NFLX Options History — December 2011 In December 2011, NFLX traded between $0.95 and $1.08. ATM implied volatility averaged 67.1%, placing in the 51.8% IV rank vs the trailing year. The 30-day expected move averaged 19.2%. IV traded below realized volatility by 2.5% (HV 20d: 69.6%). Max pain ranged from $1.18 to $1.43. Net GEX was positive for 7 of 21 trading days. Term structure was in contango for 20 of 21 days. Put/call ratio averaged 0.90.
Notable Days 2011-12-12 : Highest Volume — 8,306,340 contracts2011-12-12 : Largest IV spike — 32.0% change2011-12-06 : Highest IV Rank — 67.0%2011-12-14 : Largest Expected Move — 21.6%Monthly Statistics Metric Avg Min Max Open Close Price $1.00 $0.95 $1.08 $0.96 $0.99 Max Pain $1.33 $1.18 $1.43 $1.18 $1.29 ATM IV 67.1% 53.0% 78.9% 75.4% 53.0% Expected Move 19.2% 17.4% 21.6% 20.8% 17.8% HV 20d 69.6% 55.2% 76.9% 76.4% 55.2% HV 60d 111.3% 107.2% 117.7% 116.2% 107.2% IV Rank 51.8% 33.6% 67.0% 62.5% 33.6% IV Percentile 78.8% 55.6% 89.7% 88.1% 55.6% Term Structure 7.6% -1.0% 13.5% -1.0% 13.5% VWIV 68.2% 61.9% 76.2% 74.2% 62.9% Skew 25d 6.0% 0.3% 10.4% 10.4% 3.0% Skew 10d 11.9% 3.5% 20.8% 20.8% 5.7% Call IV 25d 65.2% 59.7% 72.7% 69.1% 61.3% Put IV 25d 71.2% 63.6% 80.1% 79.5% 64.3% Bid-Ask Spread % 6.84 2.43 42.93 3.42 3.40 Gamma HHI 0.09 0.05 0.26 0.10 0.06 Net GEX -637.6K -4.2M 4.9M -2.6M -2.2M Net DEX 439.3M 263.2M 625.3M 612.7M 374.4M Net VEX -2.6M -2.8M -2.2M -2.2M -2.5M Div Yield 0.0% 0.0% 0.0% 0.0% 0.0% P/C Ratio 0.90 0.59 1.47 0.77 0.85 Total Volume 3,729,266.667 1,841,560 8,306,340 5,296,620 1,841,560 Total OI 32,416,150 25,088,210 37,661,540 34,982,430 28,338,450
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 2011-12-01 $0.96 $1.18 75.4% 20.8% 76.4% 62.5% 74.2% 10.4% -1.0% -2.6M 612.7M -2.2M 0.77 3.42 N/A N/A 2,987,250 2,309,370 20,690,810 14,291,620 2011-12-02 $0.95 $1.18 69.2% 19.4% 63.9% 54.5% 69.5% 10.4% 1.2% -3.4M 625.3M -2.2M 0.78 2.43 N/A N/A 2,496,270 1,937,180 21,679,770 14,626,220 2011-12-05 $1.00 $1.43 75.6% 19.5% 68.6% 62.8% 69.2% 5.9% 6.3% -855.8K 509.4M -2.6M 0.76 3.32 N/A N/A 3,177,790 2,416,540 21,147,000 13,748,420 2011-12-06 $0.97 $1.43 78.9% 19.7% 68.3% 67.0% 69.6% 7.5% 6.0% -2.5M 567.7M -2.5M 1.47 3.00 N/A N/A 1,685,810 2,477,510 21,715,610 14,102,480 2011-12-07 $1.03 $1.43 66.1% 19.0% 72.6% 50.5% 68.1% 7.0% 6.5% 1.5M 447.0M -2.7M 0.82 3.91 N/A N/A 