NFLX Options History — January 2013 In January 2013, NFLX traded between $1.31 and $2.42. ATM implied volatility averaged 64.0%, placing in the 41.8% IV rank vs the trailing year. The 30-day expected move averaged 19.2%. IV traded above realized volatility by 0.7% (HV 20d: 63.3%). Max pain ranged from $1.25 to $2.29. Net GEX was positive for 21 of 21 trading days. Term structure was in contango for 2 of 21 days. Put/call ratio averaged 0.93.
Notable Days 2013-01-25 : Highest Volume — 20,923,560 contracts2013-01-10 : Largest IV spike — 43.0% change2013-01-23 : Highest IV Rank — 64.7%2013-01-23 : Largest Expected Move — 22.7%Monthly Statistics Metric Avg Min Max Open Close Price $1.67 $1.31 $2.42 $1.31 $2.36 Max Pain $1.54 $1.25 $2.29 $1.25 $2.29 ATM IV 64.0% 45.4% 79.1% 53.0% 63.1% Expected Move 19.2% 14.4% 22.7% 14.4% 18.1% HV 20d 63.3% 33.3% 131.0% 57.0% 131.0% HV 60d 70.9% 62.3% 90.8% 70.1% 85.7% IV Rank 41.8% 13.5% 64.7% 25.1% 40.5% IV Percentile 65.4% 5.6% 94.8% 36.9% 71.4% Term Structure -4.7% -16.2% 17.7% 17.7% -3.2% VWIV 66.9% 51.4% 79.1% 51.4% 63.6% Skew 25d 3.2% -3.2% 9.4% -2.7% 2.4% Skew 10d 5.0% -7.4% 14.3% -7.4% 5.0% Call IV 25d 65.0% 49.1% 72.4% 52.7% 62.8% Put IV 25d 68.2% 50.0% 81.9% 50.0% 65.2% Bid-Ask Spread % 7.85 2.93 24.28 4.12 14.66 Gamma HHI 0.13 0.07 0.39 0.10 0.07 Net GEX 7.3M 1.8M 13.0M 7.3M 2.6M Net DEX -723.2M -1.92B -239.9M -311.7M -1.23B Net VEX -2.7M -4.2M -1.9M -2.3M -4.2M Div Yield 0.0% 0.0% 0.0% 0.0% 0.0% P/C Ratio 0.93 0.58 1.43 0.82 0.81 Total Volume 6,344,806.667 2,128,700 20,923,560 2,128,700 6,650,630 Total OI 23,243,473.333 13,372,800 27,407,940 21,964,810 27,407,940
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 2013-01-02 $1.31 $1.25 53.0% 14.4% 57.0% 25.1% 51.4% -2.7% 17.7% 7.3M -311.7M -2.3M 0.82 4.12 N/A N/A 1,171,870 956,830 12,271,420 9,693,390 2013-01-03 $1.38 $1.29 50.7% 15.1% 38.0% 21.7% 53.0% -3.2% 16.1% 11.8M -474.6M -2.3M 0.62 4.95 N/A N/A 3,070,060 1,905,330 12,534,060 9,961,350 2013-01-04 $1.37 $1.32 45.4% 19.3% 34.6% 13.5% 67.0% 2.6% -6.3% 9.2M -465.9M -2.4M 0.83 9.16 N/A N/A 1,475,320 1,228,010 13,250,020 10,497,130 2013-01-07 $1.42 $1.32 58.1% 19.8% 34.6% 32.9% 69.3% 1.8% -7.0% 10.4M -530.5M -2.4M 0.98 7.87 N/A N/A 3,418,310 3,358,530 12,671,540 10,231,970 2013-01-08 $1.39 $1.36 61.8% 20.1% 35.8% 38.4% 70.1% 1.8% -7.5% 8.7M -440.3M -2.5M 0.78 7.96 N/A N/A 1,734,390 