NFLX Options History — January 2012

In January 2012, NFLX traded between $1.03 and $1.79. ATM implied volatility averaged 80.0%, placing in the 68.4% IV rank vs the trailing year. The 30-day expected move averaged 22.7%. IV traded above realized volatility by 0.3% (HV 20d: 79.8%). Max pain ranged from $1.04 to $1.43. Net GEX was positive for 18 of 20 trading days. Term structure was in contango for 6 of 20 days. Put/call ratio averaged 0.85.

Notable Days

2012-01-09: Highest Volume — 17,357,410 contracts
2012-01-09: Largest IV spike — 42.5% change
2012-01-09: Highest IV Rank — 95.0%
2012-01-25: Largest Expected Move — 27.4%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$1.40	$1.03	$1.79	$1.03	$1.72
Max Pain	$1.26	$1.04	$1.43	$1.29	$1.43
ATM IV	80.0%	60.4%	100.8%	62.1%	69.8%
Expected Move	22.7%	16.9%	27.4%	18.2%	18.3%
HV 20d	79.8%	56.7%	103.5%	56.7%	103.5%
HV 60d	100.6%	72.5%	113.9%	107.5%	83.5%
IV Rank	68.4%	43.1%	95.0%	45.4%	55.2%
IV Percentile	86.6%	63.5%	99.6%	70.2%	76.6%
Term Structure	-3.9%	-15.4%	13.3%	13.3%	1.8%
VWIV	80.0%	60.5%	96.0%	64.3%	64.9%
Skew 25d	1.7%	-2.9%	6.9%	5.5%	-2.9%
Skew 10d	3.0%	-4.6%	10.0%	9.5%	-3.6%
Call IV 25d	79.2%	58.7%	93.6%	61.1%	66.8%
Put IV 25d	80.9%	61.0%	98.7%	66.6%	63.8%
Bid-Ask Spread %	4.95	3.40	8.31	3.68	6.96
Gamma HHI	0.08	0.05	0.20	0.06	0.07
Net GEX	6.5M	-2.5M	19.9M	-968.9K	10.0M
Net DEX	-379.7M	-1.31B	315.7M	315.7M	-823.0M
Net VEX	-4.2M	-5.5M	-2.6M	-2.6M	-5.5M
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	0.85	0.52	1.21	0.66	1.09
Total Volume	8,709,036	2,288,020	17,357,410	2,288,020	7,237,510
Total OI	30,906,043	21,505,470	37,005,290	27,301,050	28,858,900

