NFLX Options History — September 2012

In September 2012, NFLX traded between $0.77 and $0.86. ATM implied volatility averaged 53.9%, placing in the 25.6% IV rank vs the trailing year. The 30-day expected move averaged 14.8%. IV traded above realized volatility by 10.8% (HV 20d: 43.0%). Max pain ranged from $0.82 to $0.93. Net GEX was positive for 0 of 19 trading days. Term structure was in contango for 18 of 19 days. Put/call ratio averaged 1.06.

Notable Days

2012-09-04: Highest Volume — 7,528,500 contracts
2012-09-06: Largest IV drop — 24.8% change
2012-09-04: Highest IV Rank — 54.9%
2012-09-04: Largest Expected Move — 15.9%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$0.81	$0.77	$0.86	$0.80	$0.78
Max Pain	$0.86	$0.82	$0.93	$0.93	$0.82
ATM IV	53.9%	46.7%	73.9%	73.9%	46.7%
Expected Move	14.8%	14.1%	15.9%	15.9%	14.8%
HV 20d	43.0%	36.9%	49.5%	39.2%	47.4%
HV 60d	76.3%	71.4%	77.5%	76.8%	71.4%
IV Rank	25.6%	15.0%	54.9%	54.9%	15.0%
IV Percentile	27.7%	9.9%	76.6%	76.6%	9.9%
Term Structure	8.5%	-0.1%	16.3%	-0.1%	16.3%
VWIV	52.2%	49.8%	56.7%	56.7%	51.9%
Skew 25d	4.2%	3.1%	5.5%	5.5%	3.4%
Skew 10d	7.8%	4.5%	12.2%	9.7%	5.9%
Call IV 25d	50.3%	47.7%	53.5%	53.5%	50.2%
Put IV 25d	54.5%	52.6%	59.0%	59.0%	53.6%
Bid-Ask Spread %	5.57	3.74	8.08	4.92	5.49
Gamma HHI	0.13	0.07	0.47	0.13	0.08
Net GEX	-3.5M	-8.9M	-824.4K	-4.5M	-1.3M
Net DEX	268.0M	163.3M	361.2M	338.4M	233.2M
Net VEX	-1.8M	-1.9M	-1.5M	-1.5M	-1.8M
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	1.06	0.61	1.72	1.50	0.77
Total Volume	2,580,981.053	1,215,130	7,528,500	7,528,500	1,413,510
Total OI	25,115,727.368	19,744,550	28,978,390	22,784,090	21,750,330

Daily Data (19 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
2012-09-04	$0.80	$0.93	73.9%	15.9%	39.2%	54.9%	56.7%	5.5%	-0.1%	-4.5M	338.4M	-1.5M	1.50	4.92	N/A	N/A	3,015,180	4,513,320	12,671,260	10,112,830
2012-09-05	$0.79	$0.93	70.7%	15.3%	38.8%	50.2%	54.7%	5.5%	1.4%	-5.1M	361.2M	-1.6M	1.67	3.74	N/A	N/A	1,061,340	1,775,620	13,660,080	11,583,390
2012-09-06	$0.81	$0.93	53.1%	14.4%	40.6%	24.4%	52.9%	3.4%	2.2%	-4.8M	307.4M	-1.7M	1.14	4.23	N/A	N/A	1,345,750	1,533,980	13,951,420	11,954,740
2012-09-07	$0.81	$0.86	49.2%	14.6%	40.5%	18.7%	51.3%	3.6%	7.4%	-4.1M	303.8M	-1.6M	0.82	6.72	N/A	N/A	2,004,380	1,644,160	14,092,960	12,110,630
2012-09-10	$0.80	$0.86	56.9%	15.1%	38.6%	30.0%	52.2%	3.1%	6.7%	-4.4M	319.1M	-1.8M	1.39	8.08	N/A	N/A	507,430	707,700	14,133,770	11,802,210
2012-09-11	$0.82	$0.86	59.0%	14.6%	39.6%	33.0%	51.3%	3.7%	7.0%	-3.9M	290.1M	-1.8M	1.03	5.93	N/A	N/A	1,032,360	1,061,340	14,255,010	12,011,510
2012-09-12	$0.82	$0.86	50.8%	15.0%	37.7%	21.0%	53.0%	5.0%	5.9%	-3.3M	285.1M	-1.8M	0.79	4.82	N/A	N/A	912,100	720,300	14,571,970	12,253,500
2012-09-13	$0.83	$0.82	51.6%	14.8%	36.9%	22.2%	51.5%	5.2%	6.5%	-2.0M	255.1M	-1.9M	0.91	6.48	N/A	N/A	765,800	699,720	14,782,670	12,330,010
2012-09-14	$0.86	$0.82	49.8%	14.3%	39.8%	19.5%	50.6%	4.9%	7.7%	-824.4K	163.3M	-1.9M	0.82	6.88	N/A	N/A	1,880,270	1,538,950	14,841,680	12,475,190
2012-09-17	$0.81	$0.86	52.8%	15.2%	44.6%	24.0%	53.3%	4.0%	6.6%	-4.7M	304.4M	-1.8M	1.17	5.98	N/A	N/A	1,268,470	1,483,860	14,488,880	12,224,940
2012-09-18	$0.80	$0.86	52.1%	14.9%	44.4%	23.0%	51.9%	3.7%	7.0%	-5.6M	327.6M	-1.7M	1.72	6.41	N/A	N/A	880,530	1,515,640	14,915,810	12,479,320
2012-09-19	$0.81	$0.86	49.5%	14.2%	44.2%	19.1%	50.1%	4.6%	8.1%	-5.3M	304.1M	-1.8M	1.21	6.05	N/A	N/A	1,100,890	1,331,470	15,015,700	12,872,230
2012-09-20	$0.84	$0.86	51.1%	14.6%	46.0%	21.4%	51.6%	3.9%	8.3%	-1.6M	234.0M	-1.9M	0.61	5.85	N/A	N/A	2,011,730	1,225,280	15,113,770	13,107,150
2012-09-21	$0.83	$0.82	49.1%	14.1%	45.8%	18.6%	49.8%	4.3%	9.3%	-8.9M	241.6M	-1.9M	0.86	5.18	N/A	N/A	1,328,530	1,143,380	15,758,540	13,219,850
2012-09-24	$0.81	$0.86	49.3%	14.1%	46.3%	18.9%	50.1%	4.4%	15.3%	-1.1M	184.6M	-1.8M	0.99	4.67	N/A	N/A	654,360	648,690	11,247,740	8,496,810
2012-09-25	$0.77	$0.86	52.5%	15.1%	48.5%	23.5%	52.9%	3.6%	14.7%	-2.3M	234.6M	-1.7M	0.98	4.01	N/A	N/A	1,214,570	1,187,480	11,505,690	8,732,710
2012-09-26	$0.79	$0.82	53.5%	15.3%	49.5%	25.0%	53.9%	3.9%	14.9%	-1.4M	202.8M	-1.8M	1.04	4.45	N/A	N/A	1,306,340	1,362,550	12,000,170	9,147,180
2012-09-27	$0.79	$0.82	52.1%	14.9%	49.5%	23.0%	52.3%	4.5%	15.4%	-1.2M	201.9M	-1.9M	0.73	5.92	N/A	N/A	716,380	525,280	12,138,000	9,389,170
2012-09-28	$0.78	$0.82	46.7%	14.8%	47.4%	15.0%	51.9%	3.4%	16.3%	-1.3M	233.2M	-1.8M	0.77	5.49	N/A	N/A	797,230	616,280	12,263,720	9,486,610