NFLX Options History — February 2014 In February 2014, NFLX traded between $5.78 and $6.47. ATM implied volatility averaged 34.1%, placing in the 5.4% IV rank vs the trailing year. The 30-day expected move averaged 12.5%. IV traded below realized volatility by 18.2% (HV 20d: 52.2%). Max pain ranged from $5.71 to $6.00. Net GEX was positive for 16 of 19 trading days. Term structure was in contango for 10 of 19 days. Put/call ratio averaged 1.09.
Notable Days 2014-02-07 : Highest Volume — 11,689,230 contracts2014-02-24 : Largest IV spike — 7.9% change2014-02-03 : Highest IV Rank — 8.8%2014-02-05 : Largest Expected Move — 12.8%Monthly Statistics Metric Avg Min Max Open Close Price $6.16 $5.78 $6.47 $5.78 $6.37 Max Pain $5.96 $5.71 $6.00 $5.71 $6.00 ATM IV 34.1% 32.4% 35.9% 35.9% 34.1% Expected Move 12.5% 12.3% 12.8% 12.5% 12.5% HV 20d 52.2% 26.2% 65.7% 65.7% 27.2% HV 60d 41.8% 41.0% 42.2% 41.8% 42.1% IV Rank 5.4% 2.5% 8.8% 8.8% 5.5% IV Percentile 6.7% 0.4% 16.7% 12.7% 8.3% Term Structure 0.2% -0.7% 1.6% -0.7% 0.5% VWIV 42.9% 40.4% 44.7% 43.5% 43.5% Skew 25d 2.0% 1.0% 2.9% 2.4% 2.0% Skew 10d 4.1% 1.8% 5.8% 5.3% 4.2% Call IV 25d 33.3% 31.8% 35.1% 35.1% 33.1% Put IV 25d 35.3% 32.8% 37.5% 37.5% 35.1% Bid-Ask Spread % 15.31 8.45 19.17 16.34 14.51 Gamma HHI 0.11 0.04 0.49 0.05 0.18 Net GEX 37.1M -37.5M 171.6M 31.0M -37.5M Net DEX -2.20B -3.19B -1.62B -1.85B -1.62B Net VEX -7.8M -8.1M -7.3M -7.8M -8.0M Div Yield 0.0% 0.0% 0.0% 0.0% 0.0% P/C Ratio 1.09 0.79 1.58 0.95 1.15 Total Volume 4,444,753.158 2,730,770 11,689,230 3,416,630 5,078,360 Total OI 17,163,414.211 12,661,460 20,089,580 15,883,000 16,763,880
Daily Data (19 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 2014-02-03 $5.78 $5.71 35.9% 12.5% 65.7% 8.8% 43.5% 2.4% -0.7% 31.0M -1.85B -7.8M 0.95 16.34 N/A N/A 1,754,410 1,662,220 7,382,340 8,500,660 2014-02-04 $5.80 $5.71 34.9% 12.6% 65.4% 7.0% 43.5% 2.9% -0.5% 31.5M -1.87B -7.8M 1.11 10.05 N/A N/A 1,512,490 1,685,250 7,672,700 8,988,140 2014-02-05 $5.78 $6.00 34.8% 12.8% 61.1% 6.8% 42.2% 2.5% 0.4% 27.1M -1.80B -7.9M 1.08 8.45 N/A N/A 1,731,450 1,868,510 7,890,400 9,314,060 2014-02-06 $5.83 $6.00 33.9% 12.6% 61.1% 5.2% 44.5% 2.8% -0.1% 51.6M -2.01B -7.7M 0.99 14.02 N/A N/A 1,464,610 1,451,520 8,039,010 9,616,320 2014-02-07 $6.14 $6.00 34.6% 12.6% 62.5% 6.3% 44.0% 2.6% 0.1% 171.6M -3.19B -7.5M 0.79 11.41 N/A N/A 6,539,610 5,149,620 8,232,840 9,842,140 2014-02-10 $6.15 $6.00 34.6% 12.4% 61.8% 6.4% 43.7% 2.9% -0.3% 49.8M -2.52B -7.8M 0.97 17.18 N/A N/A 1,788,640 1,738,800 7,501,480 9,298,170 2014-02-11 $6.20 $5.86 33.6% 12.4% 61.9% 4.5% 43.3% 2.3% -0.4% 53.0M -2.67B -7.9M 1.05 13.26 N/A N/A 1,939,770 2,033,080 7,777,980 9,814,560 2014-02-12 $6.13 $6.00 32.7% 12.4% 62.4% 3.0% 41.3% 1.5% -0.4% 36.2M -2.37B -7.9M 1.58 15.68 N/A N/A 1,481,620 2,338,350 8,013,740 10,302,670 2014-02-13 $6.24 $6.00 33.5% 12.4% 61.1% 4.4% 42.2% 1.4% -0.4% 87.5M -2.78B -7.9M 0.99 13.10 N/A N/A 3,132,570 3,087,840 8,366,400 10,939,110 2014-02-14 $6.22 $6.00 32.7% 12.3% 61.2% 3.0% 41.9% 1.0% -0.2% -11.3M -2.66B -7.9M 1.09 16.40 N/A N/A 2,152,710 2,338,630 8,708,700 11,380,880 2014-02-18 $6.24 $6.00 33.8% 12.3% 61.0% 4.9% 40.4% 1.4% 1.0% 38.8M -2.47B -7.7M 1.02 16.84 N/A N/A 1,770,510 1,812,650 7,597,310 9,823,030 2014-02-19 $6.12 $6.00 32.6% 12.4% 61.9% 2.8% 42.9% 1.3% 1.6% 3.6M -2.02B -7.8M 1.20 17.91 N/A N/A 1,831,620 2,202,130 7,933,380 10,292,100 2014-02-20 $6.21 $6.00 33.4% 12.6% 61.9% 4.2% 44.2% 1.3% 0.9% 26.3M -2.19B -7.6M 1.22 17.41 N/A N/A 1,473,990 1,794,870 7,796,740 10,402,070 2014-02-21 $6.17 $6.00 32.4% 12.6% 33.7% 2.5% 42.1% 1.0% 1.1% -26.2M -2.07B -7.3M 1.07 16.77 N/A N/A 1,878,450 2,015,370 7,973,490 10,568,390 2014-02-24 $6.39 $6.00 35.0% 12.4% 34.8% 7.1% 44.7% 2.3% -0.0% 35.3M -1.78B -7.3M 1.06 19.17 N/A N/A 3,203,270 3,389,330 5,708,080 6,953,380 2014-02-25 $6.47 $6.00 35.6% 12.6% 34.1% 8.2% 42.2% 2.3% 0.1% 54.0M -2.06B -7.8M 1.09 18.39 N/A N/A 2,479,260 2,693,390 6,525,400 8,127,420 2014-02-26 $6.41 $6.00 34.7% 12.5% 27.4% 6.5% 42.8% 2.3% 0.4% 31.1M -1.84B -8.1M 1.31 18.81 N/A N/A 1,405,740 1,838,900 6,994,260 8,775,480 2014-02-27 $6.46 $6.00 34.7% 12.5% 26.2% 6.6% 42.2% 2.6% 0.3% 51.0M -2.00B -8.1M 0.99 15.13 N/A N/A 1,370,950 1,359,820 7,161,350 9,126,810 2014-02-28 $6.37 $6.00 34.1% 12.5% 27.2% 5.5% 43.5% 2.0% 0.5% -37.5M -1.62B -8.0M 1.15 14.51 N/A N/A 2,357,600 2,720,760 7,470,050 9,293,830
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