NFLX Options History — October 2013 In October 2013, NFLX traded between $4.12 and $5.07. ATM implied volatility averaged 59.3%, placing in the 36.4% IV rank vs the trailing year. The 30-day expected move averaged 17.0%. IV traded above realized volatility by 6.3% (HV 20d: 53.0%). Max pain ranged from $4.29 to $4.86. Net GEX was positive for 17 of 23 trading days. Term structure was in contango for 4 of 23 days. Put/call ratio averaged 0.91.
Notable Days 2013-10-22 : Highest Volume — 30,570,680 contracts2013-10-22 : Largest IV drop — 21.4% change2013-10-09 : Highest IV Rank — 64.0%2013-10-09 : Largest Expected Move — 22.4%Monthly Statistics Metric Avg Min Max Open Close Price $4.60 $4.12 $5.07 $4.64 $4.61 Max Pain $4.54 $4.29 $4.86 $4.43 $4.57 ATM IV 59.3% 40.7% 78.0% 64.0% 40.7% Expected Move 17.0% 11.6% 22.4% 18.2% 11.6% HV 20d 53.0% 37.7% 67.4% 37.7% 66.7% HV 60d 41.2% 34.6% 47.9% 36.6% 47.5% IV Rank 36.4% 9.0% 64.0% 43.4% 9.0% IV Percentile 57.9% 16.7% 90.9% 70.6% 16.7% Term Structure -5.4% -11.6% 1.5% -7.8% 1.5% VWIV 59.5% 40.8% 77.7% 64.0% 40.8% Skew 25d 3.5% 1.8% 6.7% 3.5% 1.8% Skew 10d 7.4% 3.7% 14.3% 7.0% 4.4% Call IV 25d 57.7% 40.3% 74.9% 61.8% 40.3% Put IV 25d 61.3% 42.2% 81.6% 65.3% 42.2% Bid-Ask Spread % 10.42 3.52 36.82 3.52 14.37 Gamma HHI 0.09 0.04 0.36 0.09 0.07 Net GEX 19.2M -45.7M 82.2M 42.4M 14.5M Net DEX -1.57B -2.53B -249.5M -2.07B -1.17B Net VEX -7.2M -8.9M -6.3M -6.3M -7.5M Div Yield 0.0% 0.0% 0.0% 0.0% 0.0% P/C Ratio 0.91 0.59 1.24 1.00 0.99 Total Volume 8,114,296.522 2,955,050 30,570,680 6,254,010 4,507,230 Total OI 23,155,455.217 17,892,140 31,121,580 18,449,060 25,726,680
Daily Data (23 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 2013-10-01 $4.64 $4.43 64.0% 18.2% 37.7% 43.4% 64.0% 3.5% -7.8% 42.4M -2.07B -6.3M 1.00 3.52 N/A N/A 3,131,870 3,122,140 8,317,400 10,131,660 2013-10-02 $4.72 $4.50 63.9% 18.3% 37.9% 43.2% 64.6% 3.4% -7.6% 58.8M -2.33B -6.5M 0.81 3.70 N/A N/A 4,328,170 3,496,220 9,009,840 10,921,260 2013-10-03 $4.60 $4.50 65.0% 18.6% 39.8% 44.8% 65.7% 2.2% -7.9% 15.1M -1.76B -6.8M 0.98 4.86 N/A N/A 2,945,880 2,874,200 9,773,890 11,672,010 2013-10-04 $4.68 $4.64 64.9% 18.6% 39.5% 44.7% 65.1% 2.7% -8.1% 30.6M -2.10B -6.7M 0.74 3.81 N/A N/A 2,949,730 2,192,120 9,961,420 11,810,050 2013-10-07 $4.55 $4.64 69.1% 19.8% 41.3% 50.9% 69.1% 2.7% -10.0% 12.9M -1.58B -6.7M 1.06 4.35 N/A N/A 1,432,060 1,522,990 8,990,660 10,530,450 2013-10-08 $4.32 $4.57 72.7% 20.8% 39.6% 56.2% 73.0% 4.0% -10.5% -15.0M -825.5M -6.9M 0.98 3.54 N/A N/A 3,614,730 