NFLX Options History — July 2017

In July 2017, NFLX traded between $14.61 and $18.88. ATM implied volatility averaged 37.8%, placing in the 47.8% IV rank vs the trailing year. The 30-day expected move averaged 10.7%. IV traded below realized volatility by 3.2% (HV 20d: 41.0%). Max pain ranged from $14.50 to $17.00. Net GEX was positive for 17 of 20 trading days. Term structure was in contango for 5 of 20 days. Put/call ratio averaged 0.92.

Notable Days

2017-07-18: Highest Volume — 5,601,630 contracts
2017-07-18: Largest IV drop — 24.2% change
2017-07-10: Highest IV Rank — 74.1%
2017-07-05: Largest Expected Move — 16.0%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$16.95	$14.61	$18.88	$14.62	$18.17
Max Pain	$15.55	$14.50	$17.00	$15.50	$17.00
ATM IV	37.8%	28.3%	46.9%	45.3%	30.3%
Expected Move	10.7%	8.0%	16.0%	15.2%	8.6%
HV 20d	41.0%	27.2%	52.7%	32.7%	50.3%
HV 60d	33.9%	29.4%	39.4%	29.4%	37.6%
IV Rank	47.8%	22.4%	74.1%	63.1%	28.1%
IV Percentile	64.9%	36.5%	81.3%	79.4%	50.0%
Term Structure	-1.4%	-3.5%	0.5%	-2.6%	-0.8%
VWIV	37.9%	28.7%	54.6%	52.8%	31.1%
Skew 25d	2.0%	0.1%	4.0%	2.7%	1.9%
Skew 10d	3.9%	0.1%	7.3%	5.1%	3.5%
Call IV 25d	37.3%	28.8%	46.2%	43.1%	30.1%
Put IV 25d	39.2%	29.4%	48.4%	45.8%	32.0%
Bid-Ask Spread %	6.55	4.13	14.61	6.56	5.13
Gamma HHI	0.11	0.04	0.23	0.04	0.12
Net GEX	44.9M	-25.2M	107.5M	-20.0M	28.6M
Net DEX	-2.11B	-4.95B	168.3M	158.1M	-2.10B
Net VEX	-12.2M	-13.4M	-9.7M	-11.9M	-13.0M
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	0.92	0.68	1.25	1.02	1.21
Total Volume	1,412,014	488,660	5,601,630	488,660	744,160
Total OI	7,209,084.5	6,019,000	9,526,640	6,019,000	7,008,100

