NFLX Options History — September 2017

In September 2017, NFLX traded between $17.45 and $18.89. ATM implied volatility averaged 34.6%, placing in the 39.9% IV rank vs the trailing year. The 30-day expected move averaged 11.6%. IV traded above realized volatility by 11.0% (HV 20d: 23.6%). Max pain ranged from $16.75 to $17.50. Net GEX was positive for 20 of 20 trading days. Term structure was in contango for 10 of 20 days. Put/call ratio averaged 0.84.

Notable Days

2017-09-21: Highest Volume — 1,450,500 contracts
2017-09-18: Largest IV spike — 21.2% change
2017-09-25: Highest IV Rank — 67.3%
2017-09-25: Largest Expected Move — 13.3%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$18.17	$17.45	$18.89	$17.48	$18.13
Max Pain	$17.24	$16.75	$17.50	$16.75	$17.50
ATM IV	34.6%	26.0%	44.4%	26.0%	41.0%
Expected Move	11.6%	7.0%	13.3%	7.0%	13.0%
HV 20d	23.6%	20.4%	28.5%	23.8%	27.2%
HV 60d	35.7%	34.5%	37.9%	37.9%	35.5%
IV Rank	39.9%	16.0%	67.3%	16.0%	57.7%
IV Percentile	54.1%	25.0%	82.1%	25.0%	71.0%
Term Structure	2.4%	-2.5%	14.5%	0.5%	-2.5%
VWIV	41.2%	25.1%	46.3%	25.1%	45.4%
Skew 25d	2.3%	1.1%	3.1%	2.3%	3.1%
Skew 10d	4.1%	2.4%	5.4%	4.1%	4.6%
Call IV 25d	33.7%	25.0%	42.7%	25.2%	40.6%
Put IV 25d	36.0%	27.4%	45.6%	27.6%	43.8%
Bid-Ask Spread %	9.70	3.63	27.62	7.49	27.62
Gamma HHI	0.12	0.05	0.20	0.20	0.05
Net GEX	60.3M	7.2M	101.1M	96.6M	21.4M
Net DEX	-2.08B	-2.86B	-1.22B	-1.76B	-1.65B
Net VEX	-13.2M	-13.6M	-12.9M	-13.6M	-13.2M
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	0.84	0.57	1.24	0.71	0.86
Total Volume	874,076.5	575,840	1,450,500	752,590	755,390
Total OI	6,927,030	6,141,260	7,549,160	7,178,710	7,158,470

