NFLX Options History — December 2014 In December 2014, NFLX traded between $4.52 and $5.06. ATM implied volatility averaged 39.8%, placing in the 34.9% IV rank vs the trailing year. The 30-day expected move averaged 12.5%. IV traded above realized volatility by 9.4% (HV 20d: 30.4%). Max pain ranged from $5.00 to $5.07. Net GEX was positive for 9 of 22 trading days. Term structure was in contango for 14 of 22 days. Put/call ratio averaged 1.03.
Notable Days 2014-12-17 : Highest Volume — 6,276,760 contracts2014-12-22 : Largest IV spike — 17.7% change2014-12-31 : Highest IV Rank — 65.8%2014-12-16 : Largest Expected Move — 13.8%Monthly Statistics Metric Avg Min Max Open Close Price $4.85 $4.52 $5.06 $4.89 $4.88 Max Pain $5.01 $5.00 $5.07 $5.07 $5.00 ATM IV 39.8% 27.7% 53.9% 29.5% 53.9% Expected Move 12.5% 11.0% 13.8% 11.2% 13.1% HV 20d 30.4% 23.6% 37.2% 23.6% 31.6% HV 60d 52.5% 51.5% 53.5% 51.5% 52.7% IV Rank 34.9% 8.5% 65.8% 12.4% 65.8% IV Percentile 53.0% 12.3% 86.5% 19.8% 86.5% Term Structure 3.5% -3.5% 11.5% 0.4% -2.8% VWIV 43.4% 38.8% 47.0% 39.4% 45.0% Skew 25d 4.7% 2.0% 9.3% 2.8% 6.7% Skew 10d 9.7% 4.1% 16.8% 6.0% 13.3% Call IV 25d 38.0% 27.0% 52.3% 28.6% 50.0% Put IV 25d 42.8% 29.2% 59.1% 31.3% 56.7% Bid-Ask Spread % 13.26 8.94 27.01 9.48 21.25 Gamma HHI 0.11 0.05 0.67 0.07 0.10 Net GEX -668.7K -57.5M 173.0M -37.3M 28.1M Net DEX 697.8M 89.9M 1.68B 1.06B 243.9M Net VEX -6.6M -6.9M -5.9M -6.5M -6.5M Div Yield 0.0% 0.0% 0.0% 0.0% 0.0% P/C Ratio 1.03 0.78 1.38 1.15 1.08 Total Volume 4,489,154.091 2,476,250 6,276,760 4,019,470 2,476,250 Total OI 18,300,192.273 14,830,480 20,996,220 17,241,700 16,804,620
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 2014-12-01 $4.89 $5.07 29.5% 11.2% 23.6% 12.4% 39.4% 2.8% 0.4% -37.3M 1.06B -6.5M 1.15 9.48 N/A N/A 1,865,570 2,153,900 8,245,090 8,996,610 2014-12-02 $5.02 $5.00 28.1% 11.1% 26.5% 9.4% 39.4% 2.9% -0.0% -9.9M 606.5M -6.9M 1.00 9.77 N/A N/A 2,128,070 2,126,880 8,666,420 9,424,590 2014-12-03 $5.06 $5.00 27.7% 11.0% 26.5% 8.5% 38.8% 2.2% 0.8% 8.6M 429.0M -6.9M 0.97 10.96 N/A N/A 2,400,720 2,327,780 9,095,730 9,750,160 2014-12-04 $5.01 $5.00 28.1% 11.2% 26.6% 9.3% 39.3% 3.2% 0.9% -16.6M 615.6M -6.9M 0.93 8.94 N/A N/A 2,237,900 2,080,470 9,447,340 10,008,530 2014-12-05 $5.00 $5.00 27.9% 11.2% 26.3% 8.8% 39.0% 2.0% 0.4% -57.5M 663.2M -6.9M 1.19 10.41 N/A N/A 2,296,280 2,740,430 9,773,540 10,314,010 2014-12-08 $4.84 $5.00 29.1% 11.5% 27.9% 