NFLX Options History — March 2013

In March 2013, NFLX traded between $2.58 and $2.75. ATM implied volatility averaged 51.8%, placing in the 23.3% IV rank vs the trailing year. The 30-day expected move averaged 14.9%. IV traded above realized volatility by 12.0% (HV 20d: 39.8%). Max pain ranged from $2.57 to $2.86. Net GEX was positive for 18 of 20 trading days. Term structure was in contango for 15 of 20 days. Put/call ratio averaged 0.90.

Notable Days

2013-03-13: Highest Volume — 11,074,210 contracts
2013-03-25: Largest IV spike — 27.7% change
2013-03-27: Highest IV Rank — 57.5%
2013-03-27: Largest Expected Move — 21.3%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$2.64	$2.58	$2.75	$2.71	$2.70
Max Pain	$2.65	$2.57	$2.86	$2.71	$2.64
ATM IV	51.8%	43.8%	74.4%	49.3%	73.1%
Expected Move	14.9%	12.4%	21.3%	14.2%	21.2%
HV 20d	39.8%	33.8%	47.8%	44.3%	37.0%
HV 60d	83.6%	82.8%	86.3%	86.3%	83.7%
IV Rank	23.3%	11.1%	57.5%	19.5%	55.5%
IV Percentile	27.3%	2.0%	89.7%	18.3%	88.1%
Term Structure	4.2%	-10.8%	27.0%	-0.9%	-4.5%
VWIV	52.3%	43.7%	73.8%	50.0%	73.7%
Skew 25d	2.9%	0.4%	6.6%	3.1%	5.1%
Skew 10d	5.9%	1.2%	10.6%	6.7%	9.4%
Call IV 25d	50.8%	42.8%	70.8%	48.4%	70.8%
Put IV 25d	53.7%	44.4%	76.3%	51.5%	75.9%
Bid-Ask Spread %	13.24	4.34	25.58	19.85	17.02
Gamma HHI	0.14	0.07	0.59	0.27	0.08
Net GEX	11.3M	-42.0M	90.0M	32.8M	13.7M
Net DEX	-881.8M	-1.42B	-584.6M	-1.23B	-820.7M
Net VEX	-4.7M	-5.0M	-4.4M	-4.7M	-4.9M
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	0.90	0.69	1.15	0.69	0.90
Total Volume	5,045,845	1,863,890	11,074,210	4,661,440	4,971,050
Total OI	22,807,127	16,708,650	28,038,220	26,416,950	22,026,200

