NFLX Options History — June 2011 In June 2011, NFLX traded between $3.51 and $3.91. ATM implied volatility averaged 37.4%, placing in the 18.5% IV rank vs the trailing year. The 30-day expected move averaged 10.5%. IV traded above realized volatility by 6.7% (HV 20d: 30.7%). Max pain ranged from $3.43 to $3.79. Net GEX was positive for 13 of 22 trading days. Term structure was in contango for 22 of 22 days. Put/call ratio averaged 1.26.
Notable Days 2011-06-16 : Highest Volume — 9,475,690 contracts2011-06-06 : Largest IV spike — 22.7% change2011-06-06 : Highest IV Rank — 33.2%2011-06-17 : Largest Expected Move — 11.7%Monthly Statistics Metric Avg Min Max Open Close Price $3.71 $3.51 $3.91 $3.82 $3.75 Max Pain $3.66 $3.43 $3.79 $3.43 $3.64 ATM IV 37.4% 28.6% 42.9% 39.1% 28.6% Expected Move 10.5% 8.6% 11.7% 10.3% 8.6% HV 20d 30.7% 27.9% 33.8% 28.4% 29.3% HV 60d 36.7% 35.1% 40.8% 40.8% 35.9% IV Rank 18.5% 0.0% 33.2% 22.8% 0.0% IV Percentile 10.0% 0.0% 24.6% 11.9% 0.0% Term Structure 7.9% 2.6% 12.7% 2.6% 12.7% VWIV 37.5% 30.8% 41.0% 36.5% 30.8% Skew 25d 4.2% 1.4% 6.9% 1.4% 3.4% Skew 10d 8.5% 3.5% 15.2% 3.5% 7.1% Call IV 25d 35.3% 29.3% 38.3% 35.4% 29.3% Put IV 25d 39.5% 32.7% 44.9% 36.8% 32.7% Bid-Ask Spread % 21.62 7.35 29.00 7.35 12.24 Gamma HHI 0.09 0.04 0.42 0.09 0.06 Net GEX 969.1K -66.8M 38.6M 30.2M 7.1M Net DEX -896.7M -1.87B -117.7M -1.61B -842.8M Net VEX -10.3M -10.7M -9.7M -10.1M -10.3M Div Yield 0.0% 0.0% 0.0% 0.0% 0.0% P/C Ratio 1.26 0.87 1.68 1.38 0.87 Total Volume 5,148,710 2,582,860 9,475,690 6,454,000 2,582,860 Total OI 24,999,446.818 18,720,030 28,565,530 25,206,370 24,281,740
Daily Data (22 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 2011-06-01 $3.82 $3.43 39.1% 10.3% 28.4% 22.8% 36.5% 1.4% 2.6% 30.2M -1.61B -10.1M 1.38 7.35 N/A N/A 2,711,030 3,742,970 10,686,830 14,519,540 2011-06-02 $3.88 $3.43 35.0% 10.0% 27.9% 11.9% 36.0% 2.4% 2.6% 38.6M -1.79B -10.2M 1.27 18.95 N/A N/A 2,503,830 3,182,620 10,905,160 15,405,600 2011-06-03 $3.91 $3.71 34.9% 10.8% 27.9% 11.6% 38.4% 3.8% 6.3% 26.4M -1.87B -10.4M 0.88 20.86 N/A N/A 3,895,990 3,413,760 11,234,370 16,186,310 2011-06-06 $3.75 $3.71 42.9% 11.3% 32.9% 33.2% 40.1% 3.8% 5.4% 1.8M -1.14B -10.5M 1.51 20.93 N/A N/A 3,111,850 4,702,670 10,408,230 15,431,780 2011-06-07 $3.77 $3.71 38.0% 11.1% 31.7% 20.0% 39.7% 4.5% 6.0% -3.5M -1.12B -10.7M 1.44 29.00 N/A N/A 1,922,270 2,760,310 11,036,060 16,156,000 2011-06-08 $3.75 $3.79 36.1% 11.2% 32.0% 14.7% 