NFLX Options History — October 2011 In October 2011, NFLX traded between $1.11 and $1.76. ATM implied volatility averaged 84.2%, placing in the 75.0% IV rank vs the trailing year. The 30-day expected move averaged 23.6%. IV traded below realized volatility by 16.6% (HV 20d: 100.8%). Max pain ranged from $1.29 to $2.07. Net GEX was positive for 7 of 21 trading days. Term structure was in contango for 7 of 21 days. Put/call ratio averaged 0.89.
Notable Days 2011-10-25 : Highest Volume — 24,259,970 contracts2011-10-10 : Largest IV spike — 50.3% change2011-10-03 : Highest IV Rank — 100.0%2011-10-24 : Largest Expected Move — 27.7%Monthly Statistics Metric Avg Min Max Open Close Price $1.53 $1.11 $1.76 $1.62 $1.17 Max Pain $1.68 $1.29 $2.07 $2.07 $1.29 ATM IV 84.2% 63.0% 104.6% 99.3% 70.3% Expected Move 23.6% 18.4% 27.7% 24.4% 18.5% HV 20d 100.8% 61.1% 164.7% 93.8% 162.6% HV 60d 82.9% 71.1% 114.4% 71.1% 114.4% IV Rank 75.0% 46.5% 100.0% 100.0% 55.9% IV Percentile 95.6% 85.7% 100.0% 100.0% 88.9% Term Structure -3.5% -13.5% 9.7% 4.7% 2.0% VWIV 83.5% 65.4% 97.5% 86.4% 67.1% Skew 25d 9.8% 4.0% 16.0% 9.4% 5.3% Skew 10d 18.0% 6.5% 31.0% 13.9% 8.9% Call IV 25d 77.9% 62.9% 90.9% 82.2% 63.6% Put IV 25d 87.7% 67.9% 101.2% 91.6% 68.8% Bid-Ask Spread % 10.38 5.60 23.24 6.69 11.37 Gamma HHI 0.08 0.05 0.12 0.07 0.07 Net GEX -1.0M -7.0M 6.1M -3.0M -2.7M Net DEX 872.4M 545.2M 1.18B 973.8M 673.0M Net VEX -4.3M -5.4M -1.9M -5.1M -2.8M Div Yield 0.0% 0.0% 0.0% 0.0% 0.0% P/C Ratio 0.89 0.47 1.42 0.83 1.17 Total Volume 7,293,963.333 2,923,410 24,259,970 4,524,240 2,923,410 Total OI 34,357,340 28,860,370 40,642,210 31,255,770 33,941,040
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 2011-10-03 $1.62 $2.07 99.3% 24.4% 93.8% 100.0% 86.4% 9.4% 4.7% -3.0M 973.8M -5.1M 0.83 6.69 N/A N/A 2,469,250 2,054,990 16,925,300 14,330,470 2011-10-04 $1.64 $2.07 88.3% 22.4% 92.9% 84.8% 79.7% 10.5% 7.5% -1.2M 949.2M -5.1M 0.99 10.23 N/A N/A 2,114,420 2,093,490 17,569,580 14,471,030 2011-10-05 $1.71 $2.00 83.4% 20.5% 96.4% 78.1% 74.1% 8.4% 9.1% 2.8M 823.7M -5.3M 0.72 8.95 N/A N/A 2,506,630 1,802,850 17,754,310 14,267,120 2011-10-06 $1.76 $2.00 67.4% 18.6% 98.5% 56.0% 68.7% 7.9% 9.7% 6.1M 741.1M -5.4M 0.71 5.60 N/A N/A 2,125,830 1,509,970 18,051,460 14,407,820 2011-10-07 $1.67 $1.79 69.6% 22.5% 98.9% 59.0% 78.4% 9.8% -5.2% -2.1M 920.4M -4.9M 0.75 7.77 N/A N/A 2,454,970 1,847,370 18,069,870 