NFLX Options History — January 2016

In January 2016, NFLX traded between $9.08 and $11.75. ATM implied volatility averaged 64.8%, placing in the 62.4% IV rank vs the trailing year. The 30-day expected move averaged 17.8%. IV traded above realized volatility by 11.8% (HV 20d: 53.0%). Max pain ranged from $10.00 to $11.50. Net GEX was positive for 6 of 19 trading days. Term structure was in contango for 0 of 19 days. Put/call ratio averaged 0.89.

Notable Days

2016-01-20: Highest Volume — 3,522,870 contracts
2016-01-20: Largest IV drop — 22.6% change
2016-01-13: Highest IV Rank — 83.2%
2016-01-19: Largest Expected Move — 21.5%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$10.55	$9.08	$11.75	$10.99	$9.23
Max Pain	$11.18	$10.00	$11.50	$11.50	$10.00
ATM IV	64.8%	50.1%	78.4%	66.3%	50.1%
Expected Move	17.8%	14.4%	21.5%	16.9%	14.4%
HV 20d	53.0%	33.6%	64.1%	36.3%	64.1%
HV 60d	47.9%	43.5%	51.1%	45.1%	51.1%
IV Rank	62.4%	40.0%	83.2%	64.8%	40.0%
IV Percentile	83.7%	67.1%	94.0%	86.9%	67.1%
Term Structure	-2.9%	-5.7%	-0.3%	-3.3%	-1.4%
VWIV	62.4%	49.4%	75.9%	60.3%	49.4%
Skew 25d	7.9%	6.7%	9.1%	8.9%	6.7%
Skew 10d	15.1%	12.1%	17.8%	16.1%	12.1%
Call IV 25d	61.6%	48.1%	75.8%	61.2%	48.1%
Put IV 25d	69.5%	54.8%	83.5%	70.1%	54.8%
Bid-Ask Spread %	11.93	4.73	38.18	10.16	10.94
Gamma HHI	0.06	0.03	0.20	0.04	0.12
Net GEX	-636.1K	-29.8M	29.3M	-5.7M	-2.2M
Net DEX	-646.7M	-2.28B	767.5M	-1.01B	63.9M
Net VEX	-9.8M	-10.9M	-149.4K	-9.9M	-149.4K
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	0.89	0.66	1.22	1.00	1.22
Total Volume	2,153,318.947	95,250	3,522,870	1,769,590	95,250
Total OI	9,607,580.526	530,100	13,110,790	11,161,430	530,100

Daily Data (19 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
2016-01-04	$10.99	$11.50	66.3%	16.9%	36.3%	64.8%	60.3%	8.9%	-3.3%	-5.7M	-1.01B	-9.9M	1.00	10.16	N/A	N/A	883,310	886,280	4,995,030	6,166,400
2016-01-05	$10.79	$11.50	68.1%	17.2%	33.6%	67.4%	60.6%	8.9%	-4.0%	-2.3M	-844.4M	-10.0M	0.88	9.76	N/A	N/A	751,380	660,370	5,247,710	6,366,590
2016-01-06	$11.75	$11.50	68.1%	17.7%	45.5%	67.4%	62.0%	8.2%	-3.8%	28.7M	-2.28B	-10.7M	0.71	15.07	N/A	N/A	1,642,530	1,168,810	5,379,470	6,457,650
2016-01-07	$11.53	$11.50	72.0%	18.6%	45.3%	73.3%	65.3%	9.1%	-4.4%	26.1M	-2.01B	-10.9M	0.66	19.09	N/A	N/A	1,753,900	1,151,730	5,632,600	6,669,110
2016-01-08	$11.12	$11.50	70.4%	18.5%	46.1%	71.0%	64.3%	8.8%	-4.5%	-16.1M	-1.20B	-10.6M	0.86	12.86	N/A	N/A	1,082,970	927,000	5,802,240	6,812,540
2016-01-11	$11.49	$11.50	70.4%	18.7%	47.9%	71.0%	63.7%	9.0%	-3.9%	14.5M	-1.77B	-10.5M	0.68	9.07	N/A	N/A	1,141,880	774,220	5,353,300	6,442,690
2016-01-12	$11.66	$11.50	68.3%	18.5%	47.1%	67.7%	65.0%	8.6%	-3.3%	29.3M	-2.07B	-10.7M	0.85	11.16	N/A	N/A	700,200	592,750	5,682,870	6,609,020
2016-01-13	$10.66	$11.50	78.4%	21.3%	56.3%	83.2%	74.0%	8.2%	-4.2%	-8.2M	-704.0M	-10.3M	0.89	38.18	N/A	N/A	1,292,540	1,153,390	5,764,060	6,674,840
2016-01-14	$10.70	$11.50	74.5%	20.3%	56.3%	77.2%	70.8%	7.4%	-4.6%	-13.0M	-733.1M	-10.2M	0.97	15.25	N/A	N/A	1,165,500	1,126,090	6,029,230	6,850,600
2016-01-15	$10.40	$11.00	77.2%	21.0%	54.9%	81.3%	72.6%	7.7%	-5.7%	-11.1M	-291.7M	-9.9M	1.18	14.76	N/A	N/A	1,394,230	1,648,920	6,151,820	6,958,970
2016-01-19	$10.82	$11.00	75.9%	21.5%	57.4%	79.3%	75.9%	7.9%	-4.8%	9.3M	-604.6M	-10.6M	0.97	14.40	N/A	N/A	1,540,900	1,498,020	3,205,390	2,908,820
2016-01-20	$10.79	$11.00	58.7%	16.8%	56.4%	53.0%	60.3%	7.2%	-0.7%	8.7M	-498.8M	-10.8M	0.87	7.99	N/A	N/A	1,880,280	1,642,590	3,836,800	3,594,570
2016-01-21	$10.26	$11.00	59.1%	17.0%	58.6%	53.6%	60.6%	8.1%	-1.8%	-6.8M	-66.2M	-10.5M	1.06	5.54	N/A	N/A	1,138,750	1,210,430	4,102,400	3,779,420
2016-01-22	$10.06	$11.00	55.2%	15.9%	58.7%	47.7%	56.2%	6.7%	-1.1%	-29.8M	181.2M	-10.3M	0.84	7.91	N/A	N/A	1,500,250	1,255,970	4,276,300	4,022,160
2016-01-25	$9.92	$11.00	56.3%	16.4%	58.0%	49.3%	57.4%	7.3%	-0.3%	-2.7M	78.9M	-10.2M	0.67	4.73	N/A	N/A	840,570	560,420	3,575,430	3,362,900
2016-01-26	$9.77	$11.00	53.7%	15.6%	58.0%	45.5%	55.1%	7.0%	-0.6%	-4.8M	229.1M	-10.1M	0.84	6.02	N/A	N/A	1,003,590	841,910	3,848,920	3,519,000
2016-01-27	$9.08	$11.00	56.8%	16.8%	62.2%	50.2%	58.3%	7.8%	-1.2%	-18.0M	767.5M	-9.2M	0.81	6.91	N/A	N/A	1,142,410	930,790	4,008,930	3,771,470
2016-01-28	$9.45	$11.00	51.7%	15.1%	64.1%	42.4%	54.0%	7.2%	-0.7%	-8.0M	489.5M	-9.7M	0.87	6.96	N/A	N/A	1,032,980	899,950	4,179,540	3,975,140
2016-01-29	$9.23	$10.00	50.1%	14.4%	64.1%	40.0%	49.4%	6.7%	-1.4%	-2.2M	63.9M	-149.4K	1.22	10.94	N/A	N/A	42,990	52,260	222,040	308,060