NFLX Options History — January 2015

In January 2015, NFLX traded between $4.56 and $6.49. ATM implied volatility averaged 47.4%, placing in the 51.4% IV rank vs the trailing year. The 30-day expected move averaged 12.7%. IV traded below realized volatility by 0.9% (HV 20d: 48.3%). Max pain ranged from $4.93 to $5.71. Net GEX was positive for 11 of 20 trading days. Term structure was in contango for 3 of 20 days. Put/call ratio averaged 0.95.

Notable Days

2015-01-23: Highest Volume — 11,651,500 contracts
2015-01-21: Largest IV drop — 44.7% change
2015-01-20: Highest IV Rank — 79.0%
2015-01-20: Largest Expected Move — 17.0%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$5.34	$4.56	$6.49	$4.99	$6.32
Max Pain	$5.15	$4.93	$5.71	$5.00	$5.71
ATM IV	47.4%	30.9%	60.0%	52.7%	33.4%
Expected Move	12.7%	8.9%	17.0%	13.0%	9.3%
HV 20d	48.3%	32.6%	67.5%	32.6%	67.4%
HV 60d	45.2%	31.0%	53.6%	52.9%	46.5%
IV Rank	51.4%	15.3%	79.0%	63.1%	20.8%
IV Percentile	67.7%	26.2%	93.3%	84.9%	39.3%
Term Structure	-2.5%	-5.3%	0.3%	-3.9%	-0.2%
VWIV	44.5%	31.7%	58.9%	45.4%	32.7%
Skew 25d	5.4%	1.5%	10.9%	6.8%	2.0%
Skew 10d	9.9%	1.5%	16.2%	14.4%	3.2%
Call IV 25d	44.9%	29.8%	55.9%	50.2%	32.5%
Put IV 25d	50.3%	32.7%	64.0%	56.9%	34.4%
Bid-Ask Spread %	26.31	17.64	43.73	20.14	43.73
Gamma HHI	0.11	0.03	0.57	0.55	0.08
Net GEX	17.1M	-28.1M	111.8M	111.8M	-2.8M
Net DEX	-521.3M	-2.96B	932.5M	-183.9M	-1.44B
Net VEX	-7.2M	-9.8M	-5.7M	-6.5M	-9.8M
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	0.95	0.71	1.11	0.76	0.95
Total Volume	6,062,780.5	2,989,980	11,651,500	5,569,270	6,181,280
Total OI	16,983,935.5	10,719,520	19,231,030	17,111,360	18,684,400

