NFLX Options History — February 2016

In February 2016, NFLX traded between $8.24 and $9.49. ATM implied volatility averaged 53.5%, placing in the 45.1% IV rank vs the trailing year. The 30-day expected move averaged 15.4%. IV traded below realized volatility by 4.8% (HV 20d: 58.3%). Max pain ranged from $10.00 to $10.80. Net GEX was positive for 9 of 20 trading days. Term structure was in contango for 1 of 20 days. Put/call ratio averaged 0.92.

Notable Days

2016-02-05: Highest Volume — 3,222,110 contracts
2016-02-05: Largest IV spike — 17.9% change
2016-02-08: Highest IV Rank — 60.0%
2016-02-11: Largest Expected Move — 17.7%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$9.00	$8.24	$9.49	$9.41	$9.36
Max Pain	$10.16	$10.00	$10.80	$10.80	$10.00
ATM IV	53.5%	48.0%	63.2%	50.4%	48.0%
Expected Move	15.4%	14.2%	17.7%	14.6%	14.5%
HV 20d	58.3%	53.2%	65.0%	65.0%	53.2%
HV 60d	51.6%	49.3%	53.3%	50.9%	52.1%
IV Rank	45.1%	36.7%	60.0%	40.5%	36.7%
IV Percentile	67.8%	50.0%	79.8%	68.7%	50.0%
Term Structure	-0.7%	-1.8%	0.7%	-0.1%	-0.0%
VWIV	54.3%	49.9%	62.3%	51.8%	51.1%
Skew 25d	6.7%	5.3%	8.3%	6.3%	5.5%
Skew 10d	13.0%	10.3%	16.0%	12.1%	10.3%
Call IV 25d	51.2%	45.7%	59.8%	48.2%	45.7%
Put IV 25d	57.9%	51.2%	67.8%	54.5%	51.2%
Bid-Ask Spread %	4.90	3.04	8.46	5.18	4.33
Gamma HHI	0.09	0.04	0.34	0.06	0.07
Net GEX	841.5K	-22.7M	66.0M	-3.5M	14.1M
Net DEX	368.8M	-582.0M	1.30B	349.0M	-251.6M
Net VEX	-9.2M	-10.2M	-8.2M	-9.4M	-10.0M
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	0.92	0.64	1.28	0.76	1.04
Total Volume	1,748,992	1,135,340	3,222,110	1,705,660	1,135,340
Total OI	8,015,912	6,587,980	8,949,560	7,421,240	7,143,970

