NFLX Options History — March 2014 In March 2014, NFLX traded between $5.03 and $6.50. ATM implied volatility averaged 42.3%, placing in the 20.6% IV rank vs the trailing year. The 30-day expected move averaged 12.7%. IV traded above realized volatility by 16.5% (HV 20d: 25.8%). Max pain ranged from $5.71 to $6.00. Net GEX was positive for 5 of 21 trading days. Term structure was in contango for 14 of 21 days. Put/call ratio averaged 0.98.
Notable Days 2014-03-21 : Highest Volume — 9,875,740 contracts2014-03-24 : Largest IV spike — 45.9% change2014-03-28 : Highest IV Rank — 63.2%2014-03-25 : Largest Expected Move — 13.0%Monthly Statistics Metric Avg Min Max Open Close Price $5.93 $5.03 $6.50 $6.37 $5.03 Max Pain $5.96 $5.71 $6.00 $6.00 $5.71 ATM IV 42.3% 30.9% 65.8% 35.7% 65.6% Expected Move 12.7% 12.4% 13.0% 12.5% 12.9% HV 20d 25.8% 20.4% 31.2% 27.1% 30.3% HV 60d 43.0% 41.9% 45.5% 42.1% 45.5% IV Rank 20.6% 0.0% 63.2% 8.3% 62.9% IV Percentile 30.1% 0.0% 82.1% 18.7% 82.1% Term Structure 3.9% -5.4% 21.6% 0.5% -3.7% VWIV 43.7% 41.0% 45.7% 44.7% 42.9% Skew 25d 3.7% 2.3% 5.9% 2.5% 3.5% Skew 10d 6.2% 2.1% 9.0% 5.2% 2.1% Call IV 25d 40.8% 29.6% 65.4% 34.5% 62.0% Put IV 25d 44.5% 32.8% 68.8% 37.0% 65.6% Bid-Ask Spread % 12.61 9.01 16.77 16.77 14.80 Gamma HHI 0.08 0.03 0.36 0.03 0.04 Net GEX -19.7M -110.5M 44.2M 10.9M -9.8M Net DEX -590.6M -2.01B 888.6M -1.57B 540.7M Net VEX -7.9M -8.3M -7.0M -8.1M -7.6M Div Yield 0.0% 0.0% 0.0% 0.0% 0.0% P/C Ratio 0.98 0.67 1.27 1.14 0.84 Total Volume 4,980,883.333 2,363,340 9,875,740 3,102,610 4,445,350 Total OI 15,523,556.667 11,485,880 17,503,010 14,162,820 13,294,680
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 2014-03-03 $6.37 $6.00 35.7% 12.5% 27.1% 8.3% 44.7% 2.5% 0.5% 10.9M -1.57B -8.1M 1.14 16.77 N/A N/A 1,448,510 1,654,100 6,304,200 7,858,620 2014-03-04 $6.50 $6.00 34.3% 12.5% 27.0% 5.9% 41.0% 2.3% -0.1% 44.2M -2.01B -8.1M 1.15 14.98 N/A N/A 1,497,650 1,718,920 6,636,350 8,313,270 2014-03-05 $6.48 $6.00 33.1% 12.5% 27.2% 3.6% 42.3% 2.8% 0.8% 42.8M -1.91B -8.1M 0.98 14.63 N/A N/A 1,192,520 1,170,820 6,855,940 8,760,570 2014-03-06 $6.44 $6.00 32.3% 12.5% 27.3% 2.1% 42.3% 2.9% 1.1% 25.7M -1.75B -8.0M 0.96 14.95 N/A N/A 1,492,050 1,425,830 7,165,130 9,042,180 2014-03-07 $6.41 $6.00 30.9% 12.4% 27.6% 0.0% 44.5% 3.2% 0.6% -6.5M -1.60B -7.9M 1.21 15.32 N/A N/A 2,058,210 2,485,000 