NFLX Options History — April 2015 In April 2015, NFLX traded between $5.90 and $8.18. ATM implied volatility averaged 38.6%, placing in the 34.7% IV rank vs the trailing year. The 30-day expected move averaged 10.9%. IV traded below realized volatility by 11.6% (HV 20d: 50.2%). Max pain ranged from $6.14 to $7.36. Net GEX was positive for 17 of 21 trading days. Term structure was in contango for 4 of 21 days. Put/call ratio averaged 0.91.
Notable Days 2015-04-16 : Highest Volume — 25,657,800 contracts2015-04-16 : Largest IV drop — 34.8% change2015-04-15 : Highest IV Rank — 74.0%2015-04-01 : Largest Expected Move — 17.8%Monthly Statistics Metric Avg Min Max Open Close Price $7.23 $5.90 $8.18 $5.90 $7.95 Max Pain $6.73 $6.14 $7.36 $6.29 $7.36 ATM IV 38.6% 25.6% 54.4% 49.4% 25.9% Expected Move 10.9% 7.4% 17.8% 17.8% 7.4% HV 20d 50.2% 29.9% 68.6% 30.3% 65.2% HV 60d 45.0% 43.5% 55.8% 43.9% 44.5% IV Rank 34.7% 4.7% 74.0% 55.9% 5.7% IV Percentile 51.7% 8.7% 93.7% 84.1% 9.1% Term Structure -1.7% -3.7% 0.4% -3.4% 0.3% VWIV 38.4% 26.0% 61.2% 61.2% 26.2% Skew 25d 2.0% -0.0% 4.9% 4.8% 1.0% Skew 10d 4.1% -0.3% 10.6% 8.7% 1.7% Call IV 25d 37.9% 25.8% 54.6% 46.9% 25.8% Put IV 25d 39.9% 26.1% 54.5% 51.7% 26.8% Bid-Ask Spread % 26.94 5.30 54.58 16.37 51.14 Gamma HHI 0.07 0.03 0.33 0.05 0.05 Net GEX 44.6M -51.0M 233.2M -51.0M -48.7M Net DEX -2.30B -7.37B 749.7M 749.7M -1.98B Net VEX -11.0M -12.5M -8.6M -10.3M -11.7M Div Yield 0.0% 0.0% 0.0% 0.0% 0.0% P/C Ratio 0.91 0.68 1.14 0.68 1.05 Total Volume 7,381,003.333 3,215,450 25,657,800 4,315,570 4,587,310 Total OI 20,188,593.333 16,138,010 29,122,590 17,744,720 20,749,820
Daily Data (21 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 2015-04-01 $5.90 $6.29 49.4% 17.8% 30.3% 55.9% 61.2% 4.8% -3.4% -51.0M 749.7M -10.3M 0.68 16.37 N/A N/A 2,572,920 1,742,650 8,352,190 9,392,530 2015-04-02 $5.92 $6.21 49.1% 12.6% 30.5% 55.2% 43.2% 4.8% -3.7% 103.4M 568.1M -10.4M 0.86 18.78 N/A N/A 1,989,750 1,707,300 8,868,370 9,532,040 2015-04-06 $6.03 $6.21 47.9% 12.7% 30.5% 52.6% 43.9% 4.8% -2.4% 19.2M 63.1M -10.0M 0.69 16.85 N/A N/A 2,345,000 1,612,660 7,500,850 8,637,160 2015-04-07 $6.05 $6.21 48.8% 13.0% 29.9% 54.6% 45.3% 4.8% -3.0% 46.4M -96.4M -10.1M 1.06 17.88 N/A N/A 1,561,910 1,653,540 8,046,710 8,982,400 2015-04-08 $6.30 $6.14 47.3% 12.7% 32.6% 51.2% 45.2% 4.9% -3.1% 60.2M -1.22B -10.3M 1.02 6.66 N/A N/A 