NFLX Options History — July 2011 In July 2011, NFLX traded between $3.80 and $4.27. ATM implied volatility averaged 44.2%, placing in the 42.7% IV rank vs the trailing year. The 30-day expected move averaged 13.7%. IV traded above realized volatility by 4.6% (HV 20d: 39.6%). Max pain ranged from $3.64 to $4.00. Net GEX was positive for 11 of 20 trading days. Term structure was in contango for 5 of 20 days. Put/call ratio averaged 1.03.
Notable Days 2011-07-26 : Highest Volume — 16,445,310 contracts2011-07-05 : Largest IV spike — 66.2% change2011-07-25 : Highest IV Rank — 75.4%2011-07-25 : Largest Expected Move — 16.5%Monthly Statistics Metric Avg Min Max Open Close Price $4.03 $3.80 $4.27 $3.83 $3.80 Max Pain $3.92 $3.64 $4.00 $3.64 $3.93 ATM IV 44.2% 26.8% 57.5% 26.8% 44.1% Expected Move 13.7% 8.5% 16.5% 8.5% 12.1% HV 20d 39.6% 30.1% 44.9% 30.1% 44.6% HV 60d 37.0% 33.5% 39.2% 35.9% 34.9% IV Rank 42.7% 0.0% 75.4% 0.0% 42.4% IV Percentile 42.7% 0.0% 91.3% 0.0% 41.7% Term Structure -2.8% -7.9% 12.2% 12.2% 0.5% VWIV 48.0% 31.3% 57.1% 31.3% 43.3% Skew 25d 1.9% -0.2% 3.7% 3.7% 2.8% Skew 10d 3.5% -0.8% 7.8% 7.8% 5.2% Call IV 25d 46.8% 29.0% 55.4% 29.0% 41.4% Put IV 25d 48.7% 32.7% 57.8% 32.7% 44.2% Bid-Ask Spread % 13.38 8.23 20.56 14.98 20.56 Gamma HHI 0.11 0.04 0.65 0.05 0.06 Net GEX 11.6M -43.7M 192.0M 20.2M -15.8M Net DEX -1.25B -2.16B -247.5M -1.17B -474.7M Net VEX -11.3M -12.4M -9.7M -10.2M -12.2M Div Yield 0.0% 0.0% 0.0% 0.0% 0.0% P/C Ratio 1.03 0.78 1.36 1.08 1.28 Total Volume 6,973,876 3,396,890 16,445,310 5,564,370 5,669,790 Total OI 27,091,844.5 22,654,380 32,212,460 24,567,480 32,212,460
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 2011-07-01 $3.83 $3.64 26.8% 8.5% 30.1% 0.0% 31.3% 3.7% 12.2% 20.2M -1.17B -10.2M 1.08 14.98 N/A N/A 2,677,360 2,887,010 10,070,270 14,497,210 2011-07-05 $4.14 $3.64 44.6% 13.2% 37.7% 43.7% 46.5% 1.1% -3.7% 35.0M -2.02B -9.7M 0.94 9.43 N/A N/A 6,142,640 5,769,470 9,226,700 13,427,680 2011-07-06 $4.16 $3.79 37.9% 13.2% 37.7% 27.3% 46.8% 2.2% -3.5% 44.8M -2.06B -10.6M 0.83 14.34 N/A N/A 3,460,520 2,887,080 10,504,480 15,311,380 2011-07-07 $4.18 $3.86 35.9% 13.3% 37.5% 22.4% 46.6% 1.6% -3.2% 45.1M -2.08B -10.6M 0.81 8.82 N/A N/A 3,440,080 2,794,120 10,794,560 16,033,150 2011-07-08 $4.22 $3.93 33.4% 13.3% 37.5% 16.1% 46.8% 2.8% -3.2% 