NFLX Options History — December 2016

In December 2016, NFLX traded between $11.71 and $12.86. ATM implied volatility averaged 39.8%, placing in the 26.5% IV rank vs the trailing year. The 30-day expected move averaged 13.6%. IV traded above realized volatility by 14.5% (HV 20d: 25.3%). Max pain ranged from $9.71 to $11.50. Net GEX was positive for 20 of 21 trading days. Term structure was in contango for 10 of 21 days. Put/call ratio averaged 0.75.

Notable Days

2016-12-06: Highest Volume — 1,523,720 contracts
2016-12-19: Largest IV spike — 26.6% change
2016-12-21: Highest IV Rank — 54.5%
2016-12-30: Largest Expected Move — 16.8%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$12.40	$11.71	$12.86	$11.71	$12.38
Max Pain	$10.01	$9.71	$11.50	$11.50	$10.00
ATM IV	39.8%	28.7%	54.6%	30.6%	53.3%
Expected Move	13.6%	8.9%	16.8%	9.2%	16.8%
HV 20d	25.3%	22.5%	32.1%	25.9%	26.0%
HV 60d	45.0%	43.8%	46.1%	45.6%	43.8%
IV Rank	26.5%	5.3%	54.5%	8.9%	52.1%
IV Percentile	39.3%	7.9%	77.0%	15.1%	73.8%
Term Structure	2.3%	-3.7%	22.2%	-0.8%	-3.7%
VWIV	47.9%	31.7%	59.3%	32.6%	59.3%
Skew 25d	1.2%	-0.2%	2.8%	1.4%	1.5%
Skew 10d	1.9%	0.0%	4.3%	2.4%	2.5%
Call IV 25d	39.7%	28.7%	54.4%	30.6%	54.4%
Put IV 25d	40.9%	29.2%	55.9%	32.0%	55.9%
Bid-Ask Spread %	16.42	4.38	32.35	4.38	28.89
Gamma HHI	0.08	0.05	0.13	0.05	0.13
Net GEX	48.9M	-19.9K	73.3M	26.3M	-19.9K
Net DEX	-2.01B	-2.49B	-1.35B	-1.35B	-1.54B
Net VEX	-8.7M	-9.1M	-8.5M	-8.8M	-8.6M
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	0.75	0.53	1.00	0.98	1.00
Total Volume	882,702.857	502,370	1,523,720	956,560	707,390
Total OI	8,181,137.143	7,313,270	8,895,730	8,252,760	7,989,180