Daily Data (20 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
2017-07-03	$14.62	$15.50	45.3%	15.2%	32.7%	63.1%	52.8%	2.7%	-2.6%	-20.0M	158.1M	-11.9M	1.02	6.56	N/A	N/A	241,460	247,200	2,611,700	3,407,300
2017-07-05	$14.75	$15.50	45.0%	16.0%	33.0%	62.4%	54.6%	2.7%	-2.9%	-17.1M	34.2M	-11.6M	0.82	6.35	N/A	N/A	327,480	267,520	2,674,000	3,472,430
2017-07-06	$14.61	$14.50	46.6%	12.1%	32.9%	66.4%	42.0%	2.3%	-3.0%	-25.2M	168.3M	-11.9M	0.95	8.54	N/A	N/A	334,830	317,680	2,764,960	3,538,840
2017-07-07	$15.04	$14.50	45.6%	11.8%	35.1%	69.6%	41.3%	2.2%	-3.5%	31.4M	-440.2M	-12.0M	0.94	8.85	N/A	N/A	521,830	489,620	2,848,320	3,596,340
2017-07-10	$15.31	$14.50	46.9%	12.3%	31.2%	74.1%	43.4%	2.6%	-2.8%	23.9M	-728.3M	-12.1M	0.72	6.73	N/A	N/A	355,860	257,370	2,701,010	3,514,500
2017-07-11	$15.44	$14.50	46.9%	12.5%	27.2%	74.1%	43.8%	2.9%	-2.9%	36.8M	-911.0M	-12.0M	0.97	6.14	N/A	N/A	362,840	352,750	2,801,470	3,591,290
2017-07-12	$15.85	$14.50	45.6%	12.2%	28.3%	70.5%	43.1%	3.4%	-2.9%	53.5M	-1.44B	-12.1M	0.96	6.56	N/A	N/A	620,800	593,480	2,860,790	3,649,520
2017-07-13	$15.81	$15.00	43.6%	11.8%	28.1%	65.0%	42.2%	3.6%	-3.0%	46.8M	-1.36B	-12.2M	0.74	6.53	N/A	N/A	511,420	378,250	2,993,640	3,840,260
2017-07-14	$16.11	$15.00	43.0%	11.8%	28.7%	63.2%	41.4%	4.0%	-2.7%	51.9M	-1.79B	-12.0M	0.68	5.31	N/A	N/A	645,800	442,190	3,067,220	3,954,770
2017-07-17	$16.18	$15.00	41.1%	11.5%	28.7%	58.1%	40.4%	2.4%	-1.2%	25.1M	-1.49B	-11.6M	1.25	14.61	N/A	N/A	1,273,460	1,587,010	2,731,350	3,667,580
2017-07-18	$18.38	$15.00	31.2%	8.9%	52.7%	30.5%	31.8%	0.8%	-0.6%	86.8M	-4.52B	-9.7M	0.70	5.64	N/A	N/A	3,293,340	2,308,290	3,311,510	4,355,270
2017-07-19	$18.44	$15.50	31.2%	8.9%	52.3%	30.5%	31.7%	0.7%	-0.6%	107.5M	-4.48B	-12.0M	0.71	5.35	N/A	N/A	1,574,610	1,110,730	3,910,710	4,933,220
2017-07-20	$18.35	$16.00	31.1%	8.9%	52.3%	30.1%	31.8%	0.5%	0.3%	101.9M	-4.22B	-12.9M	0.92	4.29	N/A	N/A	774,240	715,970	4,167,060	5,160,900
2017-07-21	$18.76	$16.00	31.8%	9.1%	52.4%	32.1%	32.8%	0.1%	0.1%	98.4M	-4.95B	-12.5M	0.71	5.64	N/A	N/A	1,178,690	833,040	4,200,510	5,326,130
2017-07-24	$18.80	$16.50	30.8%	8.8%	52.3%	29.5%	31.9%	0.9%	-0.0%	73.0M	-3.15B	-12.7M	0.79	4.13	N/A	N/A	658,080	522,730	3,195,180	3,895,040
2017-07-25	$18.70	$16.50	29.7%	8.4%	52.4%	26.4%	30.8%	0.9%	-0.0%	64.8M	-2.98B	-12.9M	1.22	5.23	N/A	N/A	332,760	406,630	3,340,800	4,033,250
2017-07-26	$18.88	$16.50	28.3%	8.0%	49.1%	22.4%	28.7%	0.6%	0.1%	86.6M	-3.25B	-12.5M	0.88	5.13	N/A	N/A	408,360	358,520	3,370,290	4,129,080
2017-07-27	$18.32	$16.50	31.7%	9.0%	51.1%	31.8%	32.4%	2.5%	0.5%	12.9M	-2.27B	-13.4M	1.10	8.57	N/A	N/A	888,220	973,480	3,420,970	4,206,210
2017-07-28	$18.41	$17.00	30.1%	8.4%	49.9%	27.4%	30.4%	1.9%	0.2%	29.6M	-2.50B	-13.2M	1.05	5.72	N/A	N/A	503,050	526,530	3,604,730	4,325,440
2017-07-31	$18.17	$17.00	30.3%	8.6%	50.3%	28.1%	31.1%	1.9%	-0.8%	28.6M	-2.10B	-13.0M	1.21	5.13	N/A	N/A	337,300	406,860	3,101,590	3,906,510