NFLX Options History — December 2017

In December 2017, NFLX traded between $18.42 and $19.28. ATM implied volatility averaged 30.7%, placing in the 30.5% IV rank vs the trailing year. The 30-day expected move averaged 9.1%. IV traded above realized volatility by 5.1% (HV 20d: 25.5%). Max pain ranged from $16.00 to $18.50. Net GEX was positive for 20 of 20 trading days. Term structure was in contango for 15 of 20 days. Put/call ratio averaged 0.77.

Notable Days

2017-12-28: Highest Volume — 1,849,950 contracts
2017-12-26: Largest IV spike — 35.9% change
2017-12-29: Highest IV Rank — 65.2%
2017-12-04: Largest Expected Move — 11.8%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$18.79	$18.42	$19.28	$18.66	$19.21
Max Pain	$16.82	$16.00	$18.50	$18.50	$17.50
ATM IV	30.7%	25.1%	42.5%	28.8%	42.5%
Expected Move	9.1%	6.7%	11.8%	9.0%	7.2%
HV 20d	25.5%	19.5%	27.1%	27.0%	19.5%
HV 60d	26.3%	24.5%	27.7%	27.7%	24.8%
IV Rank	30.5%	14.1%	65.2%	24.9%	65.2%
IV Percentile	49.4%	21.4%	82.1%	48.8%	82.1%
Term Structure	5.6%	-2.2%	14.9%	-0.7%	-2.2%
VWIV	32.5%	23.5%	44.0%	31.3%	26.3%
Skew 25d	4.2%	2.9%	6.0%	2.9%	4.0%
Skew 10d	8.0%	5.6%	11.9%	6.1%	7.3%
Call IV 25d	28.6%	22.1%	41.7%	27.8%	41.7%
Put IV 25d	32.8%	25.6%	45.7%	30.7%	45.7%
Bid-Ask Spread %	9.32	3.78	23.22	10.00	7.21
Gamma HHI	0.15	0.06	0.90	0.07	0.08
Net GEX	140.6M	10.9M	1.63B	51.1M	55.4M
Net DEX	-1.38B	-2.10B	-930.5M	-1.09B	-1.93B
Net VEX	-15.0M	-15.5M	-14.3M	-15.4M	-14.7M
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	0.77	0.56	1.11	0.75	0.64
Total Volume	983,829	512,100	1,849,950	1,314,980	1,232,510
Total OI	8,534,493	7,414,520	9,662,640	9,202,420	8,372,680

