NFLX Options History — May 2012 In May 2012, NFLX traded between $0.91 and $1.17. ATM implied volatility averaged 59.6%, placing in the 42.1% IV rank vs the trailing year. The 30-day expected move averaged 16.8%. IV traded below realized volatility by 5.7% (HV 20d: 65.2%). Max pain ranged from $1.21 to $1.39. Net GEX was positive for 2 of 22 trading days. Term structure was in contango for 19 of 22 days. Put/call ratio averaged 1.15.
Notable Days 2012-05-04 : Highest Volume — 7,496,230 contracts2012-05-29 : Largest IV spike — 17.1% change2012-05-30 : Highest IV Rank — 57.1%2012-05-31 : Largest Expected Move — 18.8%Monthly Statistics Metric Avg Min Max Open Close Price $1.04 $0.91 $1.17 $1.16 $0.91 Max Pain $1.29 $1.21 $1.39 $1.39 $1.21 ATM IV 59.6% 53.2% 71.3% 53.2% 68.6% Expected Move 16.8% 14.6% 18.8% 14.6% 18.8% HV 20d 65.2% 52.3% 73.0% 64.9% 59.2% HV 60d 53.0% 49.6% 55.6% 49.8% 55.6% IV Rank 42.1% 33.9% 57.1% 33.9% 53.7% IV Percentile 52.4% 36.1% 76.6% 40.1% 69.8% Term Structure 4.1% -2.1% 7.8% -0.1% 1.5% VWIV 59.6% 51.9% 63.8% 52.4% 63.8% Skew 25d 5.7% 1.3% 10.1% 1.3% 10.1% Skew 10d 10.3% 0.8% 18.6% 0.8% 18.6% Call IV 25d 57.6% 50.8% 61.1% 52.5% 60.2% Put IV 25d 63.4% 53.8% 70.3% 53.8% 70.3% Bid-Ask Spread % 9.76 4.65 23.61 4.65 8.97 Gamma HHI 0.15 0.06 0.86 0.10 0.12 Net GEX -6.4M -63.8M 12.4M -4.6M -6.0M Net DEX 465.3M 317.3M 615.2M 434.1M 488.9M Net VEX -2.6M -2.9M -2.2M -2.9M -2.2M Div Yield 0.0% 0.0% 0.0% 0.0% 0.0% P/C Ratio 1.15 0.80 1.75 0.80 0.99 Total Volume 3,317,888.636 1,698,760 7,496,230 2,528,610 3,771,600 Total OI 27,139,884.545 20,426,350 30,956,660 27,581,120 23,946,580
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 2012-05-01 $1.16 $1.39 53.2% 14.6% 64.9% 33.9% 52.4% 1.3% -0.1% -4.6M 434.1M -2.9M 0.80 4.65 N/A N/A 1,401,120 1,127,490 16,632,280 10,948,840 2012-05-02 $1.17 $1.36 53.6% 14.6% 65.6% 34.4% 51.9% 3.7% -0.7% -3.7M 414.2M -2.9M 1.06 5.55 N/A N/A 932,470 985,950 16,823,380 11,035,360 2012-05-03 $1.09 $1.36 55.2% 16.3% 69.3% 36.5% 58.0% 4.3% -2.1% -8.7M 569.2M -2.5M 1.41 4.95 N/A N/A 2,425,710 3,428,390 16,718,800 11,288,970 2012-05-04 $1.04 $1.36 59.1% 16.7% 69.2% 41.4% 59.3% 4.1% 4.0% -5.7M 615.2M -2.5M 1.32 10.72 N/A N/A 3,225,110 4,271,120 17,435,110 11,905,670 2012-05-07 $1.05 $1.36 62.5% 16.7% 69.5% 45.9% 59.4% 4.9% 4.7% -5.5M 546.3M -2.6M 1.09 8.40 N/A N/A 1,435,490 1,566,880 17,433,640 11,726,890 2012-05-08 $1.04 $1.32 63.2% 17.1% 68.8% 