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
2013-03-01	$2.71	$2.71	49.3%	14.2%	44.3%	19.5%	50.0%	3.1%	-0.9%	32.8M	-1.23B	-4.7M	0.69	19.85	N/A	N/A	2,762,410	1,899,030	11,434,500	14,982,450
2013-03-04	$2.59	$2.71	50.3%	14.4%	47.8%	21.0%	50.8%	2.8%	1.0%	1.1M	-841.4M	-4.5M	0.92	16.75	N/A	N/A	3,462,900	3,169,810	10,082,100	13,505,730
2013-03-05	$2.60	$2.71	49.6%	14.2%	43.3%	19.9%	49.2%	3.4%	1.3%	4.1M	-885.7M	-4.6M	1.04	25.58	N/A	N/A	2,291,870	2,381,050	10,775,940	13,938,190
2013-03-06	$2.61	$2.71	48.0%	13.8%	43.3%	17.6%	48.2%	2.7%	1.5%	5.9M	-954.2M	-4.7M	0.97	24.71	N/A	N/A	1,572,200	1,529,150	11,217,010	14,372,820
2013-03-07	$2.59	$2.71	48.2%	13.8%	38.5%	17.7%	48.3%	2.0%	2.0%	3.1M	-884.3M	-4.6M	0.91	19.09	N/A	N/A	3,131,240	2,844,940	11,435,550	14,496,930
2013-03-08	$2.64	$2.64	47.7%	13.7%	38.7%	17.1%	48.2%	2.1%	2.1%	90.0M	-1.08B	-4.6M	0.86	21.79	N/A	N/A	2,783,480	2,401,280	11,882,010	14,789,810
2013-03-11	$2.58	$2.64	46.8%	13.4%	39.6%	15.6%	47.5%	1.9%	2.5%	3.8M	-852.8M	-4.4M	1.02	17.18	N/A	N/A	1,907,640	1,950,410	10,708,040	13,725,460
2013-03-12	$2.60	$2.64	44.4%	12.7%	39.2%	12.1%	44.5%	1.6%	2.7%	5.7M	-900.5M	-4.4M	1.15	20.06	N/A	N/A	1,802,080	2,070,040	10,995,670	14,115,430
2013-03-13	$2.75	$2.64	46.5%	13.3%	43.6%	15.2%	47.1%	0.4%	1.6%	32.5M	-1.42B	-4.5M	0.86	17.72	N/A	N/A	5,966,940	5,107,270	11,358,690	14,411,740
2013-03-14	$2.69	$0.00	45.0%	12.8%	41.5%	12.9%	45.0%	1.2%	1.2%	11.5M	-1.09B	-4.7M	0.86	7.55	N/A	N/A	3,428,320	2,956,170	12,101,460	15,452,850
2013-03-15	$2.64	$2.86	43.8%	12.4%	42.0%	11.1%	43.7%	1.5%	2.1%	-42.0M	-835.6M	-4.6M	1.02	12.76	N/A	N/A	2,401,770	2,453,360	12,434,590	15,603,630
2013-03-18	$2.65	$2.57	45.4%	13.2%	41.8%	13.5%	46.5%	2.7%	15.9%	5.5M	-707.1M	-4.5M	0.81	5.79	N/A	N/A	1,753,360	1,420,510	8,128,050	8,580,600
2013-03-19	$2.59	$2.57	45.9%	13.3%	40.0%	14.3%	46.4%	2.7%	15.6%	970.4K	-584.6M	-4.6M	0.93	4.97	N/A	N/A	1,859,830	1,724,870	8,718,500	9,048,550
2013-03-20	$2.61	$2.57	46.1%	13.3%	36.6%	14.7%	47.3%	3.3%	15.9%	7.3M	-682.0M	-4.8M	0.81	5.04	N/A	N/A	1,028,720	835,170	9,363,760	9,467,150
2013-03-21	$2.60	$2.57	45.3%	13.0%	36.6%	13.4%	45.4%	2.6%	26.2%	2.2M	-643.9M	-4.8M	0.86	4.34	N/A	N/A	1,960,210	1,678,600	9,580,270	9,695,630
2013-03-22	$2.59	$2.57	51.3%	12.9%	33.8%	22.5%	45.1%	1.8%	27.0%	-3.9M	-617.0M	-4.8M	0.99	5.69	N/A	N/A	1,729,210	1,703,730	9,958,760	10,033,940
2013-03-25	$2.58	$2.64	65.5%	20.8%	33.8%	44.0%	73.1%	4.0%	-9.4%	3.7M	-626.0M	-4.7M	0.99	5.07	N/A	N/A	1,430,660	1,418,480	8,959,930	9,075,570
2013-03-26	$2.72	$2.57	70.2%	21.1%	37.6%	51.1%	73.1%	6.6%	-10.0%	23.7M	-1.02B	-4.7M	0.74	4.34	N/A	N/A	4,979,730	3,692,010	9,301,740	9,441,740
2013-03-27	$2.72	$2.57	74.4%	21.3%	37.6%	57.5%	73.8%	5.6%	-10.8%	25.1M	-963.8M	-5.0M	0.72	9.56	N/A	N/A	4,907,700	3,549,700	10,365,040	10,576,510
2013-03-28	$2.70	$2.64	73.1%	21.2%	37.0%	55.5%	73.7%	5.1%	-4.5%	13.7M	-820.7M	-4.9M	0.90	17.02	N/A	N/A	2,618,490	2,352,560	10,970,260	11,055,940