NFLX Options History — March 2012

In March 2012, NFLX traded between $1.50 and $1.74. ATM implied volatility averaged 52.6%, placing in the 33.1% IV rank vs the trailing year. The 30-day expected move averaged 15.3%. IV traded above realized volatility by 12.0% (HV 20d: 40.6%). Max pain ranged from $1.57 to $1.64. Net GEX was positive for 13 of 22 trading days. Term structure was in contango for 22 of 22 days. Put/call ratio averaged 0.89.

Notable Days

2012-03-07: Highest Volume — 6,021,120 contracts
2012-03-15: Largest IV spike — 17.5% change
2012-03-06: Highest IV Rank — 48.2%
2012-03-07: Largest Expected Move — 17.2%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$1.61	$1.50	$1.74	$1.61	$1.64
Max Pain	$1.60	$1.57	$1.64	$1.57	$1.64
ATM IV	52.6%	45.8%	64.3%	55.1%	46.7%
Expected Move	15.3%	13.8%	17.2%	15.7%	13.9%
HV 20d	40.6%	36.1%	43.7%	39.0%	39.9%
HV 60d	71.2%	67.1%	73.5%	73.5%	67.1%
IV Rank	33.1%	24.4%	48.2%	36.3%	25.5%
IV Percentile	41.6%	30.2%	67.9%	48.0%	30.2%
Term Structure	9.9%	3.3%	16.8%	3.3%	16.8%
VWIV	54.2%	49.1%	60.3%	57.7%	49.4%
Skew 25d	4.5%	1.8%	7.6%	3.6%	1.8%
Skew 10d	8.4%	2.2%	14.6%	5.5%	2.2%
Call IV 25d	52.1%	48.1%	57.1%	55.6%	48.7%
Put IV 25d	56.6%	50.5%	63.9%	59.1%	50.5%
Bid-Ask Spread %	9.20	6.12	14.83	6.43	10.78
Gamma HHI	0.17	0.05	0.72	0.08	0.49
Net GEX	5.4M	-30.5M	56.0M	3.9M	-30.5M
Net DEX	-180.6M	-399.9M	61.0M	-219.4M	-154.8M
Net VEX	-4.6M	-5.0M	-4.1M	-4.9M	-4.7M
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	0.89	0.60	1.37	0.82	0.60
Total Volume	3,713,165.909	1,847,090	6,021,120	3,648,260	3,514,630
Total OI	24,363,624.091	17,076,920	29,399,860	27,963,460	20,917,470

