NFLX Options History — September 2014 In September 2014, NFLX traded between $6.33 and $6.92. ATM implied volatility averaged 30.2%, placing in the 11.7% IV rank vs the trailing year. The 30-day expected move averaged 9.6%. IV traded above realized volatility by 12.0% (HV 20d: 18.2%). Max pain ranged from $6.43 to $7.00. Net GEX was positive for 8 of 21 trading days. Term structure was in contango for 14 of 21 days. Put/call ratio averaged 1.04.
Notable Days 2014-09-16 : Highest Volume — 8,661,380 contracts2014-09-22 : Largest IV spike — 39.7% change2014-09-25 : Highest IV Rank — 35.1%2014-09-15 : Largest Expected Move — 9.9%Monthly Statistics Metric Avg Min Max Open Close Price $6.61 $6.33 $6.92 $6.81 $6.45 Max Pain $6.77 $6.43 $7.00 $6.93 $6.43 ATM IV 30.2% 23.9% 42.9% 25.4% 40.2% Expected Move 9.6% 9.2% 9.9% 9.7% 9.4% HV 20d 18.2% 12.3% 22.4% 20.1% 22.4% HV 60d 27.7% 24.7% 29.2% 28.5% 24.7% IV Rank 11.7% 0.0% 35.1% 2.6% 30.2% IV Percentile 22.3% 0.0% 64.7% 3.6% 57.9% Term Structure 3.6% -2.5% 17.8% 0.3% -2.1% VWIV 33.8% 32.0% 35.7% 33.9% 33.0% Skew 25d 2.7% -0.9% 5.5% 0.7% 5.2% Skew 10d 4.0% -1.4% 8.8% 1.8% 7.3% Call IV 25d 29.1% 21.7% 40.6% 25.5% 37.1% Put IV 25d 31.8% 23.1% 45.1% 26.2% 42.4% Bid-Ask Spread % 33.77 22.50 43.62 22.50 43.31 Gamma HHI 0.08 0.04 0.28 0.05 0.05 Net GEX -41.3M -186.4M 55.8M -2.4M 53.6M Net DEX -794.5M -2.17B 290.0M -1.71B -684.1M Net VEX -9.9M -10.4M -9.3M -9.6M -10.4M Div Yield 0.0% 0.0% 0.0% 0.0% 0.0% P/C Ratio 1.04 0.77 1.34 1.05 0.91 Total Volume 5,738,140 3,143,840 8,661,380 3,143,840 4,534,040 Total OI 19,827,993.333 15,776,040 23,998,240 17,590,650 18,340,630
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 2014-09-02 $6.81 $6.93 25.4% 9.7% 20.1% 2.6% 33.9% 0.7% 0.3% -2.4M -1.71B -9.6M 1.05 22.50 N/A N/A 1,533,420 1,610,420 7,780,430 9,810,220 2014-09-03 $6.82 $7.00 25.4% 9.7% 20.0% 2.7% 34.5% -0.9% 0.5% 12.5M -1.80B -9.6M 0.77 26.30 N/A N/A 3,788,050 2,926,280 8,228,780 10,346,490 2014-09-04 $6.75 $7.00 25.5% 9.6% 20.3% 3.0% 34.2% 0.0% 0.3% -133.5M -1.20B -10.1M 1.20 29.20 N/A N/A 2,313,220 2,775,080 8,869,490 11,064,830 2014-09-05 $6.80 $6.93 24.4% 9.6% 14.1% 0.9% 33.5% 1.2% 0.3% -121.3M -1.49B -9.9M 1.34 30.55 N/A N/A 3,085,670 4,142,250 9,001,020 11,492,530 2014-09-08 $6.85 $6.93 25.0% 9.7% 13.5% 1.9% 33.3% 2.5% 0.8% 18.7M -1.81B -9.8M 1.25 31.02 N/A N/A 1,447,810 1,816,080 