NFLX Options History — June 2012

In June 2012, NFLX traded between $0.90 and $1.00. ATM implied volatility averaged 53.4%, placing in the 34.1% IV rank vs the trailing year. The 30-day expected move averaged 15.8%. IV traded above realized volatility by 4.7% (HV 20d: 48.7%). Max pain ranged from $0.93 to $1.21. Net GEX was positive for 6 of 21 trading days. Term structure was in contango for 21 of 21 days. Put/call ratio averaged 0.88.

Notable Days

2012-06-15: Highest Volume — 3,604,580 contracts
2012-06-14: Largest IV spike — 25.7% change
2012-06-04: Highest IV Rank — 63.5%
2012-06-04: Largest Expected Move — 19.6%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$0.94	$0.90	$1.00	$0.90	$0.98
Max Pain	$0.97	$0.93	$1.21	$1.21	$0.96
ATM IV	53.4%	37.9%	76.2%	70.0%	37.9%
Expected Move	15.8%	13.0%	19.6%	19.2%	13.0%
HV 20d	48.7%	38.5%	55.0%	53.8%	38.5%
HV 60d	55.5%	54.2%	56.4%	55.5%	56.4%
IV Rank	34.1%	14.3%	63.5%	55.5%	14.3%
IV Percentile	29.7%	2.4%	82.9%	73.8%	2.4%
Term Structure	10.4%	1.4%	16.8%	1.4%	16.8%
VWIV	55.3%	45.6%	69.8%	67.2%	45.6%
Skew 25d	7.1%	3.9%	12.2%	9.9%	4.7%
Skew 10d	12.9%	5.7%	23.2%	19.6%	7.5%
Call IV 25d	51.7%	42.9%	62.8%	62.8%	42.9%
Put IV 25d	58.8%	47.5%	74.5%	72.7%	47.5%
Bid-Ask Spread %	9.73	4.96	24.12	20.68	5.86
Gamma HHI	0.10	0.06	0.19	0.10	0.06
Net GEX	-1.8M	-4.9M	2.5M	-3.8M	307.4K
Net DEX	310.3M	116.8M	474.5M	474.5M	144.4M
Net VEX	-2.1M	-2.2M	-1.9M	-2.2M	-2.1M
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	0.88	0.53	1.34	1.12	0.74
Total Volume	1,917,930	799,680	3,604,580	3,100,440	1,476,650
Total OI	21,681,883.333	16,736,090	25,508,000	24,639,580	18,910,290

