NFLX Options History — May 2018

In May 2018, NFLX traded between $31.10 and $35.37. ATM implied volatility averaged 29.0%, placing in the 17.1% IV rank vs the trailing year. The 30-day expected move averaged 8.4%. IV traded below realized volatility by 4.7% (HV 20d: 33.7%). Max pain ranged from $25.00 to $33.00. Net GEX was positive for 22 of 22 trading days. Term structure was in contango for 19 of 22 days. Put/call ratio averaged 0.89.

Notable Days

2018-05-24: Highest Volume — 3,099,290 contracts
2018-05-30: Largest IV drop — 11.9% change
2018-05-01: Highest IV Rank — 30.7%
2018-05-01: Largest Expected Move — 10.1%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$33.12	$31.10	$35.37	$31.10	$35.14
Max Pain	$28.75	$25.00	$33.00	$33.00	$31.50
ATM IV	29.0%	25.4%	34.4%	34.4%	26.1%
Expected Move	8.4%	7.2%	10.1%	10.1%	7.6%
HV 20d	33.7%	20.4%	45.6%	45.6%	21.4%
HV 60d	43.8%	41.3%	47.1%	47.1%	41.3%
IV Rank	17.1%	8.1%	30.7%	30.7%	9.9%
IV Percentile	30.1%	7.1%	52.4%	52.4%	7.5%
Term Structure	0.3%	-0.9%	1.1%	0.2%	-0.9%
VWIV	29.9%	25.9%	35.8%	35.8%	27.1%
Skew 25d	3.4%	2.0%	4.4%	4.0%	2.4%
Skew 10d	6.3%	3.2%	8.0%	7.5%	4.3%
Call IV 25d	27.6%	23.6%	32.3%	32.3%	25.4%
Put IV 25d	31.0%	27.4%	36.3%	36.3%	27.8%
Bid-Ask Spread %	5.01	2.69	8.38	3.70	2.69
Gamma HHI	0.10	0.07	0.31	0.07	0.10
Net GEX	150.5M	8.3M	257.7M	59.7M	160.0M
Net DEX	-5.81B	-8.62B	-3.02B	-3.12B	-7.88B
Net VEX	-22.5M	-24.0M	-20.9M	-23.2M	-23.2M
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	0.89	0.66	1.18	1.13	0.98
Total Volume	1,358,708.636	712,260	3,099,290	898,790	1,135,970
Total OI	8,480,099.545	7,528,580	9,144,800	8,247,280	8,899,430

