NFLX Options History — May 2013 In May 2013, NFLX traded between $2.95 and $3.48. ATM implied volatility averaged 42.3%, placing in the 6.8% IV rank vs the trailing year. The 30-day expected move averaged 12.1%. IV traded below realized volatility by 26.3% (HV 20d: 68.6%). Max pain ranged from $2.86 to $3.36. Net GEX was positive for 21 of 22 trading days. Term structure was in contango for 8 of 22 days. Put/call ratio averaged 0.87.
Notable Days 2013-05-15 : Highest Volume — 8,418,760 contracts2013-05-28 : Largest IV spike — 13.3% change2013-05-29 : Highest IV Rank — 17.1%2013-05-29 : Largest Expected Move — 14.0%Monthly Statistics Metric Avg Min Max Open Close Price $3.20 $2.95 $3.48 $3.04 $3.23 Max Pain $3.05 $2.86 $3.36 $3.07 $3.14 ATM IV 42.3% 39.3% 48.9% 41.1% 47.3% Expected Move 12.1% 11.2% 14.0% 11.8% 13.6% HV 20d 68.6% 32.4% 86.9% 86.9% 44.4% HV 60d 59.8% 58.9% 61.0% 60.4% 60.7% IV Rank 6.8% 2.1% 17.1% 4.9% 14.5% IV Percentile 7.1% 0.8% 28.6% 1.6% 23.8% Term Structure -0.0% -1.6% 2.2% 0.6% -0.9% VWIV 42.9% 39.3% 49.7% 41.8% 47.8% Skew 25d 0.6% -1.7% 3.1% 1.3% 0.6% Skew 10d 1.7% -2.1% 5.9% 3.0% 2.0% Call IV 25d 42.5% 38.7% 49.2% 41.0% 47.5% Put IV 25d 43.1% 40.6% 50.0% 42.3% 48.1% Bid-Ask Spread % 11.48 4.34 25.26 7.29 8.66 Gamma HHI 0.10 0.06 0.26 0.08 0.26 Net GEX 21.2M -10.3M 53.9M 16.5M 44.9M Net DEX -1.35B -2.37B -668.5M -1.31B -1.32B Net VEX -5.6M -6.1M -5.2M -5.5M -6.1M Div Yield 0.0% 0.0% 0.0% 0.0% 0.0% P/C Ratio 0.87 0.51 1.28 0.77 0.76 Total Volume 4,810,552.727 1,837,640 8,418,760 2,954,490 6,481,930 Total OI 22,811,580.909 19,015,430 25,859,960 24,083,990 23,001,580
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 2013-05-01 $3.04 $3.07 41.1% 11.8% 86.9% 4.9% 41.8% 1.3% 0.6% 16.5M -1.31B -5.5M 0.77 7.29 N/A N/A 1,666,140 1,288,350 11,648,630 12,435,360 2013-05-02 $3.06 $3.07 39.8% 11.4% 86.3% 2.9% 40.3% 2.4% 0.5% 20.0M -1.38B -5.5M 0.94 22.60 N/A N/A 1,489,040 1,403,570 11,949,420 12,536,300 2013-05-03 $3.05 $3.07 39.3% 11.2% 86.0% 2.1% 39.3% 1.9% 0.8% 18.7M -1.31B -5.4M 1.01 24.81 N/A N/A 1,507,310 1,520,260 12,074,160 12,769,050 2013-05-06 $3.01 $3.00 41.2% 11.8% 86.1% 5.1% 42.0% 3.1% -0.4% 14.5M -1.13B -5.4M 1.17 10.05 N/A N/A 2,061,640 2,415,980 10,763,130 11,624,410 2013-05-07 $2.95 $3.00 40.5% 11.6% 86.4% 4.0% 40.9% 2.2% -0.3% 6.5M -959.0M -5.3M 0.94 10.47 N/A N/A 1,362,690 1,280,370 11,294,570 12,166,910 2013-05-08 $2.98 $3.00 40.4% 11.6% 85.7% 3.8% 