NFLX Options History — August 2014 In August 2014, NFLX traded between $6.04 and $6.87. ATM implied volatility averaged 26.9%, placing in the 1.4% IV rank vs the trailing year. The 30-day expected move averaged 10.2%. IV traded below realized volatility by 0.1% (HV 20d: 27.0%). Max pain ranged from $6.21 to $6.93. Net GEX was positive for 16 of 21 trading days. Term structure was in contango for 17 of 21 days. Put/call ratio averaged 0.99.
Notable Days 2014-08-07 : Highest Volume — 11,467,190 contracts2014-08-11 : Largest IV drop — 8.8% change2014-08-05 : Highest IV Rank — 5.9%2014-08-06 : Largest Expected Move — 10.8%Monthly Statistics Metric Avg Min Max Open Close Price $6.53 $6.04 $6.87 $6.08 $6.82 Max Pain $6.43 $6.21 $6.93 $6.21 $6.93 ATM IV 26.9% 23.9% 31.9% 31.4% 24.1% Expected Move 10.2% 9.6% 10.8% 10.7% 9.6% HV 20d 27.0% 20.4% 31.8% 29.8% 20.4% HV 60d 30.5% 28.5% 32.9% 32.8% 28.5% IV Rank 1.4% 0.0% 5.9% 5.0% 0.3% IV Percentile 1.3% 0.0% 5.2% 4.4% 0.8% Term Structure 0.6% -0.5% 1.5% -0.4% 0.5% VWIV 35.9% 33.5% 38.6% 37.6% 35.0% Skew 25d 2.0% -0.1% 4.5% 4.2% 0.5% Skew 10d 4.0% 1.2% 10.2% 10.2% 1.2% Call IV 25d 26.4% 24.1% 30.8% 29.8% 24.1% Put IV 25d 28.4% 24.2% 34.0% 34.0% 24.6% Bid-Ask Spread % 23.47 20.19 27.88 26.63 21.53 Gamma HHI 0.09 0.04 0.23 0.21 0.04 Net GEX 45.2M -106.1M 162.9M 70.8M 20.2M Net DEX -1.69B -2.87B -383.6M -507.7M -2.05B Net VEX -9.8M -10.2M -9.4M -9.7M -9.8M Div Yield 0.0% 0.0% 0.0% 0.0% 0.0% P/C Ratio 0.99 0.76 1.34 1.24 1.04 Total Volume 5,972,116.667 3,614,380 11,467,190 11,340,280 6,115,620 Total OI 19,208,420 15,633,940 20,996,360 20,235,250 20,842,640
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 2014-08-01 $6.08 $6.21 31.4% 10.7% 29.8% 5.0% 37.6% 4.2% -0.4% 70.8M -507.7M -9.7M 1.24 26.63 N/A N/A 5,052,110 6,288,170 9,814,560 10,420,690 2014-08-04 $6.04 $6.21 31.4% 10.7% 28.8% 4.8% 36.5% 3.1% 1.0% 156.9K -395.0M -9.7M 1.11 22.63 N/A N/A 1,766,450 1,956,430 8,165,360 9,117,920 2014-08-05 $6.04 $6.21 31.9% 10.8% 26.6% 5.9% 38.6% 2.6% 0.1% -4.0M -383.6M -9.8M 1.00 22.84 N/A N/A 2,056,460 2,051,980 8,591,520 9,598,750 2014-08-06 $6.15 $6.21 31.3% 10.8% 27.5% 4.6% 37.7% 2.5% 0.4% 58.8M -901.7M -9.9M 1.02 26.78 N/A N/A 2,721,810 2,782,990 9,043,860 9,896,670 2014-08-07 $6.42 $6.21 30.2% 10.6% 31.6% 2.4% 37.1% 4.5% 0.8% 137.9M -2.27B -9.9M 0.78 24.47 N/A N/A 6,438,740 