NFLX Options History — November 2015 In November 2015, NFLX traded between $10.36 and $12.54. ATM implied volatility averaged 43.4%, placing in the 29.7% IV rank vs the trailing year. The 30-day expected move averaged 12.6%. IV traded below realized volatility by 3.7% (HV 20d: 47.1%). Max pain ranged from $10.00 to $11.00. Net GEX was positive for 20 of 20 trading days. Term structure was in contango for 10 of 20 days. Put/call ratio averaged 0.81.
Notable Days 2015-11-17 : Highest Volume — 3,453,790 contracts2015-11-12 : Largest IV spike — 9.6% change2015-11-13 : Highest IV Rank — 36.8%2015-11-13 : Largest Expected Move — 13.8%Monthly Statistics Metric Avg Min Max Open Close Price $11.61 $10.36 $12.54 $10.75 $12.33 Max Pain $10.27 $10.00 $11.00 $10.20 $11.00 ATM IV 43.4% 38.6% 48.1% 38.6% 42.1% Expected Move 12.6% 11.3% 13.8% 11.3% 12.5% HV 20d 47.1% 38.2% 50.6% 49.4% 47.4% HV 60d 55.7% 48.9% 59.2% 58.1% 48.9% IV Rank 29.7% 22.4% 36.8% 22.4% 27.7% IV Percentile 53.4% 47.2% 63.1% 48.4% 47.2% Term Structure -0.1% -1.0% 1.0% 0.3% 0.1% VWIV 44.4% 40.2% 48.3% 40.2% 43.9% Skew 25d 4.4% 3.1% 6.1% 3.9% 4.7% Skew 10d 8.5% 5.5% 21.0% 7.4% 8.7% Call IV 25d 42.1% 37.5% 46.5% 37.6% 40.3% Put IV 25d 46.5% 41.5% 52.0% 41.5% 45.0% Bid-Ask Spread % 15.17 4.82 57.92 4.82 8.02 Gamma HHI 0.05 0.03 0.13 0.03 0.04 Net GEX 53.1M 5.3M 82.4M 37.3M 41.5M Net DEX -3.36B -4.75B -1.35B -2.36B -3.67B Net VEX -12.8M -13.4M -12.4M -13.4M -12.5M Div Yield 0.0% 0.0% 0.0% 0.0% 0.0% P/C Ratio 0.81 0.51 1.67 0.82 1.03 Total Volume 1,677,279.5 493,120 3,453,790 1,231,230 1,381,920 Total OI 12,705,117 12,049,960 13,932,410 12,083,330 12,218,360
Daily Data (20 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 2015-11-02 $10.75 $10.20 38.6% 11.3% 49.4% 22.4% 40.2% 3.9% 0.3% 37.3M -2.36B -13.4M 0.82 4.82 N/A N/A 677,860 553,370 5,514,200 6,569,130 2015-11-03 $11.06 $10.20 38.9% 11.4% 49.6% 22.8% 40.4% 4.3% 0.3% 49.4M -2.87B -13.0M 0.59 6.76 N/A N/A 731,630 432,210 5,614,090 6,677,220 2015-11-04 $11.40 $10.30 39.3% 11.7% 50.6% 23.4% 41.9% 3.7% 0.4% 58.5M -3.42B -12.9M 0.59 6.39 N/A N/A 1,312,550 771,740 5,670,610 6,768,700 2015-11-05 $11.37 $10.00 41.3% 11.9% 45.8% 26.5% 42.2% 3.1% 0.3% 60.5M -3.36B -13.1M 0.68 15.43 N/A N/A 903,880 611,840 5,816,860 6,915,720 2015-11-06 $11.41 $10.00 41.5% 