2,410,240 1,980,860 22,059,520 14,234,570 2011-12-08 $0.99 $1.43 69.0% 19.4% 72.9% 54.2% 69.9% 7.6% 6.5% -676.2K 514.2M -2.6M 0.77 2.95 N/A N/A 2,197,650 1,684,060 22,359,120 14,373,100 2011-12-09 $1.01 $1.43 57.1% 18.5% 73.3% 38.9% 65.8% 7.4% 8.3% -11.6K 463.5M -2.6M 0.72 2.94 N/A N/A 1,993,530 1,431,220 22,740,690 14,465,780 2011-12-12 $1.08 $1.36 75.3% 20.6% 76.1% 62.4% 72.7% 6.2% 3.1% 3.6M 337.2M -2.8M 0.86 37.94 N/A N/A 4,474,960 3,831,380 22,111,250 13,415,430 2011-12-13 $1.03 $1.36 71.2% 21.1% 76.9% 57.0% 73.8% 3.3% 2.4% 283.7K 450.3M -2.7M 1.17 2.67 N/A N/A 2,587,480 3,035,270 22,605,940 14,142,730 2011-12-14 $1.01 $1.36 69.2% 21.6% 76.7% 54.5% 76.2% 8.8% 2.3% -1.2M 502.0M -2.7M 0.88 4.54 N/A N/A 2,088,520 1,839,950 22,771,770 14,603,890 2011-12-15 $1.00 $1.36 73.2% 21.0% 74.4% 59.6% 73.3% 8.5% 3.6% -3.1M 542.1M -2.7M 0.79 2.79 N/A N/A 1,467,830 1,155,000 22,869,910 14,564,480 2011-12-16 $1.00 $1.36 70.5% 20.2% 71.8% 56.1% 71.5% 7.3% 5.0% 2.1M 541.0M -2.6M 1.33 42.93 N/A N/A 1,348,970 1,799,490 23,102,450 14,559,090 2011-12-19 $0.96 $1.36 66.7% 19.1% 72.2% 51.3% 68.2% 6.9% 9.4% -1.7M 394.5M -2.3M 1.06 2.94 N/A N/A 1,261,680 1,337,070 15,171,030 9,917,180 2011-12-20 $1.02 $1.36 63.8% 18.3% 74.5% 47.5% 65.3% 7.5% 11.3% -64.8K 334.0M -2.5M 0.59 3.80 N/A N/A 2,328,410 1,383,130 15,566,250 10,411,170 2011-12-21 $1.01 $1.29 63.1% 18.1% 71.9% 46.7% 64.1% 5.5% 11.2% 332.4K 329.8M -2.5M 1.38 3.22 N/A N/A 956,060 1,323,840 16,089,360 10,657,430 2011-12-22 $1.05 $1.29 60.6% 17.4% 72.3% 43.4% 61.9% 4.1% 11.7% 2.0M 263.2M -2.7M 0.80 3.88 N/A N/A 2,062,690 1,645,210 16,215,360 11,008,900 2011-12-23 $1.04 $1.29 61.5% 17.6% 67.4% 44.5% 62.1% 2.1% 12.5% 4.9M 290.8M -2.7M 0.66 3.41 N/A N/A 1,692,320 1,118,810 16,604,700 11,494,840 2011-12-27 $1.01 $1.29 62.4% 17.9% 60.5% 45.7% 63.4% 3.1% 13.2% -2.2M 364.9M -2.5M 0.98 3.64 N/A N/A 955,710 935,340 16,057,440 10,972,220 2011-12-28 $0.99 $1.29 63.7% 18.3% 59.6% 47.5% 65.0% 0.3% 13.2% -3.6M 384.1M -2.6M 0.67 3.24 N/A N/A 1,136,590 757,540 16,296,560 11,246,620 2011-12-29 $0.99 $1.29 64.2% 18.4% 56.9% 48.0% 65.1% 2.3% 12.5% -4.2M 377.4M -2.5M 0.77 3.24 N/A N/A 1,561,350 1,203,160 16,417,940 11,292,050 2011-12-30 $0.99 $1.29 53.0% 17.8% 55.2% 33.6% 62.9% 3.0% 13.5% -2.2M 374.4M -2.5M 0.85 3.40 N/A N/A 997,290 844,270 16,833,880 11,504,570
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