NFLX Options History — November 2012 In November 2012, NFLX traded between $1.09 and $1.19. ATM implied volatility averaged 57.2%, placing in the 31.4% IV rank vs the trailing year. The 30-day expected move averaged 15.7%. IV traded below realized volatility by 22.2% (HV 20d: 79.4%). Max pain ranged from $0.96 to $1.07. Net GEX was positive for 21 of 21 trading days. Term structure was in contango for 16 of 21 days. Put/call ratio averaged 0.89.
Notable Days 2012-11-01 : Highest Volume — 9,315,180 contracts2012-11-07 : Largest IV drop — 23.0% change2012-11-06 : Highest IV Rank — 61.7%2012-11-09 : Largest Expected Move — 17.3%Monthly Statistics Metric Avg Min Max Open Close Price $1.14 $1.09 $1.19 $1.11 $1.17 Max Pain $1.02 $0.96 $1.07 $0.96 $1.07 ATM IV 57.2% 47.6% 77.1% 65.2% 49.4% Expected Move 15.7% 13.7% 17.3% 17.2% 14.3% HV 20d 79.4% 22.6% 107.8% 107.8% 22.6% HV 60d 70.4% 68.0% 70.9% 70.6% 68.0% IV Rank 31.4% 16.9% 61.7% 43.6% 19.7% IV Percentile 41.8% 12.3% 89.3% 65.9% 17.1% Term Structure 1.1% -4.8% 3.9% -4.8% 3.2% VWIV 55.4% 48.1% 61.6% 61.6% 51.4% Skew 25d 0.8% -1.9% 3.5% -0.9% 1.0% Skew 10d 1.7% -4.0% 7.7% -4.0% 0.3% Call IV 25d 55.2% 48.6% 62.0% 62.0% 50.8% Put IV 25d 56.0% 48.4% 62.1% 61.0% 51.8% Bid-Ask Spread % 6.38 4.30 8.87 8.33 8.87 Gamma HHI 0.09 0.06 0.14 0.10 0.06 Net GEX 7.0M 4.1M 10.1M 9.1M 5.0M Net DEX -335.3M -477.7M -219.3M -477.7M -227.5M Net VEX -2.9M -3.0M -2.6M -3.0M -2.7M Div Yield 0.0% 0.0% 0.0% 0.0% 0.0% P/C Ratio 0.89 0.51 1.24 1.04 1.15 Total Volume 3,135,040 1,125,320 9,315,180 9,315,180 2,681,700 Total OI 29,247,316.667 25,178,860 32,475,240 30,931,670 27,137,600
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 2012-11-01 $1.11 $0.96 65.2% 17.2% 107.8% 43.6% 61.6% -0.9% -4.8% 9.1M -477.7M -3.0M 1.04 8.33 N/A N/A 4,557,280 4,757,900 16,733,850 14,197,820 2012-11-02 $1.10 $0.96 63.8% 16.6% 103.1% 41.4% 59.1% -1.9% -3.4% 7.1M -405.9M -3.0M 0.87 7.40 N/A N/A 3,076,990 2,668,960 17,265,780 15,209,460 2012-11-05 $1.12 $1.00 72.5% 15.9% 101.2% 54.7% 55.8% 3.5% 1.4% 8.3M -391.4M -2.9M 0.69 5.40 N/A N/A 2,039,800 1,407,350 16,486,680 13,626,620 2012-11-06 $1.09 $1.00 77.1% 16.2% 101.8% 61.7% 57.0% 3.4% -0.3% 6.9M -297.5M -3.0M 1.09 7.10 N/A N/A 1,846,180 2,019,710 16,799,090 14,079,870 2012-11-07 $1.11 $1.00 59.4% 16.3% 95.9% 34.8% 57.3% 1.9% 0.1% 8.1M -351.3M -3.0M 1.09 5.81 N/A