NFLX Options History — May 2015 In May 2015, NFLX traded between $7.93 and $8.98. ATM implied volatility averaged 26.0%, placing in the 5.9% IV rank vs the trailing year. The 30-day expected move averaged 7.5%. IV traded below realized volatility by 15.3% (HV 20d: 41.3%). Max pain ranged from $7.43 to $8.00. Net GEX was positive for 18 of 20 trading days. Term structure was in contango for 14 of 20 days. Put/call ratio averaged 0.99.
Notable Days 2015-05-15 : Highest Volume — 17,969,770 contracts2015-05-11 : Largest IV spike — 7.2% change2015-05-18 : Highest IV Rank — 10.4%2015-05-13 : Largest Expected Move — 8.0%Monthly Statistics Metric Avg Min Max Open Close Price $8.52 $7.93 $8.98 $7.95 $8.93 Max Pain $7.78 $7.43 $8.00 $7.43 $8.00 ATM IV 26.0% 24.8% 27.6% 24.8% 25.3% Expected Move 7.5% 7.0% 8.0% 7.0% 7.2% HV 20d 41.3% 18.2% 65.5% 65.3% 22.2% HV 60d 44.7% 44.2% 45.3% 44.2% 44.9% IV Rank 5.9% 2.6% 10.4% 2.6% 3.9% IV Percentile 12.4% 5.6% 23.4% 5.6% 7.9% Term Structure 0.3% -0.5% 0.7% 0.4% -0.0% VWIV 27.0% 24.8% 29.1% 24.8% 26.5% Skew 25d 1.3% 0.1% 2.0% 1.2% 1.2% Skew 10d 2.6% 0.3% 4.4% 1.9% 1.8% Call IV 25d 25.9% 24.7% 27.7% 24.7% 25.3% Put IV 25d 27.2% 25.9% 29.1% 25.9% 26.6% Bid-Ask Spread % 55.90 49.04 67.16 52.23 55.09 Gamma HHI 0.08 0.04 0.59 0.06 0.08 Net GEX 111.5M -41.2M 534.3M -41.2M 119.7M Net DEX -3.35B -5.98B -2.03B -2.03B -3.47B Net VEX -12.2M -13.5M -11.1M -11.5M -12.8M Div Yield 0.0% 0.0% 0.0% 0.0% 0.0% P/C Ratio 0.99 0.70 1.48 1.08 0.95 Total Volume 6,356,588 2,509,500 17,969,770 5,011,020 8,779,820 Total OI 21,243,673.5 18,244,030 24,170,860 21,342,860 22,884,050
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 2015-05-01 $7.95 $7.43 24.8% 7.0% 65.3% 2.6% 24.8% 1.2% 0.4% -41.2M -2.03B -11.5M 1.08 52.23 N/A N/A 2,414,720 2,596,300 9,670,150 11,672,710 2015-05-04 $7.93 $7.57 25.2% 7.4% 65.5% 3.8% 26.6% 1.3% 0.5% -5.9M -2.03B -11.3M 0.84 61.06 N/A N/A 1,365,630 1,143,870 8,039,990 10,204,040 2015-05-05 $8.08 $7.57 25.4% 7.5% 65.4% 4.4% 26.8% 0.1% 0.6% 89.1M -2.78B -11.2M 1.00 53.85 N/A N/A 3,852,240 3,846,710 8,475,320 10,533,110 2015-05-06 $8.00 $7.57 25.4% 7.5% 65.2% 4.4% 26.7% 1.4% 0.4% 910.3K -2.11B -11.5M 0.96 60.48 N/A N/A 2,463,020 2,364,180 9,137,450 11,309,550 2015-05-07 $8.06 $7.64 25.1% 7.4% 64.9% 3.5% 26.2% 