NFLX Options History — September 2015 In September 2015, NFLX traded between $9.49 and $10.59. ATM implied volatility averaged 73.2%, placing in the 75.3% IV rank vs the trailing year. The 30-day expected move averaged 23.1%. IV traded above realized volatility by 5.6% (HV 20d: 67.6%). Max pain ranged from $10.50 to $10.64. Net GEX was positive for 11 of 21 trading days. Term structure was in contango for 6 of 21 days. Put/call ratio averaged 1.02.
Notable Days 2015-09-02 : Highest Volume — 3,434,310 contracts2015-09-24 : Largest IV spike — 10.2% change2015-09-29 : Highest IV Rank — 89.8%2015-09-30 : Largest Expected Move — 28.7%Monthly Statistics Metric Avg Min Max Open Close Price $10.05 $9.49 $10.59 $10.59 $10.34 Max Pain $10.51 $10.50 $10.64 $10.64 $10.50 ATM IV 73.2% 65.4% 82.7% 78.6% 80.6% Expected Move 23.1% 19.7% 28.7% 24.5% 28.7% HV 20d 67.6% 49.6% 78.0% 72.3% 49.6% HV 60d 62.2% 60.1% 65.0% 60.3% 65.0% IV Rank 75.3% 63.4% 89.8% 83.5% 86.6% IV Percentile 98.3% 96.4% 99.6% 99.6% 98.8% Term Structure -0.4% -5.2% 13.0% -1.5% -5.2% VWIV 80.3% 68.8% 99.0% 86.6% 99.0% Skew 25d 10.0% 8.1% 13.6% 12.2% 9.6% Skew 10d 18.7% 13.9% 29.7% 19.2% 17.8% Call IV 25d 68.2% 58.3% 77.4% 71.5% 75.4% Put IV 25d 78.1% 67.1% 86.7% 83.6% 85.0% Bid-Ask Spread % 27.17 6.06 48.96 23.28 6.06 Gamma HHI 0.03 0.02 0.05 0.02 0.03 Net GEX 1.9M -26.3M 29.1M -5.3M 25.9M Net DEX -1.16B -2.04B -73.6M -1.66B -1.85B Net VEX -17.1M -20.1M -15.5M -20.1M -16.5M Div Yield 0.0% 0.0% 0.0% 0.0% 0.0% P/C Ratio 1.02 0.77 1.52 1.52 0.79 Total Volume 2,128,653.333 1,026,860 3,434,310 2,986,510 1,353,980 Total OI 15,261,875.714 12,002,070 17,592,040 15,800,950 12,993,130
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 2015-09-01 $10.59 $10.64 78.6% 24.5% 72.3% 83.5% 86.6% 12.2% -1.5% -5.3M -1.66B -20.1M 1.52 23.28 N/A N/A 1,186,170 1,800,340 6,833,350 8,967,600 2015-09-02 $10.49 $10.60 74.3% 23.2% 71.5% 76.9% 81.8% 13.6% -1.0% -10.4M -1.48B -20.0M 1.25 22.30 N/A N/A 1,524,450 1,909,860 7,111,080 9,280,990 2015-09-03 $10.11 $10.50 70.6% 21.9% 71.3% 71.4% 75.8% 10.7% -1.7% -19.7M -800.3M -19.2M 1.08 40.06 N/A N/A 1,264,690 1,359,830 7,383,550 9,517,970 2015-09-04 $9.91 $10.50 70.1% 22.0% 71.2% 70.6% 77.1% 11.9% -1.6% -26.3M -373.5M -18.9M 1.29 40.89 N/A N/A 1,112,880 1,439,980 7,561,980 9,783,530 2015-09-08 $9.49 $10.50 71.1% 22.8% 72.0% 72.1% 79.3% 11.0% 8.2% -16.6M -73.6M -17.6M 0.99 