NFLX Options History — August 2017 In August 2017, NFLX traded between $16.58 and $18.20. ATM implied volatility averaged 28.6%, placing in the 23.4% IV rank vs the trailing year. The 30-day expected move averaged 8.2%. IV traded below realized volatility by 5.3% (HV 20d: 34.0%). Max pain ranged from $16.00 to $17.00. Net GEX was positive for 13 of 23 trading days. Term structure was in contango for 16 of 23 days. Put/call ratio averaged 0.95.
Notable Days 2017-08-10 : Highest Volume — 1,497,240 contracts2017-08-10 : Largest IV spike — 15.6% change2017-08-10 : Highest IV Rank — 37.3%2017-08-10 : Largest Expected Move — 9.7%Monthly Statistics Metric Avg Min Max Open Close Price $17.23 $16.58 $18.20 $18.20 $17.48 Max Pain $16.50 $16.00 $17.00 $17.00 $16.50 ATM IV 28.6% 26.5% 33.7% 29.8% 26.6% Expected Move 8.2% 7.3% 9.7% 8.6% 7.3% HV 20d 34.0% 19.8% 51.8% 48.9% 23.8% HV 60d 37.6% 37.1% 38.4% 37.6% 37.9% IV Rank 23.4% 17.3% 37.3% 26.5% 17.6% IV Percentile 39.1% 27.4% 63.5% 45.2% 27.8% Term Structure 0.2% -0.4% 0.8% -0.4% 0.5% VWIV 29.1% 26.0% 33.9% 30.5% 26.0% Skew 25d 2.5% 1.4% 3.6% 1.6% 2.4% Skew 10d 5.0% 2.9% 7.6% 3.3% 4.5% Call IV 25d 28.0% 25.5% 32.7% 29.8% 26.1% Put IV 25d 30.5% 28.2% 36.3% 31.4% 28.5% Bid-Ask Spread % 6.21 3.60 12.61 7.89 6.36 Gamma HHI 0.08 0.05 0.12 0.11 0.08 Net GEX 4.5M -40.3M 70.1M 32.4M 70.1M Net DEX -1.15B -2.15B -441.4M -2.15B -1.82B Net VEX -13.0M -13.8M -12.4M -13.0M -13.8M Div Yield 0.0% 0.0% 0.0% 0.0% 0.0% P/C Ratio 0.95 0.71 1.41 0.71 0.97 Total Volume 865,662.609 593,240 1,497,240 620,020 771,240 Total OI 7,076,500.435 5,963,600 7,916,910 7,183,080 7,089,720
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 2017-08-01 $18.20 $17.00 29.8% 8.6% 48.9% 26.5% 30.5% 1.6% -0.4% 32.4M -2.15B -13.0M 0.71 7.89 N/A N/A 362,880 257,140 3,187,130 3,995,950 2017-08-02 $18.03 $17.00 29.5% 8.5% 49.4% 25.8% 30.8% 1.7% -0.4% 17.6M -1.90B -12.9M 1.06 5.01 N/A N/A 420,970 447,530 3,286,910 4,056,180 2017-08-03 $17.91 $16.00 29.5% 8.5% 49.3% 25.8% 30.6% 1.7% -0.4% 6.2M -1.73B -12.9M 1.07 12.61 N/A N/A 351,650 375,150 3,327,470 4,104,290 2017-08-04 $17.98 $16.00 27.9% 8.0% 48.8% 21.2% 29.2% 1.4% -0.4% 31.1M -1.83B -12.6M 0.86 8.15 N/A N/A 489,260 420,830 3,400,960 4,137,770 2017-08-07 $18.14 $16.50 28.0% 8.2% 48.7% 21.7% 29.0% 1.8% 0.2% 37.7M -2.11B -12.4M 0.93 7.17 N/A N/A 337,800 313,440 3,070,180 3,895,740 2017-08-08 $17.81 $16.50 28.8% 8.4% 49.6% 23.7% 29.7% 1.7% 0.8% 12.1M -1.66B -12.5M 0.75 9.97 