NFLX Options History — July 2015 In July 2015, NFLX traded between $9.35 and $11.57. ATM implied volatility averaged 40.0%, placing in the 44.8% IV rank vs the trailing year. The 30-day expected move averaged 11.3%. IV traded below realized volatility by 6.4% (HV 20d: 46.5%). Max pain ranged from $8.71 to $66.00. Net GEX was positive for 20 of 22 trading days. Term structure was in contango for 7 of 22 days. Put/call ratio averaged 0.92.
Notable Days 2015-07-16 : Highest Volume — 11,265,380 contracts2015-07-16 : Largest IV drop — 38.2% change2015-07-15 : Highest IV Rank — 77.3%2015-07-02 : Largest Expected Move — 17.3%Monthly Statistics Metric Avg Min Max Open Close Price $10.42 $9.35 $11.57 $9.36 $11.43 Max Pain $12.29 $8.71 $66.00 $8.79 $10.20 ATM IV 40.0% 30.4% 51.8% 49.6% 32.7% Expected Move 11.3% 8.7% 17.3% 17.2% 9.4% HV 20d 46.5% 21.3% 65.9% 26.1% 65.9% HV 60d 38.9% 22.6% 42.7% 42.7% 42.3% IV Rank 44.8% 18.1% 77.3% 71.2% 24.6% IV Percentile 68.4% 46.4% 91.3% 86.1% 57.5% Term Structure -1.2% -3.7% 0.5% -2.8% -0.1% VWIV 40.0% 30.8% 59.3% 59.2% 33.7% Skew 25d 2.5% 0.2% 7.5% 2.6% 1.9% Skew 10d 4.7% 1.0% 8.3% 4.0% 3.8% Call IV 25d 39.1% 30.7% 49.8% 47.9% 32.5% Put IV 25d 41.5% 30.9% 54.9% 50.5% 34.4% Bid-Ask Spread % 11.06 4.23 38.67 38.67 4.75 Gamma HHI 0.07 0.02 0.30 0.03 0.10 Net GEX 70.8M -47.3M 365.9M 44.3M 114.6M Net DEX -4.13B -10.28B 1.93B -2.90B -5.00B Net VEX -16.3M -19.4M -269.9K -17.7M -16.1M Div Yield 0.0% 0.0% 0.0% 0.0% 0.0% P/C Ratio 0.92 0.72 1.22 0.93 0.76 Total Volume 4,815,391.364 995,260 11,265,380 7,371,000 3,153,140 Total OI 21,666,679.091 3,899,300 32,920,460 25,995,130 16,606,670
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 2015-07-01 $9.36 $8.79 49.6% 17.2% 26.1% 71.2% 59.2% 2.6% -2.8% 44.3M -2.90B -17.7M 0.93 38.67 N/A N/A 3,812,060 3,558,940 12,316,080 13,679,050 2015-07-02 $9.41 $8.71 48.6% 17.3% 26.1% 68.6% 59.3% 3.1% -2.6% 16.1M -3.29B -17.8M 0.93 38.15 N/A N/A 3,921,190 3,644,270 12,810,210 13,846,280 2015-07-06 $9.45 $9.29 49.0% 12.7% 25.9% 69.7% 44.7% 3.7% -2.4% 52.9M -3.45B -17.2M 0.96 6.94 N/A N/A 2,754,500 2,640,330 10,963,400 12,033,700 2015-07-07 $9.42 $9.29 49.6% 12.9% 25.9% 71.4% 45.2% 3.9% -2.1% 51.7M -3.32B -17.6M 0.78 10.99 N/A N/A 3,637,900 2,841,440 11,782,050 12,839,470 2015-07-08 $9.35 $9.29 51.5% 13.4% 23.9% 76.5% 47.1% 4.1% -2.6% 4.4M -2.96B -19.1M 0.84 6.86 N/A N/A 2,840,670 2,379,370 12,459,790 13,533,590 2015-07-09 $9.57 $9.29 51.0% 13.2% 