NFLX Options History — April 2014 In April 2014, NFLX traded between $4.49 and $5.33. ATM implied volatility averaged 56.5%, placing in the 46.9% IV rank vs the trailing year. The 30-day expected move averaged 12.7%. IV traded above realized volatility by 11.8% (HV 20d: 44.7%). Max pain ranged from $5.71 to $5.71. Net GEX was positive for 8 of 21 trading days. Term structure was in contango for 0 of 21 days. Put/call ratio averaged 0.95.
Notable Days 2014-04-22 : Highest Volume — 14,125,090 contracts2014-04-22 : Largest IV drop — 38.0% change2014-04-07 : Highest IV Rank — 70.1%2014-04-07 : Largest Expected Move — 13.0%Monthly Statistics Metric Avg Min Max Open Close Price $4.87 $4.49 $5.33 $5.21 $4.60 Max Pain $5.71 $5.71 $5.71 $5.71 $5.71 ATM IV 56.5% 36.9% 69.6% 63.1% 41.0% Expected Move 12.7% 12.1% 13.0% 12.6% 12.7% HV 20d 44.7% 32.7% 57.0% 32.7% 55.2% HV 60d 44.2% 36.8% 48.5% 46.1% 41.1% IV Rank 46.9% 11.0% 70.1% 58.3% 18.7% IV Percentile 68.7% 27.8% 87.3% 77.0% 49.2% Term Structure -3.1% -6.9% -0.5% -4.4% -0.6% VWIV 44.1% 41.2% 48.1% 44.6% 43.8% Skew 25d 4.8% 1.8% 7.6% 5.0% 5.7% Skew 10d 7.6% 2.3% 13.7% 7.9% 10.2% Call IV 25d 53.5% 34.5% 66.0% 59.3% 39.2% Put IV 25d 58.3% 39.6% 69.0% 64.3% 44.8% Bid-Ask Spread % 14.10 11.59 19.42 15.63 14.37 Gamma HHI 0.08 0.03 0.61 0.03 0.06 Net GEX 3.3M -43.4M 114.2M 6.6M -8.3M Net DEX 358.2M -1.35B 1.37B 136.0M 508.1M Net VEX -7.9M -8.5M -7.4M -8.3M -8.0M Div Yield 0.0% 0.0% 0.0% 0.0% 0.0% P/C Ratio 0.95 0.64 1.45 0.81 1.13 Total Volume 7,644,800 3,804,360 14,125,090 4,850,440 5,884,410 Total OI 17,296,090 12,683,720 21,171,360 15,167,320 18,752,930
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 2014-04-01 $5.21 $5.71 63.1% 12.6% 32.7% 58.3% 44.6% 5.0% -4.4% 6.6M 136.0M -8.3M 0.81 15.63 N/A N/A 2,684,360 2,166,080 7,750,190 7,417,130 2014-04-02 $5.18 $5.71 63.0% 12.7% 32.7% 58.2% 43.8% 5.1% -4.1% 11.5M 107.2M -8.4M 0.83 13.17 N/A N/A 2,823,240 2,342,200 8,379,630 7,838,250 2014-04-03 $5.07 $5.71 65.5% 12.8% 32.9% 62.7% 44.0% 5.0% -4.3% -18.3M 489.0M -8.2M 0.81 12.02 N/A N/A 3,681,090 2,986,480 8,650,320 8,097,180 2014-04-04 $4.82 $5.71 67.2% 12.9% 35.4% 65.7% 44.5% 3.0% -3.2% -22.6M 1.25B -7.8M 0.87 14.25 N/A N/A 5,394,970 4,702,530 9,285,850 8,562,610 2014-04-07 $4.83 $5.71 69.6% 13.0% 35.8% 70.1% 46.0% 3.8% -6.9% -5.4M 565.5M -8.0M 0.75 15.38 N/A N/A 3,463,600 2,600,640 