N/A N/A 364,140 274,180 3,179,350 3,988,380 2017-08-09 $17.55 $16.50 29.1% 8.3% 49.7% 24.7% 29.7% 2.3% -0.0% -16.2M -1.24B -12.5M 1.07 7.54 N/A N/A 600,170 644,640 3,267,370 4,047,180 2017-08-10 $16.92 $16.50 33.7% 9.7% 51.8% 37.3% 33.9% 3.6% 0.3% -37.4M -441.4M -13.0M 1.41 7.93 N/A N/A 622,030 875,210 3,367,720 4,174,550 2017-08-11 $17.16 $16.50 32.1% 9.3% 51.6% 32.9% 32.7% 3.0% 0.7% -9.9M -831.3M -13.2M 1.07 8.19 N/A N/A 471,180 501,840 3,496,790 4,304,210 2017-08-14 $17.07 $16.50 30.0% 8.6% 51.7% 27.1% 29.9% 2.6% 0.2% -13.3M -878.0M -12.7M 0.93 5.75 N/A N/A 433,480 404,730 3,158,020 4,015,800 2017-08-15 $16.93 $16.50 27.8% 8.0% 22.4% 21.0% 28.4% 2.3% 0.5% -20.5M -715.2M -12.7M 1.09 4.80 N/A N/A 345,650 375,540 3,314,600 4,127,570 2017-08-16 $16.94 $16.50 26.7% 7.6% 22.3% 17.9% 27.5% 2.3% 0.4% -18.7M -747.6M -12.7M 0.79 4.74 N/A N/A 489,350 387,030 3,412,380 4,190,700 2017-08-17 $16.63 $16.50 29.7% 8.5% 22.9% 26.3% 30.5% 2.9% -0.3% -40.3M -464.3M -13.4M 1.18 4.91 N/A N/A 400,400 472,810 3,548,820 4,253,330 2017-08-18 $16.71 $16.50 28.9% 8.3% 21.0% 24.0% 28.8% 3.5% -0.4% -26.0M -625.0M -13.1M 1.08 5.90 N/A N/A 545,810 592,070 3,622,160 4,294,750 2017-08-21 $16.67 $16.50 29.6% 8.5% 20.8% 26.2% 30.4% 3.0% 0.2% -10.4M -635.3M -13.1M 0.92 5.12 N/A N/A 454,340 417,310 2,511,690 3,451,910 2017-08-22 $16.97 $16.50 27.2% 7.6% 22.4% 19.2% 27.3% 2.7% 0.1% 13.4M -993.2M -13.0M 0.88 4.45 N/A N/A 335,300 294,020 2,682,090 3,567,280 2017-08-23 $16.92 $16.50 27.3% 7.6% 21.8% 19.5% 27.5% 2.6% 0.5% 11.7M -937.6M -13.1M 0.97 4.51 N/A N/A 336,790 327,060 2,746,520 3,619,690 2017-08-24 $16.80 $16.50 28.1% 8.0% 19.9% 21.8% 28.1% 2.9% 0.4% 6.5M -819.2M -13.2M 1.01 5.66 N/A N/A 427,550 432,030 2,820,310 3,698,280 2017-08-25 $16.58 $16.50 27.9% 7.8% 19.8% 21.2% 28.3% 2.8% 0.5% -26.7M -503.8M -13.4M 0.82 4.64 N/A N/A 422,630 345,270 2,931,230 3,823,990 2017-08-28 $16.69 $16.50 27.7% 7.7% 20.0% 20.7% 27.5% 3.1% 0.5% 4.4M -735.0M -13.2M 0.73 3.80 N/A N/A 342,990 250,250 2,713,420 3,627,030 2017-08-29 $16.90 $16.50 26.5% 7.3% 20.8% 17.3% 26.3% 2.7% 0.3% 24.8M -1.01B -13.2M 0.85 4.13 N/A N/A 406,690 344,800 2,847,480 3,696,490 2017-08-30 $17.41 $16.50 26.8% 7.5% 23.8% 18.2% 27.0% 2.3% 0.7% 55.8M -1.71B -13.4M 0.75 3.60 N/A N/A 815,200 609,860 2,932,710 3,773,410 2017-08-31 $17.48 $16.50 26.6% 7.3% 23.8% 17.6% 26.0% 2.4% 0.5% 70.1M -1.82B -13.8M 0.97 6.36 N/A N/A 391,470 379,770 3,137,300 3,952,420
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