NFLX Options History — August 2015 In August 2015, NFLX traded between $9.72 and $12.64. ATM implied volatility averaged 50.6%, placing in the 58.0% IV rank vs the trailing year. The 30-day expected move averaged 14.7%. IV traded below realized volatility by 10.1% (HV 20d: 60.7%). Max pain ranged from $9.71 to $10.71. Net GEX was positive for 17 of 21 trading days. Term structure was in contango for 5 of 21 days. Put/call ratio averaged 1.07.
Notable Days 2015-08-04 : Highest Volume — 4,568,310 contracts2015-08-24 : Largest IV spike — 44.0% change2015-08-21 : Highest IV Rank — 100.0%2015-08-24 : Largest Expected Move — 26.3%Monthly Statistics Metric Avg Min Max Open Close Price $11.76 $9.72 $12.64 $11.26 $11.52 Max Pain $10.31 $9.71 $10.71 $10.29 $10.60 ATM IV 50.6% 33.6% 89.4% 33.6% 60.2% Expected Move 14.7% 9.8% 26.3% 9.8% 17.8% HV 20d 60.7% 38.7% 71.6% 66.5% 71.5% HV 60d 48.3% 42.5% 57.6% 42.5% 57.6% IV Rank 58.0% 26.9% 100.0% 26.9% 55.4% IV Percentile 80.7% 61.5% 100.0% 61.5% 98.0% Term Structure -0.7% -3.1% 1.2% -0.2% -0.5% VWIV 52.3% 35.0% 92.0% 35.0% 63.0% Skew 25d 4.2% 0.8% 14.2% 1.7% 9.0% Skew 10d 8.5% 0.7% 24.1% 4.0% 19.6% Call IV 25d 49.3% 33.6% 81.4% 33.6% 56.1% Put IV 25d 53.6% 35.3% 95.6% 35.3% 65.1% Bid-Ask Spread % 17.72 4.99 37.85 4.99 13.17 Gamma HHI 0.03 0.02 0.05 0.03 0.02 Net GEX 35.7M -15.5M 71.7M 48.8M 16.1M Net DEX -4.37B -6.48B -622.2M -4.07B -3.30B Net VEX -17.6M -20.3M -15.3M -16.2M -19.3M Div Yield 0.0% 0.0% 0.0% 0.0% 0.0% P/C Ratio 1.07 0.84 1.38 0.88 1.38 Total Volume 2,502,467.143 1,007,310 4,568,310 1,007,310 1,304,990 Total OI 16,970,326.19 14,861,430 18,579,370 15,654,570 15,499,620
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 2015-08-03 $11.26 $10.29 33.6% 9.8% 66.5% 26.9% 35.0% 1.7% -0.2% 48.8M -4.07B -16.2M 0.88 4.99 N/A N/A 536,860 470,450 6,699,470 8,955,100 2015-08-04 $12.11 $10.29 38.6% 11.5% 70.0% 40.9% 41.2% 1.6% -1.3% 70.0M -5.78B -15.3M 0.89 6.80 N/A N/A 2,416,200 2,152,110 6,820,120 9,088,660 2015-08-05 $12.38 $10.50 42.8% 12.9% 69.7% 52.4% 46.4% 1.7% -1.2% 61.8M -6.22B -16.3M 0.94 9.98 N/A N/A 1,583,920 1,495,310 7,234,000 9,873,850 2015-08-06 $12.64 $9.71 47.5% 13.2% 69.6% 65.4% 46.8% 0.8% -2.2% 52.0M -6.48B -17.0M 0.84 23.95 N/A N/A 1,964,920 1,658,250 7,409,510 10,327,230 2015-08-07 $12.34 $10.00 45.5% 12.7% 70.9% 59.9% 45.1% 0.9% -1.2% 22.4M -5.81B -17.7M 0.96 21.13 N/A N/A 1,587,060 