NFLX Options History — January 2014 In January 2014, NFLX traded between $4.70 and $5.85. ATM implied volatility averaged 51.6%, placing in the 37.3% IV rank vs the trailing year. The 30-day expected move averaged 12.4%. IV traded above realized volatility by 13.3% (HV 20d: 38.3%). Max pain ranged from $4.57 to $5.71. Net GEX was positive for 12 of 21 trading days. Term structure was in contango for 3 of 21 days. Put/call ratio averaged 0.96.
Notable Days 2014-01-23 : Highest Volume — 20,230,210 contracts2014-01-23 : Largest IV drop — 35.6% change2014-01-14 : Highest IV Rank — 60.8%2014-01-02 : Largest Expected Move — 13.0%Monthly Statistics Metric Avg Min Max Open Close Price $5.13 $4.70 $5.85 $5.18 $5.85 Max Pain $4.84 $4.57 $5.71 $4.57 $5.71 ATM IV 51.6% 33.6% 64.5% 59.6% 34.2% Expected Move 12.4% 12.0% 13.0% 13.0% 12.1% HV 20d 38.3% 20.1% 65.7% 21.2% 65.4% HV 60d 38.1% 28.3% 42.2% 42.2% 41.7% IV Rank 37.3% 4.6% 60.8% 51.9% 5.6% IV Percentile 48.6% 3.6% 75.0% 67.9% 5.2% Term Structure -5.0% -11.3% 1.9% -3.9% 0.3% VWIV 42.9% 38.8% 46.5% 44.2% 42.4% Skew 25d 3.7% 2.1% 5.2% 4.2% 2.1% Skew 10d 7.3% 3.9% 10.6% 8.7% 4.3% Call IV 25d 49.8% 32.1% 62.1% 58.6% 33.4% Put IV 25d 53.5% 34.8% 66.1% 62.8% 35.5% Bid-Ask Spread % 7.91 3.70 18.82 3.70 18.82 Gamma HHI 0.09 0.03 0.38 0.06 0.38 Net GEX 23.2M -41.2M 190.7M -16.0M 190.7M Net DEX -1.17B -3.14B -72.6M -1.11B -2.78B Net VEX -6.5M -8.1M -5.7M -6.0M -7.7M Div Yield 0.0% 0.0% 0.0% 0.0% 0.0% P/C Ratio 0.96 0.71 1.26 1.26 0.93 Total Volume 6,446,293.333 3,072,860 20,230,210 3,072,860 8,061,270 Total OI 18,109,463.333 11,880,190 22,767,080 17,146,010 19,383,560
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 2014-01-02 $5.18 $4.57 59.6% 13.0% 21.2% 51.9% 44.2% 4.2% -3.9% -16.0M -1.11B -6.0M 1.26 3.70 N/A N/A 1,359,610 1,713,250 7,724,920 9,421,090 2014-01-03 $5.19 $4.86 59.4% 13.0% 20.1% 51.4% 46.5% 3.3% -4.4% 4.6M -1.17B -6.0M 1.09 4.13 N/A N/A 1,494,500 1,636,040 7,981,470 9,707,880 2014-01-06 $5.14 $4.86 58.4% 12.9% 20.3% 49.6% 43.4% 4.2% -6.8% 1.9M -1.09B -5.8M 0.71 3.82 N/A N/A 1,816,990 1,283,380 7,147,840 8,891,190 2014-01-07 $4.85 $4.71 60.0% 12.8% 28.7% 52.6% 45.1% 4.0% -7.8% -26.9M -332.9M -5.7M 1.02 4.19 N/A N/A 3,950,100 4,011,630 7,509,110 9,212,280 2014-01-08 $4.87 $4.71 59.8% 12.7% 28.8% 52.2% 43.4% 3.4% -8.3% -13.7M -510.1M -6.2M 0.94 5.35 N/A N/A 1,753,850 