8,080,730 7,320,950 2014-04-08 $4.98 $5.71 66.3% 12.8% 39.2% 64.2% 43.4% 6.3% -5.7% 17.6M 151.6M -8.4M 0.85 13.14 N/A N/A 2,665,950 2,268,560 8,809,150 7,712,600 2014-04-09 $5.04 $5.71 65.1% 12.7% 39.9% 62.0% 42.3% 6.1% -5.8% 28.5M -15.1M -8.5M 0.89 12.11 N/A N/A 2,443,770 2,168,810 9,089,500 8,118,530 2014-04-10 $4.78 $5.71 66.6% 12.8% 42.7% 66.1% 43.0% 3.9% -4.7% -16.3M 733.3M -7.9M 0.77 13.95 N/A N/A 3,975,370 3,070,760 9,366,140 8,238,720 2014-04-11 $4.67 $5.71 66.6% 12.9% 42.9% 66.0% 48.1% 3.8% -5.2% -11.0M 1.00B -7.6M 1.15 13.63 N/A N/A 3,962,140 4,569,880 9,814,000 8,332,660 2014-04-14 $4.74 $5.71 65.1% 12.8% 43.9% 63.2% 44.5% 6.5% -1.6% -3.9M 533.8M -7.7M 0.84 15.43 N/A N/A 2,069,480 1,734,880 8,498,490 7,623,280 2014-04-15 $4.66 $5.71 63.3% 12.5% 43.9% 59.9% 45.9% 7.0% -3.2% -11.0M 655.2M -7.4M 0.71 16.42 N/A N/A 4,319,770 3,068,380 8,822,940 7,782,180 2014-04-16 $4.73 $5.71 60.7% 12.6% 44.8% 55.0% 44.9% 6.0% -3.3% 26.3M 291.6M -7.5M 0.90 13.28 N/A N/A 2,234,750 2,008,020 9,552,830 7,858,060 2014-04-17 $4.94 $5.71 58.4% 12.4% 48.3% 50.8% 41.2% 5.6% -2.4% 114.2M -468.6M -7.7M 0.64 12.99 N/A N/A 6,771,520 4,351,690 9,730,980 8,172,570 2014-04-21 $4.98 $5.71 59.5% 12.5% 46.9% 52.9% 42.8% 7.6% -3.7% 9.2M -261.5M -7.8M 0.80 19.42 N/A N/A 5,859,210 4,703,580 6,653,850 6,029,870 2014-04-22 $5.33 $5.71 36.9% 12.1% 48.3% 11.0% 45.1% 5.5% -1.0% 77.9M -1.35B -8.2M 0.99 11.59 N/A N/A 7,107,240 7,017,850 9,701,510 8,302,490 2014-04-23 $5.05 $5.71 38.5% 12.4% 51.3% 14.0% 44.6% 1.9% -1.0% -10.2M -38.8M -8.3M 1.03 12.51 N/A N/A 4,666,130 4,805,430 9,958,830 9,656,710 2014-04-24 $4.92 $5.71 38.4% 12.4% 52.0% 13.9% 43.5% 4.0% -0.5% -43.4M 502.0M -8.1M 1.15 13.53 N/A N/A 4,209,590 4,856,460 10,259,760 10,099,110 2014-04-25 $4.60 $5.71 42.6% 12.7% 56.2% 21.6% 44.1% 2.4% -1.4% -42.3M 1.37B -7.4M 1.45 13.35 N/A N/A 4,337,970 6,284,670 10,794,280 10,377,080 2014-04-28 $4.49 $5.71 46.1% 12.9% 56.5% 28.0% 44.7% 1.8% -1.1% -20.7M 820.3M -7.4M 1.43 15.25 N/A N/A 4,159,610 5,962,530 7,648,620 8,113,560 2014-04-29 $4.57 $5.71 42.9% 12.7% 57.0% 22.0% 42.4% 5.1% -0.6% -8.4M 542.4M -7.9M 1.06 14.61 N/A N/A 2,992,150 3,165,050 8,689,870 9,273,950 2014-04-30 $4.60 $5.71 41.0% 12.7% 55.2% 18.7% 43.8% 5.7% -0.6% -8.3M 508.1M -8.0M 1.13 14.37 N/A N/A 2,765,210 3,119,200 8,929,690 9,823,240
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