NFLX Options History — June 2017 In June 2017, NFLX traded between $14.96 and $16.57. ATM implied volatility averaged 33.2%, placing in the 32.7% IV rank vs the trailing year. The 30-day expected move averaged 11.2%. IV traded above realized volatility by 4.6% (HV 20d: 28.6%). Max pain ranged from $15.00 to $16.00. Net GEX was positive for 13 of 22 trading days. Term structure was in contango for 10 of 22 days. Put/call ratio averaged 0.93.
Notable Days 2017-06-09 : Highest Volume — 1,620,680 contracts2017-06-20 : Largest IV spike — 22.2% change2017-06-27 : Highest IV Rank — 63.1%2017-06-27 : Largest Expected Move — 13.8%Monthly Statistics Metric Avg Min Max Open Close Price $15.64 $14.96 $16.57 $16.25 $14.96 Max Pain $15.88 $15.00 $16.00 $15.00 $15.50 ATM IV 33.2% 22.2% 45.3% 24.3% 43.2% Expected Move 11.2% 6.6% 13.8% 6.8% 13.7% HV 20d 28.6% 21.9% 32.8% 23.2% 32.1% HV 60d 26.4% 23.4% 29.1% 23.5% 29.0% IV Rank 32.7% 5.0% 63.1% 10.2% 57.9% IV Percentile 45.7% 2.8% 78.2% 11.5% 77.0% Term Structure 1.8% -3.0% 12.3% -0.2% -3.0% VWIV 39.2% 23.7% 48.1% 24.2% 47.1% Skew 25d 2.0% 0.8% 3.5% 0.8% 3.3% Skew 10d 3.7% 1.1% 6.3% 1.5% 6.3% Call IV 25d 32.5% 22.2% 44.0% 24.4% 42.6% Put IV 25d 34.4% 23.1% 46.6% 25.1% 45.9% Bid-Ask Spread % 27.40 3.27 66.20 3.84 3.28 Gamma HHI 0.11 0.05 0.41 0.09 0.14 Net GEX 11.7M -57.0M 122.3M 26.0M -57.0M Net DEX -960.8M -2.24B 7.5M -1.87B 7.5M Net VEX -11.8M -12.3M -11.0M -11.6M -11.8M Div Yield 0.0% 0.0% 0.0% 0.0% 0.0% P/C Ratio 0.93 0.49 1.22 0.97 0.95 Total Volume 798,897.727 425,340 1,620,680 500,530 870,270 Total OI 6,408,634.545 5,504,490 7,359,850 6,646,600 6,377,340
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 2017-06-01 $16.25 $15.00 24.3% 6.8% 23.2% 10.2% 24.2% 0.8% -0.2% 26.0M -1.87B -11.6M 0.97 3.84 N/A N/A 254,330 246,200 2,809,790 3,836,810 2017-06-02 $16.48 $15.00 23.6% 6.6% 23.3% 8.4% 23.7% 0.8% -0.1% 122.3M -2.24B -11.2M 0.90 5.45 N/A N/A 409,410 370,170 2,820,680 3,902,160 2017-06-05 $16.50 $16.00 23.7% 9.8% 23.2% 8.7% 34.8% 1.0% 0.3% 42.9M -2.13B -11.1M 1.08 26.79 N/A N/A 218,670 236,470 2,643,800 3,636,750 2017-06-06 $16.54 $16.00 22.8% 9.5% 22.9% 6.3% 34.0% 0.9% 0.5% 46.8M -2.20B -11.0M 0.99 35.34 N/A N/A 303,520 299,180 2,705,720 3,722,570 2017-06-07 $16.57 $16.00 22.4% 9.6% 22.8% 5.4% 34.4% 1.0% 0.4% 44.5M -2.20B -11.3M 1.22 35.34 N/A N/A 191,850 233,490 2,742,020 3,818,510 2017-06-08 $16.57 $16.00 22.2% 9.7% 21.9% 