NFLX Options History — April 2017

In April 2017, NFLX traded between $13.90 and $15.35. ATM implied volatility averaged 33.9%, placing in the 33.0% IV rank vs the trailing year. The 30-day expected move averaged 9.8%. IV traded above realized volatility by 15.5% (HV 20d: 18.5%). Max pain ranged from $14.40 to $14.50. Net GEX was positive for 9 of 19 trading days. Term structure was in contango for 4 of 19 days. Put/call ratio averaged 1.03.

Notable Days

  • 2017-04-25: Highest Volume — 3,017,280 contracts
  • 2017-04-18: Largest IV drop — 41.8% change
  • 2017-04-17: Highest IV Rank — 58.1%
  • 2017-04-05: Largest Expected Move — 14.8%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$14.53$13.90$15.35$14.70$15.21
Max Pain$14.48$14.40$14.50$14.40$14.50
ATM IV33.9%21.6%43.3%41.8%23.8%
Expected Move9.8%6.1%14.8%14.1%6.9%
HV 20d18.5%13.7%29.9%15.1%29.9%
HV 60d19.7%16.6%22.1%20.7%22.1%
IV Rank33.0%3.4%58.1%48.2%8.9%
IV Percentile41.8%2.0%75.0%69.4%7.5%
Term Structure-1.5%-3.3%0.3%-2.2%-0.5%
VWIV34.3%21.6%51.9%49.6%24.1%
Skew 25d1.9%0.3%2.9%2.5%0.5%
Skew 10d3.3%0.5%5.0%4.7%0.5%
Call IV 25d33.1%21.0%42.9%39.7%24.0%
Put IV 25d35.0%22.6%45.0%42.2%24.5%
Bid-Ask Spread %11.053.2425.9121.464.19
Gamma HHI0.080.060.260.080.10
Net GEX2.2M-68.9M73.7M10.8M47.3M
Net DEX-791.2M-2.06B279.7M-955.6M-1.81B
Net VEX-10.7M-11.0M-10.1M-11.0M-11.0M
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.030.621.431.380.83
Total Volume1,033,913.158263,5103,017,280519,4201,023,220
Total OI6,343,734.7375,694,2107,575,3705,755,3106,946,740

Daily Data (19 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2017-04-03$14.70$14.4041.8%14.1%15.1%48.2%49.6%2.5%-2.2%10.8M-955.6M-11.0M1.3821.46N/AN/A217,850301,5702,372,3703,382,940
2017-04-04$14.52$14.4041.5%14.3%15.6%47.7%50.3%2.0%-2.6%-10.8M-712.7M-11.0M1.1219.42N/AN/A220,960247,8502,416,6103,468,370
2017-04-05$14.37$14.4042.1%14.8%16.0%50.2%51.9%2.1%-2.8%-25.6M-489.2M-11.0M1.0321.71N/AN/A267,460274,6102,457,3703,510,420
2017-04-06$14.37$14.5042.5%10.9%16.0%51.0%38.0%2.9%-3.0%-29.2M-481.8M-10.9M1.2612.73N/AN/A198,490250,0402,506,0903,590,660
2017-04-07$14.31$14.5041.8%10.7%16.1%50.4%37.6%2.5%-2.7%-68.9M-372.0M-10.9M1.3313.42N/AN/A219,960292,5002,549,0703,592,190
2017-04-10$14.38$14.5042.3%11.1%15.0%54.5%39.1%2.4%-2.9%-2.7M-558.4M-10.7M0.7811.38N/AN/A447,570347,0802,363,0803,366,430
2017-04-11$14.41$14.5042.9%11.3%15.0%57.0%39.7%2.6%-3.2%8.7M-639.2M-10.8M0.9512.66N/AN/A294,160280,1202,480,2703,461,100
2017-04-12$14.36$14.5042.8%11.4%13.8%56.9%40.1%2.6%-3.0%7.5M-579.9M-10.8M0.9812.69N/AN/A355,530349,0402,523,6603,509,210
2017-04-13$14.31$14.5043.3%11.6%13.7%57.9%40.7%2.1%-3.3%-6.6M-502.1M-10.7M1.2615.10N/AN/A378,020474,4602,577,5003,579,250
2017-04-17$14.49$14.5043.3%12.1%14.2%58.1%42.3%2.5%-2.2%-442.8K-699.0M-10.6M1.4325.91N/AN/A108,630154,8802,359,9903,456,430
2017-04-18$14.33$14.5025.2%7.2%14.6%12.5%25.7%1.8%0.1%-2.7M-500.1M-10.1M1.003.79N/AN/A1,377,4401,377,3302,924,0604,043,280
2017-04-19$13.90$14.5025.6%7.3%16.2%13.5%25.8%1.8%0.1%-68.1M279.7M-10.3M1.043.75N/AN/A800,400835,2103,052,4204,099,120
2017-04-20$14.13$14.5024.6%7.1%17.4%11.0%24.6%1.9%-0.1%-20.6M-225.4M-10.5M0.963.24N/AN/A556,640535,8803,221,5104,160,050
2017-04-21$14.27$14.5023.6%6.7%17.7%8.5%23.7%2.3%0.3%7.3M-558.8M-10.7M0.847.30N/AN/A556,690464,9803,303,1004,272,270
2017-04-24$14.40$14.5021.6%6.1%17.9%3.4%21.6%1.6%0.1%16.2M-711.8M-10.5M1.214.53N/AN/A366,540445,0402,455,3803,238,830
2017-04-25$15.31$14.5026.1%7.7%27.8%14.7%27.0%0.3%-0.7%55.0M-1.93B-10.4M0.624.42N/AN/A1,860,9101,156,3702,573,7103,417,540
2017-04-26$15.00$14.5024.8%7.1%28.9%11.4%25.0%0.3%-0.4%50.4M-1.53B-11.0M0.835.62N/AN/A758,330627,9302,847,4503,682,580
2017-04-27$15.35$14.5024.8%7.2%29.8%11.5%25.3%0.5%-0.5%73.7M-2.06B-10.9M0.816.68N/AN/A674,700545,9602,936,6003,833,310
2017-04-28$15.21$14.5023.8%6.9%29.9%8.9%24.1%0.5%-0.5%47.3M-1.81B-11.0M0.834.19N/AN/A557,780465,4402,996,3703,950,370