12.0% 45.8% 26.8% 42.8% 3.3% 0.5% 63.3M -3.43B -13.0M 0.51 23.05 N/A N/A 859,450 442,010 5,898,060 6,970,020 2015-11-09 $10.99 $10.00 43.0% 12.4% 47.6% 29.1% 44.5% 4.0% 0.4% 34.0M -2.54B -12.8M 0.75 11.62 N/A N/A 649,670 489,260 5,546,110 6,614,670 2015-11-10 $11.26 $10.00 42.8% 12.5% 46.9% 28.8% 43.7% 4.1% 0.9% 49.6M -2.96B -13.1M 0.81 14.35 N/A N/A 612,050 496,790 5,674,030 6,747,820 2015-11-11 $11.24 $10.00 42.9% 12.5% 47.0% 29.0% 41.5% 3.8% 1.0% 51.9M -3.00B -12.7M 1.67 57.92 N/A N/A 184,850 308,270 5,741,120 6,810,040 2015-11-12 $10.87 $10.00 47.1% 13.4% 38.2% 35.3% 45.6% 6.1% -0.3% 25.6M -2.32B -12.7M 0.67 22.73 N/A N/A 1,038,570 697,250 5,880,520 6,857,860 2015-11-13 $10.36 $10.00 48.1% 13.8% 41.6% 36.8% 48.3% 5.5% 0.3% 5.3M -1.35B -12.7M 1.14 14.43 N/A N/A 1,046,910 1,196,240 6,003,030 6,965,580 2015-11-16 $11.13 $10.00 47.0% 13.5% 48.0% 35.2% 48.1% 5.5% -1.0% 45.0M -2.76B -12.5M 0.69 12.42 N/A N/A 812,010 557,730 5,626,020 6,727,430 2015-11-17 $11.70 $10.00 46.7% 13.4% 47.8% 34.7% 47.5% 4.7% -0.7% 66.3M -3.72B -12.4M 0.73 10.92 N/A N/A 1,995,740 1,458,050 5,765,980 6,835,250 2015-11-18 $12.10 $10.00 45.6% 13.1% 48.4% 33.1% 47.0% 4.6% -1.0% 68.1M -4.33B -12.9M 0.73 12.44 N/A N/A 1,186,980 870,730 6,134,850 7,345,400 2015-11-19 $12.03 $10.00 45.6% 13.1% 48.3% 33.0% 46.1% 4.7% -0.6% 65.9M -4.18B -13.0M 0.89 13.64 N/A N/A 1,078,150 956,120 6,194,180 7,498,620 2015-11-20 $12.37 $10.29 44.2% 12.7% 48.3% 30.9% 45.5% 4.6% -0.7% 76.5M -4.75B -12.9M 0.72 13.95 N/A N/A 1,594,360 1,154,480 6,281,960 7,650,450 2015-11-23 $12.50 $10.50 44.0% 12.8% 47.7% 30.6% 46.2% 4.5% -0.3% 56.7M -4.11B -12.7M 0.71 12.46 N/A N/A 1,107,080 786,530 5,537,680 6,512,280 2015-11-24 $12.33 $10.86 44.6% 12.9% 48.3% 31.5% 46.1% 4.4% -0.5% 53.5M -3.81B -13.0M 0.88 17.97 N/A N/A 1,006,150 885,840 5,779,000 6,738,290 2015-11-25 $12.42 $11.00 42.4% 12.3% 47.8% 28.1% 43.4% 4.3% -0.4% 70.6M -3.99B -13.0M 0.88 13.72 N/A N/A 701,230 620,530 5,945,600 7,001,530 2015-11-27 $12.54 $11.00 42.6% 12.4% 47.5% 28.5% 44.1% 4.0% -0.6% 82.4M -4.22B -12.6M 0.78 10.41 N/A N/A 773,640 601,920 5,970,510 7,083,560 2015-11-30 $12.33 $11.00 42.1% 12.5% 47.4% 27.7% 43.9% 4.7% 0.1% 41.5M -3.67B -12.5M 1.03 8.02 N/A N/A 679,710 702,210 5,524,800 6,693,560
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