NFLX Options History — June 2016

In June 2016, NFLX traded between $8.53 and $10.14. ATM implied volatility averaged 42.6%, placing in the 23.8% IV rank vs the trailing year. The 30-day expected move averaged 10.4%. IV traded above realized volatility by 13.7% (HV 20d: 29.0%). Max pain ranged from $9.50 to $10.00. Net GEX was positive for 14 of 22 trading days. Term structure was in contango for 10 of 22 days. Put/call ratio averaged 0.80.

Notable Days

2016-06-23: Highest Volume — 1,592,500 contracts
2016-06-20: Largest IV spike — 17.4% change
2016-06-27: Highest IV Rank — 47.2%
2016-06-15: Largest Expected Move — 12.0%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$9.43	$8.53	$10.14	$10.14	$9.14
Max Pain	$9.85	$9.50	$10.00	$10.00	$9.50
ATM IV	42.6%	30.0%	58.1%	32.3%	53.4%
Expected Move	10.4%	9.1%	12.0%	9.1%	9.2%
HV 20d	29.0%	23.0%	32.9%	30.6%	32.9%
HV 60d	41.5%	40.8%	42.9%	40.8%	42.9%
IV Rank	23.8%	6.6%	47.2%	12.7%	39.5%
IV Percentile	33.1%	1.6%	68.3%	6.7%	61.5%
Term Structure	2.8%	-3.5%	17.3%	-0.2%	-3.5%
VWIV	36.7%	32.0%	43.6%	32.1%	32.5%
Skew 25d	4.6%	2.5%	6.9%	2.8%	6.5%
Skew 10d	8.8%	5.0%	13.2%	5.7%	12.0%
Call IV 25d	40.6%	29.1%	54.1%	31.5%	51.0%
Put IV 25d	45.2%	31.9%	60.8%	34.4%	57.5%
Bid-Ask Spread %	4.60	3.46	6.41	3.76	3.57
Gamma HHI	0.06	0.04	0.15	0.07	0.04
Net GEX	4.8M	-19.6M	21.8M	17.5M	17.3M
Net DEX	-99.5M	-931.5M	615.3M	-931.5M	-87.1M
Net VEX	-9.3M	-9.8M	-8.5M	-9.8M	-9.5M
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	0.80	0.57	1.18	0.80	0.78
Total Volume	1,095,341.364	642,910	1,592,500	914,360	971,780
Total OI	7,486,415.909	6,341,350	8,323,270	7,427,890	7,699,280

