NFLX Options History — June 2014 In June 2014, NFLX traded between $5.97 and $6.41. ATM implied volatility averaged 38.0%, placing in the 13.1% IV rank vs the trailing year. The 30-day expected move averaged 11.5%. IV traded above realized volatility by 10.5% (HV 20d: 27.5%). Max pain ranged from $4.29 to $8.79. Net GEX was positive for 17 of 21 trading days. Term structure was in contango for 12 of 21 days. Put/call ratio averaged 1.09.
Notable Days 2014-06-17 : Highest Volume — 8,973,160 contracts2014-06-23 : Largest IV spike — 28.3% change2014-06-26 : Highest IV Rank — 35.8%2014-06-16 : Largest Expected Move — 11.7%Monthly Statistics Metric Avg Min Max Open Close Price $6.19 $5.97 $6.41 $6.03 $6.29 Max Pain $6.03 $4.29 $8.79 $5.71 $5.93 ATM IV 38.0% 31.4% 50.3% 36.7% 49.4% Expected Move 11.5% 11.3% 11.7% 11.5% 11.3% HV 20d 27.5% 20.5% 40.1% 39.4% 20.5% HV 60d 44.9% 42.2% 46.6% 46.3% 42.2% IV Rank 13.1% 0.9% 35.8% 10.6% 34.1% IV Percentile 28.0% 0.8% 68.3% 28.2% 67.9% Term Structure 3.1% -2.7% 16.8% 0.0% -2.6% VWIV 41.2% 38.5% 44.1% 40.6% 39.5% Skew 25d 2.8% 1.1% 5.9% 2.3% 3.1% Skew 10d 6.0% 3.8% 13.6% 6.1% 6.6% Call IV 25d 37.5% 29.1% 48.7% 36.9% 47.3% Put IV 25d 40.3% 31.9% 52.5% 39.2% 50.3% Bid-Ask Spread % 14.37 6.04 17.70 15.19 14.53 Gamma HHI 0.10 0.04 0.79 0.06 0.05 Net GEX 51.2M -47.1M 420.5M 47.1M 24.0M Net DEX -2.23B -3.24B -1.49B -2.36B -1.63B Net VEX -9.0M -9.4M -8.3M -9.3M -8.3M Div Yield 0.0% 0.0% 0.0% 0.0% 0.0% P/C Ratio 1.09 0.73 1.39 1.03 1.31 Total Volume 5,704,346.667 2,823,520 8,973,160 4,982,250 3,937,920 Total OI 19,457,040 14,106,890 22,855,490 18,507,650 14,106,890
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 2014-06-02 $6.03 $5.71 36.7% 11.5% 39.4% 10.6% 40.6% 2.3% 0.0% 47.1M -2.36B -9.3M 1.03 15.19 N/A N/A 2,453,850 2,528,400 8,362,410 10,145,240 2014-06-03 $5.97 $5.71 36.8% 11.5% 40.1% 10.9% 41.9% 2.2% -0.3% 38.8M -2.17B -9.4M 1.19 14.31 N/A N/A 1,997,590 2,385,740 8,865,780 10,726,940 2014-06-04 $6.05 $5.71 36.0% 11.5% 32.2% 9.3% 39.9% 1.8% 0.3% 49.7M -2.41B -9.3M 1.07 16.62 N/A N/A 2,667,210 2,863,280 9,128,280 11,289,180 2014-06-05 $6.12 $0.00 36.0% 11.6% 30.1% 9.4% 44.1% 1.7% 0.1% 92.1M -2.77B -9.3M 1.22 6.04 N/A N/A 2,903,390 3,535,910 9,662,030 11,966,430 2014-06-06 $6.14 $4.29 34.3% 11.6% 30.1% 6.3% 38.5% 1.1% -0.3% 420.5M -2.91B -9.1M 0.90 15.16 N/A N/A 4,083,170 