2,910,320 2,974,720 8,288,700 9,285,780 2015-04-09 $6.28 $6.21 47.1% 12.8% 32.4% 54.4% 44.7% 4.1% -3.5% 37.0M -1.08B -10.3M 0.88 5.30 N/A N/A 2,488,150 2,184,560 8,764,980 9,953,230 2015-04-10 $6.49 $6.14 50.2% 13.7% 33.8% 61.5% 48.0% 4.1% -3.7% 58.5M -2.21B -10.4M 0.87 6.34 N/A N/A 5,141,430 4,453,470 9,229,710 10,203,690 2015-04-13 $6.78 $6.29 50.3% 14.1% 36.0% 61.8% 49.8% 1.9% -2.7% 45.2M -1.97B -10.4M 0.77 14.90 N/A N/A 4,523,260 3,470,670 7,826,910 8,831,130 2015-04-14 $6.84 $6.43 52.9% 15.0% 32.4% 67.9% 52.8% 0.6% -3.6% 43.6M -1.96B -11.1M 1.01 6.40 N/A N/A 2,532,180 2,549,190 8,963,150 9,915,150 2015-04-15 $6.78 $6.50 54.4% 15.6% 32.4% 74.0% 54.8% -0.0% -3.7% 35.8M -1.77B -11.5M 0.84 9.64 N/A N/A 6,000,260 5,023,340 9,716,280 10,920,490 2015-04-16 $8.08 $6.57 35.5% 10.2% 68.0% 29.5% 36.2% 1.5% -1.1% 156.2M -7.26B -8.6M 0.80 9.01 N/A N/A 14,290,080 11,367,720 11,866,680 12,635,140 2015-04-17 $8.18 $7.00 33.2% 9.5% 67.9% 25.4% 33.6% 0.9% -0.1% 233.2M -7.37B -10.3M 0.77 20.15 N/A N/A 11,531,940 8,887,340 12,907,370 16,215,220 2015-04-20 $8.10 $7.14 30.9% 8.9% 68.4% 19.6% 31.4% 1.0% -0.4% 56.2M -3.48B -11.7M 0.95 35.76 N/A N/A 4,650,380 4,423,930 8,504,720 10,464,440 2015-04-21 $8.01 $7.14 29.6% 8.4% 68.5% 15.8% 29.8% 0.6% -0.5% 9.5M -2.98B -12.5M 0.97 38.67 N/A N/A 2,584,820 2,503,690 9,741,690 11,754,610 2015-04-22 $7.97 $7.21 27.4% 7.7% 68.6% 9.8% 27.4% 0.5% -0.4% -31.5M -2.68B -12.3M 0.94 43.92 N/A N/A 2,498,440 2,360,960 10,168,340 12,320,280 2015-04-23 $7.99 $7.21 26.9% 7.7% 66.0% 8.4% 27.2% 0.9% -0.3% -40.7M -2.79B -12.0M 0.85 47.00 N/A N/A 3,496,290 2,983,610 10,342,080 12,721,870 2015-04-24 $7.97 $7.21 26.3% 7.5% 65.8% 6.7% 26.5% 0.6% -0.2% 84.1M -2.81B -12.0M 1.01 47.15 N/A N/A 2,936,290 2,964,570 10,896,970 13,102,040 2015-04-27 $8.08 $7.29 26.6% 7.5% 65.2% 7.4% 26.4% 0.9% 0.4% 63.3M -2.85B -11.5M 0.94 54.58 N/A N/A 2,640,330 2,490,040 8,355,970 10,229,940 2015-04-28 $8.04 $7.29 26.2% 7.5% 65.7% 6.5% 26.6% 0.3% 0.0% 24.4M -2.56B -11.7M 1.14 48.94 N/A N/A 1,885,310 2,150,050 8,809,640 10,807,020 2015-04-29 $8.04 $7.36 25.6% 7.4% 65.1% 4.7% 26.0% -0.0% 0.3% 33.1M -2.55B -11.6M 1.06 50.23 N/A N/A 2,100,280 2,230,410 9,122,120 11,033,050 2015-04-30 $7.95 $7.36 25.9% 7.4% 65.2% 5.7% 26.2% 1.0% 0.3% -48.7M -1.98B -11.7M 1.05 51.14 N/A N/A 2,239,720 2,347,590 9,438,730 11,311,090
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