NFLX Options History — February 2013

In February 2013, NFLX traded between $2.35 and $2.81. ATM implied volatility averaged 55.1%, placing in the 28.3% IV rank vs the trailing year. The 30-day expected move averaged 15.8%. IV traded below realized volatility by 55.5% (HV 20d: 110.6%). Max pain ranged from $1.93 to $2.71. Net GEX was positive for 18 of 19 trading days. Term structure was in contango for 9 of 19 days. Put/call ratio averaged 0.92.

Notable Days

  • 2013-02-06: Highest Volume — 11,038,790 contracts
  • 2013-02-04: Largest IV spike — 8.9% change
  • 2013-02-04: Highest IV Rank — 44.5%
  • 2013-02-04: Largest Expected Move — 18.9%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$2.61$2.35$2.81$2.35$2.69
Max Pain$2.41$1.93$2.71$2.29$2.71
ATM IV55.1%50.2%65.8%60.4%50.8%
Expected Move15.8%14.4%18.9%17.3%14.6%
HV 20d110.6%44.9%132.7%131.2%44.9%
HV 60d87.0%85.8%88.4%85.8%88.2%
IV Rank28.3%20.9%44.5%36.3%21.7%
IV Percentile45.0%24.6%77.0%66.7%28.2%
Term Structure-0.3%-2.8%1.2%-1.5%-0.6%
VWIV55.4%50.6%66.1%60.9%51.3%
Skew 25d2.5%1.3%3.8%2.3%3.8%
Skew 10d5.6%3.5%7.8%5.9%7.8%
Call IV 25d54.2%49.0%64.6%60.0%49.6%
Put IV 25d56.7%52.1%67.6%62.3%53.4%
Bid-Ask Spread %13.465.0236.5520.3017.78
Gamma HHI0.140.060.610.070.11
Net GEX14.6M-36.9M71.0M4.7M22.0M
Net DEX-1.36B-1.84B-746.4M-1.20B-1.23B
Net VEX-4.4M-4.6M-4.1M-4.1M-4.5M
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.920.721.181.030.92
Total Volume6,795,2504,166,61011,038,7908,648,8507,351,680
Total OI26,577,821.05321,745,92030,699,48028,096,25025,059,580

Daily Data (19 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2013-02-01$2.35$2.2960.4%17.3%131.2%36.3%60.9%2.3%-1.5%4.7M-1.20B-4.1M1.0320.30N/AN/A4,259,4304,389,42012,201,07015,895,180
2013-02-04$2.50$2.3665.8%18.9%131.1%44.5%66.1%3.0%-2.8%9.5M-1.43B-4.1M0.728.54N/AN/A4,351,6903,120,60010,606,12014,566,230
2013-02-05$2.49$2.3663.6%18.2%131.5%41.2%63.9%1.3%-2.0%14.4M-1.46B-4.2M0.8114.01N/AN/A3,515,9602,839,76011,632,32015,411,830
2013-02-06$2.63$2.4361.6%17.6%130.6%38.0%61.8%1.8%-2.0%26.3M-1.84B-4.2M0.8511.43N/AN/A5,956,2305,082,56011,911,55015,959,370
2013-02-07$2.60$0.0057.5%16.5%130.6%31.8%57.7%2.1%-0.1%20.4M-1.63B-4.3M0.885.31N/AN/A4,085,0603,592,96012,503,47017,142,440
2013-02-08$2.59$2.5056.6%16.3%131.2%30.5%57.9%2.5%-0.5%15.9M-1.59B-4.3M0.956.12N/AN/A2,738,5402,612,47012,696,67017,435,250
2013-02-11$2.54$1.9353.4%15.2%132.3%25.6%53.5%1.9%0.7%8.3M-1.36B-4.2M0.9614.30N/AN/A2,463,2302,363,62011,282,18015,895,530
2013-02-12$2.54$2.0052.3%14.9%132.7%24.0%53.0%2.0%0.5%10.1M-1.37B-4.3M0.958.21N/AN/A3,375,1903,211,60011,859,19016,383,500
2013-02-13$2.66$2.0752.0%14.9%131.8%23.5%52.4%2.8%0.6%26.7M-1.73B-4.3M0.815.36N/AN/A4,116,5603,335,92012,380,06017,012,240
2013-02-14$2.68$2.1452.9%15.2%129.3%24.9%53.0%2.6%1.2%31.3M-1.78B-4.3M0.816.24N/AN/A3,647,5602,937,62012,764,15017,454,640
2013-02-15$2.71$2.1451.9%14.8%129.1%23.4%51.9%2.2%0.5%71.0M-1.77B-4.3M0.758.74N/AN/A3,659,3902,753,03012,693,59018,005,890
2013-02-19$2.81$2.5752.8%15.1%128.9%24.7%53.1%3.0%0.4%20.6M-1.59B-4.2M0.837.70N/AN/A3,577,7002,955,6109,522,17012,223,750
2013-02-20$2.67$2.5752.8%15.1%131.2%24.8%52.8%2.0%-0.2%7.3M-1.15B-4.4M0.978.04N/AN/A2,879,6602,781,17010,330,60013,199,200
2013-02-21$2.67$2.6452.9%15.2%131.4%25.0%53.1%2.1%0.2%3.4M-1.13B-4.5M1.1036.55N/AN/A3,031,4903,345,16010,752,70013,723,080
2013-02-22$2.57$2.6452.6%15.1%81.5%24.4%52.6%2.0%-0.3%-36.9M-746.4M-4.5M1.1835.21N/AN/A3,520,0904,157,30011,137,21014,067,900
2013-02-25$2.56$2.7154.7%15.6%49.5%27.7%54.8%3.3%-0.8%2.5M-855.5M-4.5M0.907.26N/AN/A4,261,6703,837,6109,716,14012,902,610
2013-02-26$2.63$2.7152.3%15.0%46.8%24.0%52.5%3.2%0.1%9.6M-1.03B-4.6M1.035.02N/AN/A2,383,7102,451,89010,433,85013,608,980
2013-02-27$2.63$2.6450.2%14.4%44.9%20.9%50.6%3.1%0.4%10.4M-1.04B-4.5M1.0029.69N/AN/A2,081,7302,084,88010,756,13013,852,230
2013-02-28$2.69$2.7150.8%14.6%44.9%21.7%51.3%3.8%-0.6%22.0M-1.23B-4.5M0.9217.78N/AN/A3,830,6803,521,00010,942,75014,116,830