NFLX Options History — December 2013

In December 2013, NFLX traded between $5.06 and $5.44. ATM implied volatility averaged 40.8%, placing in the 16.6% IV rank vs the trailing year. The 30-day expected move averaged 13.6%. IV traded above realized volatility by 18.6% (HV 20d: 22.2%). Max pain ranged from $4.43 to $4.86. Net GEX was positive for 18 of 21 trading days. Term structure was in contango for 15 of 21 days. Put/call ratio averaged 1.01.

Notable Days

2013-12-27: Highest Volume — 6,610,100 contracts
2013-12-23: Largest IV spike — 36.0% change
2013-12-26: Highest IV Rank — 52.8%
2013-12-02: Largest Expected Move — 13.9%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$5.26	$5.06	$5.44	$5.20	$5.26
Max Pain	$4.51	$4.43	$4.86	$4.86	$4.57
ATM IV	40.8%	31.1%	60.1%	33.9%	58.8%
Expected Move	13.6%	13.0%	13.9%	13.9%	13.0%
HV 20d	22.2%	19.3%	26.3%	26.3%	20.5%
HV 60d	44.4%	42.5%	46.7%	46.7%	42.5%
IV Rank	16.6%	0.0%	52.8%	1.6%	50.4%
IV Percentile	21.4%	0.0%	68.7%	1.2%	67.5%
Term Structure	3.9%	-10.0%	25.7%	2.9%	-10.0%
VWIV	48.1%	44.3%	50.7%	49.6%	45.4%
Skew 25d	2.3%	1.3%	4.2%	2.4%	4.2%
Skew 10d	5.4%	3.0%	8.9%	6.2%	8.9%
Call IV 25d	40.0%	30.6%	59.0%	33.1%	57.1%
Put IV 25d	42.3%	32.3%	62.2%	35.4%	61.3%
Bid-Ask Spread %	3.69	2.55	5.00	4.40	4.00
Gamma HHI	0.11	0.05	0.57	0.08	0.06
Net GEX	28.2M	-136.6M	87.9M	37.7M	12.0M
Net DEX	-2.14B	-2.89B	-952.4M	-2.32B	-1.35B
Net VEX	-6.2M	-6.6M	-5.9M	-6.1M	-6.2M
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	1.01	0.77	1.41	0.90	0.90
Total Volume	3,820,530	1,842,610	6,610,100	2,801,330	2,425,290
Total OI	20,700,450	15,039,850	24,151,820	20,073,900	16,583,560

