NFLX Options History — March 2015 In March 2015, NFLX traded between $5.93 and $6.86. ATM implied volatility averaged 39.8%, placing in the 34.8% IV rank vs the trailing year. The 30-day expected move averaged 13.1%. IV traded above realized volatility by 15.0% (HV 20d: 24.8%). Max pain ranged from $6.29 to $6.43. Net GEX was positive for 4 of 22 trading days. Term structure was in contango for 10 of 22 days. Put/call ratio averaged 0.99.
Notable Days 2015-03-27 : Highest Volume — 7,601,020 contracts2015-03-16 : Largest IV spike — 23.3% change2015-03-26 : Highest IV Rank — 62.4%2015-03-31 : Largest Expected Move — 17.3%Monthly Statistics Metric Avg Min Max Open Close Price $6.25 $5.93 $6.86 $6.86 $5.96 Max Pain $6.35 $6.29 $6.43 $6.29 $6.29 ATM IV 39.8% 26.4% 52.4% 27.1% 49.2% Expected Move 13.1% 7.8% 17.3% 7.8% 17.3% HV 20d 24.8% 17.5% 30.4% 21.1% 30.3% HV 60d 44.9% 44.0% 45.4% 44.9% 45.3% IV Rank 34.8% 5.5% 62.4% 7.0% 55.5% IV Percentile 55.3% 9.1% 86.1% 11.9% 82.5% Term Structure 3.0% -3.8% 16.9% -0.7% -3.3% VWIV 45.2% 27.6% 59.7% 28.0% 59.7% Skew 25d 3.8% 1.7% 5.4% 3.9% 4.4% Skew 10d 7.4% 3.9% 10.9% 8.1% 7.7% Call IV 25d 37.9% 26.1% 50.9% 26.1% 46.6% Put IV 25d 41.7% 28.1% 55.9% 29.9% 51.0% Bid-Ask Spread % 38.41 16.61 62.51 56.10 20.59 Gamma HHI 0.08 0.04 0.37 0.04 0.04 Net GEX -43.2M -149.4M 43.5M -2.7M -11.4M Net DEX 86.4M -1.39B 1.10B -1.39B 464.1M Net VEX -10.2M -10.7M -9.3M -9.3M -10.5M Div Yield 0.0% 0.0% 0.0% 0.0% 0.0% P/C Ratio 0.99 0.66 1.26 0.98 1.05 Total Volume 4,742,057.727 2,986,270 7,601,020 3,758,580 3,272,080 Total OI 17,710,060.455 13,893,460 21,398,370 15,083,460 17,198,720
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 2015-03-02 $6.86 $6.29 27.1% 7.8% 21.1% 7.0% 28.0% 3.9% -0.7% -2.7M -1.39B -9.3M 0.98 56.10 N/A N/A 1,900,640 1,857,940 5,950,350 9,133,110 2015-03-03 $6.78 $6.29 26.9% 7.8% 21.6% 6.5% 27.6% 2.0% -0.6% -22.9M -1.18B -9.5M 1.08 59.48 N/A N/A 1,549,520 1,667,540 6,427,470 9,547,090 2015-03-04 $6.71 $6.29 27.6% 7.8% 18.8% 8.2% 27.9% 2.9% -0.5% -52.5M -919.8M -9.7M 1.22 62.51 N/A N/A 2,312,730 2,820,860 6,837,110 9,883,090 2015-03-05 $6.68 $6.43 26.4% 9.5% 17.5% 5.5% 33.3% 1.7% -0.5% -82.2M -748.9M -9.8M 0.90 38.08 N/A N/A 1,957,200 1,767,220 7,315,630 10,169,530 2015-03-06 $6.49 $6.43 26.9% 11.1% 20.6% 6.7% 38.8% 3.1% -0.3% -149.4M 115.3M -9.6M 1.08 27.54 N/A N/A 3,305,260 3,555,580 7,657,370 10,259,970 2015-03-09 $6.37 $6.43 28.8% 12.5% 21.7% 10.9% 43.5% 