NFLX Options History — November 2016 In November 2016, NFLX traded between $11.29 and $12.45. ATM implied volatility averaged 31.7%, placing in the 11.0% IV rank vs the trailing year. The 30-day expected move averaged 9.2%. IV traded below realized volatility by 14.4% (HV 20d: 46.1%). Max pain ranged from $11.00 to $11.50. Net GEX was positive for 21 of 21 trading days. Term structure was in contango for 11 of 21 days. Put/call ratio averaged 0.88.
Notable Days 2016-11-10 : Highest Volume — 2,044,790 contracts2016-11-10 : Largest IV spike — 14.8% change2016-11-14 : Highest IV Rank — 23.8%2016-11-14 : Largest Expected Move — 11.0%Monthly Statistics Metric Avg Min Max Open Close Price $11.83 $11.29 $12.45 $12.30 $11.73 Max Pain $11.43 $11.00 $11.50 $11.00 $11.50 ATM IV 31.7% 27.9% 38.5% 31.9% 28.8% Expected Move 9.2% 8.0% 11.0% 9.6% 8.4% HV 20d 46.1% 24.6% 69.9% 67.8% 25.9% HV 60d 45.3% 43.9% 46.0% 44.1% 45.7% IV Rank 11.0% 3.8% 23.8% 11.4% 5.3% IV Percentile 18.2% 4.8% 38.9% 19.0% 7.9% Term Structure 0.0% -0.7% 0.6% 0.3% -0.2% VWIV 32.8% 28.4% 39.4% 34.9% 29.9% Skew 25d 1.7% 1.1% 2.5% 1.9% 1.3% Skew 10d 3.7% 1.6% 5.2% 4.0% 2.0% Call IV 25d 31.7% 27.7% 38.6% 31.8% 28.6% Put IV 25d 33.4% 29.0% 40.8% 33.7% 29.9% Bid-Ask Spread % 8.48 4.30 25.73 5.45 4.33 Gamma HHI 0.08 0.04 0.37 0.05 0.06 Net GEX 32.1M 4.8M 96.0M 29.4M 28.8M Net DEX -1.65B -2.60B -997.8M -2.33B -1.39B Net VEX -9.2M -9.8M -8.6M -9.7M -8.6M Div Yield 0.0% 0.0% 0.0% 0.0% 0.0% P/C Ratio 0.88 0.61 1.21 1.10 0.95 Total Volume 873,847.143 476,210 2,044,790 980,650 830,450 Total OI 8,875,943.81 7,812,840 9,900,830 9,057,150 8,139,930
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 2016-11-01 $12.30 $11.00 31.9% 9.6% 67.8% 11.4% 34.9% 1.9% 0.3% 29.4M -2.33B -9.7M 1.10 5.45 N/A N/A 466,440 514,210 4,399,280 4,657,870 2016-11-02 $12.23 $11.00 32.5% 9.8% 67.1% 12.5% 35.1% 1.6% 0.1% 26.7M -2.22B -9.7M 0.81 5.33 N/A N/A 363,510 295,520 4,468,360 4,723,200 2016-11-03 $12.19 $11.00 33.9% 9.8% 66.9% 15.1% 33.9% 2.3% -0.1% 16.1M -2.14B -9.8M 0.84 6.86 N/A N/A 405,190 342,200 4,510,900 4,758,840 2016-11-04 $12.19 $11.50 33.5% 9.7% 66.9% 14.3% 34.8% 2.4% 0.1% 6.7M -2.14B -9.7M 0.88 7.59 N/A N/A 413,390 362,500 4,625,040 4,853,110 2016-11-07 $12.42 $11.50 32.2% 9.3% 66.5% 11.9% 32.8% 1.9% 0.3% 42.4M -2.53B -9.3M 0.87 