NFLX Options History — December 2012

In December 2012, NFLX traded between $1.09 and $1.37. ATM implied volatility averaged 56.0%, placing in the 29.6% IV rank vs the trailing year. The 30-day expected move averaged 15.6%. IV traded below realized volatility by 4.0% (HV 20d: 60.0%). Max pain ranged from $1.07 to $1.25. Net GEX was positive for 20 of 20 trading days. Term structure was in contango for 17 of 20 days. Put/call ratio averaged 0.76.

Notable Days

2012-12-04: Highest Volume — 10,257,660 contracts
2012-12-04: Largest IV spike — 27.1% change
2012-12-04: Highest IV Rank — 67.9%
2012-12-04: Largest Expected Move — 17.0%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$1.28	$1.09	$1.37	$1.09	$1.32
Max Pain	$1.20	$1.07	$1.25	$1.07	$1.25
ATM IV	56.0%	46.4%	81.3%	63.9%	47.4%
Expected Move	15.6%	13.9%	17.0%	15.2%	15.0%
HV 20d	60.0%	34.8%	63.8%	34.8%	63.8%
HV 60d	73.6%	69.7%	75.1%	69.7%	72.8%
IV Rank	29.6%	15.0%	67.9%	41.6%	16.5%
IV Percentile	40.7%	8.7%	92.9%	68.3%	11.9%
Term Structure	10.8%	-2.8%	18.4%	-0.1%	16.9%
VWIV	55.2%	49.6%	60.6%	53.5%	53.1%
Skew 25d	-1.0%	-3.0%	2.7%	2.7%	-2.9%
Skew 10d	-2.6%	-7.1%	5.0%	5.0%	-6.8%
Call IV 25d	55.9%	50.3%	61.6%	52.4%	55.4%
Put IV 25d	54.9%	49.3%	59.8%	55.1%	52.5%
Bid-Ask Spread %	7.59	3.88	52.13	6.56	4.05
Gamma HHI	0.10	0.05	0.17	0.05	0.10
Net GEX	8.9M	1.7M	16.2M	1.7M	6.6M
Net DEX	-456.4M	-790.3M	-20.5M	-20.5M	-325.7M
Net VEX	-2.6M	-2.9M	-2.4M	-2.5M	-2.4M
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	0.76	0.55	1.13	1.13	0.67
Total Volume	3,651,371.5	874,440	10,257,660	4,204,130	1,611,120
Total OI	27,483,872.5	21,022,890	31,048,920	26,624,850	21,506,940

