NFLX Options History — June 2013

In June 2013, NFLX traded between $2.97 and $3.32. ATM implied volatility averaged 52.8%, placing in the 23.1% IV rank vs the trailing year. The 30-day expected move averaged 15.2%. IV traded above realized volatility by 8.7% (HV 20d: 44.1%). Max pain ranged from $3.00 to $3.21. Net GEX was positive for 12 of 20 trading days. Term structure was in contango for 15 of 20 days. Put/call ratio averaged 1.00.

Notable Days

2013-06-17: Highest Volume — 5,691,700 contracts
2013-06-24: Largest IV spike — 31.7% change
2013-06-27: Highest IV Rank — 57.4%
2013-06-25: Largest Expected Move — 21.9%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$3.13	$2.97	$3.32	$3.17	$3.02
Max Pain	$3.11	$3.00	$3.21	$3.14	$3.00
ATM IV	52.8%	43.5%	74.9%	48.3%	73.9%
Expected Move	15.2%	12.5%	21.9%	13.8%	21.7%
HV 20d	44.1%	39.5%	48.7%	45.0%	40.9%
HV 60d	61.0%	59.7%	62.2%	60.8%	60.7%
IV Rank	23.1%	8.6%	57.4%	16.2%	55.8%
IV Percentile	35.3%	9.5%	85.7%	29.0%	82.9%
Term Structure	3.8%	-11.3%	28.2%	0.1%	-4.9%
VWIV	53.4%	44.0%	76.1%	48.2%	74.8%
Skew 25d	2.6%	0.8%	6.2%	0.8%	2.8%
Skew 10d	5.2%	2.3%	10.6%	2.4%	9.5%
Call IV 25d	52.0%	42.8%	73.2%	47.9%	72.6%
Put IV 25d	54.7%	45.1%	79.2%	48.7%	75.4%
Bid-Ask Spread %	9.72	5.06	18.35	7.59	13.40
Gamma HHI	0.09	0.05	0.28	0.05	0.19
Net GEX	5.5M	-28.7M	31.7M	13.4M	-10.1M
Net DEX	-832.8M	-1.39B	-400.5M	-1.03B	-400.5M
Net VEX	-5.6M	-6.0M	-5.3M	-6.0M	-5.3M
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	1.00	0.76	1.28	0.97	1.21
Total Volume	3,458,213.5	2,340,520	5,691,700	2,819,810	3,102,260
Total OI	20,449,929.5	14,050,400	23,137,310	20,762,210	16,714,810

