NFLX Options History — August 2013 In August 2013, NFLX traded between $3.52 and $4.11. ATM implied volatility averaged 38.7%, placing in the 4.1% IV rank vs the trailing year. The 30-day expected move averaged 11.1%. IV traded above realized volatility by 5.0% (HV 20d: 33.7%). Max pain ranged from $3.36 to $4.00. Net GEX was positive for 20 of 22 trading days. Term structure was in contango for 15 of 22 days. Put/call ratio averaged 0.87.
Notable Days 2013-08-20 : Highest Volume — 7,657,090 contracts2013-08-15 : Largest IV spike — 8.4% change2013-08-27 : Highest IV Rank — 8.6%2013-08-26 : Largest Expected Move — 11.7%Monthly Statistics Metric Avg Min Max Open Close Price $3.77 $3.52 $4.11 $3.56 $4.06 Max Pain $3.63 $3.36 $4.00 $3.50 $3.93 ATM IV 38.7% 34.6% 40.6% 40.2% 39.4% Expected Move 11.1% 9.9% 11.7% 11.5% 11.2% HV 20d 33.7% 29.7% 41.3% 41.1% 33.3% HV 60d 41.3% 39.8% 43.4% 43.3% 39.8% IV Rank 4.1% 0.0% 8.6% 1.8% 7.0% IV Percentile 3.0% 0.0% 9.1% 1.6% 5.2% Term Structure 0.5% -0.9% 2.4% -0.5% 0.6% VWIV 39.2% 34.7% 41.3% 40.7% 39.5% Skew 25d 1.4% 0.0% 2.5% 2.5% 1.8% Skew 10d 3.2% -0.0% 5.5% 5.5% 3.6% Call IV 25d 38.6% 34.5% 41.1% 39.4% 38.8% Put IV 25d 40.0% 35.9% 41.9% 41.9% 40.6% Bid-Ask Spread % 11.79 7.17 20.79 16.31 9.92 Gamma HHI 0.09 0.06 0.17 0.07 0.08 Net GEX 24.5M -6.0M 54.0M 15.7M 17.0M Net DEX -1.37B -1.98B -851.4M -970.2M -1.65B Net VEX -5.9M -6.5M -5.3M -5.8M -6.5M Div Yield 0.0% 0.0% 0.0% 0.0% 0.0% P/C Ratio 0.87 0.69 1.20 0.87 1.13 Total Volume 4,560,016.364 2,046,660 7,657,090 3,407,670 4,978,190 Total OI 19,420,179.545 15,930,950 21,785,050 19,730,270 21,785,050
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 2013-08-01 $3.56 $3.50 40.2% 11.5% 41.1% 1.8% 40.7% 2.5% -0.5% 15.7M -970.2M -5.8M 0.87 16.31 N/A N/A 1,823,150 1,584,520 9,751,140 9,979,130 2013-08-02 $3.52 $3.50 38.9% 11.2% 41.3% 0.0% 39.1% 2.5% -0.6% -2.8M -851.4M -5.6M 0.89 14.48 N/A N/A 1,512,210 1,339,660 9,981,580 10,138,310 2013-08-05 $3.63 $3.57 40.4% 11.5% 40.9% 2.4% 40.3% 1.9% -0.1% 18.4M -1.14B -5.6M 0.74 11.14 N/A N/A 2,836,400 2,105,110 8,813,280 9,082,920 2013-08-06 $3.66 $3.57 40.2% 11.5% 35.4% 2.1% 40.0% 1.9% -0.1% 28.0M -1.27B -5.7M 0.73 14.31 N/A N/A 2,631,230 1,933,120 9,408,140 9,638,370 2013-08-07 $3.56 $3.64 40.6% 11.6% 36.3% 2.6% 40.9% 1.8% 0.1% 4.5M -934.1M -5.7M 0.80 13.40 N/A N/A 1,981,350 1,576,540 9,710,750 10,094,700 2013-08-08 $3.58 $3.57 38.7% 11.1% 