5.0% 35.1% 0.9% 0.7% 42.8M -2.20B -11.0M 1.09 32.96 N/A N/A 232,780 253,150 2,759,110 3,884,180 2017-06-09 $15.73 $16.00 25.9% 10.4% 28.8% 14.3% 36.3% 2.1% -0.2% -33.4M -885.1M -11.6M 1.17 66.20 N/A N/A 746,500 874,180 2,782,700 3,905,970 2017-06-12 $15.07 $16.00 29.8% 11.5% 31.9% 24.1% 40.6% 2.7% 10.3% -20.5M -218.5M -12.0M 1.15 43.45 N/A N/A 579,740 668,170 2,778,490 3,865,600 2017-06-13 $15.29 $16.00 26.4% 10.8% 32.5% 15.5% 38.2% 1.7% 11.3% -23.9M -484.9M -12.1M 0.94 56.39 N/A N/A 417,420 390,520 2,915,050 4,047,030 2017-06-14 $15.16 $16.00 27.7% 11.4% 32.6% 18.7% 39.7% 1.8% 12.3% -24.7M -366.2M -12.3M 0.92 58.13 N/A N/A 361,260 331,930 3,001,660 4,093,740 2017-06-15 $15.14 $16.00 29.9% 11.4% 30.0% 24.3% 39.7% 2.7% 12.3% -26.2M -335.7M -12.1M 1.02 48.77 N/A N/A 495,910 503,450 3,061,600 4,122,650 2017-06-16 $15.26 $16.00 31.6% 11.3% 29.7% 28.6% 39.8% 2.0% 12.3% 6.6M -604.0M -12.3M 0.90 58.42 N/A N/A 476,450 428,070 3,141,820 4,218,030 2017-06-19 $15.34 $16.00 33.6% 10.2% 29.7% 33.5% 35.8% 2.8% 3.6% 5.9M -522.6M -12.0M 0.60 40.42 N/A N/A 465,620 280,790 2,347,010 3,157,480 2017-06-20 $15.20 $16.00 41.0% 12.2% 29.8% 52.3% 42.7% 2.9% -2.3% 1.4M -374.7M -12.1M 0.80 7.55 N/A N/A 344,770 275,310 2,483,910 3,243,650 2017-06-21 $15.53 $16.00 43.7% 12.5% 30.8% 58.9% 43.9% 2.1% -2.4% 26.2M -797.6M -12.3M 0.72 24.98 N/A N/A 546,480 392,470 2,588,640 3,347,450 2017-06-22 $15.50 $16.00 42.7% 12.4% 30.8% 56.6% 43.3% 1.5% -2.6% 30.3M -753.3M -12.2M 0.77 22.37 N/A N/A 287,250 222,290 2,671,400 3,431,820 2017-06-23 $15.79 $16.00 42.3% 12.4% 28.4% 55.4% 43.3% 1.5% -2.8% 91.0M -1.21B -12.1M 0.49 3.27 N/A N/A 732,240 358,400 2,711,060 3,431,590 2017-06-26 $15.73 $16.00 42.6% 12.9% 28.3% 56.4% 45.3% 2.2% -2.4% 19.0M -980.7M -12.0M 0.93 4.18 N/A N/A 349,670 324,880 2,485,600 3,270,740 2017-06-27 $15.11 $16.00 45.3% 13.8% 31.3% 63.1% 48.1% 2.7% -2.2% -20.2M -209.2M -12.0M 1.06 8.59 N/A N/A 427,530 454,240 2,532,020 3,375,490 2017-06-28 $15.36 $16.00 42.4% 13.0% 32.1% 55.9% 45.3% 2.7% -2.8% -8.2M -510.7M -11.8M 0.84 3.63 N/A N/A 408,880 342,170 2,648,740 3,480,550 2017-06-29 $15.02 $15.75 43.9% 13.7% 32.8% 59.6% 47.5% 3.5% -2.3% -34.7M -49.3M -12.0M 0.95 13.33 N/A N/A 496,760 472,910 2,662,230 3,526,800 2017-06-30 $14.96 $15.50 43.2% 13.7% 32.1% 57.9% 47.1% 3.3% -3.0% -57.0M 7.5M -11.8M 0.95 3.28 N/A N/A 446,920 423,350 2,768,220 3,609,120
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