39.7% 4.3% 5.6% -9.6M -1.04B -10.6M 1.33 26.55 N/A N/A 2,009,280 2,678,410 11,222,470 16,596,440 2011-06-09 $3.75 $3.71 37.6% 10.8% 31.9% 18.8% 38.2% 4.2% 6.3% -7.1M -1.09B -10.5M 1.29 18.12 N/A N/A 1,708,210 2,201,850 11,444,440 16,644,180 2011-06-10 $3.69 $3.71 37.8% 10.8% 31.9% 19.3% 38.8% 3.8% 6.5% 3.8M -828.7M -10.3M 1.58 28.78 N/A N/A 2,428,720 3,841,320 11,617,410 16,823,450 2011-06-13 $3.67 $3.71 38.6% 11.1% 32.1% 21.7% 38.9% 3.6% 6.8% -8.0M -859.7M -10.1M 1.07 25.81 N/A N/A 1,823,430 1,943,830 10,616,200 15,561,140 2011-06-14 $3.73 $3.71 36.5% 10.5% 28.4% 15.7% 37.2% 3.5% 7.7% 5.9M -1.10B -9.9M 1.24 27.05 N/A N/A 1,391,250 1,725,570 10,889,550 15,869,000 2011-06-15 $3.67 $3.71 37.4% 10.7% 29.3% 18.3% 37.7% 3.8% 7.3% -13.8M -874.7M -9.9M 1.52 25.47 N/A N/A 1,440,110 2,186,100 10,976,840 16,074,380 2011-06-16 $3.56 $3.71 39.1% 11.2% 30.8% 22.9% 39.6% 6.1% 6.7% -51.3M -279.9M -9.7M 1.33 25.76 N/A N/A 4,072,320 5,403,370 11,041,520 16,381,540 2011-06-17 $3.51 $3.71 40.8% 11.7% 31.3% 27.6% 41.0% 6.6% 7.8% -66.8M -117.7M -9.9M 1.68 27.71 N/A N/A 3,050,460 5,113,500 11,740,680 16,824,850 2011-06-20 $3.51 $3.64 39.0% 11.2% 31.0% 22.5% 40.0% 6.9% 8.4% -7.6M -188.3M -9.9M 1.25 15.96 N/A N/A 1,706,950 2,127,230 7,659,960 11,060,070 2011-06-21 $3.62 $3.64 36.2% 10.4% 33.0% 15.1% 37.5% 5.7% 10.1% 7.5M -507.3M -10.1M 1.07 22.04 N/A N/A 2,206,120 2,355,360 8,144,780 11,797,590 2011-06-22 $3.55 $3.64 35.3% 10.1% 33.8% 12.5% 36.1% 4.5% 10.2% -5.3M -314.8M -10.1M 1.19 25.17 N/A N/A 1,648,780 1,964,690 8,787,940 12,394,550 2011-06-23 $3.65 $3.64 36.4% 10.4% 30.9% 15.4% 37.3% 3.9% 10.0% 20.3M -673.7M -10.3M 1.10 22.21 N/A N/A 2,941,960 3,247,650 8,976,450 12,863,690 2011-06-24 $3.67 $3.64 38.0% 10.2% 30.3% 20.0% 35.9% 3.1% 11.2% 4.4M -755.6M -10.3M 1.05 28.36 N/A N/A 3,423,700 3,603,950 9,582,090 13,668,060 2011-06-27 $3.72 $3.64 41.0% 10.2% 30.6% 28.1% 36.8% 3.9% 11.1% 9.0M -757.4M -10.5M 1.05 18.78 N/A N/A 1,917,860 2,016,280 8,849,400 12,906,670 2011-06-28 $3.79 $3.64 38.0% 10.0% 30.2% 19.9% 35.8% 4.4% 11.1% 18.8M -976.8M -10.6M 1.03 10.63 N/A N/A 1,710,730 1,767,500 9,296,420 13,594,840 2011-06-29 $3.78 $3.64 36.5% 9.3% 29.9% 15.7% 33.2% 4.0% 12.2% 20.5M -983.0M -10.5M 1.63 17.89 N/A N/A 1,173,060 1,911,910 9,782,990 14,046,620 2011-06-30 $3.75 $3.64 28.6% 8.6% 29.3% 0.0% 30.8% 3.4% 12.7% 7.1M -842.8M -10.3M 0.87 12.24 N/A N/A 1,378,790 1,204,070 9,926,420 14,355,320
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