NFLX Options History — February 2017

In February 2017, NFLX traded between $13.92 and $14.50. ATM implied volatility averaged 25.0%, placing in the 1.3% IV rank vs the trailing year. The 30-day expected move averaged 7.2%. IV traded above realized volatility by 2.1% (HV 20d: 22.9%). Max pain ranged from $12.00 to $13.20. Net GEX was positive for 18 of 19 trading days. Term structure was in contango for 17 of 19 days. Put/call ratio averaged 0.95.

Notable Days

  • 2017-02-07: Highest Volume — 1,350,230 contracts
  • 2017-02-03: Largest IV drop — 5.7% change
  • 2017-02-01: Highest IV Rank — 6.9%
  • 2017-02-02: Largest Expected Move — 8.3%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$14.24$13.92$14.50$14.06$14.21
Max Pain$12.62$12.00$13.20$13.20$13.00
ATM IV25.0%23.2%28.2%28.2%23.2%
Expected Move7.2%6.5%8.3%8.1%6.5%
HV 20d22.9%15.6%27.5%27.5%15.7%
HV 60d24.7%23.5%27.1%26.9%24.0%
IV Rank1.3%0.0%6.9%6.9%0.0%
IV Percentile1.4%0.0%7.9%7.9%0.0%
Term Structure0.4%-0.1%0.9%0.3%0.4%
VWIV25.6%23.3%29.6%28.4%23.3%
Skew 25d1.0%0.5%1.9%1.9%0.9%
Skew 10d1.8%0.5%2.9%2.9%2.2%
Call IV 25d25.0%23.2%27.7%27.7%23.2%
Put IV 25d26.0%24.2%29.6%29.6%24.2%
Bid-Ask Spread %4.062.835.803.094.08
Gamma HHI0.100.060.370.070.07
Net GEX42.6M-775.3K151.1M33.9M12.5M
Net DEX-1.46B-2.05B-1.09B-1.44B-1.09B
Net VEX-9.6M-9.8M-9.4M-9.5M-9.7M
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.950.651.330.921.02
Total Volume788,025.263534,0901,350,230799,620546,460
Total OI6,141,535.7895,434,3206,762,9706,035,9205,776,890

Daily Data (19 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2017-02-01$14.06$13.2028.2%8.1%27.5%6.9%28.4%1.9%0.3%33.9M-1.44B-9.5M0.923.09N/AN/A415,610384,0102,791,9003,244,020
2017-02-02$13.92$12.0028.2%8.3%27.3%6.9%29.6%1.5%0.5%-775.3K-1.17B-9.8M0.893.85N/AN/A352,270314,9402,840,3203,342,370
2017-02-03$14.03$12.5026.6%7.9%26.7%3.2%27.9%1.2%0.9%34.3M-1.38B-9.6M1.024.09N/AN/A391,840400,9502,880,6103,415,150
2017-02-06$14.04$12.5025.5%7.5%26.5%0.7%26.2%1.5%0.5%37.0M-1.34B-9.4M0.933.88N/AN/A406,120377,5902,611,7403,099,160
2017-02-07$14.39$12.5026.6%7.8%27.4%3.3%27.5%1.3%0.3%78.4M-1.88B-9.4M0.745.21N/AN/A775,600574,6302,749,9203,246,330
2017-02-08$14.50$12.5025.8%7.5%26.9%1.3%26.8%1.2%0.3%100.2M-2.05B-9.6M0.844.42N/AN/A589,250492,5302,893,2903,439,920
2017-02-09$14.40$12.5025.5%7.5%27.3%0.8%26.5%0.9%0.6%90.9M-1.89B-9.7M0.654.64N/AN/A503,450327,9402,952,8103,563,330
2017-02-10$14.47$12.5025.2%7.3%26.7%0.0%26.2%0.5%0.3%151.1M-2.05B-9.8M0.773.43N/AN/A582,600449,5903,117,6603,627,490
2017-02-13$14.34$12.5025.0%7.2%25.0%0.0%25.6%0.5%0.6%52.0M-1.64B-9.6M1.123.30N/AN/A361,650405,8002,807,2703,313,540
2017-02-14$14.04$12.5024.8%7.1%26.2%0.0%25.6%0.5%0.6%7.7M-1.10B-9.7M0.743.65N/AN/A566,290420,1802,888,7303,467,910
2017-02-15$14.22$12.5024.8%7.1%26.2%0.1%25.3%0.9%0.2%32.2M-1.43B-9.8M0.812.83N/AN/A296,880240,2902,974,1603,551,190
2017-02-16$14.19$12.5023.7%6.8%19.0%0.0%24.1%0.8%0.3%19.8M-1.38B-9.7M1.072.87N/AN/A258,260275,8303,003,7403,610,070
2017-02-17$14.19$12.5023.9%6.8%18.9%0.5%24.2%0.8%0.5%3.1M-1.40B-9.7M0.844.63N/AN/A450,740376,7803,064,4503,698,520
2017-02-21$14.26$12.5023.8%6.8%18.7%0.3%24.5%0.9%0.3%32.3M-1.24B-9.5M1.334.13N/AN/A289,610386,6202,528,5302,905,790
2017-02-22$14.37$12.5023.7%6.8%17.6%0.0%24.3%0.7%-0.1%43.6M-1.41B-9.6M1.145.80N/AN/A355,740404,0602,639,1903,073,730
2017-02-23$14.24$13.0023.4%6.6%17.8%0.0%23.6%0.7%0.3%1.1M-1.17B-9.7M1.024.74N/AN/A321,900327,9202,755,4303,196,890
2017-02-24$14.31$13.0023.5%6.5%17.7%0.2%23.4%1.1%0.3%51.2M-1.33B-9.7M1.284.89N/AN/A343,670439,1302,807,8703,267,170
2017-02-27$14.33$13.0023.7%6.6%15.6%0.7%23.7%0.8%-0.0%28.5M-1.26B-9.6M0.953.54N/AN/A290,440275,3102,550,6902,991,400
2017-02-28$14.21$13.0023.2%6.5%15.7%0.0%23.3%0.9%0.4%12.5M-1.09B-9.7M1.024.08N/AN/A270,370276,0902,683,4603,093,430