21.3% 75.3% 46.8% 3.7% -3.1% 222.0M -4.59B -19.4M 0.83 6.97 N/A N/A 3,968,300 3,303,930 13,035,400 13,956,950 2015-07-10 $9.73 $9.29 50.2% 13.1% 21.7% 73.0% 46.4% 3.0% -3.2% 365.9M -5.87B -19.1M 0.76 15.22 N/A N/A 5,631,640 4,257,820 13,248,550 14,284,760 2015-07-13 $10.10 $9.29 48.3% 12.9% 24.9% 67.7% 45.6% 3.1% -2.4% 88.8M -5.81B -18.1M 0.88 8.63 N/A N/A 4,515,840 3,982,790 11,434,710 12,567,660 2015-07-14 $10.04 $9.36 47.9% 12.9% 24.7% 66.7% 45.7% 3.1% -2.4% 75.6M -5.50B -19.0M 1.02 9.45 N/A N/A 2,467,080 2,512,020 12,409,460 13,887,720 2015-07-15 $9.82 $66.00 51.8% 14.0% 25.5% 77.3% 48.3% 7.5% -3.7% -1.2M 1.93B -269.9K 1.00 15.16 N/A N/A 2,632,860 2,630,690 1,817,340 2,081,960 2015-07-16 $11.57 $9.71 32.0% 9.0% 62.7% 22.5% 33.6% 1.8% -0.6% 162.2M -10.28B -14.9M 0.87 8.91 N/A N/A 6,023,740 5,241,640 14,835,850 16,914,060 2015-07-17 $11.46 $10.07 31.4% 8.9% 63.1% 20.7% 31.8% 1.3% -0.3% 137.0M -9.10B -15.3M 0.84 8.10 N/A N/A 3,046,960 2,553,510 14,729,020 18,191,440 2015-07-20 $11.06 $10.14 31.5% 9.0% 64.8% 21.0% 31.8% 0.7% 0.5% 40.4M -3.49B -15.7M 1.14 10.34 N/A N/A 1,438,120 1,637,570 8,260,010 10,740,530 2015-07-21 $11.25 $10.29 31.7% 9.1% 64.6% 21.6% 32.1% 0.8% 0.0% 53.6M -3.96B -15.6M 1.00 10.01 N/A N/A 1,122,720 1,127,120 8,479,590 11,015,050 2015-07-22 $11.14 $10.36 30.4% 8.7% 64.9% 18.1% 30.8% 0.2% 0.2% 40.6M -3.61B -15.9M 1.08 7.53 N/A N/A 907,800 982,030 8,620,480 11,168,270 2015-07-23 $11.00 $10.36 30.8% 8.8% 65.2% 19.1% 31.4% 0.9% 0.2% 11.5M -3.06B -16.2M 1.06 7.46 N/A N/A 932,160 992,770 8,685,880 11,183,040 2015-07-24 $10.93 $10.14 31.5% 9.0% 64.7% 21.3% 32.2% 1.3% 0.4% -47.3M -3.58B -16.9M 1.22 4.23 N/A N/A 1,030,700 1,252,690 7,929,730 10,343,370 2015-07-27 $10.64 $10.14 33.6% 9.6% 65.1% 26.9% 34.5% 2.1% -0.1% 12.7M -2.85B -16.9M 0.89 5.75 N/A N/A 983,430 873,540 6,661,900 8,957,630 2015-07-28 $10.69 $10.14 33.0% 9.3% 64.8% 25.3% 33.1% 1.9% -0.2% 16.5M -2.93B -17.1M 0.94 6.52 N/A N/A 741,050 697,600 6,868,280 9,090,870 2015-07-29 $10.71 $10.14 31.7% 9.1% 64.7% 21.7% 31.9% 1.8% 0.3% 17.8M -3.01B -16.8M 0.86 7.23 N/A N/A 533,940 461,320 6,972,880 9,159,270 2015-07-30 $11.18 $10.14 32.8% 9.5% 65.8% 24.7% 34.0% 1.7% 0.2% 78.2M -4.24B -16.4M 0.72 5.50 N/A N/A 1,322,000 949,420 7,058,160 9,206,830 2015-07-31 $11.43 $10.20 32.7% 9.4% 65.9% 24.6% 33.7% 1.9% -0.1% 114.6M -5.00B -16.1M 0.76 4.75 N/A N/A 1,789,200 1,363,940 7,255,060 9,351,610
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