36.4% 0.0% 38.7% 1.9% -0.0% 12.5M -1.01B -5.7M 0.90 11.92 N/A N/A 1,486,380 1,334,480 10,007,060 10,324,300 2013-08-09 $3.61 $3.57 37.0% 10.6% 31.2% 0.0% 37.5% 2.1% 0.3% 18.4M -1.12B -5.5M 1.20 8.20 N/A N/A 1,330,140 1,599,220 9,985,570 10,395,420 2013-08-12 $3.67 $3.57 37.2% 10.7% 31.7% 0.2% 37.3% 2.1% 0.4% 23.4M -1.22B -5.4M 0.84 15.96 N/A N/A 1,718,920 1,449,070 8,875,090 9,396,240 2013-08-13 $3.70 $3.57 34.6% 9.9% 31.7% 0.0% 34.7% 1.4% 0.6% 31.7M -1.32B -5.3M 0.80 7.61 N/A N/A 2,721,180 2,185,680 9,233,490 9,867,970 2013-08-14 $3.74 $3.64 35.9% 10.3% 30.2% 1.9% 35.8% 1.1% 0.8% 39.5M -1.42B -5.6M 0.78 10.85 N/A N/A 2,309,300 1,793,050 9,613,240 10,156,790 2013-08-15 $3.62 $0.00 38.9% 11.2% 32.2% 6.3% 39.5% 1.3% -0.5% -6.0M -950.5M -5.7M 1.08 14.89 N/A N/A 2,117,780 2,280,320 9,861,670 10,547,180 2013-08-16 $3.70 $3.71 37.4% 10.8% 33.2% 4.0% 38.1% 1.2% -0.9% 24.4M -1.27B -5.7M 0.85 17.29 N/A N/A 2,846,480 2,423,050 10,150,350 10,746,330 2013-08-19 $3.71 $3.36 37.4% 10.7% 33.1% 4.1% 38.1% 1.8% 2.4% 24.6M -1.18B -5.7M 0.79 9.33 N/A N/A 2,101,050 1,666,070 7,735,980 8,194,970 2013-08-20 $3.90 $3.43 39.5% 11.3% 33.3% 7.2% 40.1% 0.2% 1.4% 45.0M -1.73B -5.8M 0.72 20.79 N/A N/A 4,461,660 3,195,430 8,435,910 8,793,260 2013-08-21 $3.86 $3.43 39.2% 11.2% 30.2% 6.7% 40.1% 0.4% 2.0% 42.2M -1.58B -6.2M 0.77 7.61 N/A N/A 3,281,810 2,512,860 9,218,160 9,643,550 2013-08-22 $3.85 $3.43 38.4% 11.0% 29.7% 5.5% 39.4% 0.6% 1.4% 34.8M -1.50B -6.3M 0.87 8.86 N/A N/A 1,095,710 950,950 9,419,480 10,026,310 2013-08-23 $3.98 $3.50 38.0% 10.8% 31.0% 4.9% 38.6% 0.0% 1.5% 29.3M -1.94B -6.1M 0.69 16.03 N/A N/A 3,887,100 2,689,680 9,453,150 10,259,550 2013-08-26 $4.04 $3.93 40.4% 11.7% 30.9% 8.5% 41.3% 0.9% 0.4% 35.4M -1.81B -6.1M 0.82 7.86 N/A N/A 4,090,940 3,353,350 8,451,450 9,274,370 2013-08-27 $3.94 $3.93 40.5% 11.7% 32.6% 8.6% 41.3% 0.6% 0.7% 13.8M -1.43B -6.4M 0.83 7.70 N/A N/A 2,765,140 2,296,980 9,152,360 10,321,430 2013-08-28 $4.05 $3.93 40.0% 11.5% 33.3% 7.9% 40.2% 1.1% 0.8% 35.7M -1.79B -6.3M 0.95 7.17 N/A N/A 2,252,810 2,138,920 9,568,090 10,714,620 2013-08-29 $4.11 $4.00 39.7% 11.4% 33.2% 7.5% 40.5% 1.8% 0.3% 54.0M -1.98B -6.4M 1.05 7.68 N/A N/A 2,777,950 2,905,420 9,848,790 11,188,450 2013-08-30 $4.06 $3.93 39.4% 11.2% 33.3% 7.0% 39.5% 1.8% 0.6% 17.0M -1.65B -6.5M 1.13 9.92 N/A N/A 2,334,990 2,643,200 10,082,030 11,703,020
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