NFLX Options History — May 2017 In May 2017, NFLX traded between $15.38 and $16.36. ATM implied volatility averaged 24.8%, placing in the 11.4% IV rank vs the trailing year. The 30-day expected move averaged 7.1%. IV traded below realized volatility by 4.3% (HV 20d: 29.1%). Max pain ranged from $14.50 to $15.00. Net GEX was positive for 21 of 22 trading days. Term structure was in contango for 12 of 22 days. Put/call ratio averaged 0.91.
Notable Days 2017-05-25 : Highest Volume — 1,469,960 contracts2017-05-17 : Largest IV spike — 14.5% change2017-05-17 : Highest IV Rank — 15.6%2017-05-19 : Largest Expected Move — 7.6%Monthly Statistics Metric Avg Min Max Open Close Price $15.83 $15.38 $16.36 $15.60 $16.28 Max Pain $14.56 $14.50 $15.00 $14.50 $15.00 ATM IV 24.8% 23.1% 26.4% 25.6% 25.8% Expected Move 7.1% 6.6% 7.6% 7.4% 7.1% HV 20d 29.1% 22.4% 32.0% 31.1% 23.3% HV 60d 22.9% 22.1% 24.5% 22.5% 23.6% IV Rank 11.4% 7.1% 15.6% 13.5% 14.0% IV Percentile 12.6% 3.6% 21.4% 13.5% 21.0% Term Structure 0.0% -1.5% 0.5% -0.0% -1.5% VWIV 25.2% 23.5% 26.8% 26.3% 25.3% Skew 25d 0.9% 0.5% 2.1% 0.7% 1.0% Skew 10d 1.8% 0.9% 4.4% 0.9% 1.9% Call IV 25d 24.6% 23.2% 26.0% 25.3% 25.3% Put IV 25d 25.6% 23.8% 28.0% 26.0% 26.4% Bid-Ask Spread % 4.59 2.79 6.39 3.53 5.27 Gamma HHI 0.12 0.06 0.33 0.11 0.09 Net GEX 40.3M -984.0K 93.4M 54.2M 36.6M Net DEX -1.86B -2.38B -1.07B -2.01B -1.92B Net VEX -11.3M -11.9M -10.6M -10.9M -11.6M Div Yield 0.0% 0.0% 0.0% 0.0% 0.0% P/C Ratio 0.91 0.70 1.43 0.81 0.84 Total Volume 743,485.909 410,830 1,469,960 1,443,270 605,380 Total OI 6,495,902.273 5,945,720 6,863,520 6,190,490 6,478,280
Daily Data (22 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 2017-05-01 $15.60 $14.50 25.6% 7.4% 31.1% 13.5% 26.3% 0.7% -0.0% 54.2M -2.01B -10.9M 0.81 3.53 N/A N/A 797,500 645,770 2,654,790 3,535,700 2017-05-02 $15.63 $14.70 24.4% 7.1% 30.9% 10.6% 25.0% 0.6% -0.1% 45.8M -1.98B -11.0M 1.06 4.10 N/A N/A 308,460 326,600 2,758,400 3,723,660 2017-05-03 $15.54 $14.80 23.7% 6.8% 30.5% 8.7% 23.9% 0.6% 0.3% 36.2M -1.85B -11.0M 0.93 3.53 N/A N/A 276,660 256,880 2,803,020 3,799,210 2017-05-04 $15.73 $14.50 23.7% 6.9% 30.2% 8.7% 24.2% 0.7% 0.2% 60.7M -2.17B -10.7M 0.76 4.37 N/A N/A 493,030 372,890 2,845,640 3,836,390 2017-05-05 $15.67 $14.50 24.3% 7.1% 30.3% 10.3% 24.9% 0.6% 0.1% 49.9M -2.08B -10.8M 0.77 5.83 N/A N/A 446,100 343,380 2,928,290 3,913,200 2017-05-08 $15.57 $14.50 24.5% 7.0% 30.4% 10.7% 24.7% 0.8% -0.2% 37.1M -1.71B -10.9M 0.70 5.04 N/A N/A 339,320 238,810 2,684,040 3,564,920 2017-05-09 $15.74 $14.50 24.3% 7.0% 30.5% 10.2% 24.6% 0.8% 0.4% 51.7M -1.96B -11.0M 0.80 5.69 N/A N/A 314,460 251,330 2,781,420 3,657,540 2017-05-10 $16.03 $14.50 23.8% 6.9% 30.9% 8.8% 24.5% 0.6% 0.2% 75.6M -2.37B -10.6M 0.84 3.58 N/A N/A 744,160 625,570 2,827,050 3,700,720 2017-05-11 $15.84 $14.50 23.6% 6.8% 31.4% 8.4% 24.2% 0.8% 0.1% 44.2M -2.01B -10.9M 0.73 3.53 N/A N/A 403,700 296,650 2,843,620 3,820,930 2017-05-12 $16.05 $14.50 23.7% 6.8% 31.4% 8.7% 24.6% 0.6% 0.2% 93.4M -2.38B -11.0M 0.80 4.29 N/A N/A 485,330 387,040 2,891,110 3,866,660 2017-05-15 $16.00 $14.50 23.4% 6.7% 31.5% 7.9% 24.0% 0.5% 0.5% 47.4M -2.01B -11.1M 1.11 2.79 N/A N/A 269,170 299,300 2,709,270 3,690,220 2017-05-16 $15.95 $14.50 23.1% 6.6% 31.1% 7.1% 23.5% 0.6% 0.3% 43.3M -1.98B -11.1M 0.77 3.30 N/A N/A 239,410 185,250 2,774,430 3,791,150 2017-05-17 $15.38 $14.50 26.4% 7.6% 32.0% 15.6% 26.8% 2.1% -0.5% -984.0K -1.07B -11.9M 1.23 4.16 N/A N/A 360,220 443,750 2,819,660 3,836,880 2017-05-18 $15.60 $14.50 26.0% 7.5% 31.9% 14.5% 26.2% 2.0% -0.1% 6.7M -1.39B -11.8M 1.02 3.90 N/A N/A 292,450 298,910 2,858,870 3,926,560 2017-05-19 $15.67 $14.50 26.4% 7.6% 31.9% 15.5% 26.6% 1.1% -0.1% 13.3M -1.54B -11.9M 1.07 5.03 N/A N/A 363,990 390,710 2,891,160 3,972,360 2017-05-22 $15.67 $14.50 25.4% 7.3% 31.9% 13.0% 26.0% 1.2% -0.2% 11.2M -1.32B -11.7M 0.88 6.39 N/A N/A 272,010 238,580 2,485,240 3,460,480 2017-05-23 $15.77 $14.50 25.1% 7.2% 23.8% 12.3% 25.6% 1.1% 0.4% 19.4M -1.45B -11.8M 0.87 6.32 N/A N/A 235,800 204,920 2,609,900 3,567,800 2017-05-24 $15.75 $14.50 24.8% 6.9% 22.4% 11.4% 24.5% 1.2% 0.3% 22.3M -1.45B -11.8M 1.43 6.29 N/A N/A 168,790 242,040 2,645,240 3,611,210 2017-05-25 $16.36 $14.50 25.9% 7.4% 24.7% 14.2% 26.3% 0.7% 0.1% 56.2M -2.24B -11.3M 0.84 4.90 N/A N/A 800,380 669,580 2,679,620 3,709,670 2017-05-26 $16.22 $14.50 25.3% 7.2% 24.7% 12.8% 25.4% 0.8% -0.0% 40.1M -2.01B -11.8M 0.77 4.95 N/A N/A 456,600 350,980 2,787,870 3,868,470 2017-05-30 $16.30 $14.90 25.6% 7.4% 23.3% 13.5% 26.3% 0.7% -0.2% 42.9M -1.98B -11.6M 0.92 4.30 N/A N/A 320,460 294,370 2,659,760 3,639,440 2017-05-31 $16.28 $15.00 25.8% 7.1% 23.3% 14.0% 25.3% 1.0% -1.5% 36.6M -1.92B -11.6M 0.84 5.27 N/A N/A 329,510 275,870 2,728,450 3,749,830
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