NFLX Options History — October 2012 In October 2012, NFLX traded between $0.80 and $1.13. ATM implied volatility averaged 69.1%, placing in the 50.0% IV rank vs the trailing year. The 30-day expected move averaged 19.5%. IV traded below realized volatility by 5.9% (HV 20d: 75.0%). Max pain ranged from $0.82 to $0.93. Net GEX was positive for 16 of 21 trading days. Term structure was in contango for 4 of 21 days. Put/call ratio averaged 0.86.
Notable Days 2012-10-26 : Highest Volume — 15,639,190 contracts2012-10-26 : Largest IV spike — 57.2% change2012-10-31 : Highest IV Rank — 100.0%2012-10-22 : Largest Expected Move — 24.0%Monthly Statistics Metric Avg Min Max Open Close Price $0.94 $0.80 $1.13 $0.80 $1.13 Max Pain $0.88 $0.82 $0.93 $0.82 $0.93 ATM IV 69.1% 47.3% 102.4% 53.4% 102.4% Expected Move 19.5% 11.9% 24.0% 14.7% 18.9% HV 20d 75.0% 43.0% 107.0% 48.8% 107.0% HV 60d 71.7% 56.0% 82.1% 71.8% 71.0% IV Rank 50.0% 15.9% 100.0% 24.8% 100.0% IV Percentile 65.6% 11.1% 100.0% 30.2% 100.0% Term Structure -4.9% -19.2% 25.6% 17.4% -6.5% VWIV 68.3% 41.9% 83.4% 51.6% 67.0% Skew 25d 4.0% -4.5% 8.6% 3.4% -0.9% Skew 10d 6.3% -9.1% 14.3% 6.3% -3.3% Call IV 25d 65.9% 40.4% 79.9% 49.5% 67.4% Put IV 25d 70.0% 43.3% 85.8% 52.9% 66.5% Bid-Ask Spread % 6.11 3.29 9.48 5.75 7.15 Gamma HHI 0.08 0.06 0.14 0.07 0.11 Net GEX 2.3M -6.0M 10.5M -826.9K 10.5M Net DEX -35.4M -561.4M 285.1M 189.1M -561.4M Net VEX -2.5M -2.9M -1.8M -1.8M -2.9M Div Yield 0.0% 0.0% 0.0% 0.0% 0.0% P/C Ratio 0.86 0.42 1.29 0.63 0.85 Total Volume 5,901,910 2,068,640 15,639,190 2,178,610 11,820,620 Total OI 26,890,586.667 21,017,220 30,819,110 21,017,220 29,284,220
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 2012-10-01 $0.80 $0.82 53.4% 14.7% 48.8% 24.8% 51.6% 3.4% 17.4% -826.9K 189.1M -1.8M 0.63 5.75 N/A N/A 1,338,750 839,860 11,905,950 9,111,270 2012-10-02 $0.81 $0.82 47.3% 11.9% 43.0% 15.9% 41.9% 2.9% 25.6% -232.6K 176.0M -1.8M 0.86 5.15 N/A N/A 1,225,350 1,055,250 12,333,230 9,338,490 2012-10-03 $0.89 $0.82 62.6% 13.8% 55.7% 38.3% 48.6% -1.4% 21.2% 3.2M -4.6M -2.1M 0.42 5.43 N/A N/A 5,329,310 2,230,340 12,646,130 9,613,940 2012-10-04 $0.95 $0.86 53.9% 14.9% 58.7% 25.6% 52.5% 0.3% 19.2% 5.7M -158.0M -2.4M 0.55 4.67 N/A N/A 6,103,300 3,386,880 13,516,230 10,462,410 2012-10-05 $0.95 $0.86 52.3% 20.3% 58.7% 23.2% 70.7% 5.5% -10.2% 4.1M -143.0M -2.5M 0.78 9.48 N/A N/A 3,325,840 