Daily Data (21 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
2012-06-01	$0.90	$1.21	70.0%	19.2%	53.8%	55.5%	67.2%	9.9%	1.4%	-3.8M	474.5M	-2.2M	1.12	20.68	N/A	N/A	1,465,660	1,634,780	13,372,870	11,266,710
2012-06-04	$0.93	$0.96	76.2%	19.6%	54.6%	63.5%	69.8%	11.8%	4.7%	-3.3M	423.2M	-2.2M	0.67	9.77	N/A	N/A	1,212,820	811,020	13,058,430	10,994,760
2012-06-05	$0.93	$0.96	70.2%	18.9%	54.5%	55.7%	67.4%	11.3%	5.5%	-2.9M	419.5M	-2.2M	0.53	10.16	N/A	N/A	1,051,050	561,050	13,302,660	11,137,630
2012-06-06	$0.94	$0.96	59.6%	18.1%	55.0%	42.2%	63.1%	12.2%	6.3%	-2.4M	404.3M	-2.2M	0.82	13.89	N/A	N/A	1,224,020	1,002,400	13,408,360	11,126,010
2012-06-07	$0.92	$0.96	55.6%	17.5%	54.3%	37.0%	61.9%	11.2%	7.1%	-3.7M	434.8M	-2.1M	1.16	11.54	N/A	N/A	783,090	906,430	13,484,870	11,170,530
2012-06-08	$0.94	$0.96	53.0%	17.3%	54.4%	33.7%	60.6%	8.2%	6.9%	-3.8M	402.4M	-2.1M	0.64	21.93	N/A	N/A	1,904,910	1,216,250	13,652,030	11,385,080
2012-06-11	$0.90	$0.96	58.3%	17.8%	48.8%	40.5%	60.9%	7.8%	6.3%	-4.7M	465.7M	-2.0M	1.00	8.35	N/A	N/A	970,830	968,800	13,475,770	11,276,160
2012-06-12	$0.90	$0.96	49.8%	16.7%	48.9%	29.5%	58.4%	7.9%	8.2%	-4.9M	473.5M	-2.0M	1.09	7.83	N/A	N/A	912,310	995,400	13,824,090	11,339,370
2012-06-13	$0.90	$0.96	46.3%	17.0%	48.6%	25.1%	58.9%	7.3%	7.1%	-4.9M	473.3M	-2.0M	1.34	6.99	N/A	N/A	561,540	751,450	13,983,970	11,524,030
2012-06-14	$0.90	$0.96	58.2%	16.7%	47.1%	40.4%	57.6%	7.3%	7.9%	-4.9M	471.7M	-1.9M	1.20	6.78	N/A	N/A	895,720	1,071,140	13,803,160	11,348,470
2012-06-15	$0.94	$0.96	55.7%	16.0%	50.4%	37.1%	55.4%	6.9%	8.1%	-2.5M	392.9M	-2.0M	0.68	5.37	N/A	N/A	2,143,050	1,461,530	13,988,310	11,470,130
2012-06-18	$0.95	$0.96	50.5%	14.5%	50.0%	30.4%	51.6%	5.9%	12.1%	621.6K	175.8M	-2.0M	0.95	11.07	N/A	N/A	1,002,400	956,620	9,583,840	7,152,250
2012-06-19	$1.00	$0.93	45.7%	13.1%	52.0%	24.3%	46.9%	5.5%	14.3%	2.5M	116.8M	-2.1M	0.76	4.97	N/A	N/A	1,709,890	1,294,370	9,889,250	7,355,810
2012-06-20	$0.97	$0.96	46.6%	13.4%	48.4%	25.4%	47.1%	4.9%	14.3%	1.7M	156.1M	-2.1M	1.08	7.03	N/A	N/A	776,440	841,050	10,392,760	7,819,980
2012-06-21	$0.94	$0.96	47.4%	13.6%	44.4%	26.5%	47.5%	4.8%	14.7%	-1.2M	212.4M	-2.0M	0.79	4.96	N/A	N/A	725,060	571,130	10,531,990	7,958,860
2012-06-22	$0.97	$0.96	45.8%	13.1%	45.4%	24.3%	46.1%	4.6%	15.5%	418.3K	149.8M	-2.1M	0.78	5.22	N/A	N/A	891,170	693,210	10,614,240	8,026,130
2012-06-25	$0.96	$0.96	49.6%	14.2%	45.6%	29.3%	49.9%	3.9%	14.5%	-276.2K	181.1M	-2.1M	0.67	5.81	N/A	N/A	1,027,040	684,670	10,158,750	7,661,150
2012-06-26	$0.95	$0.96	48.3%	13.8%	45.5%	27.6%	49.3%	4.6%	15.1%	-240.8K	184.9M	-2.1M	0.71	6.10	N/A	N/A	699,090	498,190	10,499,370	7,869,050
2012-06-27	$0.95	$0.96	47.5%	13.6%	44.2%	26.6%	47.9%	4.5%	15.9%	-114.6K	188.3M	-2.1M	0.96	5.94	N/A	N/A	407,540	392,140	10,713,920	7,965,300
2012-06-28	$0.96	$0.96	48.3%	13.8%	38.5%	27.6%	48.4%	4.2%	15.2%	580.2K	170.3M	-2.1M	0.77	24.12	N/A	N/A	636,440	488,180	10,765,720	8,057,490
2012-06-29	$0.98	$0.96	37.9%	13.0%	38.5%	14.3%	45.6%	4.7%	16.8%	307.4K	144.4M	-2.1M	0.74	5.86	N/A	N/A	849,730	626,920	10,823,680	8,086,610