Daily Data (20 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
2015-01-02	$4.99	$5.00	52.7%	13.0%	32.6%	63.1%	45.4%	6.8%	-3.9%	111.8M	-183.9M	-6.5M	0.76	20.14	N/A	N/A	3,172,960	2,396,310	8,127,490	8,983,870
2015-01-05	$4.73	$5.00	57.9%	14.8%	37.4%	74.5%	51.1%	6.4%	-3.5%	-22.5M	644.8M	-6.1M	0.88	19.43	N/A	N/A	2,315,740	2,029,090	7,260,470	8,346,730
2015-01-06	$4.65	$5.00	59.5%	15.1%	37.8%	77.9%	52.3%	7.4%	-3.9%	-20.1M	821.6M	-6.2M	1.11	20.92	N/A	N/A	1,840,720	2,040,850	8,084,090	8,887,760
2015-01-07	$4.67	$5.00	58.2%	15.0%	36.3%	75.1%	51.6%	6.6%	-3.8%	-11.2M	732.7M	-6.3M	0.76	23.21	N/A	N/A	1,694,490	1,295,490	8,483,790	9,053,940
2015-01-08	$4.77	$5.00	57.0%	14.5%	36.8%	72.4%	50.0%	7.3%	-3.9%	11.7M	462.8M	-6.3M	1.00	20.58	N/A	N/A	1,781,290	1,775,060	8,643,670	9,288,650
2015-01-09	$4.71	$5.00	56.4%	14.6%	35.9%	71.3%	51.1%	6.4%	-3.8%	-18.9M	709.5M	-6.1M	1.00	17.64	N/A	N/A	2,041,620	2,049,740	8,766,800	9,536,590
2015-01-12	$4.56	$5.00	59.0%	15.5%	37.7%	77.0%	53.7%	6.4%	-3.6%	-28.1M	932.5M	-5.7M	1.00	18.16	N/A	N/A	2,342,830	2,349,550	7,852,460	8,789,690
2015-01-13	$4.62	$5.00	57.2%	15.1%	38.2%	72.9%	52.5%	6.1%	-3.9%	-14.3M	754.5M	-6.2M	0.92	23.00	N/A	N/A	2,076,760	1,914,920	8,558,060	9,235,800
2015-01-14	$4.63	$5.00	56.4%	15.1%	37.7%	71.1%	52.5%	5.9%	-4.1%	-10.3M	673.1M	-6.2M	0.93	22.83	N/A	N/A	2,453,080	2,282,280	8,802,850	9,343,250
2015-01-15	$4.63	$5.00	56.0%	15.2%	35.1%	70.3%	52.8%	5.7%	-3.6%	1.0M	613.4M	-6.1M	1.07	23.01	N/A	N/A	1,874,950	2,012,430	9,096,920	9,390,430
2015-01-16	$4.82	$5.00	55.1%	15.0%	32.6%	68.3%	52.7%	6.7%	-4.6%	70.8M	-69.7M	-6.3M	0.71	23.04	N/A	N/A	3,168,060	2,235,800	9,248,260	9,525,460
2015-01-20	$4.98	$4.93	60.0%	17.0%	34.6%	79.0%	58.9%	10.9%	-5.3%	2.8M	-30.3M	-6.7M	1.11	29.25	N/A	N/A	4,185,930	4,663,120	5,078,150	5,641,370
2015-01-21	$5.85	$4.93	33.2%	9.5%	65.7%	20.3%	33.7%	3.8%	-0.3%	56.2M	-2.02B	-6.8M	1.02	30.36	N/A	N/A	5,593,070	5,704,370	6,854,120	7,899,360
2015-01-22	$6.11	$5.07	31.9%	9.2%	66.3%	17.6%	32.9%	3.3%	-0.5%	90.3M	-2.51B	-7.6M	1.01	22.19	N/A	N/A	5,144,230	5,173,560	7,675,290	9,808,120
2015-01-23	$6.25	$5.21	30.9%	8.9%	66.3%	15.3%	31.7%	2.8%	-0.3%	33.0M	-2.96B	-7.9M	1.01	28.15	N/A	N/A	5,797,540	5,853,960	8,175,930	11,055,100
2015-01-26	$6.38	$5.36	32.4%	9.4%	66.4%	18.6%	33.2%	4.3%	-0.5%	39.4M	-2.00B	-8.3M	0.83	29.41	N/A	N/A	3,266,690	2,696,400	6,332,830	7,841,050
2015-01-27	$6.49	$5.50	33.4%	9.8%	66.1%	20.9%	35.0%	3.1%	0.2%	56.6M	-2.33B	-8.9M	1.00	34.36	N/A	N/A	3,206,700	3,205,790	7,128,310	8,817,060
2015-01-28	$6.33	$5.64	33.5%	9.4%	67.4%	21.0%	33.1%	1.5%	0.1%	-3.3M	-1.62B	-9.6M	0.90	35.57	N/A	N/A	3,975,790	3,588,970	7,542,640	9,748,690
2015-01-29	$6.34	$5.64	33.7%	9.6%	67.5%	21.4%	34.0%	4.7%	0.3%	3.7K	-1.60B	-9.7M	1.06	41.16	N/A	N/A	2,856,070	3,018,120	7,994,980	10,094,280
2015-01-30	$6.32	$5.71	33.4%	9.3%	67.4%	20.8%	32.7%	2.0%	-0.2%	-2.8M	-1.44B	-9.8M	0.95	43.73	N/A	N/A	3,176,600	3,004,680	8,068,200	10,616,200