NFLX Options History — April 2012

In April 2012, NFLX traded between $1.14 and $1.63. ATM implied volatility averaged 59.5%, placing in the 42.1% IV rank vs the trailing year. The 30-day expected move averaged 17.7%. IV traded above realized volatility by 14.3% (HV 20d: 45.3%). Max pain ranged from $1.43 to $1.64. Net GEX was positive for 5 of 20 trading days. Term structure was in contango for 7 of 20 days. Put/call ratio averaged 1.11.

Notable Days

2012-04-23: Highest Volume — 15,334,550 contracts
2012-04-24: Largest IV drop — 42.6% change
2012-04-23: Highest IV Rank — 77.2%
2012-04-23: Largest Expected Move — 24.9%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$1.44	$1.14	$1.63	$1.63	$1.14
Max Pain	$1.54	$1.43	$1.64	$1.64	$1.43
ATM IV	59.5%	36.5%	86.9%	48.4%	62.5%
Expected Move	17.7%	11.9%	24.9%	13.6%	15.4%
HV 20d	45.3%	34.7%	63.9%	37.5%	63.9%
HV 60d	57.2%	42.8%	67.0%	67.0%	49.9%
IV Rank	42.1%	12.4%	77.2%	27.7%	45.8%
IV Percentile	52.3%	9.5%	90.1%	31.3%	59.5%
Term Structure	-0.9%	-16.3%	23.6%	18.1%	-1.3%
VWIV	61.9%	42.5%	82.0%	48.1%	55.6%
Skew 25d	5.0%	0.3%	14.4%	1.7%	3.2%
Skew 10d	8.8%	0.5%	23.7%	2.1%	4.9%
Call IV 25d	59.6%	42.7%	76.1%	47.8%	54.1%
Put IV 25d	64.5%	43.0%	90.5%	49.5%	57.3%
Bid-Ask Spread %	7.19	3.96	11.14	9.78	6.00
Gamma HHI	0.12	0.06	0.24	0.06	0.09
Net GEX	-5.0M	-15.4M	3.3M	2.2M	-5.2M
Net DEX	167.6M	-156.5M	680.7M	-156.5M	457.1M
Net VEX	-4.0M	-4.6M	-2.8M	-4.6M	-2.8M
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	1.11	0.47	2.69	1.30	0.65
Total Volume	4,984,178.5	1,779,680	15,334,550	2,419,060	4,328,450
Total OI	24,681,268.5	20,190,660	31,390,030	20,190,660	26,019,070

