NFLX Options History — May 2014 In May 2014, NFLX traded between $4.58 and $5.97. ATM implied volatility averaged 39.5%, placing in the 15.9% IV rank vs the trailing year. The 30-day expected move averaged 12.1%. IV traded below realized volatility by 12.5% (HV 20d: 52.0%). Max pain ranged from $5.71 to $5.71. Net GEX was positive for 16 of 21 trading days. Term structure was in contango for 6 of 21 days. Put/call ratio averaged 1.06.
Notable Days 2014-05-21 : Highest Volume — 12,681,830 contracts2014-05-27 : Largest IV spike — 8.9% change2014-05-07 : Highest IV Rank — 25.6%2014-05-07 : Largest Expected Move — 12.7%Monthly Statistics Metric Avg Min Max Open Close Price $5.18 $4.58 $5.97 $4.81 $5.97 Max Pain $5.71 $5.71 $5.71 $5.71 $5.71 ATM IV 39.5% 34.1% 44.8% 41.7% 36.6% Expected Move 12.1% 11.5% 12.7% 12.6% 11.5% HV 20d 52.0% 39.4% 58.4% 58.0% 39.4% HV 60d 44.0% 42.1% 46.3% 42.2% 46.3% IV Rank 15.9% 5.8% 25.6% 20.0% 10.5% IV Percentile 39.7% 11.5% 59.5% 53.2% 27.8% Term Structure -0.2% -1.0% 1.6% -0.0% -0.8% VWIV 42.7% 39.9% 46.1% 46.0% 41.6% Skew 25d 3.8% 2.0% 6.2% 4.1% 2.0% Skew 10d 7.6% 5.6% 13.0% 8.1% 5.9% Call IV 25d 37.9% 32.4% 42.7% 40.3% 36.7% Put IV 25d 41.7% 35.4% 47.2% 44.4% 38.7% Bid-Ask Spread % 13.20 9.96 17.55 14.00 13.88 Gamma HHI 0.10 0.04 0.70 0.04 0.18 Net GEX 37.0M -33.7M 231.5M 30.3M 83.2M Net DEX -968.0M -2.88B 674.8M -251.2M -2.76B Net VEX -8.8M -9.4M -8.3M -8.7M -9.3M Div Yield 0.0% 0.0% 0.0% 0.0% 0.0% P/C Ratio 1.06 0.77 1.40 0.91 0.94 Total Volume 7,324,026.667 3,002,370 12,681,830 11,248,720 10,937,080 Total OI 19,547,300 14,633,430 22,117,200 19,830,650 21,419,370
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 2014-05-01 $4.81 $5.71 41.7% 12.6% 58.0% 20.0% 46.0% 4.1% -0.0% 30.3M -251.2M -8.7M 0.91 14.00 N/A N/A 5,890,990 5,357,730 9,534,630 10,296,020 2014-05-02 $4.87 $5.71 41.6% 12.5% 57.8% 19.7% 45.4% 5.1% -0.3% 13.9M -366.1M -8.8M 0.96 14.68 N/A N/A 3,635,590 3,502,450 9,926,280 11,147,850 2014-05-05 $4.92 $5.71 41.1% 12.6% 55.0% 18.9% 46.1% 6.2% -0.5% 5.8M -272.8M -8.7M 1.04 12.47 N/A N/A 1,471,610 1,530,760 8,380,540 9,466,940 2014-05-06 $4.66 $5.71 43.5% 12.6% 58.4% 23.3% 44.0% 2.9% -0.5% -21.8M 422.2M -8.4M 0.94 11.94 N/A N/A 2,734,200 2,566,690 8,732,010 9,842,350 2014-05-07 $4.58 $5.71 44.8% 12.7% 57.3% 25.6% 41.5% 4.4% -0.5% -33.7M 674.8M -8.3M 1.40 12.30 N/A N/A 2,659,440 