NFLX Options History — July 2012 In July 2012, NFLX traded between $0.81 and $1.21. ATM implied volatility averaged 67.1%, placing in the 46.3% IV rank vs the trailing year. The 30-day expected move averaged 19.5%. IV traded below realized volatility by 4.4% (HV 20d: 71.5%). Max pain ranged from $0.96 to $1.14. Net GEX was positive for 16 of 21 trading days. Term structure was in contango for 4 of 21 days. Put/call ratio averaged 0.80.
Notable Days 2012-07-25 : Highest Volume — 15,313,900 contracts2012-07-25 : Largest IV drop — 37.0% change2012-07-24 : Highest IV Rank — 82.7%2012-07-24 : Largest Expected Move — 26.6%Monthly Statistics Metric Avg Min Max Open Close Price $1.08 $0.81 $1.21 $0.97 $0.81 Max Pain $1.06 $0.96 $1.14 $0.96 $1.04 ATM IV 67.1% 41.0% 92.8% 41.0% 64.3% Expected Move 19.5% 12.8% 26.6% 12.8% 16.0% HV 20d 71.5% 37.4% 121.5% 37.4% 121.3% HV 60d 64.5% 54.1% 80.4% 56.4% 78.8% IV Rank 46.3% 15.8% 82.7% 18.3% 40.9% IV Percentile 60.1% 3.2% 97.6% 3.2% 58.3% Term Structure -5.5% -20.4% 17.5% 17.5% -0.4% VWIV 68.1% 45.0% 91.6% 45.0% 56.4% Skew 25d 2.4% -1.1% 4.1% 4.1% 2.6% Skew 10d 3.5% -2.7% 6.9% 6.8% 3.8% Call IV 25d 66.9% 42.8% 88.9% 42.8% 56.2% Put IV 25d 69.3% 46.9% 92.6% 46.9% 58.8% Bid-Ask Spread % 5.70 3.71 7.71 6.43 3.75 Gamma HHI 0.11 0.05 0.52 0.07 0.12 Net GEX 2.3M -7.1M 25.5M 372.6K -4.8M Net DEX 42.0M -244.4M 579.5M 167.2M 437.1M Net VEX -2.5M -3.1M -1.7M -2.0M -1.7M Div Yield 0.0% 0.0% 0.0% 0.0% 0.0% P/C Ratio 0.80 0.44 1.46 0.83 1.30 Total Volume 4,830,740 701,680 15,313,900 701,680 1,879,150 Total OI 23,238,180 18,361,280 30,289,560 18,361,280 26,079,760
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 2012-07-02 $0.97 $0.96 41.0% 12.8% 37.4% 18.3% 45.0% 4.1% 17.5% 372.6K 167.2M -2.0M 0.83 6.43 N/A N/A 383,740 317,940 10,510,010 7,851,270 2012-07-03 $1.03 $0.96 44.6% 13.0% 42.5% 15.8% 46.5% 3.4% 16.3% 3.1M 68.1M -2.2M 0.44 6.94 N/A N/A 2,152,500 938,560 10,651,760 7,946,610 2012-07-05 $1.17 $0.96 58.3% 15.1% 60.4% 34.9% 54.0% -1.1% 15.2% 4.8M -203.1M -2.6M 0.67 6.13 N/A N/A 6,315,120 4,200,840 11,203,920 8,124,270 2012-07-06 $1.17 $1.04 62.6% 20.4% 59.5% 41.0% 70.8% 2.1% -9.1% 4.9M -230.6M -2.9M 0.72 6.23 N/A N/A 5,134,850 3,692,850 12,711,790 9,652,440 2012-07-09 $1.19 $1.07 70.9% 20.7% 59.5% 52.6% 72.4% 1.8% -9.0% 4.9M -177.3M -2.9M 0.68 5.10 N/A N/A 2,313,430 1,575,560 12,344,780 