1,348,900 13,186,530 10,952,340 2013-01-09 $1.37 $1.36 47.2% 19.5% 35.8% 16.3% 67.1% 2.3% -7.0% 6.9M -354.4M -2.4M 0.58 4.10 N/A N/A 1,493,660 872,410 13,257,860 11,234,160 2013-01-10 $1.40 $1.36 67.5% 19.4% 36.1% 47.1% 66.8% 2.4% -7.0% 12.4M -464.8M -2.4M 0.59 5.16 N/A N/A 2,361,380 1,385,650 13,522,810 11,340,280 2013-01-11 $1.45 $1.36 70.1% 20.1% 33.3% 51.0% 69.7% 3.6% -7.3% 10.0M -635.9M -2.4M 0.87 2.93 N/A N/A 2,915,430 2,536,100 13,795,950 11,712,400 2013-01-14 $1.48 $1.36 70.6% 20.2% 33.4% 51.7% 70.7% 3.8% -7.9% 10.6M -627.8M -2.4M 0.98 3.81 N/A N/A 1,634,360 1,600,620 13,132,980 11,549,580 2013-01-15 $1.45 $1.36 70.4% 20.2% 34.3% 51.5% 69.3% 5.6% -8.0% 9.1M -540.0M -2.4M 0.70 4.84 N/A N/A 1,578,150 1,105,020 13,224,960 11,955,860 2013-01-16 $1.39 $1.39 72.3% 20.7% 37.8% 54.3% 71.0% 4.4% -9.0% 4.0M -334.9M -2.4M 1.37 4.00 N/A N/A 1,531,460 2,098,670 13,313,440 12,197,290 2013-01-17 $1.40 $1.39 72.6% 20.8% 37.7% 54.8% 71.9% 4.8% -9.9% 4.6M -341.3M -2.3M 0.86 4.35 N/A N/A 1,770,720 1,516,690 13,280,400 12,340,230 2013-01-18 $1.42 $1.39 70.8% 20.3% 37.3% 52.2% 70.1% 5.7% -8.6% 13.0M -406.7M -2.3M 1.02 5.57 N/A N/A 2,685,200 2,729,370 13,551,650 12,635,980 2013-01-22 $1.40 $1.39 70.7% 20.3% 37.7% 51.9% 69.4% 4.4% -10.7% 1.8M -239.9M -2.3M 1.17 4.97 N/A N/A 1,427,440 1,672,510 6,298,530 7,074,270 2013-01-23 $1.48 $1.39 79.1% 22.7% 40.6% 64.7% 79.1% 9.4% -16.2% 3.4M -365.8M -2.4M 1.43 6.94 N/A N/A 4,068,610 5,826,380 6,799,380 7,813,400 2013-01-24 $2.01 $1.43 52.2% 15.0% 114.9% 23.8% 52.3% 7.8% -1.2% 6.2M -1.44B -1.9M 1.05 5.60 N/A N/A 8,259,370 8,645,350 8,248,520 10,143,280 2013-01-25 $2.42 $0.00 69.3% 20.1% 128.4% 49.9% 72.0% 4.3% -2.4% 5.8M -1.92B -3.0M 1.37 24.28 N/A N/A 8,810,130 12,113,430 9,664,620 13,113,170 2013-01-28 $2.32 $2.29 66.3% 19.0% 130.7% 45.3% 66.8% 1.8% -3.9% 2.0M -1.28B -3.7M 0.96 13.81 N/A N/A 6,236,650 6,002,500 9,058,560 13,137,950 2013-01-29 $2.42 $2.29 67.7% 19.3% 129.8% 47.4% 68.4% 1.4% -4.8% 5.5M -1.45B -3.9M 0.90 6.63 N/A N/A 4,179,840 3,762,920 10,813,250 14,722,610 2013-01-30 $2.40 $2.29 65.1% 18.7% 130.6% 43.5% 65.9% 3.5% -4.2% 7.0M -1.34B -4.1M 0.78 19.17 N/A N/A 3,433,710 2,669,030 11,466,980 15,054,900 2013-01-31 $2.36 $2.29 63.1% 18.1% 131.0% 40.5% 63.6% 2.4% -3.2% 2.6M -1.23B -4.2M 0.81 14.66 N/A N/A 3,667,580 2,983,050 11,941,020 15,466,920
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