NFLX Options History — September 2011

In September 2011, NFLX traded between $1.62 and $3.33. ATM implied volatility averaged 69.1%, placing in the 70.7% IV rank vs the trailing year. The 30-day expected move averaged 20.0%. IV traded below realized volatility by 12.0% (HV 20d: 81.1%). Max pain ranged from $2.14 to $3.43. Net GEX was positive for 1 of 21 trading days. Term structure was in contango for 17 of 21 days. Put/call ratio averaged 1.05.

Notable Days

2011-09-20: Highest Volume — 19,208,000 contracts
2011-09-15: Largest IV spike — 43.7% change
2011-09-20: Highest IV Rank — 100.0%
2011-09-20: Largest Expected Move — 25.8%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$2.40	$1.62	$3.33	$3.33	$1.62
Max Pain	$2.74	$2.14	$3.43	$3.43	$2.14
ATM IV	69.1%	45.4%	90.0%	48.0%	89.1%
Expected Move	20.0%	13.9%	25.8%	13.9%	24.5%
HV 20d	81.1%	59.5%	101.0%	59.5%	95.3%
HV 60d	61.2%	46.3%	71.3%	46.3%	71.2%
IV Rank	70.7%	33.3%	100.0%	38.0%	98.6%
IV Percentile	89.3%	48.4%	100.0%	59.9%	99.6%
Term Structure	1.5%	-2.9%	4.7%	3.8%	1.1%
VWIV	70.1%	49.4%	88.3%	49.4%	87.6%
Skew 25d	10.4%	5.8%	13.6%	7.1%	11.4%
Skew 10d	19.4%	9.4%	26.4%	15.1%	22.0%
Call IV 25d	65.0%	46.2%	84.3%	46.2%	81.4%
Put IV 25d	75.4%	53.3%	95.9%	53.3%	92.8%
Bid-Ask Spread %	8.48	5.81	13.48	7.21	6.47
Gamma HHI	0.08	0.03	0.37	0.03	0.06
Net GEX	-9.4M	-26.3M	2.7M	2.7M	-4.0M
Net DEX	935.1M	-39.4M	1.83B	-39.4M	1.12B
Net VEX	-7.5M	-10.5M	-4.7M	-10.5M	-5.0M
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	1.05	0.66	1.56	0.91	0.99
Total Volume	8,052,726.667	2,156,700	19,208,000	2,496,060	10,814,930
Total OI	28,290,816.667	21,630,490	33,218,780	25,953,270	33,218,780