Daily Data (20 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
2012-01-03	$1.03	$1.29	62.1%	18.2%	56.7%	45.4%	64.3%	5.5%	13.3%	-968.9K	315.7M	-2.6M	0.66	3.68	N/A	N/A	1,381,870	906,150	16,334,780	10,966,270
2012-01-04	$1.15	$1.25	87.1%	19.4%	65.4%	77.4%	69.4%	1.1%	11.1%	3.0M	97.6M	-3.0M	0.64	3.40	N/A	N/A	5,685,260	3,647,980	16,770,460	11,235,630
2012-01-05	$1.13	$1.25	68.2%	18.5%	64.6%	53.2%	65.8%	-1.6%	12.2%	3.5M	96.4M	-3.1M	1.00	5.24	N/A	N/A	3,596,390	3,590,790	18,340,560	12,259,450
2012-01-06	$1.23	$1.04	70.7%	23.0%	68.2%	56.4%	80.7%	0.2%	-6.8%	4.3M	-155.7M	-3.5M	0.83	4.41	N/A	N/A	6,754,370	5,621,000	18,695,530	12,942,510
2012-01-09	$1.40	$1.07	100.8%	26.2%	78.2%	95.0%	91.8%	-2.2%	-11.0%	7.3M	-439.1M	-4.2M	0.64	4.18	N/A	N/A	10,609,550	6,747,860	18,330,060	12,485,270
2012-01-10	$1.37	$1.14	84.5%	24.7%	79.6%	74.2%	86.9%	0.6%	-6.9%	7.1M	-375.8M	-4.5M	1.09	5.34	N/A	N/A	5,575,290	6,080,270	20,635,300	14,310,170
2012-01-11	$1.32	$1.14	65.5%	24.1%	79.9%	49.7%	84.2%	2.3%	-6.6%	2.0M	-152.6M	-4.2M	1.21	4.63	N/A	N/A	3,201,870	3,880,170	20,584,620	15,044,750
2012-01-12	$1.32	$1.21	83.4%	23.9%	77.6%	72.8%	84.2%	3.5%	-6.3%	2.3M	-159.7M	-4.2M	0.86	3.96	N/A	N/A	3,173,310	2,738,680	21,106,400	15,448,440
2012-01-13	$1.35	$1.21	85.8%	24.6%	77.0%	75.9%	86.8%	0.6%	-6.5%	6.1M	-292.8M	-4.3M	0.76	4.99	N/A	N/A	6,019,930	4,576,320	21,397,460	15,607,830
2012-01-17	$1.35	$1.25	90.2%	25.9%	76.1%	81.5%	91.1%	0.5%	-8.4%	6.3M	-259.1M	-4.2M	0.52	4.04	N/A	N/A	4,186,280	2,182,180	20,276,200	14,108,850
2012-01-18	$1.41	$1.25	87.7%	25.1%	76.4%	78.3%	88.5%	1.7%	-7.6%	10.8M	-438.8M	-4.4M	0.61	4.38	N/A	N/A	3,169,810	1,937,250	20,972,560	14,394,170
2012-01-19	$1.48	$1.29	89.0%	25.5%	74.2%	79.9%	90.0%	5.7%	-10.0%	14.2M	-632.5M	-4.5M	0.77	3.96	N/A	N/A	4,577,510	3,545,080	21,083,160	14,613,270
2012-01-20	$1.43	$1.29	88.1%	25.3%	74.9%	78.8%	88.8%	2.2%	-9.1%	-2.5M	-472.7M	-4.4M	0.75	3.40	N/A	N/A	3,513,650	2,622,690	21,272,440	15,457,960
2012-01-23	$1.34	$1.29	87.3%	25.0%	80.0%	77.8%	87.9%	3.9%	-10.6%	3.6M	-164.6M	-4.1M	1.17	6.55	N/A	N/A	2,440,270	2,861,810	12,967,010	8,538,460
2012-01-24	$1.32	$1.36	89.3%	25.6%	80.0%	80.3%	90.0%	3.4%	-11.2%	2.4M	-115.8M	-4.2M	1.17	7.22	N/A	N/A	1,380,050	1,617,210	13,625,990	9,625,420
2012-01-25	$1.36	$1.36	95.5%	27.4%	79.4%	88.3%	96.0%	6.9%	-15.4%	3.9M	-191.5M	-4.3M	1.07	8.31	N/A	N/A	5,116,160	5,496,050	14,091,770	10,121,230
2012-01-26	$1.66	$1.32	60.4%	17.3%	101.6%	43.1%	61.8%	2.1%	0.2%	19.9M	-1.05B	-4.7M	0.93	4.60	N/A	N/A	8,812,370	8,174,460	15,885,660	12,322,380
2012-01-27	$1.77	$1.36	61.2%	16.9%	101.1%	44.2%	60.5%	2.3%	0.4%	12.1M	-1.31B	-5.1M	0.59	3.99	N/A	N/A	7,604,520	4,459,560	16,426,270	14,173,390
2012-01-30	$1.79	$1.39	73.6%	18.6%	100.7%	60.2%	65.8%	-1.9%	-0.3%	13.7M	-1.07B	-5.4M	0.69	5.76	N/A	N/A	5,604,060	3,855,180	14,921,340	11,888,940
2012-01-31	$1.72	$1.43	69.8%	18.3%	103.5%	55.2%	64.9%	-2.9%	1.8%	10.0M	-823.0M	-5.5M	1.09	6.96	N/A	N/A	3,463,460	3,774,050	15,940,820	12,918,080