NFLX Options History — February 2012

In February 2012, NFLX traded between $1.56 and $1.85. ATM implied volatility averaged 60.3%, placing in the 43.0% IV rank vs the trailing year. The 30-day expected move averaged 16.7%. IV traded below realized volatility by 19.5% (HV 20d: 79.8%). Max pain ranged from $1.43 to $1.57. Net GEX was positive for 18 of 20 trading days. Term structure was in contango for 16 of 20 days. Put/call ratio averaged 0.98.

Notable Days

2012-02-22: Highest Volume — 9,849,000 contracts
2012-02-06: Largest IV spike — 30.1% change
2012-02-01: Highest IV Rank — 54.6%
2012-02-22: Largest Expected Move — 18.1%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$1.71	$1.56	$1.85	$1.76	$1.58
Max Pain	$1.49	$1.43	$1.57	$1.43	$1.57
ATM IV	60.3%	52.8%	69.3%	69.3%	61.7%
Expected Move	16.7%	15.9%	18.1%	17.7%	16.4%
HV 20d	79.8%	39.0%	103.4%	103.4%	39.4%
HV 60d	78.6%	73.6%	81.2%	81.2%	73.6%
IV Rank	43.0%	33.4%	54.6%	54.6%	44.9%
IV Percentile	61.5%	50.0%	75.8%	75.8%	61.9%
Term Structure	2.8%	-2.7%	6.4%	2.3%	1.9%
VWIV	59.4%	55.9%	64.2%	63.0%	58.5%
Skew 25d	4.0%	0.1%	8.8%	0.1%	5.0%
Skew 10d	7.1%	0.6%	15.5%	0.6%	7.9%
Call IV 25d	57.3%	53.3%	63.3%	63.3%	56.3%
Put IV 25d	61.3%	56.4%	67.8%	63.4%	61.3%
Bid-Ask Spread %	5.74	3.98	7.39	3.98	6.19
Gamma HHI	0.08	0.05	0.11	0.08	0.07
Net GEX	7.8M	-520.6K	16.9M	13.1M	143.5K
Net DEX	-631.0M	-1.15B	-67.2M	-939.3M	-130.1M
Net VEX	-5.2M	-5.8M	-4.6M	-5.8M	-4.8M
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	0.98	0.56	1.70	0.69	0.67
Total Volume	4,939,235	2,987,530	9,849,000	4,450,320	3,202,570
Total OI	29,028,265	22,502,130	32,135,250	30,042,390	27,198,780

