NFLX Options History — April 2016

In April 2016, NFLX traded between $9.00 and $11.15. ATM implied volatility averaged 51.0%, placing in the 41.2% IV rank vs the trailing year. The 30-day expected move averaged 13.5%. IV traded above realized volatility by 10.2% (HV 20d: 40.8%). Max pain ranged from $10.00 to $11.00. Net GEX was positive for 13 of 21 trading days. Term structure was in contango for 1 of 21 days. Put/call ratio averaged 0.84.

Notable Days

2016-04-19: Highest Volume — 4,191,860 contracts
2016-04-19: Largest IV drop — 30.6% change
2016-04-05: Highest IV Rank — 62.5%
2016-04-07: Largest Expected Move — 16.5%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$10.08	$9.00	$11.15	$10.56	$9.00
Max Pain	$10.17	$10.00	$11.00	$10.00	$10.00
ATM IV	51.0%	35.6%	64.9%	64.2%	36.8%
Expected Move	13.5%	10.0%	16.5%	10.0%	10.6%
HV 20d	40.8%	22.7%	60.6%	35.2%	57.1%
HV 60d	48.7%	43.7%	52.7%	52.5%	49.7%
IV Rank	41.2%	17.8%	62.5%	61.4%	19.6%
IV Percentile	50.7%	18.7%	79.8%	79.0%	18.7%
Term Structure	-2.1%	-4.4%	0.1%	-4.4%	-0.3%
VWIV	48.1%	36.0%	59.2%	36.0%	38.1%
Skew 25d	4.7%	1.8%	8.0%	8.0%	3.0%
Skew 10d	8.5%	2.9%	14.3%	14.3%	6.0%
Call IV 25d	49.0%	35.4%	61.7%	61.7%	36.2%
Put IV 25d	53.7%	37.6%	69.6%	69.6%	39.2%
Bid-Ask Spread %	5.15	1.10	9.67	4.20	2.84
Gamma HHI	0.10	0.05	0.44	0.15	0.44
Net GEX	14.0M	-70.5M	68.8M	68.8M	-70.5M
Net DEX	-576.2M	-2.23B	880.4M	-1.64B	880.4M
Net VEX	-9.6M	-10.3M	-8.5M	-10.2M	-8.9M
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	0.84	0.52	1.25	0.52	1.25
Total Volume	1,715,833.333	880,710	4,191,860	1,705,370	1,562,840
Total OI	7,890,273.81	6,569,050	9,515,810	7,590,700	8,564,250