2,599,940 14,630,980 11,541,600 2012-10-08 $1.05 $0.86 67.9% 21.6% 66.4% 46.2% 76.0% 2.9% -11.0% 6.7M -333.9M -2.7M 0.58 4.38 N/A N/A 5,913,180 3,433,780 14,085,050 10,936,100 2012-10-09 $0.94 $0.86 73.9% 21.9% 80.5% 54.9% 76.2% 4.2% -11.1% 1.2M -1.7M -2.6M 1.02 5.84 N/A N/A 4,032,280 4,131,190 15,090,320 12,053,510 2012-10-10 $0.94 $0.89 53.0% 21.8% 80.5% 25.8% 76.2% 5.1% -10.2% 572.5K 5.5M -2.7M 1.02 4.99 N/A N/A 2,137,870 2,186,170 15,602,020 12,640,390 2012-10-11 $0.94 $0.89 75.9% 21.8% 80.5% 61.3% 76.3% 5.4% -11.1% 1.5M -21.0M -2.7M 0.89 5.30 N/A N/A 1,096,830 971,810 16,169,720 12,983,180 2012-10-12 $0.92 $0.89 75.9% 21.8% 80.0% 61.4% 75.7% 6.7% -10.9% 1.4M 63.5M -2.6M 0.97 6.13 N/A N/A 1,567,020 1,517,530 16,262,680 13,043,590 2012-10-15 $0.93 $0.89 77.7% 22.3% 76.5% 64.1% 77.6% 7.1% -12.8% 2.2M 14.2M -2.6M 1.21 5.35 N/A N/A 1,107,120 1,344,700 15,273,790 12,369,840 2012-10-16 $0.94 $0.89 76.8% 22.0% 76.1% 62.7% 76.2% 7.4% -12.5% 3.8M -38.3M -2.6M 1.02 5.89 N/A N/A 1,345,610 1,376,620 15,498,910 12,515,930 2012-10-17 $0.98 $0.89 75.7% 21.7% 76.8% 61.0% 75.9% 7.7% -12.6% 6.9M -144.3M -2.7M 0.65 8.85 N/A N/A 1,857,100 1,203,020 15,694,140 12,502,910 2012-10-18 $0.96 $0.89 76.8% 22.0% 76.9% 62.7% 77.0% 6.3% -13.7% 4.3M -76.3M -2.5M 0.81 7.61 N/A N/A 1,981,070 1,607,550 15,351,000 12,423,810 2012-10-19 $0.93 $0.89 78.5% 22.5% 78.0% 65.4% 77.8% 4.2% -14.7% -101.3K 31.0M -2.4M 1.02 6.77 N/A N/A 1,813,140 1,857,380 15,542,380 12,727,190 2012-10-22 $0.97 $0.89 83.8% 24.0% 78.2% 73.7% 83.4% 5.9% -19.2% 2.0M -27.3M -2.6M 0.85 6.67 N/A N/A 2,654,890 2,257,010 13,703,340 10,583,230 2012-10-23 $0.97 $0.93 81.8% 23.5% 75.4% 70.5% 80.9% 8.6% -18.5% 2.3M -30.7M -2.7M 0.72 8.41 N/A N/A 4,609,010 3,340,400 14,721,980 11,578,280 2012-10-24 $0.86 $0.93 52.7% 15.1% 89.7% 25.2% 53.7% 3.8% -2.2% -6.0M 285.1M -2.1M 1.29 3.47 N/A N/A 4,470,060 5,783,400 16,615,410 12,959,940 2012-10-25 $0.88 $0.93 50.4% 14.5% 90.0% 21.7% 51.5% 4.3% -0.2% -3.9M 206.5M -2.3M 1.24 3.29 N/A N/A 1,539,790 1,909,950 16,929,640 13,640,480 2012-10-26 $0.99 $0.93 79.2% 18.9% 98.6% 66.5% 66.8% -4.5% -7.8% 3.7M -173.3M -2.7M 0.55 7.74 N/A N/A 10,080,070 5,559,120 17,163,720 13,655,390 2012-10-31 $1.13 $0.93 102.4% 18.9% 107.0% 100.0% 67.0% -0.9% -6.5% 10.5M -561.4M -2.9M 0.85 7.15 N/A N/A 6,398,210 5,422,410 16,495,360 12,788,860
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