3,666,740 9,947,280 12,420,800 2014-06-09 $6.04 $8.79 34.7% 11.6% 31.9% 7.0% 41.0% 2.0% -0.5% 20.6M -2.03B -9.2M 1.10 14.32 N/A N/A 1,960,700 2,152,640 8,425,970 10,536,610 2014-06-10 $6.12 $6.71 32.7% 11.5% 28.7% 3.3% 40.3% 1.8% 0.4% 35.6M -2.29B -9.2M 1.17 15.41 N/A N/A 2,875,880 3,354,400 8,846,110 11,057,620 2014-06-11 $6.14 $6.14 32.2% 11.6% 28.7% 2.4% 40.6% 2.3% 1.2% 23.1M -2.31B -9.1M 1.19 13.78 N/A N/A 1,862,770 2,224,320 9,237,970 11,766,790 2014-06-12 $6.04 $6.00 32.4% 11.6% 30.4% 2.8% 42.4% 2.4% 1.2% -47.1M -1.75B -9.2M 1.08 14.94 N/A N/A 3,021,060 3,266,060 9,491,230 12,169,010 2014-06-13 $6.11 $6.00 31.4% 11.5% 28.1% 0.9% 41.0% 4.0% 1.9% 28.1M -2.17B -9.1M 1.22 13.09 N/A N/A 3,633,700 4,422,180 9,877,070 12,461,540 2014-06-16 $6.15 $6.00 33.5% 11.7% 28.0% 4.8% 42.1% 3.0% 13.1% 51.6M -2.32B -8.9M 1.12 14.35 N/A N/A 1,935,850 2,159,150 8,715,280 10,801,560 2014-06-17 $6.34 $6.00 32.8% 11.5% 26.7% 3.5% 42.8% 2.5% 14.0% 90.7M -3.08B -8.8M 0.89 14.26 N/A N/A 4,755,100 4,218,060 9,049,390 11,333,630 2014-06-18 $6.41 $5.93 32.2% 11.5% 26.5% 2.3% 41.1% 2.5% 14.8% 83.0M -3.24B -9.1M 0.96 17.70 N/A N/A 2,862,020 2,745,260 9,593,290 12,473,160 2014-06-19 $6.31 $5.93 32.6% 11.5% 23.4% 3.2% 39.3% 2.3% 15.0% 19.5M -2.59B -8.7M 0.73 16.16 N/A N/A 3,401,860 2,473,800 9,550,870 12,326,860 2014-06-20 $6.29 $5.93 34.5% 11.4% 23.6% 6.5% 42.3% 1.7% 16.8% -19.9M -2.50B -8.7M 1.02 14.49 N/A N/A 3,764,880 3,825,150 10,094,350 12,761,140 2014-06-23 $6.28 $6.00 44.2% 11.5% 22.4% 24.6% 43.1% 4.2% -2.0% 24.9M -1.64B -8.7M 1.39 14.41 N/A N/A 1,183,840 1,639,680 6,852,580 7,410,760 2014-06-24 $6.23 $6.00 47.0% 11.4% 22.3% 29.8% 41.1% 3.7% -1.9% -3.0M -1.49B -8.7M 0.96 14.65 N/A N/A 3,371,970 3,253,180 7,253,820 8,086,610 2014-06-25 $6.35 $5.93 49.5% 11.4% 22.8% 34.3% 42.0% 5.9% -1.5% 38.9M -1.88B -8.8M 0.91 13.38 N/A N/A 2,648,100 2,416,820 7,840,070 8,708,560 2014-06-26 $6.28 $5.93 50.3% 11.4% 20.6% 35.8% 0.0% 3.7% -2.7% -3.0M -1.59B -8.8M 1.17 13.95 N/A N/A 2,069,200 2,416,470 8,171,240 9,106,020 2014-06-27 $6.32 $5.93 48.9% 11.4% 20.6% 33.3% 40.4% 4.6% -2.2% 60.9M -1.82B -8.6M 1.20 15.09 N/A N/A 3,121,930 3,732,050 8,453,060 9,524,410 2014-06-30 $6.29 $5.93 49.4% 11.3% 20.5% 34.1% 39.5% 3.1% -2.6% 24.0M -1.63B -8.3M 1.31 14.53 N/A N/A 1,704,150 2,233,770 6,694,380 7,412,510
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