NFLX Options History — May 2016

In May 2016, NFLX traded between $8.78 and $10.34. ATM implied volatility averaged 34.5%, placing in the 16.1% IV rank vs the trailing year. The 30-day expected move averaged 9.9%. IV traded below realized volatility by 10.7% (HV 20d: 45.2%). Max pain ranged from $9.50 to $10.00. Net GEX was positive for 9 of 21 trading days. Term structure was in contango for 19 of 21 days. Put/call ratio averaged 0.90.

Notable Days

2016-05-12: Highest Volume — 2,308,600 contracts
2016-05-20: Largest IV drop — 8.1% change
2016-05-17: Highest IV Rank — 20.4%
2016-05-17: Largest Expected Move — 10.7%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$9.33	$8.78	$10.34	$9.31	$10.27
Max Pain	$9.86	$9.50	$10.00	$10.00	$10.00
ATM IV	34.5%	32.1%	37.3%	34.2%	32.9%
Expected Move	9.9%	9.1%	10.7%	9.8%	9.2%
HV 20d	45.2%	27.9%	59.5%	58.9%	30.9%
HV 60d	44.9%	42.7%	50.1%	50.1%	42.7%
IV Rank	16.1%	12.4%	20.4%	15.6%	13.5%
IV Percentile	14.0%	7.1%	18.7%	16.7%	9.1%
Term Structure	0.3%	-0.4%	1.7%	0.0%	-0.4%
VWIV	35.4%	32.2%	38.8%	35.7%	33.1%
Skew 25d	3.0%	2.0%	4.0%	3.1%	2.5%
Skew 10d	6.0%	4.0%	8.4%	5.8%	5.4%
Call IV 25d	33.8%	31.5%	36.5%	33.3%	32.3%
Put IV 25d	36.8%	33.5%	40.1%	36.4%	34.8%
Bid-Ask Spread %	3.23	1.93	5.55	3.61	3.15
Gamma HHI	0.08	0.05	0.20	0.06	0.08
Net GEX	3.0M	-27.7M	47.7M	-3.5M	27.2M
Net DEX	26.7M	-1.54B	895.4M	303.2M	-1.12B
Net VEX	-9.1M	-10.0M	-8.4M	-9.3M	-9.8M
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	0.90	0.68	1.25	0.91	0.99
Total Volume	1,300,427.619	326,050	2,308,600	1,279,070	842,010
Total OI	7,954,864.286	6,498,420	8,758,640	7,615,360	7,188,790