7.21 N/A N/A 315,830 274,040 4,253,940 4,536,020 2016-11-08 $12.45 $11.50 31.8% 9.2% 65.0% 11.2% 33.0% 2.3% 0.1% 47.1M -2.60B -9.2M 0.85 11.08 N/A N/A 257,780 218,430 4,343,470 4,602,110 2016-11-09 $12.18 $11.50 31.2% 9.1% 65.7% 10.0% 32.6% 1.4% 0.6% 31.3M -2.18B -9.0M 0.79 6.12 N/A N/A 489,310 388,680 4,379,360 4,629,360 2016-11-10 $11.51 $11.50 35.8% 10.3% 69.8% 18.8% 36.7% 2.5% 0.6% 7.8M -1.07B -9.4M 1.12 16.76 N/A N/A 964,210 1,080,580 4,424,760 4,701,170 2016-11-11 $11.46 $11.50 35.2% 10.1% 69.9% 17.5% 36.0% 1.9% 0.1% 4.8M -1.04B -9.5M 1.11 12.27 N/A N/A 643,620 717,120 4,718,320 4,801,090 2016-11-14 $11.29 $11.50 38.5% 11.0% 69.7% 23.8% 39.4% 2.2% -0.7% 27.3M -997.8M -9.7M 0.81 25.73 N/A N/A 552,940 447,170 4,490,420 4,612,900 2016-11-15 $11.36 $11.50 34.5% 9.9% 29.7% 16.4% 35.7% 1.2% -0.3% 32.7M -1.14B -9.6M 0.74 5.17 N/A N/A 452,260 335,020 4,648,050 4,710,270 2016-11-16 $11.49 $11.50 32.2% 9.2% 28.1% 11.9% 33.1% 1.7% -0.1% 41.8M -1.37B -9.1M 0.90 5.60 N/A N/A 429,110 386,690 4,734,810 4,786,790 2016-11-17 $11.51 $11.50 32.4% 9.3% 27.6% 12.3% 33.5% 1.5% 0.3% 45.9M -1.41B -9.1M 1.21 16.00 N/A N/A 404,720 488,490 4,827,340 4,877,520 2016-11-18 $11.54 $11.50 31.5% 9.0% 24.6% 10.6% 32.1% 1.4% 0.0% 96.0M -1.54B -9.2M 0.61 5.45 N/A N/A 833,250 504,390 4,902,240 4,998,590 2016-11-21 $11.80 $11.50 29.1% 8.3% 26.4% 6.0% 29.4% 1.5% -0.2% 35.3M -1.49B -8.8M 0.79 9.09 N/A N/A 463,570 364,990 3,829,720 4,013,020 2016-11-22 $11.82 $11.50 28.2% 8.0% 26.5% 4.2% 28.4% 1.5% -0.3% 42.4M -1.53B -8.9M 0.91 6.83 N/A N/A 424,140 386,110 3,962,930 4,109,030 2016-11-23 $11.77 $11.50 28.3% 8.1% 26.3% 4.5% 28.6% 1.4% -0.1% 31.1M -1.43B -9.0M 0.74 5.53 N/A N/A 397,930 292,510 4,010,320 4,196,850 2016-11-25 $11.74 $11.50 28.6% 8.3% 26.3% 5.0% 29.3% 1.1% -0.2% 30.5M -1.42B -8.8M 0.80 6.54 N/A N/A 285,500 228,050 4,097,500 4,244,890 2016-11-28 $11.64 $11.50 27.9% 8.2% 26.2% 3.8% 29.6% 1.2% 0.1% 21.3M -1.26B -8.6M 0.86 4.30 N/A N/A 346,370 298,950 3,811,220 4,001,620 2016-11-29 $11.74 $11.50 28.5% 8.3% 26.3% 4.8% 29.4% 1.4% -0.2% 28.3M -1.41B -8.6M 0.75 4.94 N/A N/A 391,340 294,280 3,905,480 4,097,180 2016-11-30 $11.73 $11.50 28.8% 8.4% 25.9% 5.3% 29.9% 1.3% -0.2% 28.8M -1.39B -8.6M 0.95 4.33 N/A N/A 426,430 404,020 3,979,860 4,160,070
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