NFLX Options History — April 2013 In April 2013, NFLX traded between $2.33 and $3.10. ATM implied volatility averaged 70.8%, placing in the 51.2% IV rank vs the trailing year. The 30-day expected move averaged 20.2%. IV traded above realized volatility by 16.4% (HV 20d: 54.3%). Max pain ranged from $2.36 to $3.07. Net GEX was positive for 14 of 22 trading days. Term structure was in contango for 2 of 22 days. Put/call ratio averaged 0.86.
Notable Days 2013-04-23 : Highest Volume — 17,291,260 contracts2013-04-23 : Largest IV drop — 39.3% change2013-04-10 : Highest IV Rank — 75.3%2013-04-10 : Largest Expected Move — 24.7%Monthly Statistics Metric Avg Min Max Open Close Price $2.61 $2.33 $3.10 $2.61 $3.09 Max Pain $2.62 $2.36 $3.07 $2.64 $3.07 ATM IV 70.8% 42.2% 86.1% 74.5% 42.2% Expected Move 20.2% 12.1% 24.7% 20.9% 12.1% HV 20d 54.3% 37.6% 92.3% 39.2% 88.4% HV 60d 77.3% 58.1% 85.3% 84.2% 61.3% IV Rank 51.2% 6.6% 75.3% 57.7% 6.6% IV Percentile 71.3% 1.6% 98.4% 90.1% 1.6% Term Structure -8.1% -18.0% 0.4% -7.8% 0.4% VWIV 70.4% 42.7% 85.6% 72.0% 42.7% Skew 25d 5.4% 1.9% 9.5% 5.1% 1.9% Skew 10d 9.1% 4.0% 14.3% 8.9% 4.0% Call IV 25d 67.4% 41.1% 81.4% 69.7% 41.6% Put IV 25d 72.8% 43.5% 89.9% 74.8% 43.5% Bid-Ask Spread % 5.95 2.30 12.74 4.10 9.26 Gamma HHI 0.10 0.05 0.55 0.07 0.09 Net GEX 6.9M -56.6M 50.4M 1.2M 25.7M Net DEX -787.6M -2.53B 18.5M -586.6M -1.48B Net VEX -5.2M -5.7M -4.7M -4.7M -5.5M Div Yield 0.0% 0.0% 0.0% 0.0% 0.0% P/C Ratio 0.86 0.66 1.14 0.91 0.70 Total Volume 6,593,885.455 3,113,180 17,291,260 4,042,010 3,949,120 Total OI 23,557,144.545 18,882,710 27,657,210 19,649,630 23,015,720
Daily Data (22 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 2013-04-01 $2.61 $2.64 74.5% 20.9% 39.2% 57.7% 72.0% 5.1% -7.8% 1.2M -586.6M -4.7M 0.91 4.10 N/A N/A 2,114,840 1,927,170 9,699,410 9,950,220 2013-04-02 $2.52 $2.64 77.2% 21.9% 37.6% 61.8% 75.6% 4.1% -9.2% -11.5M -361.6M -4.7M 1.08 3.37 N/A N/A 2,591,890 2,796,640 10,172,470 10,417,890 2013-04-03 $2.42 $2.64 77.6% 22.2% 40.0% 62.4% 77.1% 6.5% -10.4% -16.2M -82.5M -4.7M 0.85 5.12 N/A N/A 6,964,370 5,897,570 10,895,850 10,867,640 2013-04-04 $2.38 $2.50 78.1% 22.4% 40.2% 63.1% 77.2% 7.4% -10.2% -12.3M -43.4M -5.2M 1.10 4.08 N/A N/A 3,155,880 3,472,910 12,378,450 11,747,400 2013-04-05 $2.35 $2.50 79.3% 22.7% 40.3% 65.0% 78.3% 6.9% -10.1% -56.6M 18.5M -5.2M 0.98 3.12 N/A N/A 3,485,090 3,401,300 12,781,090 11,937,590 2013-04-08 $2.33 $2.50 84.2% 24.2% 39.4% 72.5% 