41.1% 2.4% -0.5% 12.0M -1.06B -5.3M 0.80 8.63 N/A N/A 1,344,140 1,072,190 11,303,880 12,292,070 2013-05-09 $3.09 $3.00 40.4% 11.6% 85.5% 3.8% 40.9% 1.0% -0.6% 39.8M -1.45B -5.2M 0.51 9.84 N/A N/A 5,239,010 2,665,320 11,384,030 12,420,800 2013-05-10 $3.11 $3.00 40.3% 11.6% 85.5% 3.7% 40.8% 0.9% -0.4% 23.8M -1.51B -5.4M 0.60 11.09 N/A N/A 2,569,630 1,547,210 11,788,630 12,827,990 2013-05-13 $3.28 $3.00 43.7% 12.5% 86.7% 9.0% 44.4% 0.6% -1.6% 38.7M -1.84B -5.3M 0.68 5.09 N/A N/A 4,826,710 3,292,590 10,803,800 11,938,710 2013-05-14 $3.34 $3.14 40.9% 11.7% 86.5% 4.6% 41.3% 0.3% -1.1% 44.8M -2.01B -5.5M 0.67 5.74 N/A N/A 4,406,500 2,962,820 11,459,700 12,949,930 2013-05-15 $3.48 $3.21 43.5% 12.5% 84.6% 8.6% 43.8% -1.7% -1.2% 53.9M -2.37B -5.6M 0.88 6.52 N/A N/A 4,472,930 3,945,830 11,577,720 13,410,740 2013-05-16 $3.39 $0.00 43.1% 12.4% 84.1% 8.0% 44.4% -1.4% -0.6% 26.0M -1.80B -5.8M 0.86 5.75 N/A N/A 3,282,860 2,826,740 11,401,460 13,849,920 2013-05-17 $3.41 $3.36 42.1% 12.2% 83.9% 6.5% 42.8% -0.8% -0.9% 32.0M -1.87B -5.7M 0.85 8.51 N/A N/A 2,887,220 2,451,260 11,732,910 14,127,050 2013-05-20 $3.42 $2.86 41.0% 11.7% 82.2% 4.8% 41.3% -0.1% 2.2% 23.5M -1.52B -5.7M 1.09 24.52 N/A N/A 1,261,050 1,371,510 9,020,830 9,994,600 2013-05-21 $3.39 $2.86 40.6% 11.6% 32.4% 4.2% 40.9% 0.1% 2.2% 17.9M -1.41B -5.7M 0.77 4.34 N/A N/A 1,040,410 797,230 9,285,010 10,516,800 2013-05-22 $3.27 $2.93 40.2% 11.5% 35.5% 3.5% 40.5% 0.3% 1.6% 748.2K -1.05B -5.7M 1.28 18.10 N/A N/A 1,689,940 2,161,740 9,542,400 10,726,520 2013-05-23 $3.23 $2.93 40.9% 11.7% 35.3% 4.6% 41.9% -0.9% 1.5% -10.3M -935.1M -5.7M 0.94 25.26 N/A N/A 1,679,300 1,577,310 9,740,290 11,025,980 2013-05-24 $3.27 $2.93 41.8% 11.9% 35.4% 5.9% 42.1% -0.9% 1.1% 12.5M -1.07B -5.7M 0.82 12.17 N/A N/A 1,917,300 1,575,840 10,078,460 11,185,650 2013-05-28 $3.06 $3.21 47.3% 13.6% 43.0% 14.6% 47.8% 0.1% -0.7% 1.8M -668.5M -5.6M 0.84 7.84 N/A N/A 3,999,170 3,378,830 9,311,120 10,125,850 2013-05-29 $3.08 $3.14 48.9% 14.0% 43.0% 17.1% 49.7% 0.8% -0.6% 3.1M -720.2M -5.9M 0.91 5.23 N/A N/A 3,302,530 3,019,870 10,504,340 10,900,120 2013-05-30 $3.18 $3.14 46.3% 13.3% 44.2% 13.0% 47.0% 0.7% -0.9% 25.5M -1.09B -6.1M 0.95 9.97 N/A N/A 2,458,190 2,331,700 11,102,420 11,261,530 2013-05-31 $3.23 $3.14 47.3% 13.6% 44.4% 14.5% 47.8% 0.6% -0.9% 44.9M -1.32B -6.1M 0.76 8.66 N/A N/A 3,682,070 2,799,860 11,346,020 11,655,560
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