NFLX Options History — November 2014 In November 2014, NFLX traded between $4.95 and $5.55. ATM implied volatility averaged 29.1%, placing in the 11.4% IV rank vs the trailing year. The 30-day expected move averaged 10.5%. IV traded below realized volatility by 21.0% (HV 20d: 50.1%). Max pain ranged from $5.14 to $6.00. Net GEX was positive for 7 of 19 trading days. Term structure was in contango for 9 of 19 days. Put/call ratio averaged 0.91.
Notable Days 2014-11-21 : Highest Volume — 8,615,950 contracts2014-11-19 : Largest IV spike — 8.4% change2014-11-19 : Highest IV Rank — 15.7%2014-11-24 : Largest Expected Move — 11.1%Monthly Statistics Metric Avg Min Max Open Close Price $5.33 $4.95 $5.55 $5.55 $4.95 Max Pain $5.83 $5.14 $6.00 $6.00 $5.14 ATM IV 29.1% 27.7% 31.0% 29.2% 28.5% Expected Move 10.5% 10.2% 11.1% 10.2% 11.1% HV 20d 50.1% 24.1% 82.7% 82.7% 27.8% HV 60d 50.8% 50.3% 51.5% 50.7% 51.5% IV Rank 11.4% 8.3% 15.7% 11.6% 10.2% IV Percentile 14.8% 11.9% 21.8% 12.3% 13.5% Term Structure -0.1% -0.6% 0.7% 0.3% -0.1% VWIV 36.3% 34.8% 40.2% 35.3% 40.2% Skew 25d 2.6% 1.5% 4.4% 4.4% 1.7% Skew 10d 5.0% 3.1% 8.2% 5.6% 3.1% Call IV 25d 28.3% 26.8% 30.6% 27.7% 28.4% Put IV 25d 30.9% 29.7% 32.5% 32.1% 30.1% Bid-Ask Spread % 36.02 2.82 48.75 39.49 9.41 Gamma HHI 0.09 0.04 0.69 0.05 0.10 Net GEX -21.2M -218.2M 32.9M 23.2M -50.6M Net DEX 502.5M -81.0M 1.36B -81.0M 1.13B Net VEX -7.9M -8.8M -6.6M -8.8M -6.8M Div Yield 0.0% 0.0% 0.0% 0.0% 0.0% P/C Ratio 0.91 0.75 1.27 0.98 1.05 Total Volume 5,012,342.632 2,695,140 8,615,950 5,974,710 2,695,140 Total OI 19,905,771.053 16,457,490 21,930,580 18,738,440 19,855,080
Daily Data (19 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 2014-11-03 $5.55 $6.00 29.2% 10.2% 82.7% 11.6% 35.3% 4.4% 0.3% 23.2M -81.0M -8.8M 0.98 39.49 N/A N/A 3,016,510 2,958,200 9,104,760 9,633,680 2014-11-04 $5.47 $6.00 29.4% 10.2% 82.7% 12.1% 35.3% 4.3% 0.3% -2.4K 277.8M -8.8M 0.84 41.08 N/A N/A 2,593,010 2,187,010 9,576,700 10,295,740 2014-11-05 $5.43 $6.00 29.0% 10.3% 81.9% 11.1% 35.4% 3.8% 0.7% -6.8M 400.7M -8.6M 0.89 39.34 N/A N/A 2,297,190 2,046,940 9,880,500 10,524,080 2014-11-06 $5.48 $6.00 28.7% 10.2% 82.1% 10.6% 35.4% 3.9% 0.5% 8.7M 228.7M -8.6M 0.89 39.87 N/A N/A 2,381,540 2,110,920 10,076,150 10,754,870 2014-11-07 $5.49 $6.00 28.1% 10.2% 82.1% 9.3% 35.9% 3.7% 0.0% 19.5M 157.5M -8.4M 0.78 41.37 N/A N/A 2,934,890 2,277,800 10,328,360 10,882,900 2014-11-10 $5.53 $6.00 28.4% 10.2% 81.8% 10.0% 35.3% 2.7% -0.4% 11.6M 4.5M -8.4M 0.77 43.34 N/A N/A 2,469,670 1,892,730 9,017,120 9,886,870 2014-11-11 $5.47 $6.00 29.3% 10.3% 81.1% 11.8% 35.0% 2.2% -0.6% 1.6M 237.1M -8.1M 0.77 45.30 N/A N/A 2,757,300 2,123,870 8,871,380 9,863,630 2014-11-12 $5.48 $6.00 28.7% 10.2% 81.1% 10.6% 34.8% 2.5% -0.5% -1.5M 200.7M -8.4M 0.83 45.08 N/A N/A 2,480,590 2,065,350 9,816,730 10,633,420 2014-11-13 $5.42 $6.00 28.8% 10.3% 24.4% 10.7% 35.1% 2.2% -0.4% -30.6M 450.2M -8.2M 0.80 44.71 N/A N/A 2,485,980 1,982,680 10,187,520 10,897,180 2014-11-14 $5.51 $6.00 27.7% 10.2% 24.3% 8.3% 36.5% 2.6% 0.3% 32.9M -80.7M -8.3M 0.77 46.21 N/A N/A 2,568,860 1,965,180 10,379,530 11,124,330 2014-11-17 $5.45 $6.00 28.8% 10.3% 24.9% 10.8% 35.2% 2.2% -0.6% 3.7M 217.0M -7.9M 0.88 41.19 N/A N/A 2,211,930 1,937,040 9,380,770 9,994,810 2014-11-18 $5.44 $5.93 28.6% 10.3% 24.1% 10.4% 35.6% 2.1% 0.2% -2.5M 256.9M -7.9M 0.75 44.52 N/A N/A 1,805,720 1,349,530 9,754,150 10,351,180 2014-11-19 $5.19 $5.93 31.0% 10.6% 28.9% 15.7% 36.7% 1.9% -0.4% -48.4M 1.17B -7.4M 0.86 48.75 N/A N/A 4,124,190 3,536,190 10,045,280 10,540,670 2014-11-20 $5.25 $5.86 30.7% 10.6% 28.1% 14.9% 36.1% 2.1% -0.4% -39.1M 900.2M -7.4M 1.07 47.26 N/A N/A 3,036,880 3,235,820 10,508,750 10,771,320 2014-11-21 $5.14 $5.71 30.7% 10.7% 28.8% 14.9% 36.4% 1.9% -0.5% -218.2M 1.36B -7.1M 1.12 46.71 N/A N/A 4,070,500 4,545,450 10,841,600 11,088,980 2014-11-24 $5.09 $0.00 29.3% 11.1% 28.6% 12.0% 38.4% 1.5% 0.1% -31.2M 766.5M -6.9M 1.06 2.82 N/A N/A 2,037,980 2,160,620 7,909,020 8,548,470 2014-11-25 $4.99 $5.14 29.4% 11.0% 28.1% 12.2% 38.7% 1.9% -0.3% -50.0M 1.08B -6.6M 1.01 9.07 N/A N/A 3,606,400 3,655,750 8,569,400 9,143,190 2014-11-26 $5.02 $5.14 28.1% 11.0% 27.7% 9.3% 38.8% 2.2% 0.2% -25.8M 868.0M -7.1M 1.27 8.89 N/A N/A 1,595,300 2,033,850 9,466,030 9,705,500 2014-11-28 $4.95 $5.14 28.5% 11.1% 27.8% 10.2% 40.2% 1.7% -0.1% -50.6M 1.13B -6.8M 1.05 9.41 N/A N/A 1,312,150 1,382,990 9,699,200 10,155,880
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