NFLX Options History — March 2016 In March 2016, NFLX traded between $9.56 and $10.41. ATM implied volatility averaged 53.1%, placing in the 44.5% IV rank vs the trailing year. The 30-day expected move averaged 13.4%. IV traded above realized volatility by 9.2% (HV 20d: 43.9%). Max pain ranged from $9.00 to $10.00. Net GEX was positive for 21 of 22 trading days. Term structure was in contango for 13 of 22 days. Put/call ratio averaged 0.77.
Notable Days 2016-03-04 : Highest Volume — 2,648,000 contracts2016-03-21 : Largest IV spike — 21.5% change2016-03-28 : Highest IV Rank — 68.1%2016-03-07 : Largest Expected Move — 16.3%Monthly Statistics Metric Avg Min Max Open Close Price $9.93 $9.56 $10.41 $9.80 $10.22 Max Pain $9.68 $9.00 $10.00 $10.00 $10.00 ATM IV 53.1% 41.1% 68.5% 46.7% 65.5% Expected Move 13.4% 10.6% 16.3% 13.9% 11.5% HV 20d 43.9% 33.5% 55.2% 55.2% 33.5% HV 60d 52.7% 52.1% 53.6% 52.7% 52.1% IV Rank 44.5% 26.1% 68.1% 34.7% 63.5% IV Percentile 58.8% 29.8% 85.7% 44.0% 81.3% Term Structure 4.0% -4.3% 20.6% -0.8% -4.3% VWIV 47.6% 37.8% 58.3% 50.9% 40.5% Skew 25d 5.4% 3.9% 7.7% 5.5% 7.7% Skew 10d 10.3% 7.8% 14.4% 10.5% 14.4% Call IV 25d 50.5% 38.2% 63.7% 44.4% 62.2% Put IV 25d 55.9% 42.1% 70.9% 50.0% 69.9% Bid-Ask Spread % 11.62 3.03 48.90 4.66 5.59 Gamma HHI 0.09 0.06 0.23 0.08 0.07 Net GEX 24.3M -20.6M 58.6M 25.8M 42.9M Net DEX -705.9M -1.34B -205.9M -739.1M -951.3M Net VEX -10.0M -10.4M -9.4M -10.3M -10.4M Div Yield 0.0% 0.0% 0.0% 0.0% 0.0% P/C Ratio 0.77 0.50 0.98 0.86 0.62 Total Volume 1,372,511.818 775,150 2,648,000 1,527,350 1,088,390 Total OI 7,630,136.818 6,096,410 9,129,200 7,446,160 7,414,850
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 2016-03-01 $9.80 $10.00 46.7% 13.9% 55.2% 34.7% 50.9% 5.5% -0.8% 25.8M -739.1M -10.3M 0.86 4.66 N/A N/A 821,540 705,810 3,840,760 3,605,400 2016-03-02 $9.75 $10.00 44.1% 13.0% 54.1% 30.7% 46.7% 4.9% 0.5% 23.4M -631.2M -10.3M 0.91 4.08 N/A N/A 726,990 664,060 3,944,250 3,795,770 2016-03-03 $9.77 $9.00 43.8% 15.6% 54.0% 30.3% 55.7% 4.5% 0.5% 27.0M -658.7M -10.4M 0.76 8.11 N/A N/A 672,490 509,160 4,092,490 3,996,590 2016-03-04 $10.17 $9.00 41.1% 14.7% 55.1% 26.1% 52.1% 4.7% 0.8% 58.6M -1.34B -10.2M 0.74 7.03 N/A N/A 1,519,390 1,128,610 4,182,700 4,060,650 2016-03-07 $9.56 $9.00 46.0% 16.3% 50.3% 33.6% 58.3% 4.8% 10.6% 3.0M -205.9M -10.0M 0.71 44.64 N/A N/A 1,037,580 735,380 3,824,800 3,833,980 2016-03-08 $9.62 $9.50 47.4% 16.2% 50.3% 35.8% 56.8% 4.8% 9.1% 13.7M -351.1M -10.3M 0.72 46.54 N/A N/A 919,640 660,960 4,133,480 3,990,130 2016-03-09 $9.78 $9.50 46.1% 15.9% 49.6% 33.8% 56.8% 4.5% 9.5% 20.5M -545.8M -10.4M 0.60 48.90 N/A N/A 783,960 469,350 4,184,920 4,172,490 2016-03-10 $9.72 $9.50 47.2% 16.1% 49.2% 35.4% 55.5% 4.7% 11.0% 26.1M -476.1M -10.2M 0.98 10.16 N/A N/A 695,470 684,860 4,346,500 4,240,640 2016-03-11 $9.76 $9.50 47.1% 15.3% 48.1% 35.4% 55.2% 4.2% 10.0% 29.6M -509.9M -10.1M 0.61 9.47 N/A N/A 1,094,630 669,260 4,360,430 4,344,780 2016-03-14 $9.84 $9.50 51.6% 15.5% 48.1% 42.3% 54.7% 4.5% 7.5% 16.1M -550.6M -9.8M 0.77 9.87 N/A N/A 439,170 335,980 3,924,090 3,978,480 2016-03-15 $9.79 $9.50 51.8% 15.2% 48.1% 42.6% 54.3% 4.3% 8.4% 15.5M -454.6M -9.7M 0.82 7.70 N/A N/A 452,010 372,920 4,032,700 4,090,700 2016-03-16 $9.93 $9.50 50.2% 14.4% 43.1% 40.0% 51.7% 4.5% 9.1% 31.8M -701.3M -9.6M 0.95 7.89 N/A N/A 494,890 470,450 4,076,070 4,129,420 2016-03-17 $10.02 $9.50 44.1% 11.5% 39.0% 30.7% 40.8% 4.2% 19.3% 44.2M -885.1M -9.4M 0.85 4.55 N/A N/A 695,540 589,430 4,094,390 4,177,740 2016-03-18 $10.10 $10.00 47.6% 11.4% 38.5% 36.1% 40.3% 3.9% 20.6% 17.5M -1.32B -9.7M 0.76 4.03 N/A N/A 1,032,910 781,500 4,464,390 4,664,810 2016-03-21 $10.12 $10.00 57.9% 11.4% 37.5% 51.8% 40.6% 6.5% -2.7% 25.3M -811.0M -10.0M 0.92 4.46 N/A N/A 507,220 466,520 3,101,790 2,994,620 2016-03-22 $9.98 $10.00 61.9% 11.8% 36.1% 58.0% 41.7% 6.2% -2.9% 15.2M -564.6M -9.9M 0.96 3.40 N/A N/A 501,170 482,400 3,111,410 3,154,910 2016-03-23 $9.96 $10.00 63.7% 11.6% 35.4% 60.8% 41.0% 6.5% -3.4% 12.4M -537.8M -9.9M 0.80 3.03 N/A N/A 579,170 464,660 3,247,910 3,296,160 2016-03-24 $9.83 $10.00 64.5% 11.1% 34.4% 61.9% 39.3% 6.9% -3.2% -20.6M -349.4M -9.8M 0.68 3.76 N/A N/A 880,500 598,940 3,355,730 3,363,070 2016-03-28 $10.12 $10.00 68.5% 11.0% 35.8% 68.1% 39.2% 7.3% -4.1% 21.3M -760.3M -9.9M 0.50 5.11 N/A N/A 1,031,710 519,650 3,139,850 3,174,880 2016-03-29 $10.41 $10.00 66.1% 10.6% 36.1% 64.4% 37.8% 7.2% -3.8% 43.5M -1.22B -10.1M 0.57 6.73 N/A N/A 997,760 573,530 3,440,780 3,347,940 2016-03-30 $10.22 $10.00 65.5% 10.7% 33.6% 63.4% 37.8% 6.8% -4.0% 42.8M -969.8M -10.2M 0.79 5.85 N/A N/A 748,420 591,280 3,643,040 3,492,520 2016-03-31 $10.22 $10.00 65.5% 11.5% 33.5% 63.5% 40.5% 7.7% -4.3% 42.9M -951.3M -10.4M 0.62 5.59 N/A N/A 672,480 415,910 3,794,450 3,620,400
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