NFLX Options History — March 2018 In March 2018, NFLX traded between $28.70 and $33.12. ATM implied volatility averaged 44.8%, placing in the 79.9% IV rank vs the trailing year. The 30-day expected move averaged 14.3%. IV traded above realized volatility by 4.5% (HV 20d: 40.3%). Max pain ranged from $24.00 to $30.00. Net GEX was positive for 17 of 21 trading days. Term structure was in contango for 5 of 21 days. Put/call ratio averaged 0.91.
Notable Days 2018-03-05 : Highest Volume — 3,121,420 contracts2018-03-19 : Largest IV spike — 25.6% change2018-03-19 : Highest IV Rank — 100.0%2018-03-28 : Largest Expected Move — 19.1%Monthly Statistics Metric Avg Min Max Open Close Price $31.23 $28.70 $33.12 $29.02 $29.48 Max Pain $27.46 $24.00 $30.00 $25.50 $29.75 ATM IV 44.8% 36.2% 61.7% 38.6% 56.1% Expected Move 14.3% 11.2% 19.1% 11.2% 17.3% HV 20d 40.3% 34.6% 53.0% 40.3% 53.0% HV 60d 41.2% 37.7% 46.9% 37.7% 46.3% IV Rank 79.9% 58.1% 100.0% 68.7% 86.0% IV Percentile 79.9% 60.3% 100.0% 67.5% 99.2% Term Structure 1.6% -3.3% 15.0% -0.2% -2.8% VWIV 50.2% 39.6% 65.7% 39.6% 60.0% Skew 25d 3.9% 2.1% 6.8% 4.5% 6.6% Skew 10d 6.7% 3.5% 11.7% 8.1% 11.1% Call IV 25d 42.8% 32.0% 58.1% 36.8% 53.1% Put IV 25d 46.8% 34.3% 65.0% 41.4% 59.7% Bid-Ask Spread % 13.93 3.30 33.48 6.81 14.85 Gamma HHI 0.08 0.03 0.36 0.10 0.15 Net GEX 59.9M -100.1M 213.2M 58.4M -30.2M Net DEX -5.97B -10.12B -1.57B -5.16B -2.53B Net VEX -21.2M -23.7M -18.2M -19.4M -23.2M Div Yield 0.0% 0.0% 0.0% 0.0% 0.0% P/C Ratio 0.91 0.67 1.23 1.02 0.67 Total Volume 1,844,636.667 635,680 3,121,420 1,962,100 2,429,980 Total OI 8,551,917.143 7,120,470 10,079,900 8,078,560 8,158,250
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 2018-03-01 $29.02 $25.50 38.6% 11.2% 40.3% 68.7% 39.6% 4.5% -0.2% 58.4M -5.16B -19.4M 1.02 6.81 N/A N/A 970,020 992,080 3,821,110 4,257,450 2018-03-02 $30.09 $25.50 39.8% 11.6% 40.9% 73.4% 42.2% 5.4% -0.8% 212.5M -6.95B -18.8M 0.82 4.28 N/A N/A 1,456,580 1,199,280 3,964,620 4,427,610 2018-03-05 $31.48 $24.00 39.4% 13.0% 43.2% 71.8% 46.4% 4.5% -0.6% 110.6M -7.61B -18.2M 0.77 19.74 N/A N/A 1,767,600 1,353,820 3,724,140 4,143,790 2018-03-06 $32.51 $26.00 40.3% 13.4% 39.6% 75.1% 47.8% 3.5% -0.8% 125.5M -8.78B -19.3M 0.76 3.30 N/A N/A 1,611,290 1,230,750 4,127,060 4,576,440 2018-03-07 $32.10 $26.50 39.5% 13.4% 39.5% 72.4% 47.3% 3.5% -0.7% 102.9M -8.20B -20.7M 0.90 6.96 N/A