NFLX Options History — October 2014 In October 2014, NFLX traded between $5.10 and $6.67. ATM implied volatility averaged 36.2%, placing in the 25.5% IV rank vs the trailing year. The 30-day expected move averaged 10.1%. IV traded below realized volatility by 20.1% (HV 20d: 56.3%). Max pain ranged from $6.00 to $6.50. Net GEX was positive for 15 of 23 trading days. Term structure was in contango for 6 of 23 days. Put/call ratio averaged 0.98.
Notable Days 2014-10-17 : Highest Volume — 18,660,670 contracts2014-10-13 : Largest IV spike — 20.4% change2014-10-13 : Highest IV Rank — 46.8%2014-10-17 : Largest Expected Move — 11.1%Monthly Statistics Metric Avg Min Max Open Close Price $5.89 $5.10 $6.67 $6.27 $5.61 Max Pain $6.27 $6.00 $6.50 $6.43 $6.00 ATM IV 36.2% 27.1% 45.3% 41.3% 27.1% Expected Move 10.1% 9.2% 11.1% 9.6% 10.0% HV 20d 56.3% 24.0% 83.1% 24.0% 83.0% HV 60d 38.6% 24.4% 51.1% 24.4% 50.7% IV Rank 25.5% 7.0% 46.8% 32.3% 7.0% IV Percentile 42.8% 10.7% 72.2% 63.1% 10.7% Term Structure -1.1% -3.1% 0.9% -2.0% 0.6% VWIV 35.2% 32.6% 38.3% 33.5% 34.7% Skew 25d 5.2% 2.7% 8.5% 5.2% 4.1% Skew 10d 10.2% 6.8% 18.1% 7.1% 7.9% Call IV 25d 33.8% 25.4% 40.6% 39.0% 25.4% Put IV 25d 39.1% 29.5% 47.5% 44.2% 29.5% Bid-Ask Spread % 41.77 38.41 48.95 39.56 41.11 Gamma HHI 0.10 0.03 0.63 0.05 0.23 Net GEX 35.5M -97.1M 470.9M -80.2M 84.9M Net DEX -87.7M -1.78B 2.65B 349.3M -675.0M Net VEX -9.3M -10.6M -6.5M -10.1M -8.8M Div Yield 0.0% 0.0% 0.0% 0.0% 0.0% P/C Ratio 0.98 0.79 1.24 1.09 0.79 Total Volume 7,160,026.087 2,485,070 18,660,670 6,353,970 8,149,050 Total OI 20,310,576.087 17,206,700 24,306,170 19,193,510 22,132,530
Daily Data (23 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 2014-10-01 $6.27 $6.43 41.3% 9.6% 24.0% 32.3% 33.5% 5.2% -2.0% -80.2M 349.3M -10.1M 1.09 39.56 N/A N/A 3,042,550 3,311,420 9,185,260 10,008,250 2014-10-02 $6.43 $6.43 40.4% 9.5% 26.1% 30.5% 33.4% 5.8% -2.1% 95.7M -722.7M -10.5M 1.09 40.83 N/A N/A 2,705,710 2,948,890 9,851,100 10,224,130 2014-10-03 $6.56 $6.43 39.4% 9.4% 27.2% 28.6% 33.3% 6.8% -2.4% 470.9M -1.76B -10.5M 0.81 39.28 N/A N/A 4,225,900 3,434,270 9,960,580 10,559,080 2014-10-06 $6.62 $6.43 38.0% 9.3% 27.2% 26.2% 33.8% 4.3% -0.5% 84.6M -1.46B -10.4M 0.97 40.83 N/A N/A 2,766,890 2,672,530 8,557,990 9,286,060 2014-10-07 $6.52 $6.43 39.1% 9.4% 27.7% 28.1% 33.9% 4.7% -2.0% 8.5M -793.5M -10.6M 1.14 39.65 N/A N/A 2,445,660 2,797,060 9,084,040 10,092,180 2014-10-08 $6.67 $6.43 36.5% 9.2% 28.8% 23.3% 32.6% 6.2% -1.7% 120.7M -1.78B -10.3M 0.98 39.58 N/A N/A 