If I discuss a film in an essay, do I need to cite it?

[Kathrieines]

I have a short essay assignment in my college jazz appreciation class in which I have to discus a character in a film and determine how he does or doesn't fit the stereotype of a jazz person. I was wondering if I should include a Works Cited for the movie?
I was thinking I should, but don't really know if you need to for films used in this sense...