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
2012-04-02	$1.63	$1.64	48.4%	13.6%	37.5%	27.7%	48.1%	1.7%	18.1%	2.2M	-156.5M	-4.6M	1.30	9.78	N/A	N/A	1,053,430	1,365,630	10,885,420	9,305,240
2012-04-03	$1.61	$1.64	50.3%	12.7%	35.4%	30.2%	45.2%	1.6%	20.5%	-18.7K	-100.7M	-4.5M	1.00	11.14	N/A	N/A	2,209,970	2,215,640	11,123,560	9,867,620
2012-04-04	$1.58	$1.57	44.2%	12.8%	35.9%	22.3%	45.3%	1.7%	21.3%	-6.6M	-11.7M	-4.5M	1.23	7.28	N/A	N/A	798,280	981,400	11,595,990	10,575,530
2012-04-05	$1.58	$1.57	36.5%	11.9%	34.7%	12.4%	42.5%	0.3%	23.6%	-13.5M	-39.1M	-4.5M	1.08	10.77	N/A	N/A	1,191,680	1,290,380	11,614,960	10,609,830
2012-04-09	$1.52	$1.64	50.1%	19.8%	36.8%	29.9%	69.2%	6.0%	-7.2%	-6.1M	87.4M	-4.2M	1.16	7.00	N/A	N/A	1,065,680	1,234,380	11,192,580	10,267,250
2012-04-10	$1.46	$1.64	55.8%	20.2%	39.1%	37.3%	69.7%	7.5%	-6.9%	-9.5M	251.0M	-4.0M	0.96	5.78	N/A	N/A	2,037,420	1,954,540	11,405,520	10,532,340
2012-04-11	$1.43	$1.57	49.2%	20.2%	39.6%	28.8%	70.6%	6.8%	-6.7%	-9.0M	281.1M	-3.9M	1.44	5.56	N/A	N/A	2,122,610	3,046,680	11,776,520	10,607,170
2012-04-12	$1.49	$1.57	67.4%	19.3%	42.8%	52.1%	68.2%	6.2%	-6.8%	-4.9M	115.7M	-4.1M	1.01	4.42	N/A	N/A	1,909,250	1,934,240	12,002,200	10,826,690
2012-04-13	$1.49	$1.57	69.4%	19.9%	39.2%	54.7%	69.8%	5.0%	-8.0%	-4.9M	117.9M	-4.1M	0.81	6.93	N/A	N/A	1,760,780	1,430,590	12,216,120	11,008,970
2012-04-16	$1.44	$1.57	72.0%	20.6%	40.3%	58.0%	70.4%	4.4%	-9.2%	-7.4M	203.9M	-3.9M	0.47	5.99	N/A	N/A	3,652,740	1,699,670	11,966,500	10,576,580
2012-04-17	$1.53	$1.50	72.4%	20.8%	43.2%	58.6%	72.5%	6.1%	-9.6%	2.6M	-115.3M	-4.5M	0.77	7.84	N/A	N/A	2,298,800	1,765,540	14,246,960	10,824,170
2012-04-18	$1.53	$1.50	72.7%	20.8%	43.0%	59.0%	72.0%	6.3%	-9.9%	500.4K	-96.9M	-4.5M	0.79	8.60	N/A	N/A	1,269,940	1,003,170	14,403,830	11,155,480
2012-04-19	$1.53	$1.50	74.4%	21.3%	39.4%	61.2%	73.4%	5.3%	-10.2%	-96.7K	-109.9M	-4.4M	0.78	7.50	N/A	N/A	2,447,340	1,918,490	14,537,810	11,257,680
2012-04-20	$1.52	$1.50	75.6%	21.7%	39.4%	62.7%	76.7%	6.1%	-11.1%	3.3M	-114.8M	-4.5M	2.69	7.56	N/A	N/A	1,584,100	4,260,690	15,154,790	11,574,220
2012-04-23	$1.45	$1.50	86.9%	24.9%	40.7%	77.2%	82.0%	14.4%	-16.3%	285.6K	72.0M	-4.2M	1.14	9.52	N/A	N/A	7,179,620	8,154,930	12,658,660	10,850,980
2012-04-24	$1.25	$1.50	49.8%	14.3%	63.7%	29.6%	51.9%	3.6%	0.5%	-15.4M	680.7M	-3.0M	1.01	5.20	N/A	N/A	5,907,650	5,940,060	16,150,470	12,738,880
2012-04-25	$1.23	$1.43	53.4%	15.3%	63.7%	34.2%	54.7%	4.5%	-0.5%	-11.4M	584.5M	-3.1M	1.32	3.96	N/A	N/A	3,508,190	4,623,920	17,165,260	12,669,230
2012-04-26	$1.22	$1.43	50.1%	14.4%	63.7%	29.9%	50.8%	4.3%	0.7%	-9.9M	599.6M	-3.1M	1.04	5.79	N/A	N/A	2,236,220	2,333,380	17,927,980	12,943,280
2012-04-27	$1.20	$1.43	49.9%	14.0%	63.4%	29.7%	49.0%	4.2%	1.4%	-4.3M	645.3M	-2.9M	1.57	7.13	N/A	N/A	1,544,620	2,423,470	18,368,910	13,021,120
2012-04-30	$1.14	$1.43	62.5%	15.4%	63.9%	45.8%	55.6%	3.2%	-1.3%	-5.2M	457.1M	-2.8M	0.65	6.00	N/A	N/A	2,618,490	1,709,960	15,774,290	10,244,780