3,711,260 9,246,160 10,218,950 2014-05-08 $4.60 $5.71 43.5% 12.5% 57.0% 23.3% 43.1% 4.2% -0.8% -25.1M 573.2M -8.4M 1.10 13.36 N/A N/A 2,693,320 2,955,680 9,756,810 10,609,480 2014-05-09 $4.69 $5.71 42.5% 12.5% 54.7% 21.4% 43.2% 5.1% -0.1% -8.8M 246.7M -8.5M 1.11 11.95 N/A N/A 2,686,670 2,976,260 10,008,810 11,006,240 2014-05-12 $4.93 $5.71 40.6% 12.3% 56.8% 17.8% 44.2% 4.0% -0.9% 18.5M -478.9M -8.6M 1.08 11.96 N/A N/A 2,690,870 2,903,810 8,811,390 9,763,040 2014-05-13 $4.96 $5.71 40.2% 12.2% 56.7% 17.1% 44.0% 2.3% -0.2% 16.4M -535.3M -8.8M 0.90 12.14 N/A N/A 2,981,860 2,677,080 9,204,860 10,510,010 2014-05-14 $5.03 $5.71 40.4% 12.1% 56.4% 17.6% 43.6% 4.0% -0.9% 31.5M -770.1M -8.9M 1.00 9.96 N/A N/A 2,373,980 2,376,780 9,747,430 10,992,450 2014-05-15 $4.92 $5.71 40.1% 12.2% 56.9% 17.0% 42.0% 4.2% -0.5% -20.3M -247.5M -8.4M 1.34 14.10 N/A N/A 2,810,150 3,762,360 9,722,300 11,113,690 2014-05-16 $5.00 $5.71 38.8% 12.0% 55.2% 14.6% 42.3% 3.3% -1.0% 231.5M -661.2M -8.3M 0.77 13.50 N/A N/A 3,651,760 2,829,750 9,983,610 11,518,780 2014-05-19 $5.21 $5.71 39.4% 12.1% 57.0% 15.6% 42.1% 4.8% 0.0% 28.2M -957.1M -8.4M 1.09 12.46 N/A N/A 3,205,230 3,481,170 6,968,430 7,665,000 2014-05-20 $5.31 $5.71 37.0% 11.8% 52.0% 11.2% 42.4% 3.4% 1.1% 43.7M -1.29B -8.7M 1.29 14.99 N/A N/A 3,214,610 4,136,860 7,826,770 8,850,870 2014-05-21 $5.58 $5.71 36.7% 11.6% 50.8% 10.7% 42.5% 3.8% 1.5% 73.7M -2.20B -8.9M 1.17 12.63 N/A N/A 5,847,660 6,834,170 8,445,850 9,730,490 2014-05-22 $5.60 $5.71 35.8% 11.6% 49.4% 9.0% 40.2% 3.5% 0.9% 82.5M -2.25B -9.4M 1.10 15.56 N/A N/A 5,394,480 5,960,990 9,221,730 11,332,720 2014-05-23 $5.75 $5.71 34.1% 11.6% 41.7% 5.8% 40.6% 3.0% 1.6% 51.4M -2.88B -9.2M 0.84 17.55 N/A N/A 5,867,610 4,901,680 9,743,020 12,374,180 2014-05-27 $5.70 $5.71 37.1% 11.6% 40.3% 11.4% 41.1% 3.6% 0.0% 37.2M -1.80B -9.3M 1.17 12.93 N/A N/A 2,837,240 3,329,480 8,149,960 9,795,380 2014-05-28 $5.73 $5.71 37.3% 11.6% 40.3% 11.7% 40.7% 3.0% -0.6% 39.8M -1.89B -9.4M 1.02 12.90 N/A N/A 2,753,100 2,795,450 8,704,010 10,639,930 2014-05-29 $5.93 $5.71 36.9% 11.5% 41.0% 11.1% 39.9% 2.9% -0.5% 98.1M -2.64B -9.3M 1.11 11.95 N/A N/A 4,211,060 4,665,640 9,012,360 11,072,600 2014-05-30 $5.97 $5.71 36.6% 11.5% 39.4% 10.5% 41.6% 2.0% -0.8% 83.2M -2.76B -9.3M 0.94 13.88 N/A N/A 5,632,900 5,304,180 9,453,150 11,966,220
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