NFLX Options History — November 2011 In November 2011, NFLX traded between $0.91 and $1.32. ATM implied volatility averaged 69.3%, placing in the 54.6% IV rank vs the trailing year. The 30-day expected move averaged 19.3%. IV traded below realized volatility by 68.8% (HV 20d: 138.0%). Max pain ranged from $1.25 to $1.57. Net GEX was positive for 3 of 21 trading days. Term structure was in contango for 11 of 21 days. Put/call ratio averaged 1.05.
Notable Days 2011-11-04 : Highest Volume — 10,291,050 contracts2011-11-30 : Largest IV spike — 13.3% change2011-11-30 : Highest IV Rank — 82.1%2011-11-30 : Largest Expected Move — 22.2%Monthly Statistics Metric Avg Min Max Open Close Price $1.14 $0.91 $1.32 $1.14 $0.92 Max Pain $1.37 $1.25 $1.57 $1.29 $1.25 ATM IV 69.3% 56.0% 90.7% 73.4% 90.7% Expected Move 19.3% 16.0% 22.2% 19.6% 22.2% HV 20d 138.0% 65.0% 167.0% 162.2% 76.4% HV 60d 115.2% 113.8% 116.6% 114.0% 115.5% IV Rank 54.6% 37.5% 82.1% 59.8% 82.1% IV Percentile 86.2% 74.6% 98.4% 89.3% 98.4% Term Structure 0.2% -2.5% 3.1% 0.7% -1.6% VWIV 68.5% 59.5% 81.3% 68.9% 81.3% Skew 25d 8.7% 2.2% 14.3% 5.0% 14.3% Skew 10d 16.8% 2.7% 30.6% 8.8% 30.6% Call IV 25d 63.9% 53.1% 72.9% 66.1% 72.3% Put IV 25d 72.6% 62.0% 86.7% 71.2% 86.7% Bid-Ask Spread % 6.10 2.55 24.38 11.58 2.88 Gamma HHI 0.13 0.07 0.58 0.08 0.12 Net GEX -4.9M -22.1M 4.8M -4.2M -5.4M Net DEX 615.9M 319.0M 857.1M 717.9M 685.7M Net VEX -2.7M -3.5M -1.8M -2.7M -2.0M Div Yield 0.0% 0.0% 0.0% 0.0% 0.0% P/C Ratio 1.05 0.47 1.99 0.47 1.99 Total Volume 4,824,713.333 1,901,760 10,291,050 3,798,690 8,901,200 Total OI 35,328,200 29,218,490 38,553,340 35,307,930 33,485,480
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 2011-11-01 $1.14 $1.29 73.4% 19.6% 162.2% 59.8% 68.9% 5.0% 0.7% -4.2M 717.9M -2.7M 0.47 11.58 N/A N/A 2,580,970 1,217,720 20,911,870 14,396,060 2011-11-02 $1.19 $1.29 70.9% 18.6% 162.2% 56.7% 65.6% 7.5% 1.8% -226.1K 616.2M -2.9M 0.73 3.77 N/A N/A 1,917,230 1,400,910 21,714,350 14,456,750 2011-11-03 $1.32 $1.29 67.5% 19.4% 167.0% 52.3% 69.3% 2.2% 1.3% 4.8M 319.0M -3.4M 0.74 13.26 N/A N/A 5,587,400 4,151,980 21,464,730 14,711,480 2011-11-04 $1.29 $1.57 65.6% 19.2% 166.5% 49.8% 68.5% 2.5% -0.6% -22.1M 371.5M -3.5M 0.73 24.38 N/A N/A 5,940,550 4,350,500 22,105,720 16,154,810 2011-11-07 $1.30 $1.43 72.1% 19.1% 166.1% 58.2% 67.7% 4.3% -1.1% 1.7M 416.5M -3.4M 0.74 11.10 N/A N/A 2,000,600 