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
2011-09-01	$3.33	$3.43	48.0%	13.9%	59.5%	38.0%	49.4%	7.1%	3.8%	2.7M	-39.4M	-10.5M	0.91	7.21	N/A	N/A	1,303,680	1,192,380	11,673,830	14,279,440
2011-09-02	$3.04	$3.43	53.0%	15.1%	67.0%	47.0%	54.3%	11.6%	2.0%	-13.0M	884.5M	-9.4M	1.18	6.26	N/A	N/A	4,567,920	5,401,200	11,836,860	14,513,660
2011-09-06	$3.13	$3.14	68.2%	16.6%	64.5%	74.1%	59.6%	12.3%	1.0%	-8.3M	451.0M	-10.1M	1.14	8.97	N/A	N/A	1,522,990	1,732,780	11,931,710	14,263,200
2011-09-07	$3.09	$3.14	56.3%	16.5%	61.9%	52.8%	59.5%	11.4%	1.5%	-10.6M	565.2M	-10.0M	1.29	6.64	N/A	N/A	1,649,410	2,127,440	12,225,990	14,701,260
2011-09-08	$3.02	$3.14	55.2%	16.9%	61.9%	50.8%	59.0%	11.3%	0.8%	-20.0M	768.5M	-9.5M	1.27	6.82	N/A	N/A	1,552,530	1,973,860	12,484,990	15,166,550
2011-09-09	$2.91	$3.14	57.5%	17.4%	59.8%	54.9%	61.2%	12.3%	1.2%	-15.5M	1.10B	-9.2M	1.56	7.46	N/A	N/A	2,151,240	3,350,690	12,713,120	15,533,490
2011-09-12	$3.00	$3.07	55.8%	17.2%	61.2%	51.9%	61.3%	12.9%	1.2%	-12.5M	737.3M	-9.3M	1.21	5.81	N/A	N/A	1,479,870	1,794,240	12,323,780	14,717,710
2011-09-13	$2.98	$3.14	49.6%	15.8%	60.9%	40.7%	55.8%	11.6%	3.4%	-10.5M	775.6M	-9.1M	1.19	10.22	N/A	N/A	1,125,320	1,341,550	12,595,660	14,796,110
2011-09-14	$2.98	$3.07	45.4%	15.1%	60.4%	33.3%	52.9%	11.9%	4.0%	-9.9M	785.1M	-8.9M	0.90	11.20	N/A	N/A	1,135,190	1,021,510	12,767,090	14,995,890
2011-09-15	$2.42	$3.07	65.2%	18.7%	93.9%	68.8%	63.6%	10.9%	-1.2%	-24.6M	1.74B	-6.5M	1.06	7.45	N/A	N/A	7,768,880	8,239,210	12,765,970	14,986,160
2011-09-16	$2.22	$2.86	70.6%	20.2%	95.7%	78.4%	69.8%	12.0%	-0.7%	-26.3M	1.83B	-6.3M	1.18	10.00	N/A	N/A	6,829,830	8,057,000	15,272,460	15,599,920
2011-09-19	$2.05	$2.71	79.1%	22.7%	96.9%	93.8%	77.8%	8.9%	0.7%	-8.1M	1.05B	-5.8M	1.09	12.87	N/A	N/A	5,371,310	5,879,370	10,325,000	11,305,490
2011-09-20	$1.86	$2.57	90.0%	25.8%	101.0%	100.0%	88.3%	13.4%	-2.9%	-9.7M	1.20B	-5.4M	0.97	9.43	N/A	N/A	9,731,960	9,476,040	11,954,390	12,785,640
2011-09-21	$1.84	$2.29	85.4%	24.5%	95.3%	92.7%	85.4%	7.5%	0.2%	-7.3M	1.07B	-6.3M	0.69	13.48	N/A	N/A	7,990,990	5,543,440	15,055,460	14,455,980
2011-09-22	$1.84	$2.21	86.7%	24.9%	95.7%	94.9%	86.8%	5.8%	-0.4%	-6.1M	969.6M	-6.7M	0.75	9.88	N/A	N/A	5,915,280	4,414,970	16,756,110	15,042,930
2011-09-23	$1.85	$2.21	83.1%	23.8%	96.0%	89.1%	83.7%	6.5%	2.4%	-848.7K	933.7M	-6.7M	0.96	8.15	N/A	N/A	4,177,670	3,995,110	17,507,140	15,096,200
2011-09-26	$1.89	$2.21	79.6%	22.8%	95.6%	83.6%	80.0%	6.7%	3.1%	-271.7K	755.0M	-6.7M	0.66	9.32	N/A	N/A	2,854,180	1,885,730	14,952,070	13,397,860
2011-09-27	$1.82	$2.21	77.9%	22.3%	94.5%	80.9%	78.1%	9.8%	3.3%	-1.4M	878.5M	-6.1M	0.90	7.59	N/A	N/A	2,263,380	2,034,690	15,658,370	13,702,990
2011-09-28	$1.82	$2.14	75.7%	21.7%	90.6%	77.4%	76.5%	9.2%	4.7%	-2.5M	881.6M	-6.0M	0.98	7.05	N/A	N/A	2,292,640	2,243,570	16,019,290	14,052,430
2011-09-29	$1.62	$2.14	79.6%	22.8%	94.9%	83.5%	81.8%	13.6%	2.9%	-9.4M	1.20B	-4.7M	1.24	5.84	N/A	N/A	6,655,180	8,248,100	16,342,900	14,333,270
2011-09-30	$1.62	$2.14	89.1%	24.5%	95.3%	98.6%	87.6%	11.4%	1.1%	-4.0M	1.12B	-5.0M	0.99	6.47	N/A	N/A	5,446,630	5,368,300	17,992,240	15,226,540