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
2017-09-01	$17.48	$16.75	26.0%	7.0%	23.8%	16.0%	25.1%	2.3%	0.5%	96.6M	-1.76B	-13.6M	0.71	7.49	N/A	N/A	438,900	313,690	3,167,170	4,011,540
2017-09-05	$17.45	$17.00	28.0%	11.2%	23.4%	21.4%	39.9%	2.8%	1.1%	42.8M	-1.57B	-13.4M	1.24	10.58	N/A	N/A	332,380	411,990	2,916,530	3,779,550
2017-09-06	$17.93	$17.00	28.1%	11.1%	24.7%	21.7%	39.5%	2.5%	0.2%	80.1M	-2.26B	-13.3M	0.60	8.09	N/A	N/A	848,770	508,330	3,006,470	3,881,320
2017-09-07	$17.90	$17.00	27.9%	11.1%	24.0%	21.2%	39.7%	2.2%	0.1%	101.1M	-2.27B	-13.4M	0.81	9.89	N/A	N/A	520,070	422,200	3,143,620	4,001,010
2017-09-08	$17.66	$17.00	27.8%	11.2%	20.4%	21.0%	41.0%	2.3%	0.2%	52.7M	-1.83B	-13.4M	0.94	12.04	N/A	N/A	541,220	507,860	3,177,530	4,082,600
2017-09-11	$18.16	$17.00	27.0%	11.4%	22.0%	18.8%	40.0%	2.1%	12.8%	83.3M	-2.42B	-12.9M	0.68	11.76	N/A	N/A	524,600	357,310	2,987,830	3,983,020
2017-09-12	$18.49	$17.00	26.7%	11.3%	22.5%	18.0%	40.6%	1.9%	12.8%	96.7M	-2.86B	-12.9M	0.82	9.79	N/A	N/A	505,910	415,890	3,094,870	4,074,150
2017-09-13	$18.37	$17.00	26.2%	11.2%	22.3%	16.5%	40.1%	2.2%	12.8%	94.0M	-2.69B	-12.9M	0.85	7.40	N/A	N/A	344,490	291,480	3,153,180	4,173,250
2017-09-14	$18.25	$17.00	29.5%	11.3%	22.6%	25.8%	40.6%	1.7%	12.4%	89.4M	-2.52B	-12.9M	1.02	10.90	N/A	N/A	377,700	383,570	3,203,140	4,217,600
2017-09-15	$18.22	$17.00	31.4%	11.6%	21.1%	31.0%	40.7%	2.5%	14.5%	7.2M	-2.41B	-12.9M	0.57	11.50	N/A	N/A	665,460	376,900	3,243,140	4,306,020
2017-09-18	$18.49	$17.50	38.1%	11.8%	21.5%	49.5%	41.9%	2.2%	-1.9%	50.2M	-2.08B	-12.9M	0.84	7.76	N/A	N/A	378,750	319,380	2,573,630	3,567,630
2017-09-19	$18.57	$17.50	39.0%	11.6%	21.3%	52.2%	41.0%	2.3%	-1.8%	64.6M	-2.21B	-12.9M	0.93	6.06	N/A	N/A	303,510	280,970	2,685,420	3,672,140
2017-09-20	$18.57	$17.50	41.0%	11.7%	20.8%	57.7%	41.5%	2.6%	-1.8%	68.7M	-2.20B	-12.9M	1.22	10.49	N/A	N/A	258,820	317,020	2,738,300	3,740,030
2017-09-21	$18.89	$17.50	42.6%	12.3%	21.1%	62.3%	43.4%	1.8%	-1.9%	81.6M	-2.62B	-13.0M	0.63	8.50	N/A	N/A	891,030	559,470	2,775,440	3,809,750
2017-09-22	$18.75	$17.50	41.3%	12.0%	21.1%	58.7%	42.1%	1.1%	-1.7%	81.7M	-2.48B	-13.1M	0.75	9.56	N/A	N/A	540,370	405,290	2,986,740	3,935,210
2017-09-25	$17.83	$17.50	44.4%	13.3%	28.4%	67.3%	46.1%	2.9%	-2.2%	7.9M	-1.22B	-13.5M	0.87	8.00	N/A	N/A	725,840	629,540	2,800,270	3,778,580
2017-09-26	$17.93	$17.50	42.7%	13.0%	28.4%	62.4%	44.8%	3.0%	-2.0%	16.4M	-1.35B	-13.5M	0.81	4.35	N/A	N/A	419,890	341,730	2,902,990	3,880,960
2017-09-27	$18.22	$17.50	40.8%	12.6%	28.5%	57.0%	43.7%	2.1%	-1.5%	49.9M	-1.75B	-13.2M	0.83	8.63	N/A	N/A	376,460	313,420	2,971,170	3,944,100
2017-09-28	$18.03	$17.50	42.3%	13.2%	27.2%	61.3%	46.3%	2.7%	-2.2%	20.1M	-1.45B	-13.4M	0.88	3.63	N/A	N/A	306,410	269,520	3,013,330	4,002,900
2017-09-29	$18.13	$17.50	41.0%	13.0%	27.2%	57.7%	45.4%	3.1%	-2.5%	21.4M	-1.65B	-13.2M	0.86	27.62	N/A	N/A	406,690	348,700	3,093,580	4,064,890