NFLX Options History — October 2015 In October 2015, NFLX traded between $9.72 and $11.47. ATM implied volatility averaged 61.2%, placing in the 56.9% IV rank vs the trailing year. The 30-day expected move averaged 17.4%. IV traded above realized volatility by 8.6% (HV 20d: 52.6%). Max pain ranged from $10.00 to $10.50. Net GEX was positive for 19 of 22 trading days. Term structure was in contango for 5 of 22 days. Put/call ratio averaged 0.81.
Notable Days 2015-10-15 : Highest Volume — 4,643,100 contracts2015-10-15 : Largest IV drop — 33.8% change2015-10-02 : Highest IV Rank — 93.1%2015-10-02 : Largest Expected Move — 31.9%Monthly Statistics Metric Avg Min Max Open Close Price $10.54 $9.72 $11.47 $10.25 $10.88 Max Pain $10.25 $10.00 $10.50 $10.50 $10.00 ATM IV 61.2% 38.6% 84.9% 81.6% 38.6% Expected Move 17.4% 11.2% 31.9% 29.7% 11.2% HV 20d 52.6% 47.4% 57.6% 49.5% 52.3% HV 60d 60.8% 57.3% 66.6% 65.0% 58.2% IV Rank 56.9% 22.4% 93.1% 88.1% 22.4% IV Percentile 76.2% 48.4% 99.6% 98.8% 48.4% Term Structure -2.5% -5.5% 0.6% -5.5% 0.6% VWIV 61.2% 40.0% 111.4% 103.1% 40.0% Skew 25d 6.7% 3.6% 11.7% 9.7% 4.2% Skew 10d 11.9% 6.8% 19.4% 19.4% 6.8% Call IV 25d 58.1% 37.1% 81.3% 77.5% 37.1% Put IV 25d 64.8% 41.3% 91.5% 87.1% 41.3% Bid-Ask Spread % 9.78 4.27 27.69 13.38 5.20 Gamma HHI 0.05 0.03 0.21 0.03 0.06 Net GEX 26.4M -22.3M 61.5M 25.6M 55.0M Net DEX -2.08B -3.48B -440.1M -1.74B -2.90B Net VEX -14.8M -16.5M -13.2M -16.5M -13.2M Div Yield 0.0% 0.0% 0.0% 0.0% 0.0% P/C Ratio 0.81 0.64 1.10 1.10 0.64 Total Volume 1,986,825 740,540 4,643,100 740,540 2,512,310 Total OI 13,206,500 11,735,110 15,768,420 13,162,570 12,819,680
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 2015-10-01 $10.25 $10.50 81.6% 29.7% 49.5% 88.1% 103.1% 9.7% -5.5% 25.6M -1.74B -16.5M 1.10 13.38 N/A N/A 352,010 388,530 6,043,840 7,118,730 2015-10-02 $10.60 $10.50 84.9% 31.9% 49.1% 93.1% 111.4% 10.2% -5.4% 46.9M -2.38B -16.5M 0.73 16.45 N/A N/A 1,320,800 957,830 6,186,040 7,243,630 2015-10-05 $11.13 $10.00 82.5% 20.9% 50.9% 89.4% 72.8% 8.8% -4.9% 28.9M -2.89B -16.2M 0.80 9.77 N/A N/A 1,255,430 1,009,480 5,817,860 6,914,660 2015-10-06 $10.83 $10.50 82.9% 20.8% 49.2% 90.1% 73.3% 9.3% -5.4% 25.9M -2.49B -16.3M 0.74 8.25 N/A N/A 908,250 668,710 6,078,440 7,176,990 2015-10-07 $10.80 $10.00 82.3% 20.8% 47.4% 89.1% 72.6% 8.7% -5.3% 28.4M -2.45B -16.2M 0.78 8.82 N/A N/A 666,180 516,590 6,178,350 7,247,580 2015-10-08 $11.47 $10.50 78.9% 