NFLX Options History — August 2011 In August 2011, NFLX traded between $2.93 and $3.76. ATM implied volatility averaged 54.4%, placing in the 52.6% IV rank vs the trailing year. The 30-day expected move averaged 14.6%. IV traded above realized volatility by 5.1% (HV 20d: 49.3%). Max pain ranged from $3.43 to $3.93. Net GEX was positive for 3 of 23 trading days. Term structure was in contango for 17 of 23 days. Put/call ratio averaged 1.12.
Notable Days 2011-08-05 : Highest Volume — 7,180,040 contracts2011-08-08 : Largest IV spike — 63.0% change2011-08-08 : Highest IV Rank — 100.0%2011-08-19 : Largest Expected Move — 18.3%Monthly Statistics Metric Avg Min Max Open Close Price $3.33 $2.93 $3.76 $3.76 $3.36 Max Pain $3.58 $3.43 $3.93 $3.93 $3.43 ATM IV 54.4% 45.1% 82.6% 45.1% 56.1% Expected Move 14.6% 11.8% 18.3% 12.0% 13.8% HV 20d 49.3% 33.6% 62.7% 44.1% 62.5% HV 60d 41.4% 34.9% 46.3% 35.0% 46.3% IV Rank 52.6% 33.2% 100.0% 44.9% 52.4% IV Percentile 75.6% 48.0% 100.0% 48.8% 86.9% Term Structure 1.6% -2.7% 5.0% -0.4% 4.5% VWIV 52.2% 42.2% 63.4% 42.8% 48.9% Skew 25d 10.2% 1.4% 19.6% 2.1% 6.2% Skew 10d 21.9% 1.9% 40.3% 4.5% 13.3% Call IV 25d 47.0% 41.4% 55.9% 41.8% 46.1% Put IV 25d 57.2% 43.1% 75.0% 43.9% 52.3% Bid-Ask Spread % 19.00 6.01 34.96 20.45 10.40 Gamma HHI 0.08 0.03 0.51 0.05 0.03 Net GEX -17.9M -59.6M 8.7M -8.4M 7.8M Net DEX 496.3M -373.5M 1.71B -373.5M -127.1M Net VEX -10.4M -11.9M -8.5M -11.9M -10.6M Div Yield 0.0% 0.0% 0.0% 0.0% 0.0% P/C Ratio 1.12 0.78 2.10 0.93 0.95 Total Volume 4,127,729.565 1,990,310 7,180,040 3,854,340 3,112,270 Total OI 26,906,456.957 21,919,450 29,925,420 27,590,640 25,464,320
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 2011-08-01 $3.76 $3.93 45.1% 12.0% 44.1% 44.9% 42.8% 2.1% -0.4% -8.4M -373.5M -11.9M 0.93 20.45 N/A N/A 2,000,110 1,854,230 11,369,820 16,220,820 2011-08-02 $3.67 $3.93 50.8% 12.5% 33.6% 58.9% 44.4% 1.4% -0.0% -19.8M -89.1M -11.9M 0.93 16.26 N/A N/A 1,606,430 1,493,800 11,863,110 16,681,000 2011-08-03 $3.71 $3.93 46.1% 11.8% 33.9% 47.5% 42.2% 1.7% 0.5% -17.4M -219.4M -11.7M 1.05 23.81 N/A N/A 1,728,440 1,813,560 12,115,110 16,991,940 2011-08-04 $3.51 $3.93 53.5% 14.3% 38.1% 65.6% 51.1% 3.7% -0.8% -44.8M 521.7M -11.8M 1.37 24.81 N/A N/A 2,428,790 3,324,650 12,253,010 17,192,700 2011-08-05 $3.44 $3.57 50.7% 14.3% 37.7% 58.7% 50.5% 8.0% 3.3% -44.4M 830.3M -11.4M 1.57 32.85 N/A N/A 2,795,170 4,384,870 12,702,900 17,222,520 2011-08-08 $3.24 $3.57 82.6% 17.6% 41.9% 100.0% 62.1% 11.7% -2.7% -25.0M 1.03B -10.9M 2.10 34.96 N/A N/A 1,901,970 