1.0% 0.6% 87.7M -2.57B -11.5M 1.00 60.41 N/A N/A 2,115,610 2,121,910 9,404,570 11,473,140 2015-05-08 $8.21 $7.57 25.0% 7.4% 64.6% 3.2% 26.6% 1.2% 0.3% 534.3M -3.66B -11.2M 0.83 67.16 N/A N/A 3,548,580 2,961,560 9,586,220 11,673,690 2015-05-11 $8.43 $7.71 26.8% 7.8% 63.6% 8.1% 27.8% 2.0% 0.5% 116.9M -3.80B -11.1M 0.96 55.14 N/A N/A 4,306,890 4,114,880 8,400,140 10,552,920 2015-05-12 $8.34 $7.79 26.3% 7.7% 64.1% 6.6% 27.5% 2.0% 0.3% 47.0M -3.24B -11.7M 1.32 57.58 N/A N/A 2,313,640 3,057,670 9,098,250 11,799,900 2015-05-13 $8.29 $7.79 27.3% 8.0% 64.0% 9.4% 29.1% 1.4% 0.7% 28.2M -2.95B -12.5M 0.95 59.09 N/A N/A 3,165,260 3,008,180 9,565,010 12,363,470 2015-05-14 $8.38 $7.79 26.4% 7.7% 18.2% 7.1% 27.3% 1.8% 0.3% 96.8M -3.38B -12.7M 0.87 60.12 N/A N/A 2,850,890 2,489,270 10,072,510 12,968,410 2015-05-15 $8.76 $7.79 27.2% 7.9% 23.5% 9.3% 28.4% 0.4% 0.5% 138.3M -5.98B -12.3M 0.70 53.01 N/A N/A 10,575,670 7,394,100 10,755,850 13,415,010 2015-05-18 $8.83 $7.86 27.6% 8.0% 23.0% 10.4% 28.5% 1.5% -0.5% 93.0M -3.52B -12.7M 0.88 53.21 N/A N/A 2,488,990 2,186,170 8,080,940 11,107,600 2015-05-19 $8.81 $7.86 26.7% 7.7% 22.5% 7.7% 27.2% 1.3% 0.1% 100.1M -3.45B -13.0M 1.01 49.04 N/A N/A 3,540,880 3,569,160 8,742,090 11,843,860 2015-05-20 $8.88 $7.86 26.8% 7.7% 22.1% 8.0% 27.3% 1.3% 0.5% 106.0M -3.67B -13.5M 0.99 52.59 N/A N/A 2,565,990 2,537,640 9,402,610 12,866,560 2015-05-21 $8.90 $7.86 26.6% 7.6% 22.1% 7.4% 27.2% 1.2% -0.0% 167.3M -3.93B -13.3M 0.99 49.89 N/A N/A 2,983,890 2,960,370 9,846,130 13,239,590 2015-05-22 $8.89 $7.93 24.9% 7.1% 22.1% 3.0% 25.5% 1.3% 0.6% 128.6M -3.87B -13.0M 0.92 53.03 N/A N/A 3,094,560 2,859,010 10,293,430 13,714,400 2015-05-26 $8.81 $7.93 25.9% 7.4% 22.5% 5.6% 26.6% 1.4% -0.2% 55.7M -2.97B -12.8M 1.48 56.29 N/A N/A 2,019,360 2,992,780 8,398,040 11,512,060 2015-05-27 $8.98 $8.00 25.7% 7.4% 22.8% 5.2% 26.7% 1.6% -0.1% 173.2M -3.79B -12.5M 1.04 57.29 N/A N/A 2,518,180 2,608,550 8,741,530 11,996,670 2015-05-28 $8.96 $8.00 25.5% 7.2% 22.9% 4.5% 25.8% 1.5% -0.2% 195.4M -3.75B -12.6M 1.04 51.51 N/A N/A 2,624,860 2,730,770 9,313,990 12,718,510 2015-05-29 $8.93 $8.00 25.3% 7.2% 22.2% 3.9% 26.5% 1.2% -0.0% 119.7M -3.47B -12.8M 0.95 55.09 N/A N/A 4,512,060 4,267,760 9,695,000 13,189,050
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