11.5% 39.2% 2.8% 6.7% -36.7M 1.05B -6.4M 1.09 9.69 N/A N/A 2,318,050 2,518,880 8,512,490 9,119,950 2014-12-09 $4.91 $5.07 29.2% 11.6% 28.4% 11.7% 40.3% 3.6% 6.0% -24.5M 848.7M -6.8M 0.88 14.75 N/A N/A 3,040,520 2,675,890 9,199,330 9,723,490 2014-12-10 $4.78 $5.07 31.6% 12.2% 29.2% 16.9% 42.1% 2.6% 6.7% -31.7M 1.13B -6.7M 1.17 10.96 N/A N/A 2,106,440 2,469,320 9,805,250 9,951,900 2014-12-11 $4.77 $5.07 32.6% 12.4% 29.1% 19.1% 42.8% 2.9% 7.4% -38.9M 1.22B -6.6M 0.91 10.28 N/A N/A 2,418,430 2,198,420 10,077,690 10,214,750 2014-12-12 $4.78 $5.00 34.6% 12.7% 29.2% 23.4% 44.5% 3.2% 8.1% -31.6M 1.23B -6.7M 0.98 10.37 N/A N/A 3,032,330 2,963,730 10,369,520 10,446,870 2014-12-15 $4.69 $5.00 39.5% 13.2% 28.0% 34.2% 46.0% 5.1% 10.4% -31.0M 1.23B -6.3M 1.32 10.67 N/A N/A 2,155,930 2,837,870 9,414,790 9,419,550 2014-12-16 $4.52 $5.00 43.0% 13.8% 29.8% 42.0% 47.0% 5.6% 10.4% -45.7M 1.68B -5.9M 1.38 11.25 N/A N/A 2,316,650 3,202,220 9,820,790 10,017,140 2014-12-17 $4.76 $5.00 41.8% 13.5% 37.2% 39.3% 46.8% 5.2% 11.5% -3.1M 819.8M -6.7M 1.09 11.96 N/A N/A 3,007,480 3,269,280 10,219,860 9,959,460 2014-12-18 $4.76 $5.00 41.1% 13.2% 33.8% 37.8% 46.6% 5.2% 11.5% -3.0M 802.8M -6.6M 0.94 11.96 N/A N/A 2,978,080 2,802,170 10,413,550 10,214,540 2014-12-19 $4.86 $5.00 42.4% 13.0% 34.4% 40.5% 45.1% 5.3% 10.9% 173.0M 369.6M -6.6M 0.78 10.82 N/A N/A 2,932,580 2,276,050 10,677,800 10,318,420 2014-12-22 $4.80 $5.00 49.9% 13.1% 33.9% 57.0% 45.3% 4.3% -1.8% 7.9M 376.3M -6.5M 0.82 16.46 N/A N/A 2,041,970 1,666,210 7,159,320 7,671,160 2014-12-23 $4.81 $5.00 52.2% 13.2% 33.8% 61.9% 45.7% 8.6% -2.0% 15.1M 337.8M -6.6M 0.95 18.62 N/A N/A 1,724,100 1,629,950 7,669,340 7,963,340 2014-12-24 $4.89 $5.00 52.6% 13.1% 33.8% 62.9% 44.7% 8.6% -0.4% 44.7M 89.9M -6.8M 0.91 17.59 N/A N/A 1,524,390 1,390,690 7,955,570 8,207,780 2014-12-26 $4.87 $5.00 53.6% 13.1% 33.7% 65.1% 45.4% 5.1% -1.8% 27.1M 159.1M -6.6M 0.85 17.96 N/A N/A 2,237,550 1,909,180 8,041,040 8,432,130 2014-12-29 $4.88 $5.00 53.9% 13.1% 33.4% 65.7% 46.6% 9.3% -3.4% 20.7M 225.7M -6.5M 1.15 10.53 N/A N/A 1,554,560 1,785,000 7,293,580 7,805,000 2014-12-30 $4.90 $5.00 53.7% 12.8% 33.1% 65.3% 45.4% 6.8% -3.5% 27.6M 159.2M -6.3M 1.06 27.01 N/A N/A 1,430,940 1,512,280 7,671,230 8,310,960 2014-12-31 $4.88 $5.00 53.9% 13.1% 31.6% 65.8% 45.0% 6.7% -2.8% 28.1M 243.9M -6.5M 1.08 21.25 N/A N/A 1,193,080 1,283,170 8,035,440 8,769,180
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