Daily Data (22 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
2012-03-01	$1.61	$1.57	55.1%	15.7%	39.0%	36.3%	57.7%	3.6%	3.3%	3.9M	-219.4M	-4.9M	0.82	6.43	N/A	N/A	2,002,420	1,645,840	15,312,570	12,650,890
2012-03-02	$1.64	$1.57	53.0%	15.7%	39.8%	33.7%	56.4%	3.9%	3.4%	48.6M	-336.5M	-4.9M	0.84	6.12	N/A	N/A	2,940,070	2,473,800	15,777,230	12,903,310
2012-03-05	$1.58	$1.64	61.0%	16.2%	40.6%	44.0%	54.8%	7.3%	7.3%	-150.2K	-135.6M	-4.7M	0.61	8.80	N/A	N/A	2,439,360	1,490,300	15,222,200	12,213,530
2012-03-06	$1.53	$1.64	64.3%	17.1%	40.2%	48.2%	59.6%	7.6%	6.9%	-3.8M	-6.1M	-4.6M	1.37	8.80	N/A	N/A	1,300,670	1,781,220	15,818,950	12,469,380
2012-03-07	$1.50	$1.64	58.7%	17.2%	40.3%	40.9%	60.3%	6.8%	6.2%	-5.8M	61.0M	-4.4M	1.23	7.35	N/A	N/A	2,697,520	3,323,600	15,395,310	12,630,800
2012-03-08	$1.54	$1.64	53.4%	16.4%	41.5%	34.1%	58.5%	6.3%	6.5%	-2.7M	-62.3M	-4.5M	0.92	9.44	N/A	N/A	1,809,360	1,664,880	15,721,370	12,994,660
2012-03-09	$1.56	$1.64	50.0%	16.0%	41.6%	29.8%	57.3%	6.2%	7.5%	32.9K	-104.5M	-4.5M	0.87	8.09	N/A	N/A	2,109,940	1,832,600	15,841,700	13,108,690
2012-03-12	$1.52	$1.57	56.4%	16.1%	42.3%	38.0%	56.3%	6.2%	7.4%	-3.7M	-8.4M	-4.3M	1.11	9.47	N/A	N/A	1,587,530	1,768,060	15,102,850	12,434,870
2012-03-13	$1.52	$1.57	50.3%	15.6%	39.8%	30.2%	54.8%	6.3%	8.0%	-4.9M	10.0M	-4.2M	1.22	8.01	N/A	N/A	1,222,830	1,492,610	15,381,730	12,805,730
2012-03-14	$1.50	$1.57	45.8%	16.1%	36.1%	24.4%	56.6%	6.0%	7.7%	-5.6M	11.1M	-4.1M	1.26	7.43	N/A	N/A	1,681,120	2,121,140	15,492,610	12,918,430
2012-03-15	$1.57	$1.57	53.8%	15.4%	40.8%	34.6%	54.9%	4.7%	8.6%	3.0M	-181.7M	-4.3M	0.81	9.28	N/A	N/A	2,759,680	2,221,870	15,540,420	13,124,090
2012-03-16	$1.57	$1.57	53.5%	15.3%	40.8%	34.3%	54.6%	5.9%	8.4%	56.0M	-190.8M	-4.4M	0.85	9.34	N/A	N/A	2,440,970	2,083,480	16,061,990	13,337,870
2012-03-19	$1.63	$1.57	52.6%	15.1%	43.7%	33.1%	53.9%	3.9%	10.3%	3.7M	-199.0M	-4.5M	0.78	8.96	N/A	N/A	2,246,440	1,757,350	9,270,450	7,806,470
2012-03-20	$1.64	$1.57	52.7%	15.1%	41.9%	33.2%	53.3%	3.8%	12.1%	5.0M	-226.3M	-4.6M	0.70	10.69	N/A	N/A	1,949,150	1,373,890	9,952,810	8,353,940
2012-03-21	$1.72	$1.57	50.9%	14.6%	41.5%	30.9%	51.6%	3.7%	12.3%	9.2M	-388.8M	-4.8M	0.78	10.81	N/A	N/A	2,880,010	2,253,720	10,337,950	8,749,300
2012-03-22	$1.70	$1.57	52.0%	14.9%	41.8%	32.4%	52.8%	2.9%	12.2%	6.5M	-326.9M	-4.9M	0.74	14.83	N/A	N/A	2,194,920	1,615,950	10,637,550	9,430,540
2012-03-23	$1.72	$1.57	50.7%	14.5%	41.6%	30.7%	51.4%	2.2%	12.9%	26.1M	-399.9M	-5.0M	0.75	10.73	N/A	N/A	2,032,940	1,517,460	10,883,600	9,628,430
2012-03-26	$1.74	$1.57	49.5%	14.2%	40.8%	29.1%	50.6%	2.6%	14.0%	7.0M	-375.0M	-5.0M	0.90	6.48	N/A	N/A	1,219,120	1,091,090	10,393,110	9,003,120
2012-03-27	$1.72	$1.57	48.8%	14.0%	39.6%	28.2%	49.1%	2.1%	14.2%	6.2M	-335.0M	-4.9M	0.74	9.22	N/A	N/A	1,153,040	851,130	10,632,790	9,265,130
2012-03-28	$1.70	$1.64	48.2%	13.8%	39.0%	27.5%	49.2%	2.9%	15.0%	3.0M	-264.1M	-4.9M	0.89	10.84	N/A	N/A	977,550	869,540	10,708,600	9,423,750
2012-03-29	$1.64	$1.64	49.0%	14.0%	40.6%	28.4%	49.9%	2.0%	16.1%	-2.1M	-139.5M	-4.7M	0.79	10.54	N/A	N/A	1,846,600	1,454,250	10,777,620	9,565,920
2012-03-30	$1.64	$1.64	46.7%	13.9%	39.9%	25.5%	49.4%	1.8%	16.8%	-30.5M	-154.8M	-4.7M	0.60	10.78	N/A	N/A	2,194,710	1,319,920	11,139,100	9,778,370