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
2017-12-01	$18.66	$18.50	28.8%	9.0%	27.0%	24.9%	31.3%	2.9%	-0.7%	51.1M	-1.09B	-15.4M	0.75	10.00	N/A	N/A	752,920	562,060	4,596,220	4,606,200
2017-12-04	$18.42	$16.00	33.3%	11.8%	27.1%	38.1%	39.8%	5.1%	2.2%	38.0M	-1.06B	-15.4M	0.78	23.22	N/A	N/A	635,540	495,770	4,100,120	4,350,880
2017-12-05	$18.44	$16.50	28.3%	10.8%	27.1%	23.4%	38.3%	3.8%	0.3%	34.4M	-972.7M	-15.4M	0.95	11.66	N/A	N/A	390,360	372,210	4,246,800	4,476,780
2017-12-06	$18.52	$16.50	28.6%	10.9%	26.4%	24.5%	37.8%	4.5%	1.4%	38.7M	-1.08B	-15.2M	1.03	10.29	N/A	N/A	367,910	379,830	4,305,630	4,589,530
2017-12-07	$18.53	$16.50	28.6%	11.3%	26.4%	24.3%	40.0%	4.3%	2.0%	38.5M	-1.07B	-15.5M	0.76	10.52	N/A	N/A	470,690	355,610	4,360,210	4,687,690
2017-12-08	$18.85	$16.50	26.7%	10.7%	27.0%	18.9%	38.4%	4.4%	2.8%	78.9M	-1.70B	-15.5M	0.91	14.49	N/A	N/A	611,330	555,240	4,424,200	4,731,420
2017-12-11	$18.64	$16.50	28.5%	11.3%	27.1%	24.0%	41.6%	4.9%	10.5%	54.1M	-1.25B	-15.3M	0.96	12.63	N/A	N/A	400,590	385,540	4,213,100	4,623,110
2017-12-12	$18.55	$16.50	28.5%	11.2%	26.4%	24.0%	40.9%	3.6%	10.4%	35.9M	-1.08B	-15.2M	0.81	8.16	N/A	N/A	294,340	237,980	4,315,700	4,784,920
2017-12-13	$18.78	$16.50	26.9%	10.7%	26.7%	19.3%	44.0%	4.1%	10.4%	71.9M	-1.48B	-15.1M	1.11	8.61	N/A	N/A	466,550	519,460	4,343,980	4,861,230
2017-12-14	$18.98	$16.50	28.2%	10.8%	26.2%	23.3%	37.8%	4.0%	11.5%	125.6M	-1.89B	-15.1M	0.71	8.20	N/A	N/A	926,730	653,490	4,395,260	5,000,300
2017-12-15	$19.00	$16.50	26.5%	7.7%	25.2%	18.2%	27.8%	3.9%	0.0%	1.63B	-1.97B	-14.6M	0.72	13.76	N/A	N/A	815,840	591,030	4,538,390	5,124,250
2017-12-18	$19.04	$17.00	26.2%	7.5%	25.0%	17.4%	26.8%	3.9%	13.8%	38.9M	-1.54B	-14.8M	0.60	6.05	N/A	N/A	532,960	318,110	3,062,960	4,351,560
2017-12-19	$18.69	$17.00	26.9%	7.7%	25.7%	19.4%	27.0%	4.0%	13.5%	12.9M	-1.04B	-14.8M	0.61	3.78	N/A	N/A	629,170	384,590	3,203,600	4,461,110
2017-12-20	$18.90	$17.00	25.1%	7.2%	25.7%	14.1%	25.7%	3.6%	14.2%	47.3M	-1.42B	-15.1M	0.68	6.17	N/A	N/A	445,710	303,520	3,363,130	4,581,820
2017-12-21	$18.86	$17.00	27.5%	7.0%	25.7%	21.1%	24.8%	3.8%	13.6%	48.1M	-1.36B	-14.6M	0.71	7.51	N/A	N/A	390,320	278,800	3,403,120	4,639,140
2017-12-22	$18.99	$17.00	29.1%	6.7%	25.9%	26.1%	23.5%	3.5%	14.9%	299.9M	-1.55B	-14.6M	0.75	3.92	N/A	N/A	469,140	350,230	3,433,560	4,683,270
2017-12-26	$18.77	$17.00	39.6%	7.3%	26.1%	56.7%	25.6%	6.0%	-1.8%	21.9M	-1.14B	-14.4M	0.56	7.72	N/A	N/A	328,110	183,990	3,218,110	4,463,780
2017-12-27	$18.61	$17.00	41.8%	7.4%	24.8%	63.3%	26.4%	4.8%	-2.0%	10.9M	-930.5M	-14.3M	0.63	6.80	N/A	N/A	452,990	285,460	3,273,540	4,516,390
2017-12-28	$19.28	$17.00	41.8%	7.4%	19.5%	63.2%	26.6%	5.2%	-1.9%	83.4M	-2.10B	-14.5M	0.65	5.62	N/A	N/A	1,121,910	728,040	3,357,720	4,628,450
2017-12-29	$19.21	$17.50	42.5%	7.2%	19.5%	65.2%	26.3%	4.0%	-2.2%	55.4M	-1.93B	-14.7M	0.64	7.21	N/A	N/A	749,440	483,070	3,588,470	4,784,210