NFLX Options History — February 2018

In February 2018, NFLX traded between $24.99 and $29.38. ATM implied volatility averaged 37.3%, placing in the 63.8% IV rank vs the trailing year. The 30-day expected move averaged 10.7%. IV traded below realized volatility by 12.8% (HV 20d: 50.0%). Max pain ranged from $22.50 to $25.00. Net GEX was positive for 15 of 19 trading days. Term structure was in contango for 8 of 19 days. Put/call ratio averaged 0.93.

Notable Days

  • 2018-02-09: Highest Volume — 2,374,320 contracts
  • 2018-02-08: Largest IV spike — 14.8% change
  • 2018-02-09: Highest IV Rank — 87.6%
  • 2018-02-08: Largest Expected Move — 12.3%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$27.18$24.99$29.38$26.50$29.17
Max Pain$23.53$22.50$25.00$22.50$25.00
ATM IV37.3%33.3%43.6%33.3%35.8%
Expected Move10.7%9.6%12.3%9.8%10.4%
HV 20d50.0%42.1%56.7%45.8%42.1%
HV 60d38.1%35.1%39.9%35.1%37.7%
IV Rank63.8%49.1%87.6%49.1%58.4%
IV Percentile68.7%61.9%92.5%66.3%63.5%
Term Structure-0.1%-1.7%0.4%-1.7%-0.5%
VWIV38.0%34.0%43.2%34.8%36.9%
Skew 25d3.1%0.4%7.0%0.4%2.6%
Skew 10d5.8%0.6%13.5%0.6%4.4%
Call IV 25d36.3%32.7%41.7%33.9%35.1%
Put IV 25d39.4%34.3%48.5%34.3%37.8%
Bid-Ask Spread %7.271.8430.263.866.27
Gamma HHI0.100.040.410.060.11
Net GEX47.8M-109.6M132.4M-19.4M92.9M
Net DEX-4.73B-6.90B-2.37B-4.32B-5.56B
Net VEX-18.3M-19.6M-17.1M-17.1M-18.8M
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.930.571.261.230.97
Total Volume1,563,378.947824,3502,374,3201,763,7301,166,270
Total OI8,134,285.2637,002,8709,052,9808,705,3707,855,840

Daily Data (19 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2018-02-01$26.50$22.5033.3%9.8%45.8%49.1%34.8%0.4%-1.7%-19.4M-4.32B-17.1M1.233.86N/AN/A790,630973,1004,125,2804,580,090
2018-02-02$26.73$22.5035.9%10.4%45.7%58.5%36.8%0.8%0.4%-109.6M-4.66B-17.4M1.264.88N/AN/A898,7501,130,3304,208,3704,844,610
2018-02-05$25.64$22.5041.0%11.7%49.5%78.0%40.9%2.4%-0.1%15.2M-3.47B-18.5M1.1630.26N/AN/A698,140811,2003,741,9404,210,290
2018-02-06$26.54$22.5040.3%11.5%50.3%75.1%41.6%3.2%-0.1%36.1M-4.50B-18.5M1.135.84N/AN/A614,840694,5603,825,1404,309,990
2018-02-07$26.57$22.5037.6%10.9%49.6%64.9%38.3%3.3%0.4%45.7M-4.61B-18.0M1.018.24N/AN/A634,820638,8803,912,3904,400,330
2018-02-08$25.14$23.0043.1%12.3%55.0%85.8%43.2%4.1%0.1%-19.4M-2.68B-19.1M1.098.32N/AN/A717,420785,3503,998,7404,467,440
2018-02-09$24.99$23.0043.6%12.2%55.0%87.6%43.1%7.0%-1.2%-61.2M-2.37B-19.6M1.1014.84N/AN/A1,132,8101,241,5104,104,1504,527,510
2018-02-12$25.76$23.0038.6%11.0%55.5%68.8%39.2%6.3%-0.1%29.2M-3.72B-19.2M0.8512.00N/AN/A551,890467,9703,856,0104,268,350
2018-02-13$25.86$23.0036.9%10.6%55.5%62.4%37.6%5.7%0.2%38.6M-3.97B-18.6M0.898.84N/AN/A435,200389,1503,988,9804,377,450
2018-02-14$26.81$23.0035.3%10.1%55.3%56.6%36.5%3.8%0.4%85.7M-5.27B-18.2M0.846.47N/AN/A898,380754,1204,046,6204,472,890
2018-02-15$28.00$23.5036.4%10.4%56.5%60.4%37.3%1.9%-0.1%132.4M-6.90B-18.1M0.786.95N/AN/A1,091,030850,3204,139,2704,658,970
2018-02-16$27.88$23.5035.5%10.2%56.7%57.2%36.5%2.1%0.2%77.9M-6.65B-18.4M0.573.89N/AN/A1,328,450753,9004,223,9204,822,820
2018-02-20$27.88$24.0036.5%10.5%56.2%61.1%37.5%2.5%-0.1%91.7M-4.74B-18.4M0.803.81N/AN/A876,900700,2203,444,2803,558,590
2018-02-21$28.13$24.0037.0%10.7%46.0%63.0%37.7%2.6%-0.2%91.6M-4.98B-18.3M0.754.50N/AN/A788,540592,5403,576,8603,807,490
2018-02-22$27.80$24.5036.4%10.5%44.5%60.7%36.8%2.9%0.1%56.3M-4.44B-18.6M0.832.06N/AN/A842,750702,8103,672,4403,953,940
2018-02-23$28.57$25.0033.7%9.6%44.0%50.4%34.0%2.6%0.3%119.1M-5.51B-18.0M0.853.12N/AN/A839,520710,9803,690,9204,070,720
2018-02-26$29.38$25.0035.2%10.3%44.7%55.9%36.4%2.4%-0.2%109.6M-5.98B-17.2M0.761.84N/AN/A980,570748,2503,475,8803,725,330
2018-02-27$29.15$25.0035.7%10.4%42.9%58.1%36.9%2.5%-0.3%96.2M-5.62B-18.3M0.852.13N/AN/A796,170675,9303,659,5703,948,010
2018-02-28$29.17$25.0035.8%10.4%42.1%58.4%36.9%2.6%-0.5%92.9M-5.56B-18.8M0.976.27N/AN/A592,730573,5403,758,8904,096,950