Daily Data (21 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
2013-12-02	$5.20	$4.86	33.9%	13.9%	26.3%	1.6%	49.6%	2.4%	2.9%	37.7M	-2.32B	-6.1M	0.90	4.40	N/A	N/A	1,477,840	1,323,490	8,827,840	11,246,060
2013-12-03	$5.18	$4.86	34.0%	13.9%	25.3%	1.8%	47.5%	1.8%	2.3%	37.4M	-2.27B	-6.3M	0.93	4.53	N/A	N/A	1,629,670	1,508,990	9,329,180	11,630,710
2013-12-04	$5.09	$4.57	35.1%	13.7%	26.3%	4.0%	49.8%	2.9%	2.3%	22.2M	-1.99B	-6.5M	1.03	4.74	N/A	N/A	2,359,490	2,435,650	9,806,930	11,969,720
2013-12-05	$5.12	$4.43	34.5%	13.8%	25.3%	2.8%	49.8%	2.9%	2.7%	7.1M	-1.98B	-6.6M	1.10	5.00	N/A	N/A	1,584,730	1,743,350	10,153,780	12,603,430
2013-12-06	$5.06	$4.43	34.1%	13.8%	23.3%	2.1%	47.6%	2.1%	2.9%	-24.5M	-1.77B	-6.5M	0.84	3.64	N/A	N/A	2,300,130	1,928,080	10,262,490	12,795,510
2013-12-09	$5.08	$4.43	33.0%	13.7%	22.0%	0.1%	48.3%	1.6%	2.8%	23.1M	-1.93B	-6.2M	1.05	3.16	N/A	N/A	1,386,910	1,461,530	9,193,380	11,570,790
2013-12-10	$5.19	$4.43	32.4%	13.7%	22.8%	0.0%	47.8%	2.0%	2.9%	48.6M	-2.32B	-6.2M	1.17	2.55	N/A	N/A	1,545,600	1,810,620	9,656,500	11,998,000
2013-12-11	$5.20	$4.43	31.1%	13.6%	22.1%	0.0%	50.1%	1.7%	3.5%	52.1M	-2.36B	-6.2M	1.02	2.88	N/A	N/A	2,448,600	2,495,990	9,943,640	12,368,020
2013-12-12	$5.33	$4.43	33.6%	13.8%	23.3%	4.6%	48.6%	2.1%	1.3%	87.9M	-2.89B	-6.2M	1.21	2.61	N/A	N/A	2,610,860	3,153,150	10,229,100	12,890,920
2013-12-13	$5.27	$4.43	33.0%	13.6%	23.2%	3.4%	48.5%	1.7%	2.3%	48.0M	-2.51B	-6.3M	0.92	3.43	N/A	N/A	2,439,710	2,237,060	10,547,950	13,475,560
2013-12-16	$5.23	$4.43	34.3%	13.6%	22.6%	5.9%	49.6%	2.5%	16.2%	28.9M	-2.27B	-6.2M	1.05	3.69	N/A	N/A	1,331,960	1,394,820	9,657,130	12,160,610
2013-12-17	$5.36	$4.43	35.0%	13.8%	21.7%	7.1%	46.2%	2.8%	15.9%	60.7M	-2.79B	-6.3M	0.80	3.55	N/A	N/A	2,555,070	2,037,700	10,051,510	12,532,030
2013-12-18	$5.37	$4.43	34.8%	13.6%	20.6%	6.7%	47.1%	1.8%	16.3%	76.6M	-2.87B	-6.2M	1.01	3.61	N/A	N/A	2,000,390	2,013,130	10,568,950	13,019,790
2013-12-19	$5.38	$4.43	33.0%	13.6%	20.7%	3.6%	48.9%	1.4%	23.7%	86.3M	-2.87B	-5.9M	1.17	3.50	N/A	N/A	1,660,820	1,935,360	10,500,700	12,910,100
2013-12-20	$5.37	$4.43	38.5%	13.6%	19.3%	13.5%	49.4%	1.3%	25.7%	30.1M	-2.77B	-5.9M	0.77	3.72	N/A	N/A	2,369,990	1,829,520	10,663,450	13,488,370
2013-12-23	$5.44	$4.43	52.4%	13.5%	19.4%	38.7%	46.8%	2.6%	-9.0%	43.1M	-1.95B	-5.9M	0.81	3.63	N/A	N/A	2,083,410	1,695,190	6,867,910	8,171,940
2013-12-24	$5.41	$4.57	55.8%	13.4%	19.7%	45.0%	50.7%	1.3%	-9.2%	36.0M	-1.84B	-6.1M	1.41	3.59	N/A	N/A	763,280	1,079,330	7,455,770	8,864,310
2013-12-26	$5.38	$4.57	60.1%	13.3%	19.5%	52.8%	47.8%	3.1%	-2.0%	18.2M	-1.73B	-6.0M	1.06	3.65	N/A	N/A	1,507,800	1,601,250	7,539,070	9,391,480
2013-12-27	$5.25	$4.57	59.9%	13.1%	20.8%	52.4%	44.3%	3.7%	-2.4%	-136.6M	-952.4M	-6.1M	1.14	3.75	N/A	N/A	3,094,420	3,515,680	8,000,370	9,961,490
2013-12-30	$5.24	$4.57	59.6%	13.1%	20.6%	51.8%	45.6%	3.4%	-8.6%	-2.3M	-1.27B	-6.1M	0.91	3.87	N/A	N/A	1,809,710	1,645,560	7,031,850	8,789,550
2013-12-31	$5.26	$4.57	58.8%	13.0%	20.5%	50.4%	45.4%	4.2%	-10.0%	12.0M	-1.35B	-6.2M	0.90	4.00	N/A	N/A	1,276,870	1,148,420	7,434,000	9,149,560