NFLX Options History — October 2016

In October 2016, NFLX traded between $9.96 and $12.76. ATM implied volatility averaged 43.9%, placing in the 32.3% IV rank vs the trailing year. The 30-day expected move averaged 12.7%. IV traded below realized volatility by 5.3% (HV 20d: 49.2%). Max pain ranged from $9.50 to $11.00. Net GEX was positive for 21 of 21 trading days. Term structure was in contango for 5 of 21 days. Put/call ratio averaged 0.82.

Notable Days

2016-10-18: Highest Volume — 4,789,110 contracts
2016-10-18: Largest IV drop — 41.2% change
2016-10-17: Highest IV Rank — 57.7%
2016-10-05: Largest Expected Move — 19.1%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$11.33	$9.96	$12.76	$10.27	$12.49
Max Pain	$10.29	$9.50	$11.00	$9.50	$11.00
ATM IV	43.9%	30.7%	56.2%	50.6%	30.8%
Expected Move	12.7%	9.0%	19.1%	17.1%	9.0%
HV 20d	49.2%	31.0%	69.5%	33.6%	67.4%
HV 60d	40.3%	27.8%	45.1%	40.5%	44.2%
IV Rank	32.3%	9.1%	57.7%	41.9%	9.2%
IV Percentile	48.1%	13.1%	79.8%	63.9%	14.3%
Term Structure	-1.9%	-3.9%	0.3%	-2.1%	0.1%
VWIV	45.0%	32.2%	66.5%	59.8%	32.3%
Skew 25d	1.9%	0.9%	4.1%	4.1%	1.0%
Skew 10d	3.7%	1.4%	6.3%	6.3%	2.1%
Call IV 25d	43.4%	31.0%	55.9%	47.6%	31.0%
Put IV 25d	45.3%	32.0%	56.8%	51.7%	32.0%
Bid-Ask Spread %	10.63	2.99	37.07	37.07	4.15
Gamma HHI	0.08	0.05	0.19	0.06	0.07
Net GEX	50.7M	15.4M	98.2M	48.3M	41.5M
Net DEX	-2.44B	-5.45B	-630.6M	-1.44B	-2.72B
Net VEX	-9.6M	-10.2M	-7.9M	-9.4M	-9.8M
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	0.82	0.59	1.05	0.71	0.87
Total Volume	1,764,068.095	909,100	4,789,110	1,518,980	909,100
Total OI	9,407,662.381	7,930,120	11,859,720	7,930,120	8,950,810

