NFLX Options History — November 2017

In November 2017, NFLX traded between $18.75 and $20.01. ATM implied volatility averaged 26.3%, placing in the 17.7% IV rank vs the trailing year. The 30-day expected move averaged 7.7%. IV traded above realized volatility by 5.8% (HV 20d: 20.5%). Max pain ranged from $17.00 to $19.25. Net GEX was positive for 21 of 21 trading days. Term structure was in contango for 12 of 21 days. Put/call ratio averaged 0.71.

Notable Days

2017-11-29: Highest Volume — 2,595,890 contracts
2017-11-29: Largest IV spike — 32.1% change
2017-11-29: Highest IV Rank — 28.9%
2017-11-29: Largest Expected Move — 9.5%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$19.52	$18.75	$20.01	$19.81	$18.75
Max Pain	$17.75	$17.00	$19.25	$19.25	$18.50
ATM IV	26.3%	22.2%	30.1%	28.5%	28.3%
Expected Move	7.7%	6.5%	9.5%	8.1%	8.8%
HV 20d	20.5%	17.4%	27.5%	27.0%	27.2%
HV 60d	25.9%	25.1%	28.2%	26.7%	27.7%
IV Rank	17.7%	5.8%	28.9%	24.2%	23.4%
IV Percentile	28.4%	2.4%	61.5%	42.1%	44.8%
Term Structure	0.0%	-1.5%	1.2%	0.8%	0.3%
VWIV	27.3%	23.1%	32.2%	28.7%	30.5%
Skew 25d	2.0%	1.4%	3.0%	1.9%	3.0%
Skew 10d	4.2%	2.6%	6.7%	3.2%	6.7%
Call IV 25d	25.9%	21.7%	29.3%	28.2%	27.8%
Put IV 25d	27.8%	23.5%	31.4%	30.1%	30.8%
Bid-Ask Spread %	6.43	3.51	10.72	3.51	7.92
Gamma HHI	0.15	0.07	0.88	0.13	0.07
Net GEX	194.6M	18.1M	2.12B	148.1M	64.8M
Net DEX	-2.59B	-3.68B	-1.22B	-3.30B	-1.33B
Net VEX	-15.1M	-16.1M	-14.2M	-16.1M	-15.4M
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	0.71	0.44	0.91	0.78	0.63
Total Volume	1,011,319.524	524,920	2,595,890	712,300	1,200,800
Total OI	8,365,565.238	7,650,050	8,976,310	8,523,900	8,976,310