14,363,300 2011-10-10 $1.59 $1.79 104.6% 26.5% 96.7% 100.0% 91.4% 12.7% -8.9% -3.3M 973.4M -4.6M 1.02 9.63 N/A N/A 5,053,650 5,132,960 17,036,320 13,623,610 2011-10-11 $1.55 $1.79 100.6% 26.9% 96.3% 94.9% 95.2% 10.0% -9.2% -6.2M 1.07B -4.4M 1.42 12.82 N/A N/A 4,923,380 6,982,430 18,296,530 14,900,480 2011-10-12 $1.62 $1.71 77.2% 26.3% 99.6% 64.8% 92.8% 10.5% -7.9% -665.4K 878.1M -5.1M 0.84 12.75 N/A N/A 3,626,700 3,050,390 19,634,860 16,026,780 2011-10-13 $1.67 $1.71 87.4% 25.1% 75.8% 77.9% 88.1% 10.2% -7.1% 4.3M 775.6M -5.1M 0.77 12.51 N/A N/A 3,954,230 3,045,840 19,901,140 16,447,200 2011-10-14 $1.66 $1.71 87.3% 25.0% 71.5% 77.7% 87.2% 10.9% -8.0% -1.1M 814.5M -4.9M 0.73 8.55 N/A N/A 4,264,120 3,106,460 20,157,690 16,416,680 2011-10-17 $1.68 $1.64 89.1% 25.5% 68.1% 80.1% 91.8% 9.9% -9.6% -454.1K 837.3M -4.9M 0.98 8.36 N/A N/A 1,881,950 1,836,240 18,549,020 14,945,350 2011-10-18 $1.60 $1.64 88.3% 25.3% 61.1% 79.0% 89.2% 10.6% -8.8% -4.0M 982.4M -4.4M 0.94 12.66 N/A N/A 2,307,410 2,168,180 18,949,630 15,058,470 2011-10-19 $1.56 $1.64 87.2% 25.0% 61.3% 77.6% 88.1% 16.0% -7.8% -5.0M 1.03B -4.1M 1.05 10.08 N/A N/A 3,423,560 3,579,240 19,254,970 15,192,590 2011-10-20 $1.59 $1.64 88.4% 25.4% 62.0% 79.2% 90.8% 14.3% -9.6% -2.8M 979.3M -4.3M 1.08 9.34 N/A N/A 1,787,100 1,932,000 19,688,480 15,791,090 2011-10-21 $1.67 $1.64 90.5% 25.9% 64.9% 81.8% 90.6% 11.0% -9.1% 596.1K 749.6M -4.7M 0.47 12.74 N/A N/A 5,819,380 2,764,440 20,038,340 16,089,570 2011-10-24 $1.70 $1.64 96.5% 27.7% 64.6% 89.7% 97.5% 10.3% -13.5% 3.1M 545.2M -5.2M 0.76 23.24 N/A N/A 5,505,640 4,160,940 16,319,100 12,541,270 2011-10-25 $1.11 $1.64 87.1% 25.0% 163.9% 77.5% 86.6% 12.0% -4.5% -7.0M 1.18B -1.9M 1.01 8.10 N/A N/A 12,067,720 12,192,250 18,344,270 14,257,530 2011-10-26 $1.13 $1.36 74.5% 21.4% 164.7% 61.3% 75.3% 4.0% -0.7% 90.6K 957.3M -2.7M 0.86 6.03 N/A N/A 6,282,220 5,409,250 23,106,020 16,393,790 2011-10-27 $1.16 $1.29 68.9% 19.8% 161.5% 54.1% 70.2% 8.0% 0.8% 2.8M 817.5M -2.8M 0.98 12.16 N/A N/A 3,304,350 3,237,500 24,190,320 16,451,890 2011-10-28 $1.20 $1.29 63.0% 18.4% 162.7% 46.5% 65.4% 5.1% 1.3% -2.0M 644.6M -2.9M 0.64 8.38 N/A N/A 3,939,320 2,531,200 23,887,360 15,862,490 2011-10-31 $1.17 $1.29 70.3% 18.5% 162.6% 55.9% 67.1% 5.3% 2.0% -2.7M 673.0M -2.8M 1.17 11.37 N/A N/A 1,348,550 1,574,860 20,272,420 13,668,620
« Sep 2011 | All History | Nov 2011 » Home NFLX History October 2011