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
2012-02-01	$1.76	$1.43	69.3%	17.7%	103.4%	54.6%	63.0%	0.1%	2.3%	13.1M	-939.3M	-5.8M	0.69	3.98	N/A	N/A	2,641,170	1,809,150	16,384,130	13,658,260
2012-02-02	$1.77	$1.43	57.2%	15.9%	99.0%	39.0%	56.4%	0.5%	3.8%	16.9M	-990.6M	-5.6M	0.85	4.70	N/A	N/A	2,188,550	1,852,550	16,589,230	13,722,730
2012-02-03	$1.81	$1.43	52.8%	16.5%	98.1%	33.4%	59.0%	3.7%	6.1%	14.0M	-1.14B	-5.6M	0.98	6.88	N/A	N/A	2,543,380	2,504,880	16,837,730	13,939,240
2012-02-06	$1.85	$1.43	68.7%	17.4%	95.4%	53.8%	61.4%	1.8%	3.7%	15.3M	-1.15B	-5.7M	0.63	7.39	N/A	N/A	4,447,800	2,795,310	15,841,000	13,053,740
2012-02-07	$1.83	$1.43	64.7%	17.2%	86.7%	48.7%	60.6%	1.3%	2.9%	15.3M	-1.08B	-5.7M	0.78	5.97	N/A	N/A	4,436,180	3,474,870	16,608,130	13,791,190
2012-02-08	$1.77	$1.43	56.9%	16.9%	87.1%	38.7%	59.2%	2.9%	3.2%	8.8M	-852.5M	-5.8M	0.90	6.23	N/A	N/A	3,070,340	2,765,560	17,264,590	14,445,060
2012-02-09	$1.78	$1.43	57.8%	16.6%	85.0%	39.8%	58.6%	3.1%	5.2%	10.1M	-875.0M	-5.5M	0.87	5.06	N/A	N/A	2,001,160	1,735,440	17,293,290	14,772,590
2012-02-10	$1.77	$1.43	58.2%	16.7%	85.2%	40.4%	58.9%	3.6%	5.5%	10.9M	-794.6M	-5.4M	1.19	7.33	N/A	N/A	2,156,210	2,571,730	17,282,230	14,853,020
2012-02-13	$1.69	$1.43	59.1%	16.9%	87.8%	41.4%	60.1%	4.5%	4.0%	6.0M	-601.0M	-5.1M	0.87	4.70	N/A	N/A	2,424,520	2,117,920	16,269,540	13,986,280
2012-02-14	$1.76	$1.50	58.4%	16.7%	88.3%	40.6%	59.4%	4.2%	3.8%	12.2M	-813.0M	-5.2M	0.56	5.98	N/A	N/A	2,682,610	1,489,460	16,598,050	14,218,890
2012-02-15	$1.74	$1.50	58.1%	16.7%	88.1%	40.3%	58.3%	3.6%	5.3%	10.2M	-760.1M	-5.1M	0.71	5.50	N/A	N/A	1,747,340	1,240,190	16,648,800	14,388,360
2012-02-16	$1.74	$1.50	56.3%	16.1%	87.0%	37.9%	57.0%	1.7%	6.1%	8.5M	-748.5M	-5.0M	0.78	5.97	N/A	N/A	1,763,510	1,371,020	16,605,890	14,495,810
2012-02-17	$1.74	$1.50	55.8%	16.0%	85.8%	37.2%	56.6%	1.7%	6.4%	5.1M	-760.7M	-5.0M	0.83	5.72	N/A	N/A	1,999,830	1,654,520	16,672,950	14,595,210
2012-02-21	$1.68	$1.50	59.4%	17.0%	83.1%	41.9%	59.9%	4.5%	-1.6%	5.0M	-327.6M	-4.8M	1.03	4.82	N/A	N/A	3,592,960	3,693,900	13,033,160	9,468,970
2012-02-22	$1.61	$1.57	63.3%	18.1%	85.0%	46.9%	64.2%	8.2%	-2.7%	-148.1K	-134.4M	-4.8M	1.47	4.45	N/A	N/A	3,991,260	5,857,740	13,970,180	10,352,930
2012-02-23	$1.61	$1.57	57.8%	16.6%	84.8%	39.8%	61.0%	6.8%	-0.8%	1.6M	-162.0M	-4.9M	1.43	6.13	N/A	N/A	2,194,430	3,145,520	14,715,680	11,535,090
2012-02-24	$1.60	$1.57	58.5%	15.9%	46.0%	40.7%	55.9%	5.7%	1.0%	1.3M	-92.7M	-4.9M	1.49	5.76	N/A	N/A	1,335,810	1,985,760	15,002,960	12,415,340
2012-02-27	$1.56	$1.57	68.8%	16.6%	39.0%	54.0%	60.4%	8.8%	-0.7%	-520.6K	-67.2M	-4.6M	1.70	6.41	N/A	N/A	1,687,980	2,875,180	14,034,580	11,420,780
2012-02-28	$1.62	$1.57	62.9%	16.1%	41.2%	46.3%	58.9%	7.6%	0.8%	2.2M	-200.9M	-4.9M	1.10	5.67	N/A	N/A	1,777,230	1,959,160	14,393,960	12,206,950
2012-02-29	$1.58	$1.57	61.7%	16.4%	39.4%	44.9%	58.5%	5.0%	1.9%	143.5K	-130.1M	-4.8M	0.67	6.19	N/A	N/A	1,914,640	1,287,930	14,726,250	12,472,530