NFLX Options History — October 2017 In October 2017, NFLX traded between $17.69 and $20.27. ATM implied volatility averaged 36.3%, placing in the 45.0% IV rank vs the trailing year. The 30-day expected move averaged 10.5%. IV traded above realized volatility by 4.6% (HV 20d: 31.7%). Max pain ranged from $17.50 to $19.25. Net GEX was positive for 21 of 22 trading days. Term structure was in contango for 7 of 22 days. Put/call ratio averaged 0.68.
Notable Days 2017-10-17 : Highest Volume — 3,677,620 contracts2017-10-17 : Largest IV drop — 34.0% change2017-10-16 : Highest IV Rank — 67.7%2017-10-04 : Largest Expected Move — 15.1%Monthly Statistics Metric Avg Min Max Open Close Price $19.42 $17.69 $20.27 $17.69 $19.64 Max Pain $18.47 $17.50 $19.25 $17.50 $19.25 ATM IV 36.3% 27.1% 44.6% 42.7% 29.3% Expected Move 10.5% 7.8% 15.1% 14.4% 8.5% HV 20d 31.7% 28.0% 35.1% 28.8% 28.4% HV 60d 29.9% 26.5% 37.2% 35.6% 27.0% IV Rank 45.0% 19.9% 67.7% 62.4% 26.5% IV Percentile 63.3% 31.3% 88.1% 79.8% 47.2% Term Structure -1.0% -2.7% 1.0% -2.0% 0.5% VWIV 37.3% 28.0% 52.4% 49.9% 30.6% Skew 25d 1.5% 0.4% 3.1% 2.3% 1.6% Skew 10d 2.6% 0.3% 6.4% 4.3% 3.1% Call IV 25d 36.0% 27.2% 45.4% 41.2% 29.3% Put IV 25d 37.5% 28.2% 46.1% 43.5% 31.0% Bid-Ask Spread % 9.87 4.12 32.84 32.84 4.12 Gamma HHI 0.13 0.05 0.38 0.05 0.11 Net GEX 86.9M -710.8K 275.3M -710.8K 105.8M Net DEX -2.82B -3.97B -1.10B -1.10B -2.92B Net VEX -14.4M -16.4M -12.9M -13.2M -16.1M Div Yield 0.0% 0.0% 0.0% 0.0% 0.0% P/C Ratio 0.68 0.38 1.02 0.90 0.70 Total Volume 1,667,125.909 557,510 3,677,620 1,029,350 746,340 Total OI 8,140,735.909 6,574,520 10,115,690 6,574,520 8,394,570
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 2017-10-02 $17.69 $17.50 42.7% 14.4% 28.8% 62.4% 49.9% 2.3% -2.0% -710.8K -1.10B -13.2M 0.90 32.84 N/A N/A 540,880 488,470 2,717,080 3,857,440 2017-10-03 $17.91 $17.50 42.5% 14.5% 29.1% 61.8% 49.9% 3.1% -1.8% 17.1M -1.38B -13.4M 0.76 8.57 N/A N/A 317,140 240,370 2,879,130 4,006,930 2017-10-04 $18.43 $17.50 43.3% 15.1% 29.3% 64.1% 52.4% 3.0% -2.3% 58.5M -2.10B -13.3M 0.67 21.97 N/A N/A 903,650 602,500 2,939,210 4,035,990 2017-10-05 $19.44 $18.00 44.1% 11.6% 34.6% 66.3% 41.4% 1.4% -2.5% 83.7M -3.44B -12.9M 0.62 8.78 N/A N/A 2,069,270 1,281,010 3,102,350 4,132,390 2017-10-06 $19.79 $18.00 44.5% 11.7% 34.2% 67.4% 41.6% 0.7% -2.6% 160.7M -3.97B -13.4M 0.60 9.17 N/A N/A 1,830,240 1,097,380 3,466,860 4,476,470 2017-10-09 $19.68 $18.00 44.1% 11.9% 33.4% 66.3% 42.0% 1.1% -1.9% 72.8M -3.17B -13.4M 0.69 9.32 N/A N/A 636,850 439,770 3,186,780 4,265,100 2017-10-10 $19.50 $18.00 43.9% 11.9% 33.3% 65.8% 42.7% 1.4% -1.9% 62.4M -2.88B -13.6M 0.79 8.38 N/A N/A 629,950 500,440 3,302,010 4,374,710 2017-10-11 $19.50 $18.00 43.9% 11.9% 33.1% 65.8% 42.1% 1.3% -2.3% 67.7M -2.86B -13.6M 0.57 8.57 N/A N/A 453,990 257,840 3,393,350 4,471,850 2017-10-12 $19.57 $18.00 44.4% 12.2% 32.9% 67.2% 43.0% 1.7% -2.7% 84.5M -3.02B -13.7M 0.57 12.22 N/A N/A 779,070 444,100 3,522,550 4,542,200 2017-10-13 $19.93 $18.50 42.9% 11.8% 33.3% 62.9% 41.7% 0.8% -2.5% 125.9M -3.61B -13.3M 0.61 13.79 N/A N/A 1,328,140 814,850 3,612,620 4,672,210 2017-10-16 $20.27 $18.50 44.6% 12.6% 33.4% 67.7% 44.6% 0.5% -2.4% 54.2M -3.40B -13.2M 0.79 17.48 N/A N/A 1,901,160 1,502,310 3,192,940 4,380,100 2017-10-17 $19.94 $18.50 29.4% 8.4% 34.2% 25.5% 30.3% 0.4% -0.6% 75.8M -3.12B -13.2M 0.64 7.21 N/A N/A 2,238,380 1,439,240 3,785,800 5,027,120 2017-10-18 $19.56 $19.00 29.3% 8.4% 35.1% 26.6% 30.1% 1.1% -0.4% 41.0M -2.52B -14.6M 0.41 6.79 N/A N/A 1,817,830 747,590 4,285,290 5,134,860 2017-10-19 $19.49 $19.00 28.5% 8.2% 34.8% 24.0% 29.3% 1.0% -0.4% 66.3M -2.61B -15.3M 0.69 6.61 N/A N/A 902,460 625,010 4,720,430 5,238,280 2017-10-20 $19.39 $19.00 27.1% 7.8% 34.7% 19.9% 28.0% 1.1% -0.3% 67.0M -2.38B -15.0M 0.76 7.94 N/A N/A 824,790 627,680 4,820,180 5,295,510 2017-10-23 $19.25 $19.00 28.8% 8.4% 29.0% 25.0% 30.0% 1.5% 0.3% 53.5M -2.17B -15.4M 0.38 4.26 N/A N/A 1,242,150 466,930 3,609,050 4,033,480 2017-10-24 $19.57 $19.00 28.3% 8.3% 29.4% 23.5% 29.6% 1.4% 0.9% 99.7M -2.82B -15.8M 0.61 4.48 N/A N/A 774,010 468,730 3,827,170 4,244,980 2017-10-25 $19.37 $19.00 29.3% 8.6% 29.5% 26.3% 30.9% 1.9% 1.0% 83.9M -2.50B -16.4M 0.75 5.02 N/A N/A 589,240 439,860 4,070,370 4,395,810 2017-10-26 $19.55 $19.00 28.4% 8.3% 29.1% 23.8% 29.2% 2.0% 0.7% 132.9M -2.95B -16.3M 0.78 5.14 N/A N/A 592,240 464,610 4,226,500 4,441,690 2017-10-27 $19.96 $19.00 28.3% 8.2% 29.7% 23.4% 29.7% 1.7% 0.3% 275.3M -3.84B -16.2M 0.59 9.59 N/A N/A 1,061,340 630,280 4,316,110 4,556,830 2017-10-30 $19.83 $19.00 30.1% 9.0% 28.0% 28.8% 32.4% 1.9% 0.5% 124.5M -3.30B -16.1M 1.02 4.90 N/A N/A 453,700 464,980 3,937,380 4,204,510 2017-10-31 $19.64 $19.25 29.3% 8.5% 28.4% 26.5% 30.6% 1.6% 0.5% 105.8M -2.92B -16.1M 0.70 4.12 N/A N/A 439,540 306,800 4,043,220 4,351,350
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