NFLX Options History — November 2013

In November 2013, NFLX traded between $4.67 and $5.23. ATM implied volatility averaged 37.0%, placing in the 5.0% IV rank vs the trailing year. The 30-day expected move averaged 13.2%. IV traded below realized volatility by 10.7% (HV 20d: 47.7%). Max pain ranged from $4.43 to $5.00. Net GEX was positive for 18 of 20 trading days. Term structure was in contango for 17 of 20 days. Put/call ratio averaged 1.00.

Notable Days

2013-11-01: Highest Volume — 7,178,010 contracts
2013-11-08: Largest IV drop — 8.1% change
2013-11-07: Highest IV Rank — 13.2%
2013-11-11: Largest Expected Move — 14.2%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$4.90	$4.67	$5.23	$4.70	$5.23
Max Pain	$4.74	$4.43	$5.00	$4.57	$4.86
ATM IV	37.0%	33.0%	41.4%	40.6%	33.6%
Expected Move	13.2%	10.9%	14.2%	11.5%	13.9%
HV 20d	47.7%	26.6%	66.8%	66.8%	26.6%
HV 60d	47.3%	46.6%	48.4%	47.7%	46.7%
IV Rank	5.0%	0.0%	13.2%	11.5%	1.2%
IV Percentile	6.0%	0.0%	22.2%	15.9%	0.8%
Term Structure	1.1%	-0.1%	2.9%	0.9%	0.6%
VWIV	46.6%	38.5%	51.3%	41.2%	48.0%
Skew 25d	2.2%	1.5%	3.0%	1.8%	1.8%
Skew 10d	5.2%	3.8%	6.3%	3.8%	4.9%
Call IV 25d	36.3%	32.2%	41.1%	39.8%	32.8%
Put IV 25d	38.5%	34.1%	43.0%	41.6%	34.6%
Bid-Ask Spread %	7.96	2.68	27.93	13.42	3.66
Gamma HHI	0.18	0.05	0.82	0.46	0.32
Net GEX	59.8M	-29.9M	351.1M	86.2M	102.2M
Net DEX	-1.92B	-2.69B	-1.09B	-1.58B	-2.69B
Net VEX	-6.7M	-7.4M	-6.3M	-7.4M	-6.4M
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	1.00	0.78	1.37	0.80	1.14
Total Volume	4,658,188.5	3,310,020	7,178,010	7,178,010	3,450,510
Total OI	23,107,521.5	18,609,780	26,070,240	26,070,240	22,724,450