9,653,140 2012-07-10 $1.15 $1.07 63.2% 20.7% 58.7% 40.7% 72.5% 3.7% -9.1% 3.1M -70.3M -2.8M 0.67 7.71 N/A N/A 1,893,500 1,274,140 12,698,980 9,946,020 2012-07-11 $1.17 $1.07 56.8% 21.2% 58.5% 31.4% 73.9% 1.7% -10.1% 4.2M -125.0M -2.9M 0.64 6.37 N/A N/A 2,630,390 1,678,670 12,860,260 10,127,670 2012-07-12 $1.21 $1.07 74.8% 21.4% 59.0% 57.2% 75.4% 2.5% -10.5% 7.5M -244.4M -3.1M 0.64 6.06 N/A N/A 2,071,300 1,333,220 13,277,810 10,387,860 2012-07-13 $1.21 $1.07 73.9% 21.2% 58.9% 54.9% 73.8% 3.6% -10.5% 25.5M -236.4M -3.0M 0.62 6.52 N/A N/A 2,409,960 1,505,280 13,490,540 10,632,300 2012-07-16 $1.19 $1.07 75.5% 21.6% 59.0% 57.3% 75.6% 4.1% -11.4% 3.9M -146.7M -2.9M 0.70 4.71 N/A N/A 1,366,190 953,960 12,679,030 10,081,330 2012-07-17 $1.17 $1.07 76.4% 21.9% 59.7% 58.6% 76.9% 2.5% -12.0% 2.3M -103.8M -2.9M 0.64 6.04 N/A N/A 1,333,010 846,860 12,803,840 10,244,220 2012-07-18 $1.16 $1.11 75.9% 21.8% 58.4% 57.9% 76.0% 2.4% -12.1% 1.5M -90.2M -2.8M 1.27 7.15 N/A N/A 759,920 961,940 13,070,820 10,449,950 2012-07-19 $1.19 $1.11 78.7% 22.6% 57.4% 62.0% 78.4% 1.6% -13.6% 4.7M -153.8M -2.8M 0.52 3.71 N/A N/A 1,986,950 1,025,500 12,984,790 10,653,230 2012-07-20 $1.17 $1.11 79.2% 22.7% 55.8% 62.7% 78.5% -0.1% -14.4% 1.4M -105.2M -2.8M 0.76 4.97 N/A N/A 1,681,610 1,274,560 13,417,460 10,893,890 2012-07-23 $1.14 $1.11 88.9% 25.5% 56.6% 76.9% 88.3% -0.2% -18.6% 1.5M 16.4M -2.8M 0.61 5.56 N/A N/A 2,650,340 1,605,450 11,213,440 8,531,670 2012-07-24 $1.15 $1.14 92.8% 26.6% 56.1% 82.7% 91.6% 3.7% -20.4% 2.3M -13.6M -2.9M 0.84 7.26 N/A N/A 5,949,580 5,020,400 12,194,350 9,163,490 2012-07-25 $0.86 $1.14 58.5% 16.8% 119.5% 32.3% 58.5% 1.1% -2.1% -7.1M 565.0M -1.7M 1.25 5.68 N/A N/A 6,791,330 8,522,570 14,617,680 11,128,670 2012-07-26 $0.81 $1.07 56.7% 16.3% 120.9% 29.7% 57.7% 3.6% -0.7% -6.9M 579.5M -1.7M 1.46 4.21 N/A N/A 3,054,240 4,461,590 16,243,570 12,162,010 2012-07-27 $0.84 $1.04 51.4% 14.8% 121.5% 21.9% 52.8% 4.0% 1.4% -4.3M 526.1M -1.9M 1.05 4.11 N/A N/A 1,791,930 1,880,410 17,317,790 12,971,770 2012-07-30 $0.82 $1.00 64.8% 15.9% 121.3% 41.6% 56.0% 3.7% -0.8% -4.1M 424.0M -1.8M 0.51 5.07 N/A N/A 2,532,880 1,293,320 14,109,900 10,917,690 2012-07-31 $0.81 $1.04 64.3% 16.0% 121.3% 40.9% 56.4% 2.6% -0.4% -4.8M 437.1M -1.7M 1.30 3.75 N/A N/A 815,640 1,063,510 15,099,280 10,980,480
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