NFLX Options History — March 2017 In March 2017, NFLX traded between $13.90 and $14.80. ATM implied volatility averaged 30.9%, placing in the 21.6% IV rank vs the trailing year. The 30-day expected move averaged 10.8%. IV traded above realized volatility by 13.0% (HV 20d: 17.9%). Max pain ranged from $13.00 to $14.30. Net GEX was positive for 14 of 23 trading days. Term structure was in contango for 10 of 23 days. Put/call ratio averaged 1.06.
Notable Days 2017-03-17 : Highest Volume — 1,164,920 contracts2017-03-20 : Largest IV spike — 25.0% change2017-03-29 : Highest IV Rank — 48.9%2017-03-30 : Largest Expected Move — 13.3%Monthly Statistics Metric Avg Min Max Open Close Price $14.32 $13.90 $14.80 $14.28 $14.80 Max Pain $13.95 $13.00 $14.30 $13.00 $14.30 ATM IV 30.9% 20.2% 42.4% 22.2% 41.6% Expected Move 10.8% 6.2% 13.3% 6.2% 13.2% HV 20d 17.9% 15.7% 19.7% 15.7% 16.6% HV 60d 22.5% 20.9% 24.0% 23.9% 20.9% IV Rank 21.6% 0.0% 48.9% 0.0% 47.8% IV Percentile 32.1% 0.0% 70.2% 0.0% 68.7% Term Structure 2.8% -3.4% 20.8% 0.4% -3.4% VWIV 37.8% 22.4% 46.7% 22.4% 46.5% Skew 25d 1.5% 0.1% 2.6% 0.9% 2.1% Skew 10d 2.8% 1.4% 4.9% 1.7% 3.9% Call IV 25d 29.9% 19.3% 41.8% 22.3% 41.7% Put IV 25d 31.4% 20.3% 43.9% 23.2% 43.8% Bid-Ask Spread % 27.97 3.69 45.27 3.77 19.07 Gamma HHI 0.09 0.05 0.24 0.07 0.22 Net GEX 11.3M -58.6M 84.4M 23.4M 68.2M Net DEX -990.1M -1.81B -339.4M -1.21B -1.29B Net VEX -10.4M -11.2M -9.7M -9.7M -11.0M Div Yield 0.0% 0.0% 0.0% 0.0% 0.0% P/C Ratio 1.06 0.85 1.33 1.02 1.03 Total Volume 797,198.261 532,590 1,164,920 596,720 699,160 Total OI 6,115,338.696 5,226,030 7,051,030 5,918,380 6,216,790
Daily Data (23 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 2017-03-01 $14.28 $13.00 22.2% 6.2% 15.7% 0.0% 22.4% 0.9% 0.4% 23.4M -1.21B -9.7M 1.02 3.77 N/A N/A 295,490 301,230 2,747,670 3,170,710 2017-03-02 $13.93 $13.00 22.8% 6.4% 18.1% 1.3% 23.0% 1.2% 0.3% -40.0M -616.0M -9.7M 0.93 3.72 N/A N/A 527,700 491,540 2,813,490 3,278,890 2017-03-03 $13.90 $13.00 23.7% 6.6% 17.7% 3.2% 23.5% 0.7% 0.6% -58.6M -576.4M -10.0M 1.01 3.69 N/A N/A 574,030 579,580 2,909,960 3,331,100 2017-03-06 $14.23 $14.00 23.8% 10.2% 19.4% 3.3% 36.1% 0.8% 0.2% 32.5M -1.21B -9.8M 1.10 37.06 N/A N/A 528,270 579,240 2,690,620 3,145,020 2017-03-07 $14.12 $14.00 22.3% 10.0% 19.7% 0.2% 35.3% 1.1% -0.0% 10.8M -1.01B -9.9M 1.02 38.67 N/A N/A 315,770 323,490 2,868,470 3,382,850 2017-03-08 $14.04 $14.00 21.4% 9.8% 17.5% 0.0% 34.7% 1.2% 0.4% -9.4M -856.6M -9.8M 0.88 38.36 N/A N/A 