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
2013-06-03	$3.17	$3.14	48.3%	13.8%	45.0%	16.2%	48.2%	0.8%	0.1%	13.4M	-1.03B	-6.0M	0.97	7.59	N/A	N/A	1,428,140	1,391,670	10,091,900	10,670,310
2013-06-04	$3.22	$3.14	46.8%	13.4%	44.9%	13.8%	47.0%	1.3%	0.6%	18.8M	-1.15B	-6.0M	0.98	6.60	N/A	N/A	1,506,260	1,468,810	10,360,140	10,974,040
2013-06-05	$3.19	$3.21	46.3%	13.3%	44.2%	13.0%	46.9%	1.0%	0.7%	14.8M	-1.07B	-6.0M	0.79	7.16	N/A	N/A	1,799,840	1,421,420	10,607,100	11,227,930
2013-06-06	$3.11	$3.21	46.2%	13.3%	45.3%	12.9%	47.4%	1.7%	1.3%	722.8K	-820.4M	-5.9M	0.76	8.53	N/A	N/A	2,282,630	1,737,330	10,886,260	11,512,270
2013-06-07	$3.15	$3.14	44.6%	12.8%	43.6%	10.4%	44.7%	2.5%	1.5%	25.3M	-961.8M	-5.8M	1.28	10.30	N/A	N/A	1,932,350	2,480,660	11,286,800	11,694,830
2013-06-10	$3.16	$3.14	45.5%	13.0%	43.6%	11.7%	45.8%	2.0%	1.1%	11.1M	-980.9M	-5.7M	0.95	9.42	N/A	N/A	1,215,620	1,151,920	10,031,070	10,865,540
2013-06-11	$3.06	$3.14	45.7%	13.1%	40.3%	12.0%	45.7%	2.1%	1.6%	-586.3K	-721.6M	-5.7M	0.94	8.00	N/A	N/A	1,204,490	1,136,030	10,329,130	11,274,270
2013-06-12	$2.97	$3.14	45.7%	13.1%	40.6%	12.0%	46.2%	1.9%	2.0%	-13.3M	-447.3M	-5.6M	1.11	10.82	N/A	N/A	1,713,530	1,908,970	10,518,480	11,543,140
2013-06-13	$3.08	$0.00	45.5%	13.0%	40.2%	11.7%	45.6%	2.4%	1.3%	5.4M	-787.4M	-5.7M	1.00	5.33	N/A	N/A	1,776,670	1,776,880	10,848,950	11,786,810
2013-06-14	$3.06	$3.00	44.8%	12.7%	39.5%	10.7%	44.9%	2.3%	1.5%	2.9M	-715.6M	-5.6M	1.02	10.92	N/A	N/A	1,411,620	1,437,170	11,104,450	12,032,860
2013-06-17	$3.27	$3.14	46.7%	13.5%	47.3%	13.6%	47.7%	2.5%	15.6%	22.8M	-1.31B	-5.7M	0.83	6.79	N/A	N/A	3,112,480	2,579,220	10,150,140	11,114,600
2013-06-18	$3.27	$3.14	43.9%	12.7%	47.2%	9.3%	45.0%	2.6%	17.7%	21.6M	-1.26B	-5.7M	0.88	6.32	N/A	N/A	1,556,170	1,374,800	10,590,160	11,702,390
2013-06-19	$3.32	$3.14	43.5%	12.5%	47.5%	8.6%	44.0%	2.3%	18.4%	31.7M	-1.39B	-5.7M	0.99	5.06	N/A	N/A	1,870,330	1,860,040	10,762,010	11,954,950
2013-06-20	$3.19	$3.14	45.1%	12.9%	47.7%	11.2%	45.6%	1.2%	26.1%	-2.4M	-949.2M	-5.6M	1.09	11.21	N/A	N/A	1,958,040	2,134,020	10,740,170	11,997,790
2013-06-21	$3.10	$3.14	52.4%	13.2%	48.7%	22.5%	46.4%	2.3%	28.2%	-28.7M	-651.2M	-5.5M	1.19	9.88	N/A	N/A	2,173,780	2,586,710	10,894,660	11,992,050
2013-06-24	$3.08	$3.00	69.0%	21.8%	48.5%	48.3%	75.0%	6.2%	-11.1%	-159.7K	-538.9M	-5.4M	1.07	16.64	N/A	N/A	1,442,490	1,549,660	7,030,520	7,019,880
2013-06-25	$3.04	$3.00	72.8%	21.9%	42.7%	54.2%	76.1%	5.8%	-11.3%	-2.6M	-470.2M	-5.4M	0.89	9.09	N/A	N/A	1,661,800	1,475,880	7,433,020	7,411,110
2013-06-26	$3.03	$3.00	74.6%	21.4%	42.6%	56.9%	75.2%	3.6%	-9.6%	-1.6M	-459.4M	-5.4M	0.83	18.35	N/A	N/A	1,753,920	1,462,580	7,831,810	7,770,070
2013-06-27	$3.07	$3.00	74.9%	21.7%	41.1%	57.4%	74.9%	5.7%	-4.1%	1.5M	-531.9M	-5.4M	1.12	13.08	N/A	N/A	1,569,190	1,758,890	8,168,370	8,073,800
2013-06-28	$3.02	$3.00	73.9%	21.7%	40.9%	55.8%	74.8%	2.8%	-4.9%	-10.1M	-400.5M	-5.3M	1.21	13.40	N/A	N/A	1,404,760	1,697,500	8,410,780	8,304,030