1,531,500 7,846,880 10,732,490 2015-08-10 $12.29 $10.00 41.6% 11.9% 70.5% 49.1% 42.5% 1.6% 0.4% 47.7M -5.47B -16.9M 1.20 19.26 N/A N/A 858,360 1,030,910 7,243,420 9,813,060 2015-08-11 $12.27 $10.00 42.8% 12.1% 70.4% 52.3% 43.2% 2.4% -0.4% 45.8M -5.38B -17.4M 1.03 18.42 N/A N/A 689,590 710,310 7,447,620 10,024,870 2015-08-12 $12.05 $10.00 43.8% 12.5% 70.2% 55.1% 44.3% 1.4% -0.1% 30.4M -4.86B -17.3M 1.01 17.26 N/A N/A 815,780 821,340 7,535,620 10,122,690 2015-08-13 $12.39 $10.00 43.5% 12.5% 41.4% 54.4% 44.2% 0.8% 0.3% 71.7M -5.76B -17.0M 0.92 16.14 N/A N/A 1,352,790 1,237,910 7,639,610 10,181,320 2015-08-14 $12.33 $10.07 39.7% 11.5% 41.2% 43.7% 41.2% 1.2% 1.0% 67.9M -5.61B -16.7M 0.93 8.33 N/A N/A 997,370 929,060 7,760,610 10,355,980 2015-08-17 $12.54 $10.14 39.7% 11.4% 38.7% 43.9% 41.2% 1.4% 0.2% 63.5M -5.94B -15.9M 1.04 9.02 N/A N/A 792,440 820,740 7,190,760 9,711,100 2015-08-18 $12.40 $10.29 39.3% 11.3% 39.0% 42.8% 40.7% 1.6% -0.1% 57.5M -5.66B -15.9M 1.21 9.27 N/A N/A 678,000 821,500 7,398,830 9,909,160 2015-08-19 $12.21 $10.50 39.6% 11.4% 39.4% 43.7% 40.5% 1.6% -0.2% 31.6M -5.15B -16.3M 0.95 10.87 N/A N/A 640,920 608,010 7,470,110 10,185,400 2015-08-20 $11.24 $10.57 52.6% 15.1% 49.8% 79.6% 52.9% 5.2% 1.2% -15.5M -2.59B -17.7M 1.28 37.85 N/A N/A 1,842,530 2,360,760 7,512,930 10,322,240 2015-08-21 $10.39 $10.71 62.1% 18.1% 57.2% 100.0% 63.4% 5.4% -2.2% -11.8M -781.1M -18.0M 1.17 33.84 N/A N/A 1,948,430 2,281,620 7,906,360 10,500,550 2015-08-24 $9.72 $10.64 89.4% 26.3% 61.2% 100.0% 92.0% 14.2% -2.5% -6.9M -622.2M -18.9M 1.17 22.13 N/A N/A 1,512,730 1,764,630 6,380,510 8,480,920 2015-08-25 $10.30 $10.57 71.2% 21.5% 65.2% 72.3% 76.6% 8.5% -3.1% -1.6K -1.45B -19.1M 1.23 23.10 N/A N/A 1,295,180 1,592,980 6,771,600 8,676,840 2015-08-26 $10.98 $10.57 68.4% 20.1% 69.3% 68.0% 71.7% 8.0% -1.8% 15.3M -2.56B -20.3M 1.11 24.76 N/A N/A 1,093,810 1,213,460 7,133,110 8,965,640 2015-08-27 $11.74 $10.57 60.9% 17.8% 71.6% 56.6% 63.7% 11.3% -0.1% 40.9M -4.11B -19.8M 1.15 27.44 N/A N/A 1,370,820 1,578,030 7,286,060 9,115,730 2015-08-28 $11.77 $10.57 59.8% 17.4% 71.2% 54.8% 63.3% 8.5% -1.3% 40.8M -4.11B -19.9M 1.13 14.36 N/A N/A 1,027,050 1,163,180 7,367,730 9,479,540 2015-08-31 $11.52 $10.60 60.2% 17.8% 71.5% 55.4% 63.0% 9.0% -0.5% 16.1M -3.30B -19.3M 1.38 13.17 N/A N/A 548,230 756,760 6,721,880 8,777,740
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