NFLX Options History — January 2017

In January 2017, NFLX traded between $12.73 and $14.21. ATM implied volatility averaged 41.2%, placing in the 30.0% IV rank vs the trailing year. The 30-day expected move averaged 11.8%. IV traded above realized volatility by 15.1% (HV 20d: 26.0%). Max pain ranged from $10.00 to $13.20. Net GEX was positive for 20 of 20 trading days. Term structure was in contango for 7 of 20 days. Put/call ratio averaged 0.90.

Notable Days

  • 2017-01-19: Highest Volume — 3,506,690 contracts
  • 2017-01-19: Largest IV drop — 42.8% change
  • 2017-01-06: Highest IV Rank — 54.2%
  • 2017-01-04: Largest Expected Move — 18.7%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$13.49$12.73$14.21$12.73$14.06
Max Pain$12.48$10.00$13.20$10.00$13.20
ATM IV41.2%25.2%54.4%52.9%29.2%
Expected Move11.8%7.4%18.7%18.3%8.6%
HV 20d26.0%21.2%30.3%25.7%28.5%
HV 60d33.4%25.2%44.2%44.0%27.0%
IV Rank30.0%0.0%54.2%51.4%9.2%
IV Percentile41.9%0.0%80.6%73.0%12.7%
Term Structure-1.8%-4.1%0.7%-3.0%0.7%
VWIV41.7%26.3%65.9%63.7%30.2%
Skew 25d2.4%1.2%4.2%2.6%1.8%
Skew 10d4.2%2.4%8.3%4.0%3.2%
Call IV 25d40.3%24.8%55.2%51.7%28.8%
Put IV 25d42.7%26.3%57.4%54.3%30.7%
Bid-Ask Spread %9.392.7325.9325.336.00
Gamma HHI0.100.040.390.060.07
Net GEX46.8M11.5M150.4M36.6M33.6M
Net DEX-2.13B-3.61B-1.15B-2.01B-1.45B
Net VEX-8.2M-9.4M-6.9M-8.1M-9.4M
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.900.661.340.901.34
Total Volume1,205,345.5612,3403,506,6901,008,750636,320
Total OI7,360,519.54,815,4009,871,5207,486,8505,837,400

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2017-01-03$12.73$10.0052.9%18.3%25.7%51.4%63.7%2.6%-3.0%36.6M-2.01B-8.1M0.9025.33N/AN/A530,620478,1303,518,4103,968,440
2017-01-04$13.01$10.2053.4%18.7%25.9%52.3%65.9%2.5%-3.0%52.0M-2.36B-8.3M0.7425.93N/AN/A541,860403,4603,659,8104,168,860
2017-01-05$13.25$12.0053.8%14.0%22.1%53.1%49.2%2.2%-3.8%62.9M-2.74B-8.3M0.849.26N/AN/A655,720548,8903,785,1204,288,100
2017-01-06$13.15$12.5054.4%14.1%22.4%54.2%49.7%2.3%-3.8%56.5M-2.59B-8.4M0.716.98N/AN/A800,850571,5603,860,6304,460,130
2017-01-09$13.11$12.5053.1%14.1%21.2%51.7%49.4%2.3%-2.6%39.5M-2.32B-8.2M0.878.08N/AN/A360,560315,0603,675,0004,235,600
2017-01-10$12.99$12.5052.5%14.0%21.4%50.7%50.5%2.6%-3.2%33.9M-2.15B-8.3M0.948.42N/AN/A405,380380,5903,752,7204,336,470
2017-01-11$13.06$12.5052.3%14.0%21.4%50.2%49.2%3.3%-3.3%40.4M-2.24B-8.3M0.837.16N/AN/A334,070278,2703,817,7904,454,280
2017-01-12$12.93$12.5050.3%13.7%21.5%46.5%48.5%2.8%-3.2%24.5M-2.01B-8.2M0.887.16N/AN/A396,560350,6003,839,6004,503,000
2017-01-13$13.37$12.5049.9%13.6%24.1%46.7%48.7%4.0%-3.6%80.9M-2.72B-8.1M0.7413.37N/AN/A812,470603,1003,880,6704,603,810
2017-01-17$13.29$12.5051.2%14.5%24.2%49.4%52.2%4.2%-3.6%27.8M-2.31B-7.7M1.0225.46N/AN/A597,350607,8903,593,4704,391,110
2017-01-18$13.20$12.5051.0%14.6%24.2%50.1%51.1%3.4%-4.1%26.5M-2.23B-8.0M1.0913.02N/AN/A998,3201,092,7403,801,6804,661,180
2017-01-19$13.90$13.0029.2%8.4%29.9%7.5%29.4%1.9%-0.9%99.3M-3.61B-6.9M0.833.21N/AN/A1,918,5801,588,1104,247,5705,195,600
2017-01-20$13.84$13.0026.7%7.7%29.9%1.9%27.0%1.9%-0.2%11.5M-3.22B-7.4M0.662.73N/AN/A1,107,390725,4104,440,7105,430,810
2017-01-23$13.77$13.0025.7%7.4%30.0%0.0%26.6%2.1%0.3%27.9M-1.15B-7.5M1.194.93N/AN/A429,560511,2102,237,1902,578,210
2017-01-24$14.05$13.0025.9%7.5%30.0%0.5%26.7%1.8%0.3%39.8M-1.43B-7.8M0.854.10N/AN/A579,620490,2802,349,8002,806,840
2017-01-25$13.95$13.0025.2%7.4%30.3%0.0%26.3%1.4%0.3%36.8M-1.38B-8.0M1.124.98N/AN/A363,570406,8602,538,2502,968,620
2017-01-26$13.88$13.0027.7%8.1%29.7%5.8%28.5%1.2%0.4%17.7M-1.24B-8.4M0.723.66N/AN/A486,260350,6202,625,0403,110,160
2017-01-27$14.21$13.0028.8%8.3%28.9%8.3%29.4%1.4%0.2%150.4M-1.86B-8.6M0.714.29N/AN/A915,300648,9102,810,4103,190,290
2017-01-30$14.10$13.2029.9%8.8%29.1%10.8%31.1%2.0%0.4%37.4M-1.48B-9.2M1.103.67N/AN/A421,580463,2802,617,2902,970,320
2017-01-31$14.06$13.2029.2%8.6%28.5%9.2%30.2%1.8%0.7%33.6M-1.45B-9.4M1.346.00N/AN/A272,360363,9602,710,7203,126,680