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
2016-05-02	$9.31	$10.00	34.2%	9.8%	58.9%	15.6%	35.7%	3.1%	0.0%	-3.5M	303.2M	-9.3M	0.91	3.61	N/A	N/A	670,080	608,990	3,696,320	3,919,040
2016-05-03	$9.15	$10.00	35.3%	10.3%	58.9%	17.3%	36.3%	3.0%	0.2%	-8.9M	465.8M	-9.1M	1.00	3.12	N/A	N/A	460,340	460,490	3,869,250	4,060,950
2016-05-04	$9.08	$10.00	35.7%	10.4%	58.8%	17.9%	36.5%	2.9%	0.1%	-13.6M	571.8M	-9.0M	0.96	3.04	N/A	N/A	430,170	413,100	3,950,240	4,136,930
2016-05-05	$8.93	$10.00	35.9%	10.4%	58.9%	18.3%	36.8%	2.5%	0.4%	-26.2M	784.9M	-8.8M	0.99	2.78	N/A	N/A	510,630	503,260	4,037,110	4,187,370
2016-05-06	$9.08	$10.00	34.6%	10.3%	59.5%	16.2%	36.4%	2.4%	0.3%	-26.5M	576.6M	-8.9M	0.91	3.35	N/A	N/A	598,320	544,040	4,109,850	4,201,220
2016-05-09	$9.06	$10.00	34.5%	10.1%	59.5%	16.0%	35.9%	2.9%	0.5%	-11.9M	529.4M	-8.7M	0.77	3.09	N/A	N/A	481,300	369,450	3,693,690	3,883,760
2016-05-10	$9.29	$10.00	32.6%	9.4%	58.2%	13.1%	34.0%	2.5%	0.1%	4.5M	212.3M	-9.0M	0.70	1.93	N/A	N/A	544,950	379,240	3,836,160	3,971,830
2016-05-11	$9.00	$10.00	34.6%	10.0%	57.6%	16.2%	35.2%	2.9%	0.4%	-17.7M	615.7M	-8.7M	0.84	3.03	N/A	N/A	575,190	482,670	3,919,330	4,036,540
2016-05-12	$8.78	$10.00	37.2%	10.7%	57.4%	20.2%	38.7%	3.0%	0.2%	-27.7M	895.4M	-8.4M	0.95	3.47	N/A	N/A	1,185,060	1,123,540	4,040,180	4,135,530
2016-05-13	$8.79	$9.50	36.9%	10.5%	57.2%	19.7%	37.8%	3.1%	-0.3%	-12.9M	785.5M	-8.7M	0.91	3.10	N/A	N/A	713,290	651,230	4,363,140	4,375,290
2016-05-16	$8.91	$9.50	35.6%	10.3%	57.6%	17.8%	36.9%	3.8%	0.9%	-7.7M	498.8M	-8.8M	0.80	2.18	N/A	N/A	655,800	525,300	4,009,780	4,124,990
2016-05-17	$9.02	$9.50	37.3%	10.7%	30.1%	20.4%	38.8%	3.9%	0.0%	-987.2K	314.6M	-9.2M	0.78	5.55	N/A	N/A	183,160	142,890	4,159,860	4,254,200
2016-05-18	$9.05	$9.50	35.4%	10.2%	28.3%	17.5%	35.9%	3.4%	0.6%	2.6M	293.8M	-9.0M	1.14	2.46	N/A	N/A	730,690	836,580	4,208,570	4,346,380
2016-05-19	$8.95	$9.50	35.5%	10.1%	27.9%	17.6%	36.0%	4.0%	0.8%	-8.5M	435.4M	-8.8M	1.25	2.44	N/A	N/A	499,880	625,220	4,298,450	4,456,910
2016-05-20	$9.26	$9.50	32.6%	9.2%	30.5%	13.2%	32.4%	4.0%	1.7%	47.7M	-172.5M	-9.0M	1.00	2.47	N/A	N/A	1,092,770	1,096,480	4,354,250	4,404,390
2016-05-23	$9.48	$10.00	32.7%	9.2%	30.3%	13.3%	33.6%	3.1%	0.5%	19.4M	-431.5M	-9.2M	1.08	3.39	N/A	N/A	622,000	671,180	3,216,370	3,282,050
2016-05-24	$9.80	$10.00	33.3%	9.5%	32.1%	14.3%	33.6%	3.2%	0.4%	27.1M	-843.5M	-9.5M	0.80	4.29	N/A	N/A	1,096,770	880,910	3,370,550	3,536,790
2016-05-25	$10.02	$10.00	33.0%	9.3%	31.9%	13.7%	33.2%	2.8%	0.3%	31.0M	-1.11B	-9.8M	0.75	3.61	N/A	N/A	894,960	668,930	3,614,930	3,871,550
2016-05-26	$10.29	$10.00	33.4%	9.5%	32.3%	14.4%	33.7%	2.3%	0.2%	36.7M	-1.51B	-9.8M	0.78	3.85	N/A	N/A	1,185,120	927,630	3,718,150	4,061,150
2016-05-27	$10.34	$10.00	32.1%	9.1%	32.2%	12.4%	32.2%	2.0%	0.3%	33.2M	-1.54B	-10.0M	0.68	3.93	N/A	N/A	849,490	575,870	3,907,460	4,242,850
2016-05-31	$10.27	$10.00	32.9%	9.2%	30.9%	13.5%	33.1%	2.5%	-0.4%	27.2M	-1.12B	-9.8M	0.99	3.15	N/A	N/A	423,600	418,410	3,542,330	3,646,460