46.8% 61.5% 4.2% 4.0% -5.7M 560.8M -2.6M 1.41 10.37 N/A N/A 1,299,340 1,838,130 17,815,280 11,968,530 2012-05-09 $1.06 $1.32 58.4% 16.4% 70.1% 40.5% 59.2% 4.4% 6.3% -4.6M 505.7M -2.7M 1.21 10.76 N/A N/A 1,267,420 1,535,590 18,045,860 11,955,930 2012-05-10 $1.03 $1.29 56.4% 16.2% 66.7% 38.1% 57.5% 3.2% 6.7% -6.2M 562.9M -2.5M 1.04 9.96 N/A N/A 1,167,390 1,210,930 18,147,780 12,193,650 2012-05-11 $1.11 $1.29 56.6% 16.2% 73.0% 38.3% 58.0% 4.9% 6.5% 12.4M 424.4M -2.9M 0.80 9.90 N/A N/A 3,251,080 2,588,110 18,266,220 12,449,080 2012-05-14 $1.10 $1.29 59.6% 17.1% 72.8% 42.2% 60.9% 4.8% 5.4% -4.4M 454.4M -2.8M 1.12 19.66 N/A N/A 1,297,450 1,456,560 17,895,430 12,159,280 2012-05-15 $1.11 $1.29 58.2% 16.7% 68.5% 40.4% 59.6% 4.3% 7.1% -3.9M 435.7M -2.9M 0.93 17.28 N/A N/A 1,092,700 1,018,640 18,119,290 12,281,640 2012-05-16 $1.06 $1.29 59.3% 17.0% 68.9% 41.7% 60.4% 4.7% 7.4% -6.1M 518.6M -2.7M 1.04 9.37 N/A N/A 1,464,610 1,524,950 18,178,790 12,391,330 2012-05-17 $1.03 $1.29 61.7% 17.7% 68.6% 44.8% 62.5% 6.2% 7.3% -7.9M 559.2M -2.7M 1.09 8.61 N/A N/A 1,331,890 1,452,710 18,262,160 12,437,600 2012-05-18 $1.00 $1.29 61.4% 17.6% 68.5% 44.4% 63.0% 6.2% 7.8% -63.8M 603.5M -2.6M 1.75 23.61 N/A N/A 1,470,910 2,576,420 18,489,450 12,467,210 2012-05-21 $1.02 $1.29 58.1% 16.7% 70.0% 40.3% 60.0% 7.6% 3.6% -2.8M 339.4M -2.6M 0.88 7.17 N/A N/A 1,342,880 1,175,090 11,053,700 9,372,650 2012-05-22 $0.97 $1.29 60.2% 17.3% 52.3% 42.9% 62.1% 7.9% 2.8% -3.2M 397.6M -2.3M 1.34 5.84 N/A N/A 1,506,960 2,015,160 11,661,650 9,615,970 2012-05-23 $1.03 $1.25 57.1% 16.4% 58.4% 38.9% 59.9% 7.8% 4.3% -1.5M 317.3M -2.6M 1.18 8.31 N/A N/A 2,493,680 2,938,040 12,132,750 10,123,190 2012-05-24 $1.00 $1.21 58.4% 16.7% 58.5% 40.5% 59.0% 8.1% 4.6% -1.9M 348.5M -2.6M 1.07 6.62 N/A N/A 818,720 880,040 12,608,190 10,807,370 2012-05-25 $1.00 $1.21 54.5% 17.3% 58.6% 35.6% 60.9% 7.8% 3.8% 96.4K 344.2M -2.6M 0.92 7.42 N/A N/A 1,397,410 1,283,450 12,670,350 10,959,340 2012-05-29 $0.99 $1.21 63.8% 17.0% 57.1% 47.6% 60.8% 7.8% 3.2% -3.3M 376.0M -2.5M 1.20 8.30 N/A N/A 845,950 1,013,670 12,416,810 10,680,180 2012-05-30 $0.96 $1.21 71.3% 17.7% 57.1% 57.1% 61.9% 7.5% 2.4% -4.3M 419.5M -2.4M 1.71 8.31 N/A N/A 689,220 1,177,120 12,667,760 10,887,520 2012-05-31 $0.91 $1.21 68.6% 18.8% 59.2% 53.7% 63.8% 10.1% 1.5% -6.0M 488.9M -2.2M 0.99 8.97 N/A N/A 1,891,820 1,879,780 12,822,740 11,123,840
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