192.0M -2.16B -10.6M 0.78 9.99 N/A N/A 3,262,980 2,535,330 11,105,430 16,553,390 2011-07-11 $4.15 $3.93 41.1% 14.0% 37.5% 35.0% 49.4% 2.2% -3.8% 17.0M -1.75B -10.6M 0.97 8.83 N/A N/A 3,106,390 3,027,080 9,937,970 15,662,780 2011-07-12 $4.16 $3.93 38.3% 14.4% 37.3% 28.2% 50.5% 2.3% -4.5% 16.3M -1.73B -10.8M 0.79 12.49 N/A N/A 2,898,560 2,281,440 10,456,460 16,278,780 2011-07-13 $4.27 $3.93 34.8% 14.2% 37.8% 19.7% 49.8% 3.0% -3.5% 43.6M -2.16B -10.9M 1.18 10.33 N/A N/A 3,234,280 3,807,720 10,941,980 16,712,500 2011-07-14 $4.09 $4.00 50.7% 14.5% 40.8% 58.6% 50.8% 1.5% -4.0% -36.5M -1.27B -11.3M 1.14 12.87 N/A N/A 4,434,990 5,050,780 11,401,390 17,630,900 2011-07-15 $4.10 $4.00 50.5% 14.5% 38.5% 58.1% 50.4% 1.7% -4.7% -43.7M -1.26B -11.3M 1.34 17.20 N/A N/A 3,245,550 4,360,090 11,944,310 18,591,580 2011-07-18 $3.99 $4.00 52.3% 15.0% 39.8% 62.5% 52.3% 1.0% -4.7% -4.1M -857.7M -11.3M 1.36 13.66 N/A N/A 1,887,060 2,574,250 8,791,860 13,891,640 2011-07-19 $4.10 $4.00 50.3% 14.4% 40.5% 57.8% 50.2% 2.1% -4.9% 10.9M -1.23B -11.3M 0.84 18.41 N/A N/A 2,070,600 1,733,550 9,370,410 14,465,430 2011-07-20 $4.02 $4.00 51.8% 14.9% 40.7% 61.4% 51.6% 1.9% -5.7% -5.4M -957.2M -11.7M 0.90 14.57 N/A N/A 1,783,880 1,613,010 9,825,270 15,000,580 2011-07-21 $3.94 $4.00 53.0% 15.2% 40.7% 64.5% 52.9% 0.4% -6.5% -29.4M -689.0M -11.7M 1.08 12.81 N/A N/A 2,465,330 2,651,530 10,286,640 15,497,020 2011-07-22 $3.95 $4.00 55.9% 16.0% 39.8% 71.4% 55.6% 0.9% -7.4% -20.1M -766.4M -11.9M 1.17 15.82 N/A N/A 3,054,520 3,574,200 11,037,390 16,231,390 2011-07-25 $4.02 $4.00 57.5% 16.5% 40.1% 75.4% 57.1% 2.5% -7.9% 3.7M -1.05B -11.9M 0.84 14.18 N/A N/A 5,195,890 4,362,400 10,051,440 15,366,470 2011-07-26 $3.81 $4.00 42.2% 12.1% 44.9% 37.8% 43.2% -0.2% 0.3% -27.7M -247.5M -11.9M 0.90 8.23 N/A N/A 8,658,720 7,786,590 11,982,180 17,243,590 2011-07-27 $3.85 $3.93 41.3% 11.9% 44.5% 35.7% 42.5% 2.5% 1.1% 781.1K -679.8M -12.4M 1.21 12.42 N/A N/A 3,629,360 4,401,460 13,304,900 18,265,730 2011-07-28 $3.81 $3.93 41.6% 11.9% 44.7% 36.3% 42.1% 2.7% 0.8% -14.1M -472.6M -12.4M 1.23 17.70 N/A N/A 2,267,930 2,793,980 13,567,750 18,361,840 2011-07-29 $3.80 $3.93 44.1% 12.1% 44.6% 42.4% 43.3% 2.8% 0.5% -15.8M -474.7M -12.2M 1.28 20.56 N/A N/A 2,488,990 3,180,800 13,692,070 18,520,390
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