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
2016-12-01	$11.71	$11.50	30.6%	9.2%	25.9%	8.9%	32.6%	1.4%	-0.8%	26.3M	-1.35B	-8.8M	0.98	4.38	N/A	N/A	482,480	474,080	4,022,150	4,230,610
2016-12-02	$12.06	$11.50	29.6%	8.9%	28.2%	7.0%	31.7%	1.5%	-0.2%	73.3M	-1.97B	-8.6M	0.92	5.48	N/A	N/A	634,710	582,550	4,094,040	4,275,150
2016-12-05	$11.92	$9.71	28.7%	11.8%	28.5%	5.3%	42.3%	0.7%	0.6%	37.2M	-1.62B	-8.5M	0.96	7.48	N/A	N/A	458,390	438,970	3,904,610	4,119,190
2016-12-06	$12.45	$9.71	29.6%	12.0%	32.0%	6.9%	42.5%	0.9%	0.4%	61.8M	-2.40B	-8.6M	0.73	6.25	N/A	N/A	879,990	643,730	4,021,980	4,250,340
2016-12-07	$12.54	$9.71	30.1%	12.3%	32.1%	8.0%	44.0%	0.4%	0.5%	63.1M	-2.49B	-8.6M	0.70	6.11	N/A	N/A	605,000	425,570	4,091,870	4,382,320
2016-12-08	$12.31	$9.71	30.8%	12.6%	31.8%	9.2%	44.6%	-0.2%	0.6%	54.8M	-2.13B	-8.9M	0.56	7.22	N/A	N/A	764,800	429,760	4,181,420	4,436,330
2016-12-09	$12.25	$9.71	29.4%	12.2%	23.7%	6.6%	42.8%	-0.2%	0.9%	48.6M	-1.99B	-8.7M	0.53	5.84	N/A	N/A	664,360	351,020	4,298,510	4,510,640
2016-12-12	$12.27	$9.71	29.3%	12.2%	23.5%	6.4%	43.5%	0.5%	13.2%	49.4M	-1.97B	-8.6M	0.88	5.89	N/A	N/A	289,760	255,340	4,099,360	4,258,420
2016-12-13	$12.44	$9.71	29.4%	12.3%	22.7%	6.5%	43.7%	0.6%	13.7%	62.2M	-2.22B	-8.6M	0.62	5.00	N/A	N/A	423,190	262,440	4,166,880	4,310,400
2016-12-14	$12.38	$9.71	29.7%	12.3%	23.0%	7.1%	43.5%	0.9%	13.3%	56.4M	-2.10B	-8.5M	0.93	5.86	N/A	N/A	270,750	252,580	4,217,020	4,377,020
2016-12-15	$12.52	$9.71	32.3%	11.9%	22.9%	12.1%	42.5%	0.7%	11.6%	72.1M	-2.31B	-8.5M	0.61	9.12	N/A	N/A	810,070	490,680	4,244,320	4,423,740
2016-12-16	$12.43	$9.71	37.2%	14.5%	23.2%	21.4%	50.7%	0.6%	22.2%	52.2M	-2.08B	-8.9M	0.67	11.47	N/A	N/A	695,620	467,210	4,364,930	4,530,800
2016-12-19	$12.55	$10.00	47.1%	14.8%	23.3%	40.3%	52.1%	0.9%	-2.4%	43.0M	-1.98B	-8.9M	0.66	30.70	N/A	N/A	538,300	352,930	3,552,010	3,761,260
2016-12-20	$12.51	$10.00	49.5%	14.8%	22.5%	45.0%	52.3%	1.9%	-2.3%	46.2M	-1.94B	-8.9M	0.81	32.35	N/A	N/A	277,950	224,420	3,710,940	3,903,970
2016-12-21	$12.66	$10.00	54.6%	15.6%	22.7%	54.5%	55.3%	1.4%	-3.0%	59.4M	-2.17B	-8.9M	0.63	27.87	N/A	N/A	553,370	346,690	3,764,250	3,961,550
2016-12-22	$12.54	$10.00	53.7%	15.6%	23.0%	53.0%	54.6%	2.2%	-3.1%	46.3M	-1.95B	-9.1M	0.62	30.45	N/A	N/A	463,890	287,590	3,849,160	4,053,590
2016-12-23	$12.55	$10.00	52.8%	15.4%	22.9%	51.2%	54.7%	2.5%	-3.4%	41.6M	-1.97B	-9.0M	0.93	29.34	N/A	N/A	289,970	268,780	3,887,940	4,114,280
2016-12-27	$12.86	$10.00	53.4%	16.4%	23.6%	52.4%	58.0%	2.2%	-3.3%	58.0M	-2.31B	-8.7M	0.54	27.26	N/A	N/A	555,640	301,340	3,686,710	3,941,700
2016-12-28	$12.59	$10.00	52.8%	16.3%	25.3%	51.2%	56.7%	2.8%	-3.7%	43.7M	-1.95B	-8.7M	0.71	29.60	N/A	N/A	413,540	294,090	3,840,670	4,036,170
2016-12-29	$12.53	$10.00	52.6%	16.6%	25.5%	50.9%	58.3%	1.0%	-3.4%	30.6M	-1.83B	-8.6M	0.81	28.33	N/A	N/A	335,780	272,040	3,846,920	4,091,530
2016-12-30	$12.38	$10.00	53.3%	16.8%	26.0%	52.1%	59.3%	1.5%	-3.7%	-19.9K	-1.54B	-8.6M	1.00	28.89	N/A	N/A	353,570	353,820	3,859,250	4,129,930