1,642,900 8,624,980 10,119,060 2014-01-09 $4.81 $4.71 60.0% 12.6% 27.6% 52.6% 43.5% 3.4% -8.1% -38.3M -320.4M -6.2M 0.92 4.13 N/A N/A 1,988,210 1,835,400 9,021,670 10,462,060 2014-01-10 $4.74 $4.71 61.1% 12.6% 27.8% 54.6% 43.3% 3.6% -9.1% -41.2M -72.6M -6.0M 1.22 4.82 N/A N/A 1,995,770 2,439,430 9,371,740 10,756,970 2014-01-13 $4.81 $4.71 63.5% 12.6% 26.4% 59.0% 42.3% 3.4% -10.5% -5.4M -552.3M -6.1M 0.87 3.83 N/A N/A 2,846,550 2,463,020 8,095,360 9,830,590 2014-01-14 $4.83 $4.71 64.5% 12.5% 26.5% 60.8% 44.7% 4.0% -11.3% -3.5M -623.2M -6.2M 0.92 4.68 N/A N/A 1,912,890 1,762,250 8,665,440 10,243,940 2014-01-15 $4.72 $4.71 63.5% 12.4% 27.2% 59.0% 42.4% 5.2% -10.6% -27.9M -265.4M -5.9M 1.00 4.55 N/A N/A 4,476,500 4,497,920 8,837,220 10,530,520 2014-01-16 $4.74 $4.71 56.3% 12.4% 25.4% 45.8% 43.9% 3.8% -3.8% 1.9M -485.7M -6.2M 1.03 5.42 N/A N/A 2,106,440 2,166,850 9,814,840 11,332,440 2014-01-17 $4.71 $4.71 56.0% 12.2% 25.1% 45.2% 42.4% 5.1% -4.4% 22.8M -402.3M -6.0M 1.04 4.89 N/A N/A 2,060,730 2,146,900 9,994,950 11,452,840 2014-01-21 $4.70 $4.71 58.1% 12.3% 25.0% 49.1% 41.4% 4.4% -8.7% -1.4M -74.1M -5.9M 1.00 6.19 N/A N/A 2,449,370 2,446,290 5,661,390 6,218,800 2014-01-22 $4.77 $4.71 53.8% 12.2% 26.2% 41.3% 42.5% 4.3% -7.3% 5.5M -258.7M -6.2M 0.88 5.94 N/A N/A 5,739,300 5,043,220 6,774,670 7,138,740 2014-01-23 $5.55 $4.71 34.6% 12.1% 61.9% 6.5% 43.1% 3.0% 1.9% 123.3M -3.14B -6.2M 0.91 4.76 N/A N/A 10,580,080 9,650,130 9,590,700 9,528,890 2014-01-24 $5.52 $4.86 33.6% 12.1% 62.0% 4.6% 41.8% 2.8% 0.7% 49.6M -2.60B -7.1M 0.83 11.15 N/A N/A 4,722,200 3,926,650 10,864,350 11,902,730 2014-01-27 $5.45 $4.86 36.6% 12.0% 62.1% 10.0% 38.8% 3.1% -0.5% 21.0M -1.33B -7.4M 0.90 17.51 N/A N/A 3,664,500 3,288,880 7,059,920 7,890,750 2014-01-28 $5.81 $4.86 38.9% 12.0% 65.3% 14.2% 41.7% 4.7% -1.3% 67.7M -2.57B -7.7M 0.77 14.67 N/A N/A 5,222,980 4,029,130 7,888,370 8,504,020 2014-01-29 $5.72 $4.86 36.8% 12.3% 65.7% 10.5% 42.5% 3.1% -0.3% 72.8M -2.34B -8.1M 0.91 17.17 N/A N/A 3,355,800 3,053,540 8,730,540 9,576,210 2014-01-30 $5.78 $5.71 34.9% 12.2% 65.7% 6.9% 41.6% 2.5% -0.1% 98.6M -2.53B -7.8M 1.01 16.50 N/A N/A 2,371,320 2,406,390 8,896,510 9,938,180 2014-01-31 $5.85 $5.71 34.2% 12.1% 65.4% 5.6% 42.4% 2.1% 0.3% 190.7M -2.78B -7.7M 0.93 18.82 N/A N/A 4,167,240 3,894,030 8,990,240 10,393,320
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