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
2016-02-01	$9.41	$10.80	50.4%	14.6%	65.0%	40.5%	51.8%	6.3%	-0.1%	-3.5M	349.0M	-9.4M	0.76	5.18	N/A	N/A	967,910	737,750	3,716,950	3,704,290
2016-02-02	$9.15	$10.70	52.8%	15.9%	64.3%	44.0%	55.0%	6.4%	-0.4%	-9.9M	584.0M	-9.3M	0.83	5.20	N/A	N/A	827,200	688,600	3,933,260	3,913,530
2016-02-03	$9.09	$10.70	51.0%	14.9%	64.2%	41.3%	54.1%	6.2%	-0.2%	-13.4M	657.4M	-9.1M	0.98	5.75	N/A	N/A	1,060,100	1,036,830	4,068,440	4,050,330
2016-02-04	$8.97	$10.50	51.5%	14.6%	53.8%	42.1%	51.1%	5.8%	-0.5%	-15.3M	736.2M	-9.0M	0.72	5.16	N/A	N/A	968,000	701,270	4,185,940	4,238,340
2016-02-05	$8.24	$10.50	60.8%	17.2%	59.6%	56.3%	58.6%	6.4%	-1.2%	-22.7M	1.30B	-8.2M	1.28	5.73	N/A	N/A	1,413,280	1,808,830	4,314,680	4,311,740
2016-02-08	$8.35	$10.00	63.2%	17.4%	60.1%	60.0%	62.3%	7.7%	-1.8%	-14.3M	919.1M	-8.7M	1.02	8.46	N/A	N/A	802,360	818,060	4,033,410	4,090,100
2016-02-09	$8.63	$10.00	61.0%	17.2%	60.1%	56.5%	58.8%	8.1%	-0.8%	-6.1M	692.7M	-9.0M	1.05	5.23	N/A	N/A	801,260	841,240	4,212,010	4,130,420
2016-02-10	$8.85	$10.00	58.0%	16.3%	60.9%	52.0%	57.4%	7.7%	-1.1%	341.2K	487.2M	-9.3M	1.04	5.66	N/A	N/A	840,640	877,550	4,303,420	4,200,020
2016-02-11	$8.65	$10.00	62.6%	17.7%	54.1%	59.1%	61.5%	8.3%	-0.9%	-10.2M	725.7M	-9.1M	0.93	5.72	N/A	N/A	878,720	813,320	4,404,590	4,409,600
2016-02-12	$8.74	$10.00	55.8%	16.2%	54.3%	48.7%	55.9%	8.0%	0.7%	2.1M	618.5M	-8.9M	1.13	5.11	N/A	N/A	948,870	1,068,140	4,502,680	4,446,880
2016-02-16	$8.89	$10.00	53.8%	15.4%	54.7%	45.5%	54.1%	7.8%	-0.5%	-5.1M	528.5M	-8.9M	0.77	3.30	N/A	N/A	804,780	617,080	4,065,610	4,030,690
2016-02-17	$9.47	$10.00	50.0%	14.3%	58.0%	39.8%	51.5%	7.2%	-0.7%	13.9M	-36.1M	-9.3M	0.96	3.12	N/A	N/A	894,280	859,020	4,230,770	4,126,580
2016-02-18	$9.04	$10.00	52.8%	15.2%	59.7%	44.0%	53.6%	7.2%	-1.1%	-5.0M	432.9M	-8.9M	0.91	3.41	N/A	N/A	839,760	762,560	4,332,320	4,320,000
2016-02-19	$8.92	$10.00	51.7%	14.9%	57.7%	42.3%	50.8%	6.4%	-0.7%	-22.1M	547.8M	-8.9M	1.03	3.04	N/A	N/A	1,166,620	1,204,690	4,486,510	4,392,930
2016-02-22	$9.19	$10.00	48.5%	14.2%	58.8%	37.4%	51.7%	6.0%	-0.9%	6.5M	-16.2M	-9.4M	0.82	5.71	N/A	N/A	714,070	585,100	3,316,960	3,271,020
2016-02-23	$8.92	$10.00	49.9%	14.8%	59.4%	39.6%	52.0%	6.2%	-0.8%	1.8M	190.8M	-9.1M	1.11	4.26	N/A	N/A	565,450	624,970	3,474,370	3,478,600
2016-02-24	$9.15	$10.00	50.4%	14.8%	60.2%	40.4%	52.5%	6.0%	-1.1%	10.8M	-36.1M	-9.5M	0.74	3.93	N/A	N/A	933,860	688,150	3,583,150	3,604,760
2016-02-25	$9.44	$10.00	49.3%	14.4%	55.3%	38.7%	52.0%	5.9%	-0.5%	28.9M	-468.9M	-9.9M	0.66	4.40	N/A	N/A	1,069,470	708,930	3,760,160	3,720,970
2016-02-26	$9.49	$10.00	48.4%	14.3%	53.6%	37.3%	49.9%	5.3%	-0.8%	66.0M	-582.0M	-10.2M	0.64	5.26	N/A	N/A	1,162,080	743,700	3,954,160	3,854,080
2016-02-29	$9.36	$10.00	48.0%	14.5%	53.2%	36.7%	51.1%	5.5%	-0.0%	14.1M	-251.6M	-10.0M	1.04	4.33	N/A	N/A	557,590	577,750	3,724,510	3,419,460