NFLX Options History — December 2015 In December 2015, NFLX traded between $11.45 and $13.08. ATM implied volatility averaged 52.3%, placing in the 43.3% IV rank vs the trailing year. The 30-day expected move averaged 12.8%. IV traded above realized volatility by 10.8% (HV 20d: 41.5%). Max pain ranged from $8.71 to $11.00. Net GEX was positive for 18 of 22 trading days. Term structure was in contango for 12 of 22 days. Put/call ratio averaged 0.88.
Notable Days 2015-12-02 : Highest Volume — 2,831,140 contracts2015-12-17 : Largest IV spike — 14.0% change2015-12-30 : Highest IV Rank — 64.7%2015-12-17 : Largest Expected Move — 14.6%Monthly Statistics Metric Avg Min Max Open Close Price $12.13 $11.45 $13.08 $12.54 $11.45 Max Pain $9.33 $8.71 $11.00 $11.00 $9.79 ATM IV 52.3% 39.5% 66.3% 39.5% 65.5% Expected Move 12.8% 10.6% 14.6% 11.8% 11.2% HV 20d 41.5% 34.2% 50.8% 47.0% 34.2% HV 60d 47.1% 44.2% 48.7% 48.7% 44.2% IV Rank 43.3% 23.7% 64.7% 23.7% 63.4% IV Percentile 67.5% 42.1% 86.9% 42.9% 86.5% Term Structure 3.3% -3.9% 16.5% 0.3% -3.6% VWIV 45.0% 37.7% 50.9% 42.1% 39.6% Skew 25d 5.5% 2.8% 8.1% 4.3% 7.9% Skew 10d 10.0% 5.9% 15.3% 8.2% 14.4% Call IV 25d 50.0% 38.1% 63.1% 38.1% 62.7% Put IV 25d 55.5% 41.7% 70.9% 42.4% 70.6% Bid-Ask Spread % 19.00 4.59 45.93 6.05 7.18 Gamma HHI 0.06 0.02 0.28 0.04 0.07 Net GEX 23.2M -54.4M 88.8M 51.8M -8.9M Net DEX -2.87B -4.90B -1.44B -3.98B -1.44B Net VEX -11.9M -13.2M -10.5M -12.4M -10.5M Div Yield 0.0% 0.0% 0.0% 0.0% 0.0% P/C Ratio 0.88 0.61 1.20 0.80 1.08 Total Volume 1,700,640.909 793,440 2,831,140 1,145,510 1,495,270 Total OI 12,760,740.909 10,973,690 14,237,960 12,682,990 11,858,580
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 2015-12-01 $12.54 $11.00 39.5% 11.8% 47.0% 23.7% 42.1% 4.3% 0.3% 51.8M -3.98B -12.4M 0.80 6.05 N/A N/A 635,500 510,010 5,726,990 6,956,000 2015-12-02 $12.89 $11.00 40.5% 12.3% 47.0% 25.2% 43.6% 4.0% 0.2% 71.8M -4.63B -12.4M 0.79 6.31 N/A N/A 1,585,640 1,245,500 5,848,000 7,071,270 2015-12-03 $12.68 $8.71 41.4% 12.8% 46.9% 26.6% 44.2% 3.4% -0.4% 47.1M -4.11B -12.7M 0.81 25.01 N/A N/A 1,546,850 1,248,980 6,000,470 7,321,850 2015-12-04 $13.08 $8.79 39.5% 12.3% 47.7% 23.8% 43.7% 2.8% -0.1% 88.8M -4.90B -12.6M 0.61 22.04 N/A N/A 1,287,240 779,070 6,131,030 7,488,630 2015-12-07 $12.54 $8.86 44.5% 13.7% 50.8% 31.4% 47.8% 4.3% 3.3% 31.2M -3.69B -12.8M 0.80 45.93 N/A N/A 1,342,530 1,078,030 5,810,080 7,038,570 2015-12-08 $12.72 $8.86 44.3% 13.7% 48.4% 31.1% 47.6% 4.3% 3.5% 39.8M -4.03B -13.0M 0.91 26.02 N/A N/A 959,430 873,010 6,110,540 7,315,500 2015-12-09 $12.39 $9.00 44.8% 14.0% 49.3% 31.8% 49.0% 4.6% 3.9% 19.1M -3.31B -13.2M 0.89 27.01 N/A N/A 976,280 868,060 6,279,340 7,549,700 2015-12-10 $12.27 $9.00 44.9% 13.8% 49.5% 31.9% 48.1% 4.7% 4.1% 5.2M -3.03B -13.0M 0.85 32.99 N/A N/A 846,440 723,250 6,384,670 7,659,280 2015-12-11 $11.89 $9.00 46.8% 14.1% 49.3% 34.9% 49.4% 4.7% 3.8% -54.4M -2.18B -12.7M 1.20 34.92 N/A N/A 1,037,290 1,245,520 6,463,930 7,774,030 2015-12-14 $12.04 $9.00 48.8% 14.2% 45.3% 37.9% 49.8% 5.2% 15.4% 16.5M -2.81B -12.5M 0.87 28.01 N/A N/A 881,920 767,380 5,949,690 7,333,340 2015-12-15 $11.87 $9.00 48.0% 13.9% 38.8% 36.7% 48.5% 5.9% 15.6% 14.8M -2.53B -12.1M 0.85 31.30 N/A N/A 668,260 570,070 6,100,310 7,415,860 2015-12-16 $12.28 $9.00 47.0% 13.5% 36.6% 35.2% 48.3% 5.4% 16.5% 39.8M -3.34B -12.2M 0.79 22.81 N/A N/A 805,300 637,500 6,177,930 7,497,740 2015-12-17 $12.26 $9.00 53.6% 14.6% 34.7% 45.3% 50.9% 5.1% 14.6% 43.9M -3.39B -12.1M 0.80 16.68 N/A N/A 1,340,390 1,075,030 6,220,980 7,538,490 2015-12-18 $11.83 $9.21 55.5% 14.3% 37.0% 48.1% 49.8% 4.9% 15.6% -7.0M -2.34B -11.9M 0.90 20.55 N/A N/A 1,175,720 1,055,330 6,430,230 7,707,920 2015-12-21 $11.65 $9.29 61.6% 13.7% 35.8% 57.5% 49.4% 6.4% -2.0% 13.2M -1.83B -11.7M 0.83 21.13 N/A N/A 706,670 588,530 5,026,400 5,947,290 2015-12-22 $11.60 $9.36 62.6% 11.8% 35.4% 59.1% 41.5% 6.7% -2.8% 12.4M -1.75B -11.0M 0.98 11.13 N/A N/A 582,780 573,260 5,207,090 6,116,680 2015-12-23 $11.83 $9.43 63.7% 11.1% 36.1% 60.7% 39.1% 6.9% -2.7% 32.3M -2.08B -11.1M 0.86 5.93 N/A N/A 687,720 589,310 5,286,210 6,241,910 2015-12-24 $11.73 $9.43 63.4% 10.6% 36.0% 60.3% 37.7% 6.6% -2.7% -670.8K -1.90B -10.9M 0.98 7.82 N/A N/A 401,440 392,000 5,376,750 6,315,700 2015-12-28 $11.70 $9.50 63.8% 11.0% 35.7% 60.8% 39.3% 7.7% -2.9% 12.7M -1.87B -10.5M 0.97 4.59 N/A N/A 560,000 544,630 5,008,240 6,077,820 2015-12-29 $11.90 $9.50 64.3% 10.8% 36.0% 61.6% 38.0% 7.7% -3.4% 32.9M -2.22B -10.6M 0.77 6.89 N/A N/A 686,100 530,650 5,142,690 6,229,780 2015-12-30 $11.67 $9.50 66.3% 11.8% 35.8% 64.7% 42.1% 8.1% -3.9% 8.5M -1.84B -10.6M 0.95 7.74 N/A N/A 671,950 638,260 5,260,100 6,338,690 2015-12-31 $11.45 $9.79 65.5% 11.2% 34.2% 63.4% 39.6% 7.9% -3.6% -8.9M -1.44B -10.5M 1.08 7.18 N/A N/A 718,460 776,810 5,372,990 6,485,590
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