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
2013-11-01	$4.70	$4.57	40.6%	11.5%	66.8%	11.5%	41.2%	1.8%	0.9%	86.2M	-1.58B	-7.4M	0.80	13.42	N/A	N/A	3,980,270	3,197,740	12,278,840	13,791,400
2013-11-04	$4.82	$4.57	40.6%	11.7%	66.5%	11.6%	42.3%	2.3%	0.4%	27.1M	-1.83B	-7.2M	0.88	18.84	N/A	N/A	2,673,860	2,361,030	10,647,140	12,250,140
2013-11-05	$4.88	$4.64	41.2%	11.8%	63.3%	12.7%	42.6%	2.5%	0.5%	43.1M	-2.10B	-7.3M	0.87	7.43	N/A	N/A	2,340,660	2,031,120	11,271,820	13,078,030
2013-11-06	$4.79	$4.71	40.7%	11.7%	60.9%	11.9%	41.8%	2.4%	0.9%	21.5M	-1.71B	-7.3M	1.11	11.52	N/A	N/A	2,139,970	2,381,890	11,476,920	13,489,630
2013-11-07	$4.67	$4.79	41.4%	11.9%	59.6%	13.2%	41.9%	1.8%	0.6%	-29.9M	-1.09B	-7.3M	0.81	27.88	N/A	N/A	3,047,030	2,459,030	11,561,550	13,896,330
2013-11-08	$4.78	$4.79	38.0%	10.9%	59.8%	6.6%	38.5%	2.1%	0.5%	214.7M	-1.71B	-6.9M	0.99	27.93	N/A	N/A	2,743,510	2,719,780	12,052,670	13,892,760
2013-11-11	$4.83	$0.00	38.1%	14.2%	53.8%	6.7%	50.2%	1.7%	0.9%	25.1M	-1.83B	-6.8M	0.92	2.82	N/A	N/A	1,726,410	1,583,610	10,718,470	12,422,550
2013-11-12	$4.77	$4.43	37.6%	14.1%	53.9%	5.9%	48.5%	1.5%	1.0%	22.5M	-1.61B	-6.8M	0.94	4.36	N/A	N/A	1,750,560	1,646,610	11,141,900	12,835,060
2013-11-13	$4.79	$4.86	35.6%	14.0%	54.0%	1.9%	49.6%	1.9%	0.7%	26.3M	-1.72B	-6.5M	0.78	3.81	N/A	N/A	1,923,250	1,500,800	11,555,110	13,224,330
2013-11-14	$4.89	$4.57	35.9%	13.9%	53.9%	2.4%	49.2%	2.4%	0.2%	61.1M	-2.20B	-6.4M	0.83	4.40	N/A	N/A	2,942,800	2,445,240	11,670,960	13,155,100
2013-11-15	$5.00	$5.00	35.4%	13.9%	54.3%	1.5%	48.0%	2.1%	-0.1%	351.1M	-2.57B	-6.3M	0.78	3.36	N/A	N/A	3,709,370	2,878,610	11,777,150	13,575,450
2013-11-18	$4.88	$5.00	36.9%	14.0%	50.0%	4.3%	47.3%	2.2%	2.5%	16.4M	-1.74B	-6.4M	1.09	2.68	N/A	N/A	2,051,350	2,226,210	8,450,120	10,159,660
2013-11-19	$4.82	$5.00	36.4%	14.0%	36.1%	3.5%	47.0%	2.4%	2.9%	618.9K	-1.50B	-6.7M	1.37	3.89	N/A	N/A	2,050,160	2,802,170	9,100,630	10,891,230
2013-11-20	$4.85	$5.00	35.8%	13.9%	35.3%	2.4%	49.1%	2.2%	2.7%	-5.8M	-1.58B	-6.7M	1.24	4.43	N/A	N/A	1,888,670	2,351,020	9,656,080	11,783,730
2013-11-21	$4.98	$5.00	35.1%	13.9%	36.3%	1.0%	49.8%	2.6%	-0.0%	47.8M	-2.10B	-6.7M	1.34	3.79	N/A	N/A	1,839,110	2,460,500	9,928,660	12,072,480
2013-11-22	$4.97	$4.57	35.1%	13.8%	36.1%	0.9%	50.4%	2.3%	-0.0%	19.7M	-1.99B	-6.8M	0.93	3.71	N/A	N/A	2,553,320	2,373,560	10,236,450	12,592,930
2013-11-25	$5.00	$4.57	34.7%	13.9%	31.6%	0.2%	46.5%	2.3%	2.1%	29.3M	-1.98B	-6.4M	0.97	3.49	N/A	N/A	1,925,700	1,858,920	8,959,300	10,934,210
2013-11-26	$5.07	$4.57	33.4%	13.8%	28.8%	0.0%	49.7%	3.0%	2.9%	50.3M	-2.22B	-6.4M	1.23	3.80	N/A	N/A	1,762,180	2,162,720	9,451,750	11,550,280
2013-11-27	$5.18	$4.57	33.0%	13.8%	26.7%	0.0%	51.3%	2.0%	0.7%	85.7M	-2.59B	-6.3M	1.05	4.07	N/A	N/A	2,545,620	2,678,900	9,713,060	12,182,100
2013-11-29	$5.23	$4.86	33.6%	13.9%	26.6%	1.2%	48.0%	1.8%	0.6%	102.2M	-2.69B	-6.4M	1.14	3.66	N/A	N/A	1,615,950	1,834,560	10,069,920	12,654,530