3,531,010 9,341,640 10,971,240 2013-10-09 $4.12 $4.43 78.0% 22.4% 42.5% 64.0% 77.7% 6.7% -11.6% -20.6M -249.5M -7.0M 1.00 10.09 N/A N/A 5,429,410 5,424,300 9,833,040 11,292,330 2013-10-10 $4.34 $0.00 69.0% 20.0% 46.2% 50.7% 69.7% 5.4% -4.7% 18.2M -1.23B -7.2M 0.87 7.19 N/A N/A 4,203,220 3,653,860 10,736,110 11,698,190 2013-10-11 $4.30 $4.43 68.7% 20.1% 46.1% 50.2% 69.6% 5.3% -5.2% -45.7M -1.08B -7.3M 0.97 6.35 N/A N/A 2,649,360 2,582,090 11,487,070 12,441,870 2013-10-14 $4.63 $4.29 68.1% 19.0% 53.1% 49.4% 66.8% 5.4% -10.9% 36.5M -2.16B -7.0M 0.68 8.23 N/A N/A 4,535,860 3,098,130 9,745,050 10,842,440 2013-10-15 $4.60 $4.29 66.3% 18.6% 53.1% 46.8% 65.2% 4.7% -9.9% 29.5M -1.97B -7.2M 0.89 6.27 N/A N/A 2,273,670 2,016,140 10,293,570 11,666,830 2013-10-16 $4.61 $4.29 61.5% 17.4% 52.6% 39.6% 61.4% 4.2% -9.3% 33.1M -2.04B -6.9M 0.59 6.48 N/A N/A 2,314,270 1,368,430 10,559,570 12,091,940 2013-10-17 $4.72 $4.36 60.8% 17.4% 52.9% 38.6% 60.9% 4.2% -2.3% 73.1M -2.38B -6.5M 0.83 4.40 N/A N/A 2,762,900 2,298,870 11,062,870 12,075,560 2013-10-18 $4.76 $4.36 60.4% 17.5% 52.3% 38.0% 61.4% 4.1% -2.4% 82.2M -2.53B -6.6M 0.66 6.10 N/A N/A 3,909,780 2,571,100 11,471,740 12,647,040 2013-10-21 $5.07 $4.79 66.9% 18.8% 53.9% 47.6% 66.4% 3.4% -10.9% 29.9M -2.53B -6.7M 0.88 10.48 N/A N/A 8,427,580 7,453,460 8,623,160 9,268,980 2013-10-22 $4.61 $4.79 52.6% 15.1% 65.3% 26.5% 52.5% 1.9% -4.4% 3.9M -1.30B -7.9M 0.78 36.82 N/A N/A 17,137,330 13,433,350 11,903,780 12,673,080 2013-10-23 $4.72 $4.86 49.9% 14.3% 65.7% 22.6% 50.5% 3.3% -1.9% 19.2M -1.35B -8.9M 1.12 23.03 N/A N/A 5,761,000 6,468,840 15,026,060 14,694,890 2013-10-24 $4.73 $4.71 47.8% 13.8% 65.4% 19.4% 48.5% 2.7% -1.4% 27.6M -1.36B -8.2M 0.89 33.05 N/A N/A 4,697,560 4,194,470 14,608,930 15,284,500 2013-10-25 $4.69 $4.71 44.3% 12.8% 65.5% 14.2% 45.4% 2.6% -0.9% -3.2M -1.12B -8.0M 1.24 16.30 N/A N/A 3,418,730 4,236,820 15,232,630 15,888,950 2013-10-28 $4.49 $4.57 44.8% 12.7% 67.4% 15.0% 45.4% 2.6% 0.3% -9.3M -747.3M -7.7M 1.05 8.21 N/A N/A 3,923,220 4,110,330 10,658,760 12,185,320 2013-10-29 $4.68 $4.57 42.9% 12.3% 66.8% 12.2% 43.7% 2.5% 0.7% 16.5M -1.37B -7.7M 1.05 9.44 N/A N/A 3,544,450 3,719,940 11,286,590 12,813,570 2013-10-30 $4.54 $4.57 41.2% 11.8% 67.2% 9.7% 41.3% 1.9% 0.8% -7.6M -911.7M -7.6M 0.93 8.96 N/A N/A 2,773,750 2,588,250 11,944,800 13,378,050 2013-10-31 $4.61 $4.57 40.7% 11.6% 66.7% 9.0% 40.8% 1.8% 1.5% 14.5M -1.17B -7.5M 0.99 14.37 N/A N/A 2,261,560 2,245,670 12,169,010 13,557,670
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