84.0% 7.5% -12.2% -3.8M -153.6M -5.0M 0.88 3.44 N/A N/A 3,204,670 2,826,180 11,094,860 10,694,390 2013-04-09 $2.42 $2.50 85.7% 24.6% 41.8% 74.6% 85.2% 9.5% -13.6% 8.9M -459.3M -5.3M 0.68 2.69 N/A N/A 3,058,160 2,082,570 11,897,270 11,203,780 2013-04-10 $2.37 $2.50 86.1% 24.7% 42.0% 75.3% 85.6% 8.4% -13.9% 3.2M -289.0M -5.2M 0.80 3.90 N/A N/A 2,042,320 1,630,440 12,314,960 11,525,920 2013-04-11 $2.47 $0.00 79.2% 23.0% 39.6% 64.1% 80.4% 7.2% -6.2% 21.2M -630.9M -5.3M 0.73 2.30 N/A N/A 3,055,850 2,217,390 12,474,140 11,698,750 2013-04-12 $2.47 $2.50 80.0% 23.5% 39.2% 65.3% 84.3% 7.2% -6.7% 7.1M -607.6M -5.3M 0.93 3.07 N/A N/A 3,474,380 3,213,910 12,848,080 12,014,450 2013-04-15 $2.52 $2.57 83.0% 22.9% 39.6% 69.9% 78.4% 7.4% -16.3% 11.2M -716.2M -5.3M 0.82 4.77 N/A N/A 4,088,140 3,362,310 11,255,300 11,125,030 2013-04-16 $2.51 $2.57 82.6% 23.1% 39.5% 69.3% 79.7% 6.6% -17.1% 10.5M -682.7M -5.3M 0.79 5.96 N/A N/A 2,227,190 1,761,270 11,846,730 11,747,330 2013-04-17 $2.42 $2.57 83.3% 23.6% 40.9% 70.4% 80.9% 5.2% -18.0% -463.2K -404.5M -5.2M 0.66 5.16 N/A N/A 2,895,060 1,896,300 12,188,400 11,914,420 2013-04-18 $2.34 $2.57 81.7% 23.4% 41.9% 67.9% 82.2% 4.1% -4.7% -7.4M -215.8M -5.0M 0.93 5.03 N/A N/A 2,410,520 2,238,180 12,828,200 11,787,090 2013-04-19 $2.33 $2.57 79.3% 23.0% 41.9% 64.3% 80.4% 4.6% -4.4% -783.3K -213.0M -4.9M 1.14 4.86 N/A N/A 2,251,690 2,570,750 12,986,470 11,721,150 2013-04-22 $2.49 $2.36 78.6% 22.0% 48.8% 63.1% 77.3% 5.3% -13.0% 8.7M -656.8M -5.1M 0.81 10.52 N/A N/A 7,357,420 5,994,520 9,778,230 9,104,480 2013-04-23 $3.10 $2.50 47.7% 13.7% 92.3% 15.1% 48.0% 2.2% -1.9% 50.4M -2.53B -5.1M 0.77 12.74 N/A N/A 9,774,730 7,516,530 12,812,030 11,533,830 2013-04-24 $3.10 $2.71 47.0% 13.5% 90.9% 14.2% 47.0% 2.9% -1.4% 41.8M -2.14B -5.7M 0.87 11.42 N/A N/A 4,634,560 4,034,520 13,328,490 13,314,210 2013-04-25 $3.05 $2.79 44.7% 12.8% 91.1% 10.5% 45.6% 2.8% -0.9% 22.7M -1.82B -5.7M 0.87 8.29 N/A N/A 2,543,240 2,205,210 13,550,110 14,107,100 2013-04-26 $3.08 $2.79 42.3% 12.2% 91.0% 6.7% 43.0% 2.4% -0.4% 25.8M -1.83B -5.5M 0.89 8.02 N/A N/A 2,982,210 2,645,300 13,165,880 14,389,480 2013-04-29 $3.07 $3.07 42.4% 12.1% 89.6% 6.9% 43.3% 2.7% 0.1% 22.9M -1.45B -5.4M 0.83 9.67 N/A N/A 1,704,010 1,409,170 10,878,140 11,264,750 2013-04-30 $3.09 $3.07 42.2% 12.1% 88.4% 6.6% 42.7% 1.9% 0.4% 25.7M -1.48B -5.5M 0.70 9.26 N/A N/A 2,324,840 1,624,280 11,244,940 11,770,780
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