3,817,030 3,729,670 9,319,030 10,398,500 2014-10-09 $6.59 $6.43 38.0% 9.4% 29.0% 26.1% 32.8% 4.9% -1.8% 55.8M -1.23B -10.3M 1.07 41.50 N/A N/A 2,927,750 3,123,610 9,669,100 10,749,270 2014-10-10 $6.46 $6.50 37.6% 9.4% 29.6% 30.0% 33.2% 3.2% -1.6% -97.1M -66.7M -9.9M 0.99 44.48 N/A N/A 3,270,400 3,222,940 9,973,040 10,974,040 2014-10-13 $6.27 $6.43 45.3% 10.1% 28.1% 46.8% 36.1% 6.9% -2.6% -9.0M -70.9M -9.8M 1.24 44.85 N/A N/A 1,657,460 2,056,810 8,202,390 9,004,310 2014-10-14 $6.42 $6.43 40.4% 9.7% 29.6% 36.1% 34.3% 8.0% -2.5% 3.6M -488.6M -10.1M 0.94 44.26 N/A N/A 1,282,750 1,202,320 8,514,240 9,432,990 2014-10-15 $6.41 $6.43 40.1% 10.0% 29.5% 35.5% 35.5% 8.5% -3.1% 7.1M -468.5M -10.3M 0.96 43.40 N/A N/A 4,181,800 4,000,920 9,154,530 9,837,030 2014-10-16 $5.17 $6.43 39.8% 11.0% 81.5% 34.9% 37.5% 5.8% -2.1% -37.7M 2.65B -6.5M 0.99 41.95 N/A N/A 8,433,950 8,313,480 9,932,230 10,369,940 2014-10-17 $5.10 $6.29 38.9% 11.1% 81.4% 33.0% 38.3% 7.6% -1.8% -11.8M 2.26B -7.4M 0.96 48.95 N/A N/A 9,534,210 9,126,460 12,392,590 11,913,580 2014-10-20 $5.13 $6.21 36.7% 10.9% 81.3% 28.0% 37.7% 5.0% -0.5% -775.0K 932.3M -7.8M 0.98 39.75 N/A N/A 3,635,240 3,573,570 9,182,600 9,401,210 2014-10-21 $5.24 $6.21 34.3% 10.8% 81.9% 22.8% 36.8% 5.3% 0.1% 3.6M 695.4M -8.4M 1.06 38.41 N/A N/A 2,618,840 2,781,310 10,076,990 10,274,040 2014-10-22 $5.35 $6.14 34.5% 10.7% 82.2% 23.2% 36.5% 4.6% -1.2% 26.1M 178.1M -8.6M 0.95 42.06 N/A N/A 5,310,830 5,059,950 10,421,460 10,595,480 2014-10-23 $5.47 $6.07 33.0% 10.5% 82.9% 20.1% 36.7% 4.8% -0.7% 39.5M -275.0M -9.2M 0.99 41.82 N/A N/A 4,248,160 4,221,770 11,182,780 11,496,800 2014-10-24 $5.50 $6.07 31.7% 10.4% 82.7% 17.1% 36.0% 3.9% 0.4% 66.9M -383.2M -9.2M 0.96 41.86 N/A N/A 3,748,850 3,608,990 11,536,630 12,106,990 2014-10-27 $5.42 $6.07 32.3% 10.6% 82.7% 18.5% 36.2% 4.3% 0.3% 1.3M 274.1M -8.9M 0.88 41.13 N/A N/A 2,452,590 2,147,250 9,555,000 9,733,150 2014-10-28 $5.52 $6.00 29.3% 10.2% 83.1% 11.8% 36.2% 4.4% 0.7% 21.2M -23.1M -9.0M 1.00 41.02 N/A N/A 1,691,760 1,692,950 10,056,270 10,285,870 2014-10-29 $5.41 $6.00 30.5% 10.4% 82.9% 14.5% 35.5% 2.7% -0.6% -20.8M 445.1M -8.8M 0.95 42.31 N/A N/A 2,577,400 2,442,300 10,250,030 10,614,940 2014-10-30 $5.42 $6.00 29.3% 10.4% 82.1% 11.9% 35.6% 3.5% 0.9% -16.0M 394.8M -8.7M 0.83 42.16 N/A N/A 2,457,140 2,030,210 10,658,550 10,936,450 2014-10-31 $5.61 $6.00 27.1% 10.0% 83.0% 7.0% 34.7% 4.1% 0.6% 84.9M -675.0M -8.8M 0.79 41.11 N/A N/A 4,550,210 3,598,840 11,059,090 11,073,440
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