NFLX Options History — January 2018

In January 2018, NFLX traded between $20.12 and $28.49. ATM implied volatility averaged 39.4%, placing in the 63.7% IV rank vs the trailing year. The 30-day expected move averaged 10.8%. IV traded above realized volatility by 8.3% (HV 20d: 31.1%). Max pain ranged from $17.50 to $23.00. Net GEX was positive for 21 of 21 trading days. Term structure was in contango for 1 of 21 days. Put/call ratio averaged 0.77.

Notable Days

2018-01-23: Highest Volume — 4,256,100 contracts
2018-01-23: Largest IV drop — 30.7% change
2018-01-22: Highest IV Rank — 82.0%
2018-01-29: Largest Expected Move — 12.8%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$23.30	$20.12	$28.49	$20.12	$27.03
Max Pain	$20.30	$17.50	$23.00	$17.50	$23.00
ATM IV	39.4%	29.2%	43.1%	42.3%	35.4%
Expected Move	10.8%	7.5%	12.8%	7.9%	10.4%
HV 20d	31.1%	24.8%	44.1%	25.2%	44.1%
HV 60d	27.4%	24.2%	34.7%	24.2%	34.7%
IV Rank	63.7%	33.6%	82.0%	64.6%	56.7%
IV Percentile	74.9%	56.0%	89.7%	79.4%	68.3%
Term Structure	-1.7%	-3.1%	0.3%	-2.3%	0.3%
VWIV	38.3%	26.8%	45.1%	28.6%	36.7%
Skew 25d	2.5%	-0.3%	4.7%	4.7%	0.3%
Skew 10d	4.2%	-0.6%	7.8%	7.8%	0.7%
Call IV 25d	38.4%	28.7%	42.9%	40.0%	36.1%
Put IV 25d	40.9%	30.1%	44.7%	44.7%	36.4%
Bid-Ask Spread %	5.60	2.11	10.81	4.97	10.81
Gamma HHI	0.15	0.06	0.66	0.10	0.06
Net GEX	110.0M	18.7M	443.8M	97.6M	18.7M
Net DEX	-4.99B	-8.19B	-2.97B	-3.22B	-5.19B
Net VEX	-13.8M	-16.9M	-11.3M	-14.1M	-16.9M
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	0.77	0.53	0.95	0.69	0.71
Total Volume	1,942,059.524	779,190	4,256,100	1,753,940	1,913,560
Total OI	8,224,716.19	5,729,340	9,223,640	7,904,340	8,419,010