47.95 N/A N/A 1,558,050 1,536,500 7,061,770 9,120,300 2015-09-09 $9.91 $10.50 67.0% 22.1% 74.6% 65.8% 76.9% 10.1% 10.1% -7.3M -802.8M -17.8M 0.88 34.17 N/A N/A 1,470,800 1,290,040 7,370,640 9,498,700 2015-09-10 $9.93 $10.50 65.4% 21.5% 74.7% 63.4% 74.0% 9.6% 11.6% -4.4M -815.9M -17.6M 0.89 35.99 N/A N/A 938,870 834,270 7,615,140 9,717,940 2015-09-11 $9.75 $10.50 66.9% 21.5% 73.3% 65.7% 74.5% 8.8% 13.0% -13.4M -469.0M -17.2M 0.88 39.30 N/A N/A 1,114,040 983,260 7,795,470 9,796,570 2015-09-14 $9.54 $10.50 70.2% 20.9% 73.4% 70.7% 71.9% 9.8% 0.7% -10.2M -216.5M -16.5M 0.91 37.94 N/A N/A 732,020 666,480 7,301,550 9,122,590 2015-09-15 $9.92 $10.50 67.5% 19.7% 74.9% 66.5% 68.8% 9.4% 0.6% -184.3K -922.3M -16.5M 0.83 48.96 N/A N/A 1,012,910 836,830 7,429,360 9,227,150 2015-09-16 $10.42 $10.50 71.6% 20.5% 78.0% 72.8% 71.9% 9.0% -3.1% 14.7M -2.04B -16.9M 0.83 28.37 N/A N/A 1,293,950 1,069,510 7,613,150 9,340,260 2015-09-17 $10.42 $10.50 72.0% 20.8% 78.0% 73.5% 75.6% 10.0% -3.9% 11.8M -2.01B -16.6M 1.03 45.34 N/A N/A 1,169,370 1,200,640 7,685,280 9,474,250 2015-09-18 $10.26 $10.50 70.6% 20.5% 73.0% 71.3% 73.6% 10.1% -3.4% 17.0M -1.57B -16.3M 1.00 12.02 N/A N/A 1,268,650 1,268,570 7,758,150 9,655,020 2015-09-21 $10.01 $10.50 71.9% 21.7% 68.1% 73.2% 75.7% 9.9% -3.9% 8.9M -1.30B -15.8M 1.18 22.50 N/A N/A 790,410 934,820 5,532,520 6,469,550 2015-09-22 $9.77 $10.50 72.5% 22.2% 64.2% 74.1% 78.2% 8.7% -3.9% 7.0K -980.1M -15.5M 1.40 21.06 N/A N/A 428,630 598,230 5,687,560 6,742,670 2015-09-23 $9.82 $10.50 72.9% 22.6% 60.5% 74.7% 77.6% 8.9% -3.9% 986.0K -1.02B -15.8M 0.99 9.58 N/A N/A 580,930 577,870 5,811,040 6,936,330 2015-09-24 $10.36 $10.50 80.3% 25.4% 59.0% 86.1% 87.9% 8.2% -4.8% 29.1M -1.87B -16.5M 0.77 14.37 N/A N/A 1,325,870 1,014,590 5,897,710 6,989,920 2015-09-25 $10.22 $10.50 78.6% 25.4% 53.1% 83.5% 87.3% 8.1% -4.6% 28.0M -1.73B -16.4M 0.90 17.60 N/A N/A 1,259,380 1,132,900 6,152,560 7,100,240 2015-09-28 $9.95 $10.50 82.3% 27.8% 53.4% 89.1% 95.7% 10.3% -4.9% 10.1M -1.27B -16.1M 1.04 12.05 N/A N/A 665,850 690,160 5,687,770 6,765,250 2015-09-29 $9.79 $10.50 82.7% 28.3% 53.3% 89.8% 97.3% 9.8% -4.9% 6.5M -1.07B -16.0M 0.93 10.86 N/A N/A 778,280 726,860 5,807,490 6,902,310 2015-09-30 $10.34 $10.50 80.6% 28.7% 49.6% 86.6% 99.0% 9.6% -5.2% 25.9M -1.85B -16.5M 0.79 6.06 N/A N/A 757,510 596,470 5,947,380 7,045,750
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