5,028,450 9,283,470 10,231,410 2014-08-08 $6.37 $6.21 30.2% 10.7% 31.8% 2.4% 38.0% 3.5% 0.7% -14.3M -1.76B -10.1M 0.80 26.02 N/A N/A 4,305,840 3,446,800 9,710,680 11,285,680 2014-08-11 $6.45 $6.21 27.5% 10.5% 30.5% 0.0% 37.6% 1.5% -0.1% 76.4M -1.73B -9.8M 1.11 24.22 N/A N/A 2,517,130 2,791,880 8,436,050 9,528,190 2014-08-12 $6.38 $6.29 26.6% 10.4% 30.6% 0.0% 36.4% 2.2% -0.5% -1.6M -1.17B -10.0M 0.89 25.62 N/A N/A 2,439,290 2,168,040 8,832,670 10,494,470 2014-08-13 $6.45 $6.29 26.8% 10.5% 30.7% 0.5% 36.4% 2.2% 1.1% 74.3M -1.69B -10.2M 0.91 27.10 N/A N/A 2,225,510 2,022,020 9,395,120 10,927,980 2014-08-14 $6.44 $6.29 26.5% 10.4% 30.3% 0.0% 36.0% 2.0% -0.4% 41.0M -1.51B -9.8M 0.88 26.75 N/A N/A 1,927,310 1,687,070 9,357,110 10,981,670 2014-08-15 $6.56 $6.29 26.6% 10.4% 30.7% 0.1% 37.6% 2.2% 0.6% 145.7M -2.48B -9.5M 0.76 27.88 N/A N/A 5,975,900 4,550,630 9,585,590 11,223,590 2014-08-18 $6.66 $6.29 25.3% 10.1% 30.6% 0.0% 36.3% 1.5% 0.7% 65.0M -1.88B -9.4M 1.11 21.82 N/A N/A 2,704,100 3,000,200 7,159,040 8,474,900 2014-08-19 $6.69 $6.29 24.7% 10.0% 24.6% 0.0% 34.1% 1.7% 0.9% 29.5M -1.87B -9.7M 0.88 21.47 N/A N/A 2,238,320 1,978,200 7,826,560 9,767,170 2014-08-20 $6.75 $6.50 25.4% 10.0% 24.2% 1.4% 34.7% 1.8% 1.3% 73.1M -2.18B -9.8M 0.89 21.20 N/A N/A 3,226,370 2,865,030 8,231,650 10,213,910 2014-08-21 $6.74 $6.57 24.4% 9.9% 24.0% 0.0% 35.2% 1.3% 1.5% 56.4M -2.17B -10.0M 0.90 20.97 N/A N/A 2,692,900 2,425,500 8,905,330 11,014,570 2014-08-22 $6.85 $6.57 24.2% 9.8% 23.6% 0.0% 34.4% 0.7% 1.4% 162.9M -2.87B -9.8M 0.78 20.78 N/A N/A 4,928,700 3,866,520 9,218,860 11,311,860 2014-08-25 $6.87 $6.57 24.0% 9.7% 23.7% 0.0% 33.5% 1.4% 0.8% 87.6M -2.34B -9.6M 1.04 21.07 N/A N/A 2,384,480 2,484,510 8,021,160 9,499,770 2014-08-26 $6.85 $6.71 24.2% 9.7% 23.8% 0.4% 33.5% 1.2% 0.2% 32.4M -2.09B -9.9M 1.34 20.19 N/A N/A 1,607,340 2,156,700 8,509,340 10,391,640 2014-08-27 $6.78 $6.93 23.9% 9.7% 23.5% 0.0% 34.3% -0.1% 0.7% -57.6M -1.60B -10.0M 1.13 20.86 N/A N/A 2,087,400 2,368,660 8,757,070 10,910,900 2014-08-28 $6.79 $6.93 24.5% 9.7% 20.4% 1.1% 34.4% 1.1% 1.0% -106.1M -1.62B -10.0M 1.08 21.95 N/A N/A 1,959,790 2,123,100 9,050,720 11,346,720 2014-08-29 $6.82 $6.93 24.1% 9.6% 20.4% 0.3% 35.0% 0.5% 0.5% 20.2M -2.05B -9.8M 1.04 21.53 N/A N/A 3,002,930 3,112,690 9,200,170 11,642,470
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