Daily Data (21 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
2017-11-01	$19.81	$19.25	28.5%	8.1%	27.0%	24.2%	28.7%	1.9%	0.8%	148.1M	-3.30B	-16.1M	0.78	3.51	N/A	N/A	399,640	312,660	4,127,180	4,396,720
2017-11-02	$19.93	$17.00	27.5%	8.3%	19.7%	21.2%	29.8%	1.6%	0.9%	203.1M	-3.56B	-15.7M	0.68	6.62	N/A	N/A	408,380	278,730	4,185,680	4,433,900
2017-11-03	$20.00	$17.00	26.8%	8.1%	18.7%	19.2%	29.2%	1.6%	0.8%	2.12B	-3.68B	-15.3M	0.51	8.77	N/A	N/A	755,230	383,020	4,190,310	4,462,100
2017-11-06	$20.01	$17.00	27.6%	8.2%	18.6%	21.3%	29.2%	1.5%	0.8%	123.3M	-3.42B	-15.2M	0.68	8.30	N/A	N/A	647,380	439,740	3,823,960	4,250,300
2017-11-07	$19.58	$17.00	28.4%	8.3%	19.9%	23.9%	29.4%	1.9%	0.3%	84.7M	-2.66B	-15.5M	0.81	7.90	N/A	N/A	557,440	450,150	4,006,010	4,373,340
2017-11-08	$19.64	$17.00	27.9%	8.2%	20.0%	22.5%	29.2%	1.9%	0.7%	89.6M	-2.76B	-15.7M	0.91	6.84	N/A	N/A	274,390	250,530	4,075,570	4,463,600
2017-11-09	$19.39	$17.00	28.7%	8.3%	20.4%	24.6%	29.7%	1.9%	0.5%	52.4M	-2.30B	-15.5M	0.87	10.72	N/A	N/A	533,110	462,440	4,121,650	4,491,850
2017-11-10	$19.19	$17.00	29.5%	8.7%	19.5%	26.9%	30.0%	2.2%	1.2%	18.1M	-1.88B	-15.6M	0.53	7.54	N/A	N/A	1,033,490	549,090	4,170,100	4,596,520
2017-11-13	$19.48	$17.50	28.0%	8.1%	19.3%	22.5%	29.0%	2.1%	-0.1%	100.0M	-2.68B	-15.5M	0.75	4.44	N/A	N/A	495,660	371,600	3,976,180	4,398,760
2017-11-14	$19.58	$17.50	26.8%	7.7%	18.7%	19.2%	27.3%	2.1%	0.0%	112.6M	-2.83B	-15.4M	0.68	5.08	N/A	N/A	421,700	288,070	4,041,790	4,498,820
2017-11-15	$19.19	$17.50	26.7%	7.6%	18.8%	18.8%	26.7%	2.4%	-0.8%	55.7M	-2.05B	-15.2M	0.81	4.53	N/A	N/A	514,210	418,570	4,042,850	4,547,830
2017-11-16	$19.56	$17.50	24.4%	7.0%	20.0%	12.1%	24.9%	2.0%	0.3%	131.3M	-2.77B	-15.1M	0.75	5.20	N/A	N/A	624,110	466,500	4,126,910	4,643,430
2017-11-17	$19.34	$17.50	24.0%	6.9%	20.3%	10.9%	24.6%	1.8%	-0.1%	81.0M	-2.16B	-15.0M	0.64	6.01	N/A	N/A	679,690	433,620	4,173,370	4,694,390
2017-11-20	$19.40	$18.00	23.5%	6.8%	20.2%	9.5%	24.6%	2.3%	0.2%	86.3M	-2.30B	-14.6M	0.82	3.69	N/A	N/A	341,560	280,660	3,589,010	4,067,400
2017-11-21	$19.61	$18.00	23.8%	6.8%	19.7%	10.5%	24.2%	1.4%	-0.7%	129.1M	-2.71B	-14.6M	0.69	6.07	N/A	N/A	563,050	389,850	3,689,180	4,160,880
2017-11-22	$19.62	$18.50	23.9%	6.7%	19.3%	10.7%	23.8%	2.0%	-1.1%	136.3M	-2.70B	-14.6M	0.80	5.01	N/A	N/A	444,390	357,320	3,781,070	4,250,180
2017-11-24	$19.57	$18.50	22.2%	6.5%	19.0%	5.8%	23.1%	1.8%	-1.2%	86.3M	-2.58B	-14.6M	0.80	10.39	N/A	N/A	291,660	233,750	3,808,070	4,358,490
2017-11-27	$19.50	$18.50	23.1%	6.8%	17.4%	8.2%	24.3%	2.1%	-0.5%	89.4M	-2.37B	-14.3M	0.71	5.35	N/A	N/A	343,320	244,460	3,561,150	4,088,900
2017-11-28	$19.90	$18.50	22.8%	6.6%	18.8%	7.5%	23.7%	1.9%	-0.0%	152.1M	-3.11B	-14.2M	0.54	4.78	N/A	N/A	974,140	527,710	3,693,980	4,182,050
2017-11-29	$18.80	$18.50	30.1%	9.5%	27.5%	28.9%	32.2%	2.0%	-1.5%	22.8M	-1.22B	-14.7M	0.44	6.29	N/A	N/A	1,804,260	791,630	3,843,680	4,313,400
2017-11-30	$18.75	$18.50	28.3%	8.8%	27.2%	23.4%	30.5%	3.0%	0.3%	64.8M	-1.33B	-15.4M	0.63	7.92	N/A	N/A	736,590	464,210	4,483,210	4,493,100