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
2018-01-02	$20.12	$17.50	42.3%	7.9%	25.2%	64.6%	28.6%	4.7%	-2.3%	97.6M	-3.22B	-14.1M	0.69	4.97	N/A	N/A	1,037,760	716,180	3,342,870	4,561,470
2018-01-03	$20.50	$17.50	41.5%	7.5%	24.8%	62.2%	26.8%	4.1%	-2.1%	110.4M	-3.79B	-13.9M	0.60	2.84	N/A	N/A	1,146,370	692,310	3,489,090	4,760,340
2018-01-04	$20.59	$19.00	41.5%	10.8%	24.8%	62.2%	38.8%	3.9%	-2.4%	117.6M	-3.80B	-13.8M	0.74	6.92	N/A	N/A	612,110	452,650	3,561,760	4,903,930
2018-01-05	$21.00	$19.00	41.1%	10.8%	25.3%	61.0%	38.3%	3.7%	-2.5%	443.8M	-4.43B	-13.5M	0.62	2.74	N/A	N/A	911,840	566,740	3,602,950	4,988,350
2018-01-08	$21.21	$19.00	41.6%	11.1%	25.3%	62.5%	39.4%	3.7%	-2.0%	95.0M	-4.08B	-13.3M	0.93	3.52	N/A	N/A	478,650	444,510	3,317,620	4,715,930
2018-01-09	$20.93	$19.50	41.2%	11.0%	25.9%	63.7%	40.2%	3.5%	-2.3%	74.8M	-3.63B	-13.5M	0.86	3.27	N/A	N/A	419,110	360,080	3,375,910	4,850,510
2018-01-10	$21.25	$19.50	41.4%	11.1%	25.3%	65.4%	39.2%	3.5%	-2.7%	101.2M	-4.12B	-13.3M	0.80	2.95	N/A	N/A	538,150	430,980	3,452,760	4,923,030
2018-01-11	$21.72	$20.00	40.6%	11.1%	25.5%	63.6%	39.5%	3.1%	-2.2%	120.8M	-4.83B	-13.0M	0.70	2.11	N/A	N/A	951,700	668,970	3,522,590	5,014,540
2018-01-12	$22.13	$20.00	40.9%	11.3%	25.8%	66.8%	40.0%	2.8%	-2.2%	72.0M	-5.26B	-13.1M	0.69	6.97	N/A	N/A	1,237,900	848,990	3,568,470	5,175,950
2018-01-16	$22.17	$20.00	43.1%	12.3%	25.9%	73.9%	43.3%	3.5%	-3.1%	60.9M	-4.58B	-13.0M	0.95	6.58	N/A	N/A	747,740	708,000	3,319,970	4,997,770
2018-01-17	$21.73	$20.00	42.3%	12.1%	27.6%	71.3%	42.0%	3.0%	-3.0%	25.6M	-3.89B	-13.3M	0.81	6.08	N/A	N/A	762,170	620,060	3,384,270	5,136,900
2018-01-18	$22.03	$20.50	42.3%	12.3%	27.6%	71.7%	42.6%	3.3%	-3.0%	65.4M	-4.39B	-13.7M	0.67	6.18	N/A	N/A	624,410	416,560	3,568,050	5,297,740
2018-01-19	$22.02	$20.50	41.4%	12.1%	26.1%	79.5%	42.3%	2.7%	-2.8%	256.2M	-4.34B	-13.9M	0.53	8.29	N/A	N/A	1,125,450	595,220	3,602,030	5,333,210
2018-01-22	$22.76	$20.50	42.1%	12.7%	27.6%	82.0%	44.3%	2.3%	-2.7%	54.2M	-2.97B	-13.9M	0.90	4.13	N/A	N/A	1,618,660	1,462,470	2,537,020	3,192,320
2018-01-23	$25.07	$21.00	29.2%	8.5%	41.1%	33.6%	30.5%	1.4%	-0.0%	123.4M	-6.17B	-11.3M	0.81	4.15	N/A	N/A	2,356,390	1,899,710	3,294,670	3,966,230
2018-01-24	$26.11	$21.00	32.5%	9.6%	42.1%	45.8%	34.2%	1.5%	-0.3%	128.1M	-6.88B	-13.2M	0.76	6.88	N/A	N/A	1,901,020	1,451,410	3,667,250	4,398,020
2018-01-25	$26.99	$22.00	34.2%	10.2%	41.2%	52.5%	36.5%	0.8%	-0.1%	129.1M	-7.84B	-13.9M	0.88	4.01	N/A	N/A	1,800,940	1,582,350	3,917,560	4,743,160
2018-01-26	$27.43	$22.00	33.6%	10.0%	40.0%	50.2%	35.8%	0.9%	-0.1%	69.3M	-8.19B	-14.3M	0.78	9.43	N/A	N/A	1,426,790	1,116,880	4,094,310	5,129,330
2018-01-29	$28.49	$22.00	42.0%	12.8%	40.1%	81.7%	45.1%	-0.3%	-0.4%	75.7M	-6.91B	-15.2M	0.89	8.71	N/A	N/A	1,374,870	1,218,430	3,393,100	4,065,120
2018-01-30	$27.91	$22.75	38.1%	11.3%	41.8%	67.1%	40.0%	0.1%	-0.0%	69.0M	-6.34B	-16.3M	0.91	6.15	N/A	N/A	808,220	736,940	3,698,850	4,435,080
2018-01-31	$27.03	$23.00	35.4%	10.4%	44.1%	56.7%	36.7%	0.3%	0.3%	18.7M	-5.19B	-16.9M	0.71	10.81	N/A	N/A	1,122,020	791,540	3,890,010	4,529,000