NFLX Options History — July 2013 In July 2013, NFLX traded between $3.16 and $3.83. ATM implied volatility averaged 65.7%, placing in the 42.2% IV rank vs the trailing year. The 30-day expected move averaged 18.8%. IV traded above realized volatility by 20.0% (HV 20d: 45.6%). Max pain ranged from $3.07 to $3.71. Net GEX was positive for 20 of 22 trading days. Term structure was in contango for 3 of 22 days. Put/call ratio averaged 0.88.
Notable Days 2013-07-23 : Highest Volume — 16,265,200 contracts2013-07-23 : Largest IV drop — 39.3% change2013-07-09 : Highest IV Rank — 72.5%2013-07-09 : Largest Expected Move — 24.4%Monthly Statistics Metric Avg Min Max Open Close Price $3.52 $3.16 $3.83 $3.20 $3.49 Max Pain $3.39 $3.07 $3.71 $3.07 $3.57 ATM IV 65.7% 41.0% 85.0% 74.3% 41.0% Expected Move 18.8% 11.7% 24.4% 20.9% 11.7% HV 20d 45.6% 39.7% 51.1% 46.3% 40.9% HV 60d 53.1% 41.6% 62.2% 61.7% 43.5% IV Rank 42.2% 3.1% 72.5% 56.5% 3.1% IV Percentile 61.0% 4.8% 98.0% 83.7% 4.8% Term Structure -7.1% -15.3% 0.5% -8.9% -0.1% VWIV 65.5% 41.2% 85.0% 73.0% 41.5% Skew 25d 4.1% 2.3% 6.9% 4.9% 2.4% Skew 10d 7.3% 4.5% 13.4% 7.9% 5.2% Call IV 25d 63.2% 39.8% 83.2% 70.2% 40.3% Put IV 25d 67.2% 42.4% 86.4% 75.1% 42.6% Bid-Ask Spread % 6.50 1.76 12.06 3.79 12.06 Gamma HHI 0.13 0.04 0.81 0.06 0.06 Net GEX 25.9M -23.3M 205.6M 13.0M 743.3K Net DEX -1.21B -2.06B -457.8M -828.8M -759.0M Net VEX -5.7M -6.0M -5.4M -5.4M -5.8M Div Yield 0.0% 0.0% 0.0% 0.0% 0.0% P/C Ratio 0.88 0.68 1.07 1.01 0.92 Total Volume 5,240,731.364 1,861,930 16,265,200 4,292,190 2,832,760 Total OI 18,635,715 14,774,760 23,694,090 14,774,760 19,203,800
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 2013-07-01 $3.20 $3.07 74.3% 20.9% 46.3% 56.5% 73.0% 4.9% -8.9% 13.0M -828.8M -5.4M 1.01 3.79 N/A N/A 2,131,990 2,160,200 7,378,700 7,396,060 2013-07-02 $3.16 $3.07 76.0% 21.6% 46.2% 59.0% 75.6% 5.2% -9.5% 8.6M -725.6M -5.5M 1.03 7.87 N/A N/A 1,392,020 1,428,560 7,921,830 8,124,760 2013-07-03 $3.16 $3.07 76.5% 21.9% 46.1% 59.8% 76.5% 4.7% -9.5% 5.1M -701.6M -5.5M 0.84 3.58 N/A N/A 1,011,290 850,640 8,080,940 8,432,410 2013-07-05 $3.22 $3.07 77.3% 22.1% 45.6% 60.3% 77.2% 4.4% -10.4% 205.6M -909.3M -5.4M 0.74 3.29 N/A N/A 1,895,460 1,405,600 8,254,960 8,475,180 2013-07-08 $3.33 $3.14 81.5% 23.4% 47.0% 67.0% 82.2% 3.7% -12.5% 17.9M -1.07B -5.4M 0.89 3.39 N/A N/A 2,830,450 2,524,830 7,655,060 7,662,620 2013-07-09 $3.53 $3.21 85.0% 24.4% 51.1% 