1,484,420 21,745,920 14,675,360 2011-11-08 $1.29 $1.43 64.2% 18.2% 166.0% 48.1% 64.8% 4.0% -0.3% 392.5K 444.6M -3.3M 0.92 5.79 N/A N/A 1,101,940 1,013,530 22,043,350 15,051,820 2011-11-09 $1.26 $1.43 65.8% 19.4% 164.9% 50.1% 69.3% 5.6% -0.9% -2.7M 522.7M -3.3M 0.89 5.57 N/A N/A 1,445,920 1,289,400 22,192,450 15,217,720 2011-11-10 $1.22 $1.43 63.8% 18.3% 164.3% 47.6% 64.4% 8.0% 0.3% -6.5M 648.1M -3.1M 0.99 5.45 N/A N/A 1,955,170 1,942,920 22,430,310 15,517,180 2011-11-11 $1.25 $1.43 58.1% 16.7% 165.1% 40.2% 61.0% 10.0% 1.7% -13.4M 560.2M -3.0M 1.00 3.97 N/A N/A 2,373,280 2,378,670 22,672,650 15,880,690 2011-11-14 $1.22 $1.43 59.8% 17.1% 164.8% 42.3% 61.6% 8.8% 1.2% -3.3M 612.7M -2.7M 1.04 4.04 N/A N/A 1,217,650 1,267,070 21,750,260 15,112,510 2011-11-15 $1.23 $1.43 56.0% 16.0% 164.5% 37.5% 59.5% 8.9% 3.1% -3.6M 607.3M -2.8M 0.89 4.09 N/A N/A 1,008,210 893,550 21,908,110 15,290,800 2011-11-16 $1.16 $1.43 63.3% 18.2% 165.4% 47.0% 62.6% 10.4% 1.4% -7.4M 751.3M -2.6M 1.17 3.60 N/A N/A 1,839,250 2,158,170 21,960,820 15,372,280 2011-11-17 $1.09 $1.36 66.9% 19.2% 165.6% 51.5% 67.5% 9.4% 1.4% -9.5M 857.1M -2.4M 0.77 3.38 N/A N/A 3,565,310 2,747,920 22,392,230 15,594,740 2011-11-18 $1.12 $1.36 62.4% 17.9% 164.4% 45.7% 63.2% 8.7% 2.8% -7.6M 784.1M -2.5M 0.82 3.56 N/A N/A 2,850,330 2,338,070 22,921,920 15,628,340 2011-11-21 $1.06 $1.36 67.3% 19.3% 164.1% 52.1% 68.5% 11.8% 1.3% -2.3M 628.0M -2.2M 1.15 3.58 N/A N/A 1,750,700 2,019,500 17,682,630 11,535,860 2011-11-22 $1.01 $1.36 73.1% 21.0% 65.6% 59.5% 73.4% 13.6% -1.1% -4.2M 670.9M -2.1M 1.36 6.35 N/A N/A 3,327,940 4,512,480 18,049,780 11,946,130 2011-11-23 $0.98 $1.32 72.4% 20.8% 65.0% 58.6% 72.4% 11.3% -0.7% -5.8M 699.2M -2.1M 1.44 2.77 N/A N/A 1,413,370 2,041,900 18,767,140 13,031,340 2011-11-25 $0.91 $1.32 76.8% 22.1% 67.9% 64.2% 78.3% 11.8% -2.5% -4.4M 748.6M -1.8M 1.63 3.11 N/A N/A 1,650,880 2,688,700 18,973,080 13,178,480 2011-11-28 $1.00 $1.29 84.4% 21.5% 75.1% 74.1% 76.9% 12.6% -2.4% -3.1M 622.5M -2.1M 0.95 3.40 N/A N/A 2,467,780 2,334,150 18,577,230 12,719,350 2011-11-29 $0.97 $1.29 80.0% 21.1% 75.5% 68.4% 73.8% 12.4% -0.6% -4.1M 649.0M -2.1M 1.54 2.55 N/A N/A 1,647,940 2,543,800 19,379,150 13,291,320 2011-11-30 $0.92 $1.25 90.7% 22.2% 76.4% 82.1% 81.3% 14.3% -1.6% -5.4M 685.7M -2.0M 1.99 2.88 N/A N/A 2,979,830 5,921,370 19,810,350 13,675,130
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