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
2016-10-03	$10.27	$9.50	50.6%	17.1%	33.6%	41.9%	59.8%	4.1%	-2.1%	48.3M	-1.44B	-9.4M	0.71	37.07	N/A	N/A	886,600	632,380	4,018,430	3,911,690
2016-10-04	$10.23	$9.55	51.6%	17.8%	32.1%	44.1%	61.8%	3.5%	-2.3%	45.9M	-1.36B	-9.5M	0.64	36.36	N/A	N/A	734,650	470,740	4,210,880	4,126,730
2016-10-05	$10.63	$9.60	53.7%	19.1%	34.3%	47.8%	66.5%	3.1%	-3.0%	59.5M	-2.03B	-9.6M	0.75	33.03	N/A	N/A	1,311,190	982,320	4,360,860	4,208,380
2016-10-06	$10.53	$10.00	54.7%	14.1%	34.6%	49.5%	49.2%	2.2%	-3.6%	47.0M	-1.80B	-10.2M	0.99	8.19	N/A	N/A	478,040	471,410	4,600,090	4,596,540
2016-10-07	$10.49	$10.00	53.1%	14.0%	32.5%	46.7%	48.6%	2.6%	-3.5%	68.5M	-1.73B	-10.0M	0.75	11.05	N/A	N/A	899,750	672,380	4,606,200	4,653,080
2016-10-10	$10.34	$10.00	52.3%	13.7%	32.2%	45.3%	48.5%	1.3%	-3.4%	34.7M	-1.27B	-9.8M	0.89	10.09	N/A	N/A	536,950	477,040	4,229,630	4,278,180
2016-10-11	$10.05	$10.00	52.1%	14.0%	31.4%	45.0%	48.6%	1.8%	-2.6%	20.9M	-778.3M	-9.7M	1.02	7.83	N/A	N/A	509,560	519,420	4,334,590	4,430,340
2016-10-12	$9.96	$10.00	55.6%	14.9%	31.2%	51.0%	52.0%	1.0%	-3.5%	16.7M	-630.6M	-9.8M	0.77	7.62	N/A	N/A	642,450	492,690	4,440,890	4,480,880
2016-10-13	$10.03	$10.00	55.0%	14.9%	31.3%	55.2%	52.3%	1.6%	-3.5%	15.4M	-730.6M	-9.7M	0.75	6.73	N/A	N/A	686,860	517,850	4,473,080	4,559,920
2016-10-14	$10.17	$10.00	55.0%	15.1%	31.0%	55.4%	52.3%	0.9%	-3.8%	44.8M	-1.06B	-9.7M	0.59	10.27	N/A	N/A	907,880	535,300	4,673,790	4,646,500
2016-10-17	$9.98	$10.00	56.2%	15.8%	31.7%	57.7%	54.7%	1.7%	-3.9%	20.0M	-734.8M	-9.4M	0.67	8.82	N/A	N/A	1,761,300	1,180,260	4,244,420	4,363,350
2016-10-18	$11.89	$10.00	33.0%	9.5%	69.5%	13.5%	34.1%	2.6%	-0.8%	85.2M	-4.28B	-7.9M	0.90	2.99	N/A	N/A	2,518,400	2,270,710	5,082,370	4,879,540
2016-10-19	$12.22	$10.50	34.8%	10.0%	67.7%	16.8%	35.5%	2.9%	-1.7%	84.9M	-4.59B	-9.1M	0.90	3.57	N/A	N/A	1,414,430	1,273,210	5,569,970	5,548,600
2016-10-20	$12.37	$10.50	33.9%	9.8%	67.7%	15.2%	35.8%	2.4%	-1.1%	98.2M	-4.79B	-9.3M	0.87	5.26	N/A	N/A	973,660	844,660	5,723,720	5,810,930
2016-10-21	$12.76	$10.50	37.5%	10.9%	67.8%	21.9%	40.1%	1.0%	-1.5%	72.4M	-5.45B	-9.2M	0.74	5.74	N/A	N/A	2,027,480	1,490,340	5,835,540	6,024,180
2016-10-24	$12.73	$11.00	35.1%	10.4%	67.3%	17.5%	37.5%	1.0%	-0.1%	57.6M	-3.28B	-9.4M	0.76	6.72	N/A	N/A	1,084,690	825,300	4,286,490	4,476,440
2016-10-25	$12.65	$11.00	33.7%	10.0%	67.5%	14.8%	35.9%	1.2%	0.0%	47.5M	-3.15B	-9.8M	1.04	4.53	N/A	N/A	567,870	588,400	4,569,540	4,779,450
2016-10-26	$12.71	$11.00	32.1%	9.5%	67.5%	11.7%	34.3%	1.3%	0.2%	58.3M	-3.24B	-9.8M	1.05	4.21	N/A	N/A	567,590	594,710	4,701,540	4,915,600
2016-10-27	$12.65	$11.00	30.7%	9.0%	67.4%	9.1%	32.2%	0.9%	0.3%	39.9M	-3.10B	-9.8M	0.80	4.31	N/A	N/A	660,520	525,220	4,812,490	5,053,740
2016-10-28	$12.68	$11.00	31.1%	9.1%	67.5%	9.7%	32.8%	1.2%	0.3%	56.6M	-3.19B	-10.0M	0.83	4.76	N/A	N/A	876,640	725,480	4,937,650	5,153,860
2016-10-31	$12.49	$11.00	30.8%	9.0%	67.4%	9.2%	32.3%	1.0%	0.1%	41.5M	-2.72B	-9.8M	0.87	4.15	N/A	N/A	486,000	423,100	4,408,080	4,542,730