N/A 1,379,980 1,503,670 17,064,460 14,688,590 2012-11-08 $1.09 $1.00 58.1% 16.9% 85.9% 32.7% 59.3% 1.8% -0.4% 5.6M -249.4M -2.9M 0.99 6.55 N/A N/A 1,704,500 1,684,970 17,077,270 14,782,880 2012-11-09 $1.11 $1.00 59.8% 17.3% 86.1% 35.3% 60.9% 2.7% -0.2% 10.1M -338.6M -3.0M 0.75 7.40 N/A N/A 2,121,490 1,585,990 17,190,390 15,011,220 2012-11-12 $1.12 $1.00 60.7% 16.7% 86.1% 36.8% 58.3% 2.5% 0.7% 7.0M -350.0M -2.9M 0.97 6.86 N/A N/A 1,104,600 1,075,900 16,526,930 14,482,300 2012-11-13 $1.14 $1.00 61.8% 16.4% 85.2% 38.4% 57.8% 1.4% 1.1% 7.9M -401.5M -2.9M 0.73 6.67 N/A N/A 1,974,070 1,431,920 16,596,160 14,624,260 2012-11-14 $1.14 $1.00 54.4% 16.8% 85.3% 27.3% 59.5% 1.0% 0.2% 7.6M -402.0M -2.9M 0.86 6.68 N/A N/A 1,401,120 1,211,000 16,707,390 14,911,260 2012-11-15 $1.16 $1.00 57.0% 16.3% 85.3% 31.2% 57.9% -0.2% 0.9% 9.5M -474.6M -2.9M 0.95 7.53 N/A N/A 1,560,860 1,481,760 16,533,300 14,946,890 2012-11-16 $1.16 $1.00 53.8% 15.4% 84.9% 26.3% 54.2% -1.9% 2.1% 7.7M -457.8M -2.8M 0.96 7.03 N/A N/A 2,790,410 2,686,040 16,696,890 15,243,200 2012-11-19 $1.16 $1.04 51.4% 14.7% 84.4% 22.7% 51.9% -0.8% 3.0% 4.9M -264.6M -2.8M 0.84 4.30 N/A N/A 1,199,450 1,006,950 13,803,160 11,375,700 2012-11-20 $1.18 $1.04 52.1% 14.9% 82.7% 23.7% 52.8% 0.6% 3.0% 6.1M -295.9M -2.9M 0.58 5.28 N/A N/A 1,609,720 931,210 14,067,620 11,605,020 2012-11-21 $1.19 $1.04 49.7% 14.3% 81.8% 20.1% 50.7% 0.9% 3.5% 7.5M -314.0M -2.8M 0.94 4.73 N/A N/A 1,016,610 958,090 14,450,240 11,763,010 2012-11-23 $1.18 $1.07 51.0% 14.6% 81.9% 22.1% 52.2% 1.6% 2.3% 5.7M -299.5M -2.8M 0.80 4.62 N/A N/A 628,950 502,180 14,607,040 12,043,990 2012-11-26 $1.17 $1.07 51.5% 14.8% 64.9% 22.8% 52.2% 1.2% 2.7% 5.6M -266.6M -2.7M 0.86 5.73 N/A N/A 880,600 761,460 14,141,890 11,738,230 2012-11-27 $1.19 $1.07 52.7% 15.1% 64.9% 24.6% 53.6% 0.2% 1.7% 6.2M -299.9M -2.7M 0.51 6.89 N/A N/A 1,217,510 619,360 14,364,140 12,005,630 2012-11-28 $1.17 $1.07 51.4% 14.7% 51.2% 22.6% 52.1% -0.4% 2.1% 5.9M -256.2M -2.7M 0.84 6.06 N/A N/A 611,310 514,010 14,496,370 12,218,640 2012-11-29 $1.16 $1.07 47.6% 13.7% 23.9% 16.9% 48.1% -0.3% 3.9% 4.1M -219.3M -2.6M 1.24 4.77 N/A N/A 724,220 900,060 14,570,500 12,322,310 2012-11-30 $1.17 $1.07 49.4% 14.3% 22.6% 19.7% 51.4% 1.0% 3.2% 5.0M -227.5M -2.7M 1.15 8.87 N/A N/A 1,245,300 1,436,400 14,643,860 12,493,740
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