72.5% 85.0% 3.2% -14.5% 34.1M -1.59B -5.5M 0.87 4.09 N/A N/A 4,142,600 3,585,960 8,325,030 8,313,690 2013-07-10 $3.48 $3.43 83.8% 24.0% 50.0% 70.7% 84.2% 3.3% -14.2% 27.8M -1.44B -5.9M 1.02 4.93 N/A N/A 1,967,840 1,998,150 9,200,240 9,272,830 2013-07-11 $3.49 $0.00 75.0% 21.8% 47.9% 56.8% 75.9% 4.2% -6.2% 36.2M -1.48B -5.8M 0.88 1.76 N/A N/A 2,011,520 1,764,070 9,475,270 9,387,140 2013-07-12 $3.68 $3.43 76.9% 22.6% 49.4% 59.8% 78.9% 5.0% -6.8% 28.4M -2.06B -5.8M 0.68 3.98 N/A N/A 5,597,270 3,831,380 9,597,980 9,559,760 2013-07-15 $3.69 $3.29 75.9% 21.0% 49.2% 58.2% 73.5% 4.4% -14.3% 26.7M -1.71B -5.8M 0.83 4.08 N/A N/A 1,994,160 1,646,190 8,763,230 8,664,810 2013-07-16 $3.72 $3.29 76.9% 21.5% 43.9% 59.8% 74.7% 5.5% -15.0% 31.4M -1.80B -5.9M 0.78 4.16 N/A N/A 3,374,490 2,623,600 9,140,810 9,078,090 2013-07-17 $3.83 $3.29 76.2% 21.6% 44.4% 58.6% 75.5% 5.9% -15.3% 39.3M -2.03B -5.9M 0.81 4.67 N/A N/A 2,138,430 1,740,340 9,530,290 9,620,870 2013-07-18 $3.81 $3.29 73.3% 21.0% 44.6% 54.1% 72.7% 5.7% -3.3% 36.5M -1.93B -5.8M 0.74 5.47 N/A N/A 2,575,020 1,902,250 9,584,050 9,843,400 2013-07-19 $3.78 $3.36 71.6% 20.8% 41.6% 51.4% 71.3% 4.5% -4.2% 66.6M -1.74B -5.9M 0.70 4.58 N/A N/A 2,627,520 1,849,400 9,843,820 10,351,320 2013-07-22 $3.74 $3.71 72.1% 20.3% 39.7% 52.3% 70.8% 6.9% -12.4% 14.8M -1.38B -5.9M 0.84 6.91 N/A N/A 6,389,740 5,363,470 7,930,160 7,721,140 2013-07-23 $3.58 $3.71 43.8% 12.6% 44.0% 7.5% 43.9% 3.3% -0.5% 4.4M -961.1M -5.6M 0.91 11.68 N/A N/A 8,518,930 7,746,270 10,869,110 10,414,530 2013-07-24 $3.45 $3.64 42.0% 12.0% 46.2% 4.7% 42.1% 2.8% 0.1% -23.3M -457.8M -5.9M 0.97 10.16 N/A N/A 3,038,070 2,934,610 11,752,720 11,317,250 2013-07-25 $3.52 $3.64 42.0% 12.0% 46.4% 4.7% 42.2% 2.3% 0.4% -9.3M -752.3M -6.0M 1.01 10.85 N/A N/A 2,113,860 2,145,360 12,028,940 11,460,190 2013-07-26 $3.52 $3.57 41.1% 11.7% 46.5% 3.3% 41.2% 2.6% 0.5% 1.8M -736.1M -6.0M 0.96 10.60 N/A N/A 2,199,890 2,101,960 12,131,560 11,562,530 2013-07-29 $3.50 $3.71 41.6% 12.0% 45.8% 4.1% 41.9% 2.4% -0.2% 4.0M -793.1M -5.8M 1.07 9.06 N/A N/A 1,295,980 1,385,440 8,830,570 9,108,470 2013-07-30 $3.48 $3.57 41.5% 11.9% 41.4% 4.0% 42.2% 2.5% -0.3% 111.6K -732.4M -5.8M 0.90 11.96 N/A N/A 1,171,240 1,057,280 9,216,480 9,503,130 2013-07-31 $3.49 $3.57 41.0% 11.7% 40.9% 3.1% 41.5% 2.4% -0.1% 743.3K -759.0M -5.8M 0.92 12.06 N/A N/A 1,473,850 1,358,910 9,499,840 9,703,960
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