7,335,930 9,211,580 2014-03-10 $6.28 $6.00 32.9% 12.5% 22.2% 3.6% 44.3% 4.5% 0.4% -6.7M -1.24B -7.9M 1.03 10.20 N/A N/A 2,204,370 2,270,100 6,324,850 8,077,440 2014-03-11 $6.25 $6.00 32.7% 12.4% 22.4% 3.3% 44.9% 4.0% 0.9% -16.6M -1.16B -8.1M 0.96 11.59 N/A N/A 1,465,450 1,401,680 6,855,170 8,729,700 2014-03-12 $6.24 $6.00 32.9% 12.5% 22.2% 3.5% 41.9% 4.6% 0.3% -28.6M -1.11B -8.3M 0.94 10.54 N/A N/A 1,512,210 1,420,650 7,179,620 8,994,580 2014-03-13 $6.14 $6.00 34.1% 12.6% 22.5% 5.8% 44.2% 4.5% 0.8% -55.3M -775.4M -8.3M 0.96 11.69 N/A N/A 1,928,150 1,851,220 7,488,040 9,183,090 2014-03-14 $6.06 $6.00 34.8% 12.7% 21.9% 7.0% 43.7% 4.7% 0.3% -110.5M -426.0M -8.1M 1.27 13.31 N/A N/A 2,478,420 3,142,090 7,750,260 9,435,720 2014-03-17 $6.04 $6.00 35.3% 12.7% 22.0% 7.8% 45.1% 3.9% 18.5% -20.1M -696.1M -8.0M 0.97 10.14 N/A N/A 1,380,680 1,340,920 6,827,310 8,360,380 2014-03-18 $6.00 $6.00 34.0% 12.7% 21.9% 5.5% 42.2% 3.9% 20.3% -33.1M -568.7M -7.8M 0.95 10.80 N/A N/A 1,792,140 1,699,880 7,154,560 8,635,060 2014-03-19 $6.00 $6.00 33.9% 12.7% 20.9% 5.4% 45.6% 2.9% 20.6% -36.5M -624.7M -7.9M 0.76 12.94 N/A N/A 1,871,240 1,418,830 7,443,030 8,910,300 2014-03-20 $6.06 $6.00 34.6% 12.7% 20.4% 6.7% 44.8% 2.9% 20.3% 1.8M -899.6M -7.6M 0.88 10.53 N/A N/A 3,181,990 2,798,880 7,506,240 8,943,410 2014-03-21 $5.80 $6.00 39.0% 12.6% 25.4% 14.6% 42.9% 2.4% 21.6% -88.1M 182.0M -7.4M 1.10 9.01 N/A N/A 4,708,130 5,167,610 7,925,890 9,271,990 2014-03-24 $5.41 $6.00 56.9% 13.0% 31.2% 47.1% 44.2% 4.9% -5.4% -26.2M 548.3M -7.0M 0.94 10.92 N/A N/A 4,627,070 4,331,320 5,364,730 6,121,150 2014-03-25 $5.30 $6.00 61.5% 13.0% 30.4% 55.4% 45.7% 5.3% -4.5% -17.6M 565.2M -7.4M 1.03 11.23 N/A N/A 3,460,240 3,557,330 6,771,520 6,856,990 2014-03-26 $5.32 $6.00 63.5% 12.9% 30.8% 59.1% 43.9% 5.9% -2.7% -11.7M 482.4M -7.8M 0.67 12.03 N/A N/A 3,550,330 2,391,690 7,538,930 7,668,430 2014-03-27 $5.20 $5.71 65.0% 12.9% 30.5% 61.7% 44.3% 2.8% -4.2% -30.5M 734.6M -8.1M 0.74 14.14 N/A N/A 4,517,240 3,332,420 8,403,640 7,991,200 2014-03-28 $5.13 $5.71 65.8% 12.9% 30.5% 63.2% 43.3% 3.3% -4.7% -40.5M 888.6M -8.0M 1.08 14.30 N/A N/A 4,427,780 4,779,530 9,220,680 8,282,330 2014-03-31 $5.03 $5.71 65.6% 12.9% 30.3% 62.9% 42.9% 3.5% -3.7% -9.8M 540.7M -7.6M 0.84 14.80 N/A N/A 2,420,810 2,024,540 6,683,670 6,611,010
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