3.6% 14.7% -47.7M -39.4M -9.6M 1.26 34.47 N/A N/A 2,453,360 3,098,480 6,830,040 9,103,150 2015-03-10 $6.22 $6.43 30.2% 12.9% 23.3% 13.8% 44.0% 3.2% 15.4% -60.5M 378.0M -9.9M 0.90 42.14 N/A N/A 2,294,110 2,065,770 7,507,710 9,893,170 2015-03-11 $6.29 $6.43 29.6% 13.3% 21.8% 12.5% 46.3% 2.6% 16.9% -32.9M 53.5M -10.2M 1.09 36.07 N/A N/A 1,964,900 2,135,980 7,975,660 10,077,760 2015-03-12 $6.40 $6.43 32.5% 13.1% 22.9% 18.9% 45.5% 2.9% 16.5% 9.0M -447.7M -10.6M 1.08 42.13 N/A N/A 2,098,250 2,274,090 8,197,980 10,659,110 2015-03-13 $6.26 $6.43 35.8% 13.2% 24.1% 26.2% 45.8% 2.7% 16.6% -85.8M 366.2M -10.4M 1.13 52.68 N/A N/A 2,478,350 2,805,390 8,497,510 11,371,920 2015-03-16 $6.03 $6.43 44.2% 13.7% 25.8% 44.4% 47.6% 2.6% 3.3% -71.0M 794.0M -9.7M 1.26 38.29 N/A N/A 2,991,170 3,775,730 7,414,820 10,439,800 2015-03-17 $5.98 $6.36 45.4% 13.5% 25.3% 47.1% 46.6% 3.9% 2.3% -60.1M 840.1M -10.3M 0.99 40.13 N/A N/A 1,904,000 1,892,730 8,358,910 11,190,060 2015-03-18 $6.04 $6.36 47.6% 13.7% 25.4% 52.0% 47.8% 4.3% 1.7% -29.4M 558.0M -10.4M 0.77 45.17 N/A N/A 1,957,830 1,503,810 8,757,070 11,579,470 2015-03-19 $6.07 $6.36 47.7% 13.6% 25.6% 52.2% 46.3% 4.3% 1.4% 7.8M 304.8M -10.4M 0.92 38.83 N/A N/A 2,038,680 1,868,790 9,139,830 11,622,030 2015-03-20 $6.12 $6.29 46.8% 13.2% 25.6% 50.2% 45.3% 5.4% 1.9% -8.8M 64.3M -10.1M 0.97 42.52 N/A N/A 3,129,980 3,047,030 9,488,710 11,909,660 2015-03-23 $6.07 $6.29 48.2% 13.4% 25.4% 53.3% 45.9% 4.6% -2.9% -27.1M 281.7M -10.0M 0.90 40.21 N/A N/A 1,569,750 1,416,520 6,127,520 7,765,940 2015-03-24 $6.26 $6.29 49.1% 13.9% 28.1% 55.2% 47.2% 5.2% -2.7% 43.5M -443.3M -10.5M 0.80 41.63 N/A N/A 3,105,270 2,479,820 6,786,430 8,410,430 2015-03-25 $6.02 $6.29 51.6% 16.1% 30.4% 60.7% 54.9% 5.2% -3.4% -62.4M 664.7M -10.6M 0.66 35.65 N/A N/A 3,554,040 2,333,380 7,495,670 9,241,890 2015-03-26 $5.97 $6.29 52.4% 16.6% 29.7% 62.4% 57.0% 5.1% -3.8% -67.2M 911.5M -10.7M 0.98 16.61 N/A N/A 2,644,460 2,584,820 8,360,590 9,650,410 2015-03-27 $5.93 $6.29 52.1% 16.9% 29.4% 61.9% 57.4% 5.1% -3.8% -147.2M 1.10B -10.7M 1.00 16.73 N/A N/A 3,794,490 3,806,530 8,803,550 10,066,420 2015-03-30 $6.04 $6.29 49.3% 17.0% 30.2% 55.7% 58.6% 5.0% -3.3% 9.8M 174.7M -10.7M 0.85 17.43 N/A N/A 1,781,220 1,509,970 7,653,450 8,865,220 2015-03-31 $5.96 $6.29 49.2% 17.3% 30.3% 55.5% 59.7% 4.4% -3.3% -11.4M 464.1M -10.5M 1.05 20.59 N/A N/A 1,593,620 1,678,460 8,033,130 9,165,590
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