NFLX Options History — July 2016

In July 2016, NFLX traded between $8.55 and $9.87. ATM implied volatility averaged 43.7%, placing in the 23.1% IV rank vs the trailing year. The 30-day expected move averaged 11.6%. IV traded below realized volatility by 7.9% (HV 20d: 51.6%). Max pain ranged from $9.40 to $10.00. Net GEX was positive for 16 of 20 trading days. Term structure was in contango for 8 of 20 days. Put/call ratio averaged 0.78.

Notable Days

  • 2016-07-19: Highest Volume — 4,079,130 contracts
  • 2016-07-19: Largest IV drop — 31.9% change
  • 2016-07-06: Highest IV Rank — 50.4%
  • 2016-07-06: Largest Expected Move — 15.1%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$9.32$8.55$9.87$9.68$9.13
Max Pain$9.58$9.40$10.00$9.50$9.45
ATM IV43.7%29.0%60.0%52.4%29.0%
Expected Move11.6%8.2%15.1%9.2%8.2%
HV 20d51.6%39.4%66.3%39.4%63.6%
HV 60d42.8%32.8%45.3%44.6%44.7%
IV Rank23.1%0.0%50.4%37.8%0.0%
IV Percentile34.6%0.0%70.2%59.5%0.0%
Term Structure-1.9%-4.3%0.5%-3.8%0.5%
VWIV40.9%29.3%51.9%33.1%29.3%
Skew 25d4.0%1.2%7.0%6.3%1.2%
Skew 10d7.5%1.9%13.7%12.7%2.4%
Call IV 25d42.1%28.9%56.6%50.7%28.9%
Put IV 25d46.1%30.1%63.6%57.0%30.1%
Bid-Ask Spread %4.783.486.664.394.15
Gamma HHI0.070.030.330.060.04
Net GEX20.6M-41.3M89.5M26.0M15.0M
Net DEX-269.1M-984.1M1.14B-984.1M-270.5M
Net VEX-9.3M-10.0M-7.5M-9.9M-9.6M
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.780.521.100.711.09
Total Volume1,689,201915,1704,079,1302,218,240915,170
Total OI8,564,1886,917,53010,333,8407,838,0209,402,800

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2016-07-01$9.68$9.5052.4%9.2%39.4%37.8%33.1%6.3%-3.8%26.0M-984.1M-9.9M0.714.39N/AN/A1,297,450920,7903,946,4903,891,530
2016-07-05$9.81$9.5056.6%14.3%39.5%44.8%50.5%6.4%-3.1%26.2M-882.1M-10.0M0.526.66N/AN/A1,345,260704,6903,744,3903,719,760
2016-07-06$9.45$9.5060.0%15.1%41.4%50.4%51.9%7.0%-3.8%15.3M-376.2M-9.9M0.595.44N/AN/A929,770550,0804,075,4803,889,880
2016-07-07$9.51$9.5056.6%14.7%41.0%44.8%51.3%6.8%-3.8%26.4M-488.9M-9.9M0.734.55N/AN/A590,080432,8504,247,5103,979,760
2016-07-08$9.70$9.5053.7%14.1%41.6%39.9%48.9%6.6%-3.8%89.5M-892.4M-9.8M0.556.03N/AN/A864,830477,5804,316,7004,068,500
2016-07-11$9.48$9.5053.4%14.1%40.3%39.4%50.3%5.2%-3.0%15.4M-333.2M-9.3M0.905.28N/AN/A698,250631,5303,956,9103,814,840
2016-07-12$9.60$9.5053.2%14.1%40.5%39.0%49.2%5.3%-3.3%25.8M-500.1M-9.4M0.534.91N/AN/A762,320400,8604,071,4004,059,590
2016-07-13$9.65$9.5053.5%14.4%40.5%39.5%49.3%6.5%-3.2%39.0M-629.8M-9.5M0.755.29N/AN/A524,940396,2404,255,4904,140,110
2016-07-14$9.81$10.0051.8%13.8%40.9%36.7%48.7%6.0%-4.3%63.9M-930.7M-9.4M0.644.43N/AN/A758,050486,8504,348,7604,266,460
2016-07-15$9.83$10.0049.7%13.5%40.6%33.1%47.9%6.2%-4.1%59.4M-969.4M-9.4M0.604.66N/AN/A863,270522,2004,490,9904,361,720
2016-07-18$9.87$10.0051.7%14.5%40.3%36.5%51.0%4.4%-2.9%18.7M-743.0M-9.3M1.015.35N/AN/A1,663,8001,687,4303,499,4203,418,110
2016-07-19$8.55$10.0035.2%10.1%65.5%8.7%35.6%1.8%-0.4%-41.3M1.14B-7.5M0.985.12N/AN/A2,059,4902,019,6404,202,0804,288,500
2016-07-20$8.80$9.5031.4%9.0%65.9%2.4%32.0%1.3%0.2%-9.1M557.6M-8.8M0.983.81N/AN/A1,238,7301,211,7004,859,3204,706,880
2016-07-21$8.60$9.5031.8%9.1%66.3%3.0%32.5%1.3%0.1%-27.6M925.0M-8.5M0.795.09N/AN/A945,300743,9205,124,1904,868,770
2016-07-22$8.59$9.5030.9%8.8%65.9%1.5%31.6%1.4%0.3%-16.0M873.4M-8.7M1.104.05N/AN/A743,730816,5905,403,5204,930,320
2016-07-25$8.76$9.4031.0%8.8%65.6%1.6%31.3%1.6%0.5%3.2M252.6M-9.0M0.693.48N/AN/A819,710564,3204,229,3404,063,560
2016-07-26$9.14$9.4031.0%8.9%65.4%1.7%31.6%1.4%0.2%28.6M-385.6M-9.4M0.634.13N/AN/A1,341,140842,9804,497,9704,203,510
2016-07-27$9.20$9.4530.6%8.7%64.6%1.1%31.2%1.7%0.3%27.2M-396.5M-9.5M0.974.58N/AN/A521,420507,2604,537,3804,383,240
2016-07-28$9.18$9.4530.3%8.5%63.6%0.5%30.6%1.8%0.2%26.9M-347.5M-9.5M0.854.17N/AN/A532,520451,2804,595,0804,423,500
2016-07-29$9.13$9.4529.0%8.2%63.6%0.0%29.3%1.2%0.5%15.0M-270.5M-9.6M1.094.15N/AN/A437,470477,7004,806,7904,596,010