NFLX Options History — August 2016 In August 2016, NFLX traded between $9.31 and $9.76. ATM implied volatility averaged 29.0%, placing in the 1.8% IV rank vs the trailing year. The 30-day expected move averaged 8.3%. IV traded below realized volatility by 13.2% (HV 20d: 42.1%). Max pain ranged from $9.00 to $10.00. Net GEX was positive for 23 of 23 trading days. Term structure was in contango for 19 of 23 days. Put/call ratio averaged 0.70.
Notable Days 2016-08-05 : Highest Volume — 2,828,680 contracts2016-08-05 : Largest IV spike — 7.7% change2016-08-08 : Highest IV Rank — 4.6%2016-08-08 : Largest Expected Move — 9.2%Monthly Statistics Metric Avg Min Max Open Close Price $9.56 $9.31 $9.76 $9.44 $9.75 Max Pain $9.45 $9.00 $10.00 $9.45 $9.70 ATM IV 29.0% 26.0% 31.8% 29.9% 27.2% Expected Move 8.3% 7.2% 9.2% 8.6% 7.5% HV 20d 42.1% 21.2% 61.2% 61.2% 21.2% HV 60d 44.1% 43.0% 45.0% 45.0% 43.0% IV Rank 1.8% 0.0% 4.6% 1.5% 2.1% IV Percentile 2.0% 0.0% 7.1% 0.4% 2.0% Term Structure 0.4% -0.4% 1.3% 0.0% 0.5% VWIV 29.4% 25.4% 32.9% 30.8% 26.4% Skew 25d 1.3% 0.2% 2.3% 1.7% 1.5% Skew 10d 1.9% 0.0% 3.2% 2.9% 2.8% Call IV 25d 29.0% 25.8% 32.1% 29.4% 26.8% Put IV 25d 30.3% 27.3% 33.1% 31.2% 28.3% Bid-Ask Spread % 4.19 2.77 7.28 3.98 4.51 Gamma HHI 0.08 0.05 0.33 0.05 0.09 Net GEX 47.3M 25.4M 95.7M 28.6M 48.1M Net DEX -702.6M -1.33B -427.5M -624.0M -751.1M Net VEX -9.5M -10.1M -9.1M -9.7M -9.3M Div Yield 0.0% 0.0% 0.0% 0.0% 0.0% P/C Ratio 0.70 0.51 0.91 0.59 0.91 Total Volume 1,060,933.913 625,960 2,828,680 1,680,900 673,870 Total OI 8,741,569.565 7,501,750 9,699,130 8,369,070 8,342,310
Daily Data (23 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 2016-08-01 $9.44 $9.45 29.9% 8.6% 61.2% 1.5% 30.8% 1.7% 0.0% 28.6M -624.0M -9.7M 0.59 3.98 N/A N/A 1,057,780 623,120 4,256,000 4,113,070 2016-08-02 $9.36 $9.45 30.8% 8.9% 61.0% 2.9% 31.4% 2.3% -0.1% 34.4M -578.1M -9.9M 0.85 4.26 N/A N/A 635,740 541,510 4,535,040 4,297,300 2016-08-03 $9.31 $9.45 30.0% 8.5% 59.6% 1.7% 30.3% 1.8% 0.1% 35.7M -475.0M -9.8M 0.63 4.02 N/A N/A 454,650 285,170 4,636,620 4,365,130 2016-08-04 $9.34 $9.00 29.1% 8.6% 59.6% 0.1% 30.6% 1.7% -0.1% 46.0M -566.7M -9.7M 0.61 4.30 N/A N/A 545,700 330,630 4,713,990 4,388,610 2016-08-05 $9.70 $9.00 31.3% 9.2% 60.7% 3.9% 32.4% 1.0% -0.4% 58.1M -1.33B -10.1M 0.51 4.38 N/A N/A 1,872,770 955,910 4,739,470 4,404,510 2016-08-08 $9.51 $9.00 31.8% 9.2% 60.6% 4.6% 32.9% 0.9% 0.6% 34.1M -669.8M -9.8M 0.80 4.29 N/A N/A 670,290 539,490 4,591,840 4,210,810 2016-08-09 $9.38 $9.00 31.7% 9.2% 60.6% 4.5% 32.7% 1.0% 0.4% 25.4M -454.7M -9.8M 0.70 4.47 N/A N/A 460,560 322,000 4,761,850 4,361,550 2016-08-10 $9.39 $9.00 30.7% 8.9% 60.5% 2.8% 31.9% 0.9% 0.5% 26.9M -452.8M -9.7M 0.55 3.54 N/A N/A 520,810 288,570 4,829,630 4,412,600 2016-08-11 $9.60 $9.00 29.8% 8.8% 60.7% 1.3% 31.0% 1.2% 1.0% 62.6M -928.3M -9.8M 0.52 3.26 N/A N/A 796,070 411,160 4,881,370 4,445,130 2016-08-12 $9.66 $9.00 30.0% 8.8% 60.8% 1.6% 31.0% 1.1% 1.3% 95.7M -1.06B -9.8M 0.65 2.77 N/A N/A 703,710 454,250 4,962,780 4,503,880 2016-08-15 $9.54 $9.50 30.2% 8.7% 60.9% 2.0% 31.6% 0.2% -0.0% 40.3M -681.9M -9.4M 0.72 2.84 N/A N/A 505,780 363,210 4,706,350 4,252,240 2016-08-16 $9.53 $9.50 29.7% 8.5% 30.4% 1.1% 30.7% 0.5% 0.8% 36.0M -634.3M -9.4M 0.69 3.97 N/A N/A 370,520 255,440 4,756,280 4,364,340 2016-08-17 $9.64 $9.50 29.6% 8.5% 29.3% 1.0% 29.6% 1.1% 0.1% 54.1M -870.1M -9.3M 0.68 3.48 N/A N/A 546,190 372,430 4,808,080 4,394,370 2016-08-18 $9.62 $9.50 28.7% 8.2% 27.5% 0.0% 28.6% 1.1% 0.5% 56.2M -781.6M -9.3M 0.73 2.83 N/A N/A 770,990 566,120 4,916,820 4,523,800 2016-08-19 $9.59 $10.00 27.2% 7.7% 27.5% 0.0% 27.4% 1.1% 0.4% 94.7M -659.7M -9.3M 0.70 3.18 N/A N/A 572,270 403,280 5,021,590 4,677,540 2016-08-22 $9.53 $10.00 26.9% 7.5% 27.3% 0.0% 27.0% 1.0% 0.5% 28.3M -466.9M -9.1M 0.75 4.86 N/A N/A 432,090 324,610 3,860,530 3,641,220 2016-08-23 $9.60 $9.80 26.0% 7.3% 23.3% 0.0% 26.0% 1.6% 1.1% 42.5M -583.1M -9.1M 0.82 5.37 N/A N/A 388,220 317,300 4,020,600 3,783,190 2016-08-24 $9.52 $9.70 27.3% 7.7% 23.5% 2.3% 27.5% 1.4% 0.4% 29.1M -427.5M -9.2M 0.85 7.28 N/A N/A 347,140 294,210 4,107,500 3,889,920 2016-08-25 $9.73 $9.65 27.5% 7.7% 24.6% 2.6% 27.5% 1.9% 0.2% 65.4M -852.4M -9.3M 0.59 4.48 N/A N/A 865,990 514,750 4,180,470 3,963,830 2016-08-26 $9.76 $9.70 26.2% 7.2% 24.4% 0.5% 25.4% 1.6% 0.6% 68.6M -888.1M -9.4M 0.82 4.69 N/A N/A 617,340 507,150 4,348,070 4,099,560 2016-08-29 $9.74 $9.70 27.0% 7.6% 21.7% 1.8% 26.8% 1.9% 0.5% 38.0M -707.9M -9.2M 0.80 4.85 N/A N/A 543,410 432,470 4,018,620 3,825,180 2016-08-30 $9.74 $9.70 27.3% 7.7% 21.4% 2.3% 27.1% 1.8% 0.4% 39.9M -717.9M -9.2M 0.58 4.66 N/A N/A 599,360 347,450 4,169,850 3,972,660 2016-08-31 $9.75 $9.70 27.2% 7.5% 21.2% 2.1% 26.4% 1.5% 0.5% 48.1M -751.1M -9.3M 0.91 4.51 N/A N/A 352,540 321,330 4,303,630 4,038,680
« Jul 2016 | All History | Sep 2016 » Home NFLX History August 2016