20.4% 51.4% 84.0% 72.5% 7.9% -5.2% 46.8M -3.48B -16.3M 0.65 16.64 N/A N/A 2,079,040 1,351,970 6,227,220 7,364,950 2015-10-09 $11.43 $10.50 76.3% 19.9% 50.7% 80.0% 70.5% 7.9% -4.5% 60.5M -3.47B -16.2M 0.79 12.02 N/A N/A 1,158,350 917,630 6,434,630 7,592,310 2015-10-12 $11.34 $10.50 76.3% 20.3% 49.9% 80.0% 72.7% 8.1% -3.9% 27.0M -2.99B -15.5M 0.88 6.73 N/A N/A 567,550 500,260 5,907,120 7,126,950 2015-10-13 $10.96 $10.50 84.0% 22.4% 50.8% 91.8% 77.3% 9.1% -5.2% 20.6M -2.50B -15.6M 0.93 16.02 N/A N/A 828,760 771,240 6,052,310 7,291,010 2015-10-14 $10.97 $10.50 78.6% 21.0% 48.0% 83.5% 73.0% 11.7% -4.6% 21.8M -2.50B -15.6M 0.85 27.69 N/A N/A 1,930,150 1,645,900 6,245,060 7,546,840 2015-10-15 $10.12 $10.50 52.1% 14.9% 56.4% 42.9% 51.9% 4.7% -0.4% -22.3M -902.6M -14.1M 0.90 4.27 N/A N/A 2,445,820 2,197,280 6,915,380 8,263,500 2015-10-16 $9.92 $10.50 47.5% 13.4% 56.6% 36.0% 47.5% 4.2% -0.9% -22.2M -440.1M -14.0M 1.00 5.89 N/A N/A 1,298,990 1,301,430 7,199,980 8,568,440 2015-10-19 $10.17 $10.50 46.7% 13.3% 56.7% 34.7% 47.2% 4.5% -0.8% 12.7M -1.53B -13.9M 0.65 7.74 N/A N/A 1,384,940 900,970 5,293,440 6,441,670 2015-10-20 $9.80 $10.00 49.9% 14.3% 57.6% 39.6% 50.2% 5.9% -1.6% 2.6M -1.09B -14.0M 0.94 10.36 N/A N/A 705,350 666,000 5,641,410 6,708,030 2015-10-21 $9.79 $10.00 47.7% 13.7% 57.6% 36.2% 47.9% 5.1% -1.2% 561.9K -1.07B -14.0M 0.79 8.51 N/A N/A 677,550 537,460 5,844,950 6,924,390 2015-10-22 $9.72 $10.00 46.3% 13.3% 54.0% 34.1% 46.3% 5.0% -1.1% -7.8M -946.0M -13.8M 0.80 6.10 N/A N/A 791,730 629,480 5,955,190 7,006,010 2015-10-23 $9.99 $10.00 43.8% 12.6% 54.9% 30.2% 44.4% 5.0% -0.4% 61.5M -1.48B -13.8M 0.79 9.55 N/A N/A 1,236,700 977,170 6,063,230 7,121,010 2015-10-26 $10.31 $10.00 42.7% 12.5% 55.2% 28.6% 44.1% 3.6% 0.3% 30.3M -1.90B -13.7M 0.67 6.74 N/A N/A 832,790 561,830 5,566,740 6,621,000 2015-10-27 $10.29 $10.00 43.1% 12.6% 54.8% 29.3% 44.3% 4.6% 0.1% 37.4M -1.92B -13.8M 0.83 4.86 N/A N/A 676,110 564,320 5,728,120 6,714,220 2015-10-28 $10.58 $10.00 40.3% 11.9% 52.4% 25.0% 42.1% 4.4% 0.1% 51.6M -2.42B -13.5M 0.68 5.27 N/A N/A 904,980 611,410 5,788,490 6,833,890 2015-10-29 $10.52 $10.00 39.8% 11.7% 52.3% 24.2% 41.1% 4.6% 0.5% 49.6M -2.26B -13.3M 0.77 4.92 N/A N/A 846,510 654,360 5,802,310 6,927,400 2015-10-30 $10.88 $10.00 38.6% 11.2% 52.3% 22.4% 40.0% 4.2% 0.6% 55.0M -2.90B -13.2M 0.64 5.20 N/A N/A 1,533,450 978,860 5,843,700 6,975,980
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