NFLX Options History — September 2016

In September 2016, NFLX traded between $9.45 and $10.02. ATM implied volatility averaged 38.7%, placing in the 21.7% IV rank vs the trailing year. The 30-day expected move averaged 13.2%. IV traded above realized volatility by 14.0% (HV 20d: 24.7%). Max pain ranged from $9.50 to $9.75. Net GEX was positive for 20 of 21 trading days. Term structure was in contango for 11 of 21 days. Put/call ratio averaged 0.77.

Notable Days

2016-09-21: Highest Volume — 1,931,960 contracts
2016-09-19: Largest IV spike — 23.4% change
2016-09-26: Highest IV Rank — 41.9%
2016-09-29: Largest Expected Move — 15.7%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$9.75	$9.45	$10.02	$9.74	$9.89
Max Pain	$9.52	$9.50	$9.75	$9.75	$9.50
ATM IV	38.7%	26.4%	50.7%	27.5%	49.3%
Expected Move	13.2%	7.1%	15.7%	7.7%	15.6%
HV 20d	24.7%	16.6%	30.8%	21.3%	30.8%
HV 60d	42.4%	39.8%	43.9%	42.9%	40.0%
IV Rank	21.7%	0.8%	41.9%	2.6%	39.6%
IV Percentile	32.2%	0.8%	62.3%	3.6%	59.1%
Term Structure	3.0%	-3.6%	19.8%	0.3%	-3.6%
VWIV	45.9%	25.3%	54.4%	27.4%	54.3%
Skew 25d	2.7%	1.5%	3.8%	1.6%	3.6%
Skew 10d	5.0%	2.6%	6.8%	2.6%	5.4%
Call IV 25d	37.3%	26.1%	48.6%	27.1%	48.6%
Put IV 25d	40.0%	27.6%	52.2%	28.7%	52.2%
Bid-Ask Spread %	5.96	2.59	39.55	4.92	39.55
Gamma HHI	0.08	0.05	0.14	0.08	0.12
Net GEX	36.3M	-4.0M	79.5M	47.8M	67.8M
Net DEX	-653.1M	-1.16B	-154.5M	-714.5M	-1.07B
Net VEX	-9.2M	-9.4M	-8.9M	-9.3M	-9.4M
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	0.77	0.46	1.01	1.00	0.46
Total Volume	977,442.857	562,890	1,931,960	636,120	1,510,520
Total OI	8,232,466.667	7,008,890	9,144,260	8,446,850	8,380,370