7,965,790 10,103,170 2014-09-09 $6.84 $7.00 25.3% 9.7% 13.2% 2.6% 34.1% 1.0% 2.2% -4.9M -1.77B -10.0M 0.81 30.22 N/A N/A 4,072,950 3,301,060 8,341,970 10,707,970 2014-09-10 $6.92 $6.93 24.6% 9.7% 12.3% 1.3% 33.7% 2.1% 1.5% 55.8M -2.17B -10.0M 0.99 29.99 N/A N/A 2,019,500 1,998,990 9,079,000 11,352,180 2014-09-11 $6.88 $6.93 25.4% 9.7% 12.5% 2.6% 35.7% 1.0% 1.7% -6.4M -1.89B -10.1M 1.04 28.97 N/A N/A 1,983,520 2,054,920 9,327,430 11,803,260 2014-09-12 $6.81 $6.86 23.9% 9.7% 13.3% 0.0% 33.3% 0.1% 1.6% -186.4M -1.27B -10.0M 1.11 31.93 N/A N/A 3,641,820 4,052,440 9,794,050 12,152,700 2014-09-15 $6.54 $6.86 26.4% 9.9% 19.2% 4.7% 34.6% 1.6% 14.4% -120.2M -31.6M -9.7M 1.07 30.80 N/A N/A 4,185,300 4,464,390 8,683,150 10,890,810 2014-09-16 $6.53 $6.86 24.4% 9.8% 18.4% 0.9% 34.5% 2.6% 16.2% -122.8M 116.8M -9.9M 0.95 33.35 N/A N/A 4,439,610 4,221,770 9,640,400 11,674,880 2014-09-17 $6.49 $6.86 24.6% 9.7% 18.3% 1.2% 33.9% 2.7% 16.4% -95.6M 136.5M -10.2M 0.83 35.38 N/A N/A 2,281,370 1,886,430 10,789,590 12,260,360 2014-09-18 $6.56 $6.71 23.9% 9.5% 18.4% 0.0% 33.3% 2.9% 16.4% 745.9K -423.5M -9.7M 1.08 34.97 N/A N/A 2,808,470 3,020,920 10,965,360 12,131,000 2014-09-19 $6.54 $6.71 27.2% 9.5% 18.4% 6.2% 33.5% 3.0% 17.8% -93.9M -136.3M -9.8M 1.20 35.75 N/A N/A 2,844,100 3,411,660 11,366,880 12,631,360 2014-09-22 $6.33 $6.71 38.0% 9.7% 20.4% 26.1% 33.9% 5.5% -1.8% -65.2M 290.0M -9.3M 1.03 36.58 N/A N/A 4,148,830 4,268,950 7,363,720 8,412,320 2014-09-23 $6.34 $6.64 40.7% 9.7% 20.4% 31.0% 33.9% 4.8% -1.5% -39.7M 139.1M -9.8M 1.02 36.37 N/A N/A 2,622,410 2,686,950 8,557,360 9,282,980 2014-09-24 $6.44 $6.57 41.6% 9.5% 21.4% 32.7% 33.8% 4.9% -1.9% 23.2M -436.4M -10.1M 1.17 37.09 N/A N/A 2,281,160 2,671,690 9,156,420 9,777,460 2014-09-25 $6.34 $6.43 42.9% 9.5% 21.8% 35.1% 33.4% 4.6% -2.2% -88.1M 273.5M -10.0M 1.08 40.28 N/A N/A 2,477,300 2,685,830 9,381,190 10,224,550 2014-09-26 $6.41 $6.50 40.6% 9.2% 22.4% 30.8% 32.0% 5.3% -2.5% 30.4M -356.2M -10.3M 1.04 43.62 N/A N/A 3,015,390 3,141,040 9,907,380 10,450,860 2014-09-29 $6.42 $6.43 40.0% 9.3% 22.3% 29.7% 33.6% 5.3% -1.8% 17.8M -459.4M -10.3M 0.92 41.07 N/A N/A 1,997,800 1,842,050 8,131,620 9,146,270 2014-09-30 $6.45 $6.43 40.2% 9.4% 22.4% 30.2% 33.0% 5.2% -2.1% 53.6M -684.1M -10.4M 0.91 43.31 N/A N/A 2,373,700 2,160,340 8,754,690 9,585,940
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