NFLX Options History — July 2014 In July 2014, NFLX traded between $6.03 and $6.76. ATM implied volatility averaged 41.1%, placing in the 21.3% IV rank vs the trailing year. The 30-day expected move averaged 11.0%. IV traded above realized volatility by 5.8% (HV 20d: 35.3%). Max pain ranged from $5.93 to $6.57. Net GEX was positive for 11 of 22 trading days. Term structure was in contango for 4 of 22 days. Put/call ratio averaged 0.99.
Notable Days 2014-07-01 : Highest Volume — 14,973,420 contracts2014-07-22 : Largest IV drop — 32.4% change2014-07-01 : Highest IV Rank — 37.2%2014-07-14 : Largest Expected Move — 11.3%Monthly Statistics Metric Avg Min Max Open Close Price $6.32 $6.03 $6.76 $6.76 $6.04 Max Pain $6.15 $5.93 $6.57 $5.93 $6.21 ATM IV 41.1% 29.0% 51.0% 51.0% 30.9% Expected Move 11.0% 10.5% 11.3% 11.3% 10.6% HV 20d 35.3% 29.2% 39.2% 31.4% 30.1% HV 60d 39.0% 33.1% 43.2% 42.9% 33.1% IV Rank 21.3% 0.0% 37.2% 37.2% 4.0% IV Percentile 43.3% 0.0% 69.4% 69.4% 2.8% Term Structure -1.6% -3.9% 0.4% -2.4% -0.5% VWIV 38.5% 36.1% 42.3% 39.3% 37.8% Skew 25d 3.0% 1.1% 4.3% 4.1% 3.4% Skew 10d 4.5% 0.9% 9.1% 9.1% 6.4% Call IV 25d 39.6% 27.7% 49.7% 49.7% 29.7% Put IV 25d 42.6% 30.6% 53.8% 53.8% 33.0% Bid-Ask Spread % 19.87 13.16 27.36 16.86 22.58 Gamma HHI 0.12 0.03 0.79 0.06 0.06 Net GEX -23.3M -502.6M 120.5M 74.6M -38.1M Net DEX -1.15B -3.14B 168.0M -3.14B -251.3M Net VEX -9.3M -9.7M -8.2M -8.2M -9.6M Div Yield 0.0% 0.0% 0.0% 0.0% 0.0% P/C Ratio 0.99 0.70 1.23 1.01 1.03 Total Volume 7,001,940.909 3,913,210 14,973,420 14,973,420 5,805,520 Total OI 18,968,151.364 13,880,020 22,277,220 16,396,520 19,461,330
Daily Data (22 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 2014-07-01 $6.76 $5.93 51.0% 11.3% 31.4% 37.2% 39.3% 4.1% -2.4% 74.6M -3.14B -8.2M 1.01 16.86 N/A N/A 7,455,700 7,517,720 7,514,640 8,881,880 2014-07-02 $6.67 $5.93 50.4% 11.2% 32.0% 36.0% 39.6% 3.9% -2.9% 24.7M -2.56B -9.0M 0.91 15.40 N/A N/A 4,100,670 3,744,580 8,595,720 10,876,670 2014-07-03 $6.75 $5.93 49.3% 11.2% 32.0% 33.9% 42.3% 3.1% -2.9% 120.5M -3.05B -9.3M 1.06 14.83 N/A N/A 2,257,500 2,392,950 9,099,440 11,255,930 2014-07-07 $6.58 $5.93 48.0% 11.1% 33.8% 31.7% 38.6% 2.8% -3.1% -722.3K -1.93B -9.2M 1.09 17.20 N/A N/A 2,725,380 2,959,320 7,548,310 8,842,470 2014-07-08 $6.36 $6.00 47.8% 11.2% 35.7% 31.2% 38.8% 4.3% -3.0% -51.9M -971.2M -9.5M 1.09 16.11 N/A N/A 4,263,560 4,666,690 8,297,590 9,667,700 2014-07-09 $6.33 $6.07 47.2% 11.2% 