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
2016-09-01	$9.74	$9.75	27.5%	7.7%	21.3%	2.6%	27.4%	1.6%	0.3%	47.8M	-714.5M	-9.3M	1.00	4.92	N/A	N/A	318,420	317,700	4,345,030	4,101,820
2016-09-02	$9.73	$9.75	26.4%	7.1%	16.6%	0.8%	25.3%	1.5%	0.8%	47.6M	-670.2M	-9.2M	0.74	4.12	N/A	N/A	401,650	295,340	4,374,400	4,139,350
2016-09-06	$10.02	$9.50	28.3%	12.0%	17.9%	4.0%	42.0%	1.6%	0.7%	57.5M	-1.16B	-9.1M	0.70	4.81	N/A	N/A	730,250	510,540	4,103,570	3,887,620
2016-09-07	$9.91	$9.50	27.4%	12.0%	17.7%	2.4%	42.0%	1.6%	1.4%	50.7M	-923.3M	-9.0M	0.70	4.33	N/A	N/A	450,600	316,550	4,271,860	4,046,750
2016-09-08	$9.98	$9.50	28.2%	12.4%	17.7%	3.8%	43.3%	1.7%	1.3%	68.5M	-1.09B	-9.1M	0.75	7.12	N/A	N/A	523,130	393,530	4,347,340	4,112,500
2016-09-09	$9.68	$9.50	29.9%	13.0%	19.9%	6.7%	44.1%	1.9%	1.8%	5.6M	-374.1M	-9.0M	0.80	6.06	N/A	N/A	660,730	530,290	4,517,330	4,220,580
2016-09-12	$9.92	$9.50	29.3%	12.8%	21.6%	5.6%	45.1%	2.5%	15.2%	51.1M	-917.6M	-9.1M	0.65	4.72	N/A	N/A	536,500	351,300	4,341,800	4,072,920
2016-09-13	$9.59	$9.50	32.8%	13.7%	24.6%	11.6%	46.8%	3.1%	14.9%	8.4M	-256.3M	-9.1M	0.64	5.42	N/A	N/A	800,800	511,390	4,478,880	4,188,820
2016-09-14	$9.73	$9.50	31.7%	13.6%	25.1%	9.8%	46.4%	3.0%	15.4%	32.1M	-572.4M	-9.3M	0.92	6.51	N/A	N/A	428,630	392,710	4,639,670	4,306,910
2016-09-15	$9.74	$9.50	32.4%	13.7%	24.8%	10.9%	46.6%	2.5%	19.5%	26.9M	-530.1M	-9.1M	0.79	5.91	N/A	N/A	393,680	312,580	4,670,320	4,377,040
2016-09-16	$9.92	$9.50	35.7%	13.6%	25.6%	16.5%	47.8%	2.5%	19.8%	79.5M	-906.2M	-9.2M	0.74	5.29	N/A	N/A	619,030	455,540	4,724,400	4,419,860
2016-09-19	$9.82	$9.50	44.0%	13.8%	25.9%	30.6%	47.9%	2.8%	-2.2%	22.5M	-634.9M	-9.0M	0.80	3.24	N/A	N/A	493,840	397,250	3,495,460	3,513,430
2016-09-20	$9.84	$9.50	47.0%	14.0%	25.7%	35.8%	48.9%	3.7%	-2.3%	24.9M	-654.1M	-9.1M	0.68	2.91	N/A	N/A	335,070	227,820	3,650,530	3,657,680
2016-09-21	$9.50	$9.50	49.4%	14.2%	28.8%	39.8%	49.1%	2.6%	-2.3%	-4.0M	-154.5M	-8.9M	0.84	2.92	N/A	N/A	1,047,250	884,710	3,762,680	3,715,300
2016-09-22	$9.59	$9.50	47.2%	13.7%	28.8%	36.1%	47.3%	2.8%	-2.2%	15.2M	-370.5M	-9.1M	0.60	3.13	N/A	N/A	666,450	396,930	4,029,910	3,955,250
2016-09-23	$9.58	$9.50	48.1%	14.0%	27.6%	37.6%	49.3%	3.5%	-2.5%	28.2M	-393.6M	-9.2M	1.01	3.00	N/A	N/A	500,730	506,660	4,167,100	4,061,690
2016-09-26	$9.45	$9.50	50.7%	15.3%	27.9%	41.9%	52.3%	3.4%	-2.8%	10.8M	-255.2M	-9.0M	0.83	2.72	N/A	N/A	487,460	406,270	3,789,580	3,777,890
2016-09-27	$9.72	$9.50	49.0%	14.9%	29.8%	39.1%	52.1%	3.4%	-2.7%	36.2M	-699.2M	-9.2M	0.76	3.20	N/A	N/A	579,830	442,050	3,963,710	3,910,540
2016-09-28	$9.74	$9.50	49.0%	15.1%	29.8%	39.2%	52.1%	3.6%	-3.1%	42.7M	-728.3M	-9.3M	0.76	2.66	N/A	N/A	371,510	283,340	4,083,890	4,039,860
2016-09-29	$9.69	$9.50	49.9%	15.7%	29.9%	40.7%	54.4%	3.8%	-3.5%	41.5M	-637.0M	-9.3M	0.93	2.59	N/A	N/A	382,670	355,050	4,169,130	4,069,030
2016-09-30	$9.89	$9.50	49.3%	15.6%	30.8%	39.6%	54.3%	3.6%	-3.6%	67.8M	-1.07B	-9.4M	0.46	39.55	N/A	N/A	1,032,450	478,070	4,226,970	4,153,400