N/A 1,248,320 1,119,800 4,427,680 4,887,280 2018-03-08 $31.66 $26.50 37.5% 12.6% 40.3% 64.7% 44.4% 3.1% -0.5% 75.7M -7.56B -20.7M 0.91 6.74 N/A N/A 971,620 884,940 4,607,380 5,044,990 2018-03-09 $33.12 $27.00 36.6% 13.3% 34.6% 61.6% 46.8% 2.5% -0.2% 213.2M -10.12B -20.1M 0.79 28.38 N/A N/A 1,702,510 1,340,810 4,741,140 5,191,250 2018-03-12 $32.12 $27.00 37.2% 13.6% 37.4% 63.7% 48.4% 2.4% 10.4% 85.6M -7.77B -20.7M 0.95 25.27 N/A N/A 1,089,130 1,033,610 4,457,960 4,764,750 2018-03-13 $31.55 $27.50 37.4% 13.8% 38.3% 63.8% 48.5% 2.5% 10.8% 54.4M -6.79B -22.0M 0.86 33.48 N/A N/A 795,360 684,910 4,643,200 5,000,600 2018-03-14 $32.15 $27.50 36.2% 13.5% 38.3% 59.3% 47.4% 2.4% 10.7% 89.8M -7.81B -21.6M 0.90 28.53 N/A N/A 641,130 577,230 4,729,730 5,087,250 2018-03-15 $32.12 $27.50 36.3% 13.1% 37.3% 58.1% 45.8% 2.1% 11.7% 81.3M -7.78B -21.1M 0.81 24.76 N/A N/A 570,370 463,680 4,782,360 5,159,990 2018-03-16 $31.88 $27.50 38.3% 13.7% 35.4% 66.1% 47.7% 2.3% 15.0% 61.1M -7.34B -20.7M 0.81 13.79 N/A N/A 961,530 781,240 4,872,650 5,207,250 2018-03-19 $31.35 $28.00 48.1% 14.7% 36.2% 100.0% 51.2% 3.4% -1.8% 33.5M -4.50B -21.5M 1.23 12.31 N/A N/A 601,980 743,350 3,338,300 3,782,170 2018-03-20 $31.75 $28.00 48.1% 14.2% 36.2% 100.0% 49.4% 3.4% -2.0% 49.0M -5.01B -21.5M 1.10 5.15 N/A N/A 373,120 408,750 3,458,590 3,987,080 2018-03-21 $31.65 $28.00 49.9% 14.3% 36.4% 100.0% 50.1% 3.5% -2.0% 40.4M -4.89B -21.3M 1.01 6.18 N/A N/A 315,570 320,110 3,518,790 4,059,760 2018-03-22 $30.69 $28.50 52.8% 15.3% 38.1% 100.0% 52.7% 4.3% -2.6% -32.5M -3.62B -22.2M 1.04 7.77 N/A N/A 620,020 642,960 3,555,190 4,122,250 2018-03-23 $30.16 $28.50 54.6% 15.9% 38.0% 100.0% 55.5% 4.8% -2.5% -100.1M -2.88B -23.0M 1.12 15.82 N/A N/A 825,030 921,620 3,662,460 4,239,840 2018-03-26 $32.10 $28.50 52.1% 15.6% 42.7% 92.7% 54.9% 5.3% -2.1% 60.3M -5.39B -21.6M 0.81 7.33 N/A N/A 816,030 661,630 3,368,690 3,991,860 2018-03-27 $30.08 $29.50 60.9% 18.5% 49.2% 100.0% 63.1% 5.7% -3.3% 1.2M -3.19B -23.6M 0.90 12.09 N/A N/A 864,990 780,490 3,581,400 4,158,740 2018-03-28 $28.70 $30.00 61.7% 19.1% 52.1% 100.0% 65.7% 6.8% -2.9% -33.8M -1.57B -23.7M 0.96 9.07 N/A N/A 1,002,380 961,750 3,688,340 4,270,870 2018-03-29 $29.48 $29.75 56.1% 17.3% 53.0% 86.0% 60.0% 6.6% -2.8% -30.2M -2.53B -23.2M 0.67 14.85 N/A N/A 1,458,230 971,750 3,842,030 4,316,220
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