NFLX Options History — June 2015 In June 2015, NFLX traded between $8.87 and $9.72. ATM implied volatility averaged 39.1%, placing in the 42.1% IV rank vs the trailing year. The 30-day expected move averaged 13.0%. IV traded above realized volatility by 16.2% (HV 20d: 22.9%). Max pain ranged from $8.00 to $9.00. Net GEX was positive for 17 of 22 trading days. Term structure was in contango for 10 of 22 days. Put/call ratio averaged 0.90.
Notable Days 2015-06-24 : Highest Volume — 19,955,180 contracts2015-06-15 : Largest IV spike — 28.5% change2015-06-17 : Highest IV Rank — 75.7%2015-06-29 : Largest Expected Move — 16.7%Monthly Statistics Metric Avg Min Max Open Close Price $9.32 $8.87 $9.72 $8.90 $9.41 Max Pain $8.48 $8.00 $9.00 $8.00 $8.71 ATM IV 39.1% 24.0% 51.2% 25.5% 48.5% Expected Move 13.0% 7.0% 16.7% 7.2% 16.5% HV 20d 22.9% 20.8% 26.1% 22.4% 26.1% HV 60d 43.1% 42.1% 44.9% 44.9% 42.6% IV Rank 42.1% 0.3% 75.7% 4.6% 68.3% IV Percentile 55.6% 1.6% 90.9% 11.9% 82.1% Term Structure 2.0% -3.3% 22.1% 0.2% -2.2% VWIV 45.6% 25.3% 57.5% 25.9% 57.0% Skew 25d 1.7% 0.2% 3.0% 1.7% 2.6% Skew 10d 3.0% -0.5% 5.7% 2.8% 4.8% Call IV 25d 38.2% 23.9% 50.0% 25.2% 46.8% Put IV 25d 39.9% 24.8% 52.2% 26.9% 49.5% Bid-Ask Spread % 44.65 32.12 60.44 53.36 36.39 Gamma HHI 0.06 0.03 0.18 0.03 0.03 Net GEX 81.3M -185.5M 294.7M 51.2M 75.6M Net DEX -3.61B -6.25B -915.3M -2.97B -3.22B Net VEX -14.7M -17.8M -12.6M -13.2M -17.8M Div Yield 0.0% 0.0% 0.0% 0.0% 0.0% P/C Ratio 0.90 0.68 1.25 1.25 0.86 Total Volume 8,268,915.455 3,155,880 19,955,180 4,980,920 5,806,850 Total OI 24,391,379.091 18,734,030 28,977,690 20,495,720 25,263,490
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 2015-06-01 $8.90 $8.00 25.5% 7.2% 22.4% 4.6% 25.9% 1.7% 0.2% 51.2M -2.97B -13.2M 1.25 53.36 N/A N/A 2,208,920 2,772,000 8,546,230 11,949,490 2015-06-02 $8.91 $8.14 25.7% 7.3% 22.2% 5.1% 25.8% 1.3% 0.2% 65.0M -3.07B -13.5M 0.87 56.28 N/A N/A 1,691,690 1,464,190 9,139,760 12,611,550 2015-06-03 $8.87 $8.14 24.9% 7.0% 21.9% 2.9% 25.3% 1.0% 0.3% 64.9M -2.94B -13.5M 1.07 60.44 N/A N/A 1,755,600 1,877,960 9,633,680 12,908,210 2015-06-04 $8.91 $8.14 24.7% 11.8% 21.2% 2.3% 41.8% 1.4% 0.1% 110.6M -3.14B -13.6M 1.00 55.36 N/A N/A 2,186,520 2,180,850 9,884,070 13,314,770 2015-06-05 $9.02 $8.14 24.0% 11.4% 21.3% 0.3% 40.5% 0.9% 0.5% 294.7M -4.07B -13.0M 0.81 47.68 N/A N/A 4,548,110 3,662,890 10,175,550 13,702,150 2015-06-08 $8.97 $8.14 24.5% 11.8% 21.2% 1.6% 41.5% 1.6% 16.4% 86.6M -3.22B -12.8M 1.07 51.95 N/A N/A 2,273,600 2,421,790 9,058,700 12,445,160 2015-06-09 $9.25 $8.14 25.2% 11.2% 21.8% 3.7% 39.3% 0.8% 13.9% 179.4M -4.66B -12.8M 0.80 55.59 N/A N/A 4,840,920 3,885,700 9,505,790 13,055,560 2015-06-10 $9.61 $8.14 27.5% 11.1% 24.0% 9.9% 38.9% 0.3% 11.4% 211.6M -6.25B -12.6M 0.87 49.80 N/A N/A 9,338,910 8,087,660 10,064,810 13,952,680 2015-06-11 $9.51 $8.36 29.6% 11.1% 24.4% 15.8% 38.9% 0.2% 11.3% -23.3M -4.74B -13.9M 0.82 55.19 N/A N/A 5,792,360 4,749,780 11,475,380 16,088,170 2015-06-12 $9.44 $8.50 35.4% 13.9% 24.8% 31.8% 48.8% 0.3% 22.1% 85.6M -4.30B -14.4M 0.95 38.23 N/A N/A 4,305,140 4,096,470 12,452,230 16,525,460 2015-06-15 $9.35 $8.57 45.5% 14.3% 20.8% 59.8% 50.1% 1.6% -2.2% 64.3M -3.83B -14.5M 0.98 43.19 N/A N/A 3,522,190 3,455,760 10,180,660 13,805,120 2015-06-16 $9.53 $8.57 48.0% 14.4% 21.5% 66.9% 50.3% 1.8% -2.8% 172.1M -4.98B -14.4M 0.73 45.69 N/A N/A 3,932,110 2,869,300 11,064,550 14,432,530 2015-06-17 $9.44 $8.57 51.2% 14.7% 21.9% 75.7% 51.3% 2.2% -2.7% 135.8M -4.42B -14.8M 0.96 43.12 N/A N/A 2,253,230 2,155,720 11,878,790 14,962,360 2015-06-18 $9.47 $8.64 49.8% 14.4% 21.9% 71.9% 50.4% 1.8% -2.7% 201.8M -4.60B -14.8M 0.88 43.75 N/A N/A 2,513,490 2,210,670 12,180,630 15,457,400 2015-06-19 $9.40 $8.71 50.1% 14.6% 22.2% 72.7% 51.0% 1.8% -2.8% -42.5M -3.91B -14.9M 0.69 43.58 N/A N/A 6,111,630 4,226,670 12,538,190 15,821,050 2015-06-22 $9.63 $8.79 50.6% 15.3% 23.5% 73.9% 53.5% 2.8% -3.0% 116.7M -3.17B -14.8M 0.81 32.12 N/A N/A 3,293,850 2,683,870 8,454,180 10,279,850 2015-06-23 $9.72 $8.86 49.5% 15.0% 23.0% 70.9% 52.1% 2.6% -2.9% 206.4M -3.77B -15.3M 1.03 32.61 N/A N/A 2,911,580 2,988,510 9,590,630 11,339,090 2015-06-24 $9.68 $9.00 50.6% 15.7% 22.5% 74.0% 54.2% 2.5% -2.9% 134.8M -3.40B -16.2M 0.92 34.22 N/A N/A 10,367,980 9,587,200 10,282,300 12,277,580 2015-06-25 $9.50 $8.68 50.2% 15.8% 23.8% 73.0% 54.7% 3.0% -3.2% -161.3M -1.86B -17.6M 1.01 34.43 N/A N/A 7,625,520 7,668,710 12,981,220 14,507,850 2015-06-26 $9.32 $8.79 49.0% 15.6% 24.9% 69.7% 53.8% 2.3% -3.3% -185.5M -915.3M -17.7M 0.81 35.18 N/A N/A 7,794,990 6,309,590 13,987,680 14,975,520 2015-06-29 $9.22 $8.71 49.7% 16.7% 25.3% 71.5% 57.5% 2.3% -2.3% -56.1M -1.91B -17.5M 0.68 34.10 N/A N/A 4,445,350 3,040,310 11,270,910 12,589,360 2015-06-30 $9.41 $8.71 48.5% 16.5% 26.1% 68.3% 57.0% 2.6% -2.2% 75.6M -3.22B -17.8M 0.86 36.39 N/A N/A 3,124,940 2,681,910 12,085,640 13,177,850
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