Daily Data (22 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
2018-05-01	$31.10	$33.00	34.4%	10.1%	45.6%	30.7%	35.8%	4.0%	0.2%	59.7M	-3.12B	-23.2M	1.13	3.70	N/A	N/A	421,760	477,030	3,952,480	4,294,800
2018-05-02	$31.49	$33.00	33.3%	9.7%	45.2%	28.1%	34.7%	4.0%	0.5%	98.1M	-3.75B	-23.2M	0.99	4.57	N/A	N/A	397,870	393,440	4,004,570	4,328,370
2018-05-03	$31.10	$25.00	31.8%	9.4%	45.3%	24.3%	33.8%	4.0%	0.4%	39.9M	-3.02B	-22.4M	1.18	5.93	N/A	N/A	537,300	634,420	4,066,000	4,406,640
2018-05-04	$32.00	$25.00	30.2%	9.0%	45.3%	20.3%	32.4%	3.9%	0.6%	247.0M	-4.79B	-22.8M	0.84	6.31	N/A	N/A	1,022,820	857,930	4,123,020	4,403,180
2018-05-07	$32.57	$25.00	30.7%	9.0%	45.5%	21.5%	32.2%	3.6%	0.5%	144.8M	-5.41B	-22.0M	0.89	7.52	N/A	N/A	689,330	614,370	3,880,000	4,161,480
2018-05-08	$32.57	$25.00	30.8%	9.1%	45.2%	21.6%	32.0%	3.5%	0.7%	131.6M	-5.29B	-22.3M	0.94	6.00	N/A	N/A	367,950	344,310	3,999,990	4,341,650
2018-05-09	$32.97	$25.00	30.4%	8.9%	44.7%	20.7%	31.4%	3.7%	0.6%	174.9M	-6.07B	-22.1M	1.01	6.97	N/A	N/A	714,920	723,250	4,056,050	4,407,440
2018-05-10	$32.87	$27.00	30.0%	8.7%	44.5%	19.8%	31.3%	3.5%	0.4%	159.6M	-5.92B	-22.1M	0.89	6.22	N/A	N/A	600,300	531,480	4,127,900	4,519,320
2018-05-11	$32.64	$27.00	27.6%	8.1%	44.6%	13.6%	29.1%	3.3%	1.1%	113.6M	-5.38B	-21.6M	0.80	8.38	N/A	N/A	596,830	479,040	4,210,700	4,583,910
2018-05-14	$32.87	$27.00	27.0%	7.8%	44.1%	12.0%	28.5%	3.7%	0.7%	169.9M	-5.64B	-20.9M	0.94	5.07	N/A	N/A	419,610	393,280	3,966,090	4,294,920
2018-05-15	$32.54	$27.00	28.3%	8.2%	28.8%	15.5%	29.0%	4.4%	0.5%	127.6M	-4.86B	-21.1M	0.67	4.24	N/A	N/A	636,370	424,000	4,016,300	4,382,250
2018-05-16	$32.82	$28.00	27.8%	8.0%	29.0%	14.1%	28.0%	4.0%	0.7%	175.7M	-5.54B	-21.4M	0.81	3.09	N/A	N/A	713,360	578,140	4,084,420	4,470,450
2018-05-17	$32.53	$30.00	27.6%	7.9%	29.1%	13.5%	27.6%	4.0%	0.5%	99.9M	-4.47B	-22.2M	0.71	3.87	N/A	N/A	809,190	577,930	4,257,540	4,667,940
2018-05-18	$32.47	$30.00	25.4%	7.2%	27.9%	8.1%	25.9%	3.8%	1.0%	8.3M	-4.26B	-22.6M	1.04	4.30	N/A	N/A	517,390	537,200	4,372,450	4,772,350
2018-05-21	$33.10	$30.00	27.1%	7.7%	26.8%	12.3%	27.2%	3.4%	0.4%	156.5M	-5.45B	-22.7M	0.66	3.79	N/A	N/A	759,050	502,760	3,532,480	3,996,100
2018-05-22	$33.20	$30.00	26.4%	7.4%	20.4%	10.6%	26.2%	3.1%	0.4%	175.0M	-5.80B	-22.8M	0.81	4.01	N/A	N/A	697,620	566,820	3,755,400	4,179,770
2018-05-23	$34.47	$30.00	29.5%	8.5%	23.4%	18.3%	30.5%	2.9%	0.1%	232.0M	-8.11B	-22.8M	0.67	4.77	N/A	N/A	1,426,860	962,340	3,904,200	4,324,970
2018-05-24	$34.97	$30.50	28.4%	8.0%	21.6%	15.7%	28.8%	2.1%	0.4%	234.5M	-8.62B	-22.9M	0.81	5.60	N/A	N/A	1,712,130	1,387,160	3,914,160	4,575,980
2018-05-25	$35.03	$31.00	27.8%	7.8%	21.1%	14.1%	27.9%	2.0%	0.3%	257.7M	-8.59B	-23.4M	0.94	4.46	N/A	N/A	1,074,970	1,010,290	4,158,310	4,919,080
2018-05-29	$34.89	$31.00	30.3%	8.7%	21.4%	20.6%	31.1%	2.7%	-0.8%	152.1M	-7.50B	-24.0M	0.96	4.74	N/A	N/A	846,110	810,360	3,909,230	4,559,660
2018-05-30	$35.37	$31.50	26.7%	7.5%	21.0%	11.5%	27.3%	2.3%	-0.8%	193.5M	-8.40B	-22.5M	0.90	3.93	N/A	N/A	520,940	467,390	4,029,660	4,751,550
2018-05-31	$35.14	$31.50	26.1%	7.6%	21.4%	9.9%	27.1%	2.4%	-0.9%	160.0M	-7.88B	-23.2M	0.98	2.69	N/A	N/A	574,210	561,760	4,079,520	4,819,910