Daily Data (20 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
2012-12-03	$1.09	$1.07	63.9%	15.2%	34.8%	41.6%	53.5%	2.7%	-0.1%	1.7M	-20.5M	-2.5M	1.13	6.56	N/A	N/A	1,971,340	2,232,790	14,400,820	12,224,030
2012-12-04	$1.24	$1.07	81.3%	17.0%	58.2%	67.9%	59.7%	-2.2%	-2.8%	8.6M	-457.1M	-2.7M	0.70	8.01	N/A	N/A	6,023,360	4,234,300	14,750,120	12,817,980
2012-12-05	$1.19	$1.07	67.6%	16.9%	59.3%	47.3%	60.6%	-2.3%	-0.1%	8.2M	-336.8M	-2.8M	0.58	6.18	N/A	N/A	4,104,940	2,387,210	15,843,870	13,395,130
2012-12-06	$1.23	$1.07	60.1%	16.3%	60.1%	35.8%	58.4%	-2.0%	2.0%	11.8M	-463.5M	-2.9M	0.58	5.15	N/A	N/A	3,508,820	2,047,920	16,270,800	13,670,930
2012-12-07	$1.23	$1.18	55.2%	16.0%	59.3%	28.4%	56.5%	-0.7%	7.3%	8.2M	-449.3M	-2.8M	0.59	5.02	N/A	N/A	3,302,460	1,939,840	16,485,630	13,992,860
2012-12-10	$1.21	$1.21	52.7%	15.5%	59.2%	24.6%	54.8%	-0.3%	8.4%	7.1M	-341.5M	-2.7M	0.78	4.48	N/A	N/A	810,950	633,430	15,350,440	13,184,920
2012-12-11	$1.23	$1.21	56.6%	15.8%	59.3%	30.6%	55.3%	0.6%	8.0%	7.8M	-389.4M	-2.7M	1.13	4.53	N/A	N/A	1,102,290	1,244,880	15,380,400	13,337,380
2012-12-12	$1.30	$1.21	58.0%	16.5%	61.6%	32.7%	57.5%	1.8%	5.3%	12.5M	-601.7M	-2.7M	0.55	4.66	N/A	N/A	4,861,570	2,669,940	15,545,460	13,585,600
2012-12-13	$1.32	$1.21	59.0%	16.9%	61.8%	34.2%	59.9%	-0.3%	12.0%	14.2M	-698.0M	-2.9M	0.63	4.40	N/A	N/A	2,573,270	1,633,520	16,242,380	14,191,380
2012-12-14	$1.33	$1.21	56.8%	16.3%	61.5%	30.8%	57.1%	-1.0%	12.6%	12.8M	-752.0M	-2.9M	0.73	4.81	N/A	N/A	2,014,950	1,465,100	16,555,280	14,493,640
2012-12-17	$1.35	$1.21	55.7%	16.0%	61.4%	29.2%	56.7%	-0.6%	13.8%	14.9M	-761.3M	-2.7M	0.88	52.13	N/A	N/A	1,393,000	1,225,210	15,866,900	13,874,350
2012-12-18	$1.37	$1.21	51.1%	14.7%	61.4%	22.3%	52.2%	-0.5%	17.2%	16.2M	-790.3M	-2.7M	0.65	4.44	N/A	N/A	2,195,340	1,423,100	15,849,330	14,103,880
2012-12-19	$1.34	$1.21	50.6%	14.5%	62.0%	21.5%	51.5%	-1.2%	18.4%	13.6M	-673.6M	-2.7M	0.86	5.15	N/A	N/A	1,934,450	1,664,180	15,723,120	14,413,210
2012-12-20	$1.34	$1.25	50.9%	14.6%	62.1%	21.9%	52.0%	-0.7%	16.7%	11.2M	-603.3M	-2.6M	1.03	4.97	N/A	N/A	983,780	1,014,440	15,542,030	14,651,770
2012-12-21	$1.30	$1.25	48.4%	13.9%	63.0%	18.1%	49.6%	-1.0%	17.7%	3.6M	-485.1M	-2.5M	0.89	9.44	N/A	N/A	1,316,070	1,168,440	15,531,670	14,784,560
2012-12-24	$1.29	$1.25	49.4%	14.1%	63.0%	19.5%	50.4%	-0.6%	17.7%	4.5M	-244.3M	-2.4M	0.85	3.88	N/A	N/A	471,660	402,780	11,689,790	9,333,100
2012-12-26	$1.29	$1.25	54.7%	15.7%	63.0%	27.7%	55.8%	-2.7%	14.4%	4.7M	-263.6M	-2.4M	0.56	4.65	N/A	N/A	1,375,080	766,640	11,812,150	9,456,580
2012-12-27	$1.29	$1.25	54.2%	15.5%	62.8%	26.8%	55.2%	-2.8%	15.4%	4.8M	-256.7M	-2.4M	0.71	4.76	N/A	N/A	1,149,190	816,690	12,154,590	9,604,560
2012-12-28	$1.28	$1.25	46.4%	15.5%	62.9%	15.0%	55.0%	-3.0%	15.7%	4.5M	-214.2M	-2.4M	0.79	4.55	N/A	N/A	757,890	595,490	12,291,300	9,768,570
2012-12-31	$1.32	$1.25	47.4%	15.0%	63.8%	16.5%	53.1%	-2.9%	16.9%	6.6M	-325.7M	-2.4M	0.67	4.05	N/A	N/A	962,500	648,620	11,966,430	9,540,510