375,200 328,370 2,928,160 3,460,320 2017-03-09 $14.07 $14.00 21.3% 9.8% 17.2% 0.0% 34.5% 1.0% -0.2% -7.5M -901.5M -9.8M 1.06 44.94 N/A N/A 258,530 274,060 2,977,550 3,539,230 2017-03-10 $14.08 $14.00 20.2% 9.9% 17.2% 0.0% 34.8% 1.1% -0.4% -24.9M -955.8M -9.8M 1.30 45.27 N/A N/A 349,830 455,680 3,014,990 3,539,220 2017-03-13 $14.32 $14.00 20.8% 10.3% 18.3% 1.3% 36.4% 2.0% 14.8% 36.4M -1.29B -9.7M 0.94 41.79 N/A N/A 470,860 444,100 2,729,830 3,301,810 2017-03-14 $14.29 $14.00 20.6% 10.2% 18.0% 0.8% 36.6% 1.0% 15.1% 41.6M -1.27B -10.0M 1.23 43.77 N/A N/A 297,670 365,340 2,877,530 3,483,360 2017-03-15 $14.53 $14.00 23.5% 10.5% 17.2% 6.7% 36.9% 0.1% 16.3% 84.4M -1.77B -10.0M 1.11 40.69 N/A N/A 447,170 495,320 2,967,750 3,574,210 2017-03-16 $14.44 $14.00 27.4% 11.4% 16.9% 14.9% 39.8% 0.8% 19.8% 50.3M -1.53B -10.1M 0.89 34.95 N/A N/A 520,410 462,000 3,034,490 3,734,910 2017-03-17 $14.52 $14.00 30.4% 11.6% 16.9% 21.0% 40.4% 1.1% 20.8% 21.3M -1.81B -10.5M 1.06 35.50 N/A N/A 564,310 600,610 3,174,530 3,876,500 2017-03-20 $14.58 $14.00 38.0% 11.9% 17.0% 36.7% 41.6% 1.9% -1.9% 23.5M -931.6M -10.6M 1.16 23.16 N/A N/A 320,410 370,790 2,252,200 2,973,830 2017-03-21 $14.25 $14.00 40.1% 11.9% 19.0% 41.2% 41.7% 2.4% -1.0% -16.1M -466.5M -10.8M 1.15 22.58 N/A N/A 493,920 568,740 2,373,160 3,148,750 2017-03-22 $14.21 $14.30 42.3% 12.1% 18.8% 45.7% 42.5% 2.5% -2.2% -31.4M -357.2M -11.2M 1.08 23.67 N/A N/A 345,460 372,880 2,475,110 3,305,530 2017-03-23 $14.17 $14.20 41.7% 12.1% 18.5% 44.5% 42.3% 2.6% -2.8% -31.0M -339.4M -11.1M 0.85 26.10 N/A N/A 315,580 268,440 2,540,800 3,346,500 2017-03-24 $14.23 $14.20 40.8% 11.9% 18.5% 42.5% 41.4% 2.5% -1.8% -17.1M -427.4M -11.2M 1.23 26.99 N/A N/A 285,500 351,890 2,605,360 3,432,840 2017-03-27 $14.42 $14.20 41.3% 12.5% 19.1% 43.6% 43.9% 2.4% -2.7% 2.6M -717.0M -11.2M 0.90 23.30 N/A N/A 366,770 329,850 2,304,470 3,265,390 2017-03-28 $14.53 $14.20 40.6% 12.4% 19.0% 44.5% 43.6% 2.1% -2.5% 21.9M -886.8M -11.2M 1.22 20.66 N/A N/A 286,480 349,630 2,421,950 3,394,570 2017-03-29 $14.66 $14.20 42.4% 13.1% 19.1% 48.9% 45.7% 1.9% -2.5% 31.5M -1.08B -11.1M 0.89 22.87 N/A N/A 373,450 331,570 2,465,700 3,482,720 2017-03-30 $14.80 $14.30 42.4% 13.3% 16.7% 48.9% 46.7% 2.1% -2.9% 46.9M -1.29B -11.1M 1.33 22.73 N/A N/A 291,160 388,080 2,539,720 3,554,230 2017-03-31 $14.80 $14.30 41.6% 13.2% 16.6% 47.8% 46.5% 2.1% -3.4% 68.2M -1.29B -11.0M 1.03 19.07 N/A N/A 344,260 354,900 2,579,920 3,636,870
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