NFLX Options History — February 2015

In February 2015, NFLX traded between $6.30 and $6.91. ATM implied volatility averaged 30.0%, placing in the 13.5% IV rank vs the trailing year. The 30-day expected move averaged 8.6%. IV traded below realized volatility by 17.9% (HV 20d: 47.9%). Max pain ranged from $5.71 to $6.29. Net GEX was positive for 17 of 19 trading days. Term structure was in contango for 11 of 19 days. Put/call ratio averaged 1.07.

Notable Days

  • 2015-02-13: Highest Volume — 6,329,190 contracts
  • 2015-02-19: Largest IV drop — 5.3% change
  • 2015-02-02: Highest IV Rank — 20.5%
  • 2015-02-05: Largest Expected Move — 9.5%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$6.61$6.30$6.91$6.30$6.79
Max Pain$5.97$5.71$6.29$5.71$6.29
ATM IV30.0%26.1%33.3%33.3%27.3%
Expected Move8.6%7.4%9.5%9.2%7.7%
HV 20d47.9%19.7%67.5%67.5%21.1%
HV 60d46.3%45.0%47.2%46.4%45.1%
IV Rank13.5%5.0%20.5%20.5%7.4%
IV Percentile24.2%8.7%39.3%39.3%13.1%
Term Structure0.1%-0.5%1.0%-0.5%0.7%
VWIV30.8%26.6%33.5%32.5%27.4%
Skew 25d2.7%1.4%3.7%3.7%1.4%
Skew 10d5.6%3.4%7.6%7.5%3.4%
Call IV 25d29.3%25.8%32.3%32.0%26.3%
Put IV 25d32.0%27.7%35.7%35.7%27.7%
Bid-Ask Spread %55.8647.6461.1751.2357.73
Gamma HHI0.070.030.290.040.29
Net GEX27.1M-100.7M68.7M8.0M-100.7M
Net DEX-1.70B-2.48B-1.13B-1.23B-1.15B
Net VEX-9.5M-10.0M-8.9M-9.7M-9.3M
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.070.781.391.111.01
Total Volume4,666,023.1582,756,1106,329,1903,175,6206,281,170
Total OI16,972,494.73713,987,75019,125,33015,207,50017,106,810

Daily Data (19 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2015-02-02$6.30$5.7133.3%9.2%67.5%20.5%32.5%3.7%-0.5%8.0M-1.23B-9.7M1.1151.23N/AN/A1,505,6301,669,9906,596,7308,610,770
2015-02-03$6.52$5.7133.1%9.4%63.4%20.2%33.3%2.7%-0.2%45.2M-1.90B-9.7M0.9850.47N/AN/A2,779,4202,735,6006,933,2909,146,060
2015-02-04$6.41$5.7132.6%9.2%63.5%19.2%32.7%2.9%-0.4%20.0M-1.48B-9.9M1.1147.64N/AN/A1,895,5302,098,8807,341,6709,781,030
2015-02-05$6.39$5.7932.6%9.5%63.7%19.2%33.4%2.2%0.0%15.8M-1.40B-9.9M0.8255.39N/AN/A2,981,0902,440,6207,640,22010,024,770
2015-02-06$6.34$5.8631.4%9.2%64.2%16.5%32.5%3.0%0.1%-38.3M-1.13B-9.8M0.8255.29N/AN/A2,957,8502,437,6808,004,15010,367,630
2015-02-09$6.33$5.8632.4%9.3%63.7%18.7%33.3%2.3%-0.1%8.2M-1.15B-9.8M1.2057.74N/AN/A1,500,4501,803,9706,948,7609,067,450
2015-02-10$6.49$5.8632.0%9.1%61.1%17.7%33.4%3.5%-0.3%53.9M-1.73B-9.7M1.1756.92N/AN/A2,335,7602,742,7407,320,3909,382,590
2015-02-11$6.49$5.9331.7%9.2%61.4%17.2%32.7%2.8%0.8%48.4M-1.71B-9.8M0.9757.77N/AN/A2,704,2402,618,3507,681,10010,120,530
2015-02-12$6.52$5.9331.7%9.2%61.4%17.1%33.5%3.1%0.6%64.7M-1.80B-10.0M1.1357.30N/AN/A2,050,6502,326,7308,029,28010,444,700
2015-02-13$6.66$6.0030.2%8.8%61.0%13.9%31.7%3.4%0.0%56.8M-2.48B-9.7M1.0954.18N/AN/A3,030,6503,298,5408,203,93010,703,070
2015-02-17$6.71$6.0030.6%8.8%60.6%14.7%31.8%3.1%-0.3%49.6M-2.14B-9.4M1.1957.92N/AN/A2,050,3702,441,2507,153,1609,729,860
2015-02-18$6.78$6.0029.5%8.5%60.3%12.4%30.7%3.1%0.4%68.7M-2.39B-9.4M1.3957.50N/AN/A2,035,4602,827,2307,538,37010,345,860
2015-02-19$6.78$6.0028.0%8.0%27.0%9.0%28.8%2.3%0.5%52.3M-2.29B-8.9M0.9761.05N/AN/A2,529,0302,442,8607,617,12010,662,050
2015-02-20$6.83$6.0727.2%7.7%23.2%7.3%28.2%2.1%1.0%62.9M-2.42B-9.0M0.7861.17N/AN/A2,401,0701,879,5007,880,53011,244,800
2015-02-23$6.74$6.1427.6%7.8%23.3%8.1%28.0%2.1%0.0%4.4M-1.22B-9.0M1.2255.37N/AN/A1,591,1001,946,7705,677,0708,310,680
2015-02-24$6.79$6.1426.6%7.5%22.5%6.0%27.5%2.7%-0.0%5.6M-1.35B-9.1M1.0555.80N/AN/A1,344,9101,411,2006,009,2208,850,870
2015-02-25$6.83$6.2126.1%7.4%21.9%5.0%26.6%2.3%0.1%33.3M-1.54B-9.0M1.2457.10N/AN/A1,901,2702,359,9806,320,7909,224,110
2015-02-26$6.91$6.2926.8%7.7%19.7%6.5%27.7%2.3%-0.0%55.5M-1.78B-9.1M0.9853.86N/AN/A2,674,9102,621,9906,540,1009,917,880
2015-02-27$6.79$6.2927.3%7.7%21.1%7.4%27.4%1.4%0.7%-100.7M-1.15B-9.3M1.0157.73N/AN/A3,127,3903,153,7806,801,83010,304,980