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
2016-06-01	$10.14	$10.00	32.3%	9.1%	30.6%	12.7%	32.1%	2.8%	-0.2%	17.5M	-931.5M	-9.8M	0.80	3.76	N/A	N/A	506,650	407,710	3,638,090	3,789,800
2016-06-02	$10.12	$10.00	30.8%	10.5%	30.3%	10.3%	37.3%	2.5%	-0.3%	16.8M	-905.9M	-9.7M	0.66	6.41	N/A	N/A	513,760	337,200	3,707,680	3,859,350
2016-06-03	$9.96	$10.00	30.6%	10.4%	30.2%	10.1%	37.2%	2.9%	-0.2%	2.0M	-644.3M	-9.8M	0.79	5.20	N/A	N/A	704,240	557,840	3,812,610	3,924,400
2016-06-06	$10.09	$10.00	30.1%	10.2%	30.0%	9.4%	36.1%	2.7%	5.4%	21.8M	-841.3M	-9.6M	0.67	5.06	N/A	N/A	524,730	349,700	3,514,390	3,649,580
2016-06-07	$9.98	$10.00	30.0%	10.4%	30.4%	8.6%	36.5%	2.8%	6.4%	20.2M	-692.7M	-9.6M	0.69	5.90	N/A	N/A	380,100	262,810	3,643,150	3,753,470
2016-06-08	$9.80	$10.00	30.2%	10.3%	30.4%	7.8%	37.1%	2.8%	5.9%	2.6M	-378.3M	-9.5M	0.89	4.29	N/A	N/A	471,650	418,630	3,704,560	3,808,320
2016-06-09	$9.71	$10.00	31.5%	10.5%	28.0%	6.6%	36.3%	2.5%	6.2%	-7.9M	-216.4M	-9.5M	0.76	4.86	N/A	N/A	549,290	417,700	3,802,030	3,910,260
2016-06-10	$9.36	$10.00	34.5%	11.0%	29.9%	8.3%	39.8%	3.6%	6.3%	-11.3M	333.2M	-9.3M	0.89	5.29	N/A	N/A	783,900	699,280	3,870,180	3,988,630
2016-06-13	$9.36	$10.00	39.7%	11.8%	29.9%	16.2%	40.9%	5.0%	9.6%	-1.7M	122.5M	-9.3M	0.74	4.28	N/A	N/A	633,800	469,090	3,718,450	3,855,060
2016-06-14	$9.41	$10.00	40.8%	11.9%	29.7%	18.1%	41.6%	4.5%	10.7%	-1.9M	106.0M	-9.4M	0.83	4.88	N/A	N/A	591,010	489,040	3,836,070	3,952,820
2016-06-15	$9.42	$10.00	41.9%	12.0%	29.5%	20.1%	43.6%	5.1%	9.5%	1.9M	81.5M	-9.3M	0.89	5.35	N/A	N/A	445,280	397,380	3,982,080	4,031,890
2016-06-16	$9.55	$10.00	42.3%	11.5%	29.8%	20.6%	40.1%	4.2%	11.1%	19.4M	-134.7M	-9.3M	0.79	4.40	N/A	N/A	607,830	482,670	4,047,820	4,104,040
2016-06-17	$9.44	$10.00	41.0%	9.9%	29.9%	18.5%	34.7%	4.0%	17.3%	18.1M	106.5M	-9.1M	0.89	3.46	N/A	N/A	801,590	712,160	4,193,960	4,129,310
2016-06-20	$9.37	$10.00	48.1%	9.2%	27.7%	30.5%	32.0%	5.7%	-2.4%	8.0M	-103.4M	-9.2M	0.74	4.20	N/A	N/A	598,220	441,680	3,155,910	3,185,440
2016-06-21	$9.10	$10.00	51.0%	9.7%	28.1%	35.4%	34.1%	5.9%	-2.2%	-3.7M	209.5M	-8.9M	0.78	3.70	N/A	N/A	765,970	599,840	3,344,590	3,325,630
2016-06-22	$9.00	$9.60	54.0%	10.3%	24.9%	40.3%	35.6%	5.7%	-2.9%	-4.4M	310.8M	-9.0M	0.71	4.18	N/A	N/A	573,910	409,350	3,578,710	3,508,270
2016-06-23	$9.16	$9.50	52.6%	9.2%	24.3%	38.1%	32.9%	5.2%	-2.9%	2.9M	124.2M	-9.3M	0.57	5.51	N/A	N/A	1,014,800	577,700	3,677,870	3,603,160
2016-06-24	$8.89	$9.50	56.1%	10.7%	23.0%	43.9%	37.5%	6.6%	-2.8%	-19.6M	429.9M	-9.3M	1.18	4.93	N/A	N/A	512,520	606,360	3,892,270	3,706,970
2016-06-27	$8.53	$9.50	58.1%	11.6%	25.5%	47.2%	40.9%	6.7%	-2.9%	-8.9M	615.3M	-8.5M	0.76	4.06	N/A	N/A	670,000	511,580	3,537,650	3,513,710
2016-06-28	$8.79	$9.50	54.3%	9.8%	29.4%	40.9%	34.8%	6.1%	-3.0%	229.8K	352.2M	-8.9M	0.89	4.13	N/A	N/A	530,380	473,060	3,690,710	3,594,920
2016-06-29	$9.10	$9.50	54.1%	9.6%	32.8%	40.6%	34.1%	6.9%	-2.8%	16.9M	-45.1M	-9.4M	0.79	3.83	N/A	N/A	738,670	586,650	3,769,130	3,688,930
2016-06-30	$9.14	$9.50	53.4%	9.2%	32.9%	39.5%	32.5%	6.5%	-3.5%	17.3M	-87.1M	-9.5M	0.78	3.57	N/A	N/A	547,310	424,470	3,863,580	3,835,700