Daily Data (21 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
2016-04-01	$10.56	$10.00	64.2%	10.0%	35.2%	61.4%	36.0%	8.0%	-4.4%	68.8M	-1.64B	-10.2M	0.52	4.20	N/A	N/A	1,125,680	579,690	3,897,380	3,693,320
2016-04-04	$10.43	$10.00	64.7%	16.4%	33.0%	62.3%	58.9%	7.4%	-3.2%	38.4M	-1.19B	-10.2M	0.95	7.65	N/A	N/A	504,570	479,960	3,602,300	3,327,430
2016-04-05	$10.49	$10.00	64.9%	16.5%	23.0%	62.5%	59.2%	7.3%	-3.9%	40.6M	-1.28B	-10.2M	0.84	7.07	N/A	N/A	570,260	478,940	3,716,780	3,452,740
2016-04-06	$10.49	$10.00	63.8%	16.3%	23.1%	60.9%	58.8%	7.5%	-3.8%	41.9M	-1.28B	-10.3M	0.70	7.30	N/A	N/A	518,700	362,010	3,813,030	3,593,870
2016-04-07	$10.45	$10.00	63.9%	16.5%	22.7%	61.0%	58.1%	7.1%	-4.0%	42.5M	-1.22B	-10.3M	0.72	5.45	N/A	N/A	688,250	498,490	3,892,080	3,684,050
2016-04-08	$10.38	$10.00	63.0%	16.3%	22.8%	59.7%	59.0%	6.6%	-4.3%	30.0M	-1.08B	-10.2M	0.99	6.63	N/A	N/A	602,950	597,220	3,968,700	3,805,690
2016-04-11	$10.28	$10.00	60.7%	15.9%	23.2%	56.1%	55.5%	6.5%	-4.0%	27.9M	-906.9M	-9.9M	0.81	5.67	N/A	N/A	538,300	437,860	3,690,300	3,611,440
2016-04-12	$10.71	$10.00	60.0%	16.2%	26.8%	55.1%	57.0%	6.3%	-2.9%	39.4M	-1.56B	-9.8M	0.67	4.58	N/A	N/A	760,380	506,060	3,827,870	3,757,950
2016-04-13	$10.97	$10.00	58.7%	15.9%	27.5%	53.1%	55.5%	5.5%	-3.1%	48.1M	-1.97B	-9.7M	0.63	6.11	N/A	N/A	1,204,020	760,510	3,923,610	3,857,790
2016-04-14	$11.06	$10.00	56.3%	15.5%	27.3%	49.4%	55.6%	5.9%	-2.0%	55.7M	-2.05B	-9.8M	0.67	5.63	N/A	N/A	819,130	547,650	4,083,730	3,995,850
2016-04-15	$11.15	$10.00	54.2%	15.1%	27.3%	46.2%	52.0%	5.5%	-2.6%	46.0M	-2.23B	-9.6M	0.61	4.45	N/A	N/A	1,394,670	846,400	4,179,560	4,122,720
2016-04-18	$10.88	$10.50	58.2%	16.3%	29.4%	52.3%	58.0%	4.7%	-3.3%	21.8M	-1.05B	-9.8M	1.02	9.67	N/A	N/A	1,766,440	1,797,090	3,409,670	3,159,380
2016-04-19	$9.44	$11.00	40.4%	11.6%	59.6%	25.0%	41.1%	2.1%	-0.3%	-36.4M	774.9M	-8.5M	0.91	1.10	N/A	N/A	2,199,860	1,992,000	4,037,040	3,953,970
2016-04-20	$9.68	$10.50	37.4%	10.7%	60.3%	20.6%	38.4%	2.1%	-0.1%	-15.8M	341.9M	-9.4M	0.89	5.13	N/A	N/A	1,167,060	1,035,680	4,605,730	4,290,690
2016-04-21	$9.50	$10.50	38.7%	11.1%	60.6%	22.5%	39.5%	1.8%	-0.3%	-25.2M	588.4M	-9.5M	0.85	3.63	N/A	N/A	874,330	747,150	4,847,450	4,448,670
2016-04-22	$9.59	$10.30	35.6%	10.2%	60.6%	17.8%	36.6%	2.0%	0.1%	31.8M	379.2M	-9.3M	0.93	4.48	N/A	N/A	1,137,500	1,055,920	4,987,690	4,528,120
2016-04-25	$9.34	$10.20	38.3%	11.1%	60.1%	21.9%	39.1%	2.3%	-0.6%	-13.6M	354.2M	-9.3M	1.08	4.26	N/A	N/A	681,270	734,090	3,645,130	3,657,880
2016-04-26	$9.25	$10.00	37.5%	10.8%	58.9%	20.6%	39.0%	2.0%	-0.6%	-18.7M	471.8M	-9.2M	1.00	3.72	N/A	N/A	715,940	716,320	3,848,220	3,865,700
2016-04-27	$9.10	$10.40	36.0%	10.3%	58.9%	18.4%	36.8%	2.7%	-0.5%	-26.5M	734.8M	-8.9M	0.80	4.76	N/A	N/A	925,030	742,560	3,976,500	4,018,740
2016-04-28	$9.01	$10.10	36.6%	10.6%	58.9%	19.4%	37.1%	2.7%	-0.7%	-31.5M	841.5M	-9.0M	0.80	3.76	N/A	N/A	757,350	602,370	4,119,280	4,233,450
2016-04-29	$9.00	$10.00	36.8%	10.6%	57.1%	19.6%	38.1%	3.0%	-0.3%	-70.5M	880.4M	-8.9M	1.25	2.84	N/A	N/A	696,020	866,820	4,191,340	4,372,910