35.6% 30.1% 39.9% 3.4% -3.6% -65.4M -851.4M -9.6M 0.86 18.93 N/A N/A 2,777,530 2,398,970 9,202,690 10,484,180 2014-07-10 $6.26 $6.00 46.6% 11.2% 35.8% 29.7% 40.1% 1.9% -3.4% -95.5M -467.2M -9.5M 0.99 18.65 N/A N/A 5,269,810 5,241,740 9,721,320 10,863,930 2014-07-11 $6.29 $6.00 45.9% 11.2% 35.1% 31.7% 39.4% 2.2% -3.9% -502.6M -795.0M -9.6M 1.07 17.32 N/A N/A 3,259,760 3,496,990 10,556,910 11,720,310 2014-07-14 $6.47 $6.00 47.2% 11.3% 36.2% 34.5% 39.2% 2.9% -1.3% 44.7M -2.00B -9.5M 0.81 17.62 N/A N/A 3,278,940 2,656,920 8,463,840 9,388,190 2014-07-15 $6.42 $6.07 46.7% 11.2% 36.4% 33.4% 38.2% 2.9% -1.1% 22.5M -1.76B -9.7M 0.85 18.60 N/A N/A 2,268,560 1,935,220 8,868,650 9,981,930 2014-07-16 $6.35 $6.07 46.9% 11.2% 35.0% 34.0% 39.5% 2.9% -1.4% 6.1M -1.50B -9.6M 0.70 20.27 N/A N/A 2,656,080 1,849,960 9,158,800 10,202,360 2014-07-17 $6.28 $6.29 46.8% 11.2% 35.0% 33.6% 38.1% 2.4% -2.0% -40.1M -1.04B -9.2M 1.09 18.90 N/A N/A 2,396,660 2,606,590 9,420,810 10,296,790 2014-07-18 $6.35 $6.29 45.4% 11.2% 34.7% 30.7% 40.6% 3.5% -1.0% 81.0M -1.43B -9.0M 1.02 19.79 N/A N/A 3,122,000 3,181,710 9,627,380 10,347,260 2014-07-21 $6.46 $0.00 46.3% 11.2% 35.2% 32.6% 39.0% 4.2% -2.2% 13.6M -1.19B -9.1M 0.94 13.16 N/A N/A 4,596,550 4,305,210 6,417,810 7,462,210 2014-07-22 $6.16 $6.43 31.3% 10.6% 39.2% 0.8% 36.9% 1.8% -0.3% -46.7M -250.9M -8.8M 0.81 25.05 N/A N/A 7,835,730 6,356,210 8,647,450 9,462,390 2014-07-23 $6.11 $6.50 30.1% 10.5% 39.2% 0.0% 36.4% 1.1% 0.2% -26.8M -225.8M -9.3M 0.87 25.64 N/A N/A 3,062,500 2,656,430 9,962,540 10,341,240 2014-07-24 $6.08 $6.57 29.2% 10.6% 38.6% 0.0% 37.2% 3.2% 0.4% -59.4M -9.5M -9.3M 1.00 27.15 N/A N/A 4,120,900 4,122,720 10,382,960 10,654,280 2014-07-25 $6.03 $6.21 29.0% 10.5% 38.6% 0.0% 36.1% 1.8% 0.3% -74.5M 168.0M -9.4M 1.22 21.76 N/A N/A 3,077,690 3,763,480 10,940,790 11,083,590 2014-07-28 $6.07 $6.21 29.5% 10.6% 38.6% 1.1% 36.2% 2.6% 0.2% 3.5M -433.3M -9.4M 1.22 22.03 N/A N/A 1,952,370 2,383,010 8,109,080 8,713,670 2014-07-29 $6.06 $6.21 29.5% 10.6% 38.6% 1.1% 37.2% 3.0% -0.1% 9.0M -439.1M -9.4M 1.23 21.93 N/A N/A 1,756,440 2,156,770 8,675,730 9,282,840 2014-07-30 $6.21 $6.21 29.5% 10.6% 29.2% 1.1% 37.0% 4.0% -0.3% 88.0M -1.16B -9.7M 1.01 27.36 N/A N/A 2,788,940 2,820,720 9,011,800 9,803,920 2014-07-31 $6.04 $6.21 30.9% 10.6% 30.1% 4.0% 37.8% 3.4% -0.5% -38.1M -251.3M -9.6M 1.03 22.58 N/A N/A 2,863,490 2,942,030 9,427,040 10,034,290
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