3,984,610 11,787,580 15,977,640 2011-08-09 $3.40 $3.57 60.6% 15.0% 46.9% 60.5% 55.0% 12.8% 1.6% -21.2M 637.9M -11.0M 1.13 20.63 N/A N/A 2,146,480 2,429,840 12,073,740 15,535,380 2011-08-10 $3.32 $3.57 60.1% 16.2% 45.2% 59.6% 57.2% 13.2% 0.2% -21.3M 790.3M -10.9M 1.16 30.74 N/A N/A 1,648,710 1,907,080 12,300,400 15,603,840 2011-08-11 $3.47 $3.57 51.7% 14.8% 48.2% 44.7% 51.5% 12.5% 1.7% -10.9M 312.1M -11.3M 0.83 24.47 N/A N/A 2,383,150 1,971,270 12,572,210 15,886,570 2011-08-12 $3.49 $3.57 47.8% 13.7% 48.2% 37.6% 50.9% 10.4% 3.2% -17.3M 278.2M -11.1M 1.06 30.49 N/A N/A 1,918,420 2,027,970 12,897,500 16,159,010 2011-08-15 $3.52 $3.57 45.3% 13.0% 48.0% 33.2% 47.2% 8.7% 4.1% -19.7M 226.3M -10.8M 1.21 26.69 N/A N/A 1,452,850 1,759,240 12,470,990 15,528,450 2011-08-16 $3.41 $3.57 45.6% 13.1% 46.8% 33.7% 46.6% 7.2% 4.1% -25.7M 585.0M -10.3M 1.05 23.89 N/A N/A 1,343,860 1,408,540 12,606,860 15,803,900 2011-08-17 $3.32 $3.57 46.3% 13.3% 47.1% 35.0% 47.0% 9.3% 3.8% -32.7M 905.0M -9.7M 1.05 24.04 N/A N/A 1,937,670 2,028,320 12,708,640 16,025,800 2011-08-18 $3.11 $3.57 55.9% 16.0% 51.1% 52.1% 54.9% 15.8% -1.0% -35.2M 1.46B -9.2M 1.23 11.31 N/A N/A 2,485,700 3,063,550 12,902,610 16,010,330 2011-08-19 $2.93 $3.50 63.7% 18.3% 53.3% 66.1% 63.4% 19.6% -2.5% -59.6M 1.71B -8.8M 1.73 16.54 N/A N/A 2,083,690 3,611,300 13,374,620 16,030,280 2011-08-22 $2.93 $3.50 62.5% 17.9% 52.2% 63.9% 62.1% 18.9% 0.5% -12.5M 883.7M -8.5M 0.99 6.01 N/A N/A 1,819,230 1,792,210 9,609,390 12,310,060 2011-08-23 $3.14 $3.43 52.0% 14.9% 58.0% 45.1% 54.2% 15.6% 2.1% -2.5M 497.6M -9.2M 0.78 10.39 N/A N/A 1,749,790 1,366,120 10,178,840 12,486,600 2011-08-24 $3.09 $3.43 55.1% 15.8% 57.6% 50.6% 56.1% 13.2% 0.6% -3.5M 570.3M -9.1M 0.82 8.41 N/A N/A 1,934,520 1,596,000 10,478,650 12,859,280 2011-08-25 $3.08 $3.43 58.1% 16.7% 57.7% 56.1% 58.0% 14.1% 0.4% 1.6M 529.5M -9.2M 0.96 7.66 N/A N/A 1,637,790 1,575,770 10,907,260 13,080,410 2011-08-26 $3.17 $3.43 50.8% 14.6% 59.2% 42.9% 54.5% 12.2% 3.8% -4.7M 349.2M -9.3M 0.83 8.29 N/A N/A 2,670,500 2,224,390 11,119,850 13,379,940 2011-08-29 $3.21 $3.43 55.7% 13.5% 59.8% 51.7% 49.4% 8.8% 5.0% -2.1M 283.0M -9.9M 1.03 12.46 N/A N/A 979,090 1,011,220 10,822,700 12,921,580 2011-08-30 $3.38 $3.43 54.4% 13.5% 62.7% 49.4% 49.3% 6.8% 4.8% 8.7M -180.4M -10.5M 0.90 11.51 N/A N/A 2,395,050 2,149,560 11,076,170 13,284,180 2011-08-31 $3.36 $3.43 56.1% 13.8% 62.5% 52.4% 48.9% 6.2% 4.5% 7.8M -127.1M -10.6M 0.95 10.40 N/A N/A 1,592,990 1,519,280 11,467,470 13,996,850
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