 $3.38 $3.14 39.6% 11.2% 46.7% 15.7% 39.5% 3.6% 5.6% 9.1M -630.9M -9.6M 1.06 10.00 N/A N/A 2,095,100 2,216,480 10,846,990 14,147,560 2011-05-10 $3.39 $3.14 35.0% 10.9% 45.4% 4.0% 39.6% 3.2% 6.1% 14.5M -710.5M -9.5M 1.20 11.48 N/A N/A 1,656,830 1,982,610 11,328,030 14,734,230 2011-05-11 $3.44 $3.14 33.5% 11.0% 44.8% 0.4% 39.2% 4.3% 6.4% 24.4M -880.3M -9.6M 0.91 11.66 N/A N/A 2,092,790 1,894,340 11,611,880 15,101,030 2011-05-12 $3.51 $3.14 37.0% 10.6% 44.8% 8.9% 37.9% 3.7% 6.9% 53.9M -1.25B -9.6M 1.22 18.98 N/A N/A 1,950,410 2,374,750 11,773,370 15,456,840 2011-05-13 $3.52 $3.21 37.1% 10.6% 44.6% 9.4% 37.6% 3.5% 6.7% 29.0M -1.35B -9.4M 0.71 20.88 N/A N/A 3,736,110 2,667,980 11,946,200 15,598,940 2011-05-16 $3.39 $3.21 38.9% 11.1% 46.9% 13.7% 39.1% 3.3% 6.1% 657.6K -558.1M -9.2M 1.27 25.33 N/A N/A 2,109,450 2,680,090 11,024,090 14,636,860 2011-05-17 $3.38 $3.21 38.1% 10.9% 46.8% 11.8% 38.6% 3.5% 6.7% -2.5M -560.8M -9.2M 1.39 24.94 N/A N/A 1,673,980 2,333,730 11,354,770 14,993,160 2011-05-18 $3.46 $3.21 36.0% 10.3% 45.9% 6.5% 37.5% 3.7% 8.0% 28.2M -958.4M -9.2M 1.08 25.96 N/A N/A 1,962,310 2,115,190 11,475,870 15,102,290 2011-05-19 $3.47 $3.21 35.5% 10.2% 45.7% 5.3% 36.8% 3.8% 8.5% 24.3M -921.2M -9.0M 0.86 25.74 N/A N/A 1,682,380 1,441,930 11,478,250 15,194,480 2011-05-20 $3.51 $3.29 35.2% 10.1% 44.4% 5.0% 36.2% 3.0% 8.7% 60.8M -1.19B -9.0M 0.90 24.19 N/A N/A 2,816,450 2,547,160 11,599,630 15,376,690 2011-05-23 $3.54 $3.29 36.3% 10.4% 44.5% 8.2% 37.6% 2.3% 1.9% 20.6M -971.1M -9.0M 0.95 21.00 N/A N/A 2,394,630 2,268,490 8,539,370 11,357,290 2011-05-24 $3.54 $3.29 35.5% 10.2% 27.4% 6.1% 36.6% 1.9% 2.6% 21.1M -985.4M -9.2M 0.84 23.46 N/A N/A 3,057,670 2,558,150 9,386,090 12,226,690 2011-05-25 $3.71 $3.29 37.0% 10.6% 30.0% 10.7% 37.7% 1.4% 1.8% 50.5M -1.56B -9.4M 0.78 18.56 N/A N/A 5,695,830 4,437,930 9,862,720 13,090,630 2011-05-26 $3.77 $3.36 36.1% 10.3% 30.0% 7.8% 36.9% 1.0% 2.8% 77.1M -1.85B -9.9M 0.84 14.45 N/A N/A 4,389,910 3,667,300 10,875,340 14,191,730 2011-05-27 $3.78 $3.36 30.7% 9.8% 29.6% 0.0% 34.9% 1.1% 3.7% 110.7M -1.78B -9.9M 0.82 15.68 N/A N/A 3,300,220 2,696,470 11,184,250 14,896,630 2011-05-31 $3.87 $3.43 37.1% 10.1% 29.9% 17.5% 36.4% 2.8% 2.4% 39.0M -1.78B -9.9M 0.93 17.27 N/A N/A 2,615,480 2,444,680 10,395,000 14,319,480
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