NFLX Options History — July 2018 In July 2018, NFLX traded between $33.52 and $41.90. ATM implied volatility averaged 42.1%, placing in the 50.2% IV rank vs the trailing year. The 30-day expected move averaged 12.0%. IV traded above realized volatility by 2.9% (HV 20d: 39.2%). Max pain ranged from $36.00 to $38.00. Net GEX was positive for 11 of 21 trading days. Term structure was in contango for 7 of 21 days. Put/call ratio averaged 0.81.
Notable Days 2018-07-17 : Highest Volume — 9,761,440 contracts2018-07-17 : Largest IV drop — 25.8% change2018-07-03 : Highest IV Rank — 86.9%2018-07-03 : Largest Expected Move — 18.9%Monthly Statistics Metric Avg Min Max Open Close Price $38.13 $33.52 $41.90 $39.61 $33.77 Max Pain $37.07 $36.00 $38.00 $36.00 $37.00 ATM IV 42.1% 29.8% 56.6% 55.5% 33.3% Expected Move 12.0% 8.5% 18.9% 18.2% 9.7% HV 20d 39.2% 32.1% 44.5% 39.5% 37.5% HV 60d 33.9% 31.2% 36.2% 35.9% 34.3% IV Rank 50.2% 19.2% 86.9% 84.3% 28.0% IV Percentile 67.4% 38.9% 96.0% 94.8% 46.4% Term Structure -1.4% -3.0% 0.2% -2.7% -0.9% VWIV 42.1% 30.2% 64.6% 61.8% 35.0% Skew 25d 2.1% 0.0% 4.1% 4.1% 2.7% Skew 10d 3.5% -1.1% 8.9% 8.9% 4.9% Call IV 25d 41.1% 29.7% 54.1% 52.5% 32.3% Put IV 25d 43.2% 30.6% 57.9% 56.6% 34.9% Bid-Ask Spread % 5.15 2.15 11.00 9.54 4.49 Gamma HHI 0.07 0.04 0.27 0.04 0.05 Net GEX 12.6M -216.1M 188.3M 57.3M -83.6M Net DEX -3.94B -9.26B 2.26B -6.00B 1.84B Net VEX -29.7M -33.0M -26.0M -29.4M -31.6M Div Yield 0.0% 0.0% 0.0% 0.0% 0.0% P/C Ratio 0.81 0.54 1.11 0.81 1.05 Total Volume 2,682,955.714 968,850 9,761,440 1,264,870 2,147,970 Total OI 9,590,869.524 8,176,190 12,412,170 8,176,190 10,070,520
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 2018-07-02 $39.61 $36.00 55.5% 18.2% 39.5% 84.3% 61.8% 4.1% -2.7% 57.3M -6.00B -29.4M 0.81 9.54 N/A N/A 700,190 564,680 3,771,530 4,404,660 2018-07-03 $39.05 $36.00 56.6% 18.9% 40.0% 86.9% 64.6% 3.7% -3.0% 44.8M -5.36B -29.9M 0.70 11.00 N/A N/A 568,270 400,580 3,915,250 4,552,860 2018-07-05 $39.77 $37.00 53.9% 14.1% 40.2% 80.0% 49.7% 3.6% -2.8% 126.7M -6.54B -29.1M 0.67 4.87 N/A N/A 788,280 531,330 4,015,440 4,632,740 2018-07-06 $40.77 $37.00 52.9% 14.0% 40.6% 77.6% 49.3% 3.5% -3.0% 188.3M -8.45B -27.4M 0.77 7.33 N/A N/A 1,277,320 985,480 4,127,030 4,744,920 2018-07-09 $41.77 $37.00 51.2% 13.7% 40.9% 73.4% 48.4% 3.1% -2.7% 143.7M -9.03B -26.0M 0.72 2.63 N/A N/A 1,201,690 868,260 3,841,210 4,491,400 2018-07-10 $41.58 $37.00 51.9% 14.0% 41.1% 75.0% 49.3% 2.7% -2.6% 137.3M -8.71B -26.5M 0.81 4.08 N/A N/A 818,290 664,480 4,012,230 4,733,490 2018-07-11 $41.90 $37.00 50.7% 13.8% 41.1% 72.1% 48.5% 2.5% -2.6% 170.2M -9.26B -26.3M 0.78 4.11 N/A N/A 845,270 660,620 4,161,070 4,905,210 2018-07-12 $41.27 $37.00 50.8% 13.8% 39.1% 72.3% 48.6% 2.6% -3.0% 89.6M -8.02B -26.9M 0.54 10.99 N/A N/A 1,615,130 875,740 4,276,860 5,022,100 2018-07-13 $39.62 $37.50 50.2% 13.8% 40.5% 70.7% 48.2% 2.4% -2.9% -72.4M -4.56B -27.2M 0.60 6.32 N/A N/A 2,879,300 1,717,300 4,501,670 5,193,220 2018-07-16 $39.99 $37.50 48.8% 13.8% 40.6% 67.1% 48.2% 2.0% -2.3% 85.6M -6.48B -27.8M 0.79 5.32 N/A N/A 1,552,190 1,220,290 4,087,250 4,586,930 2018-07-17 $38.04 $38.00 36.2% 10.3% 44.5% 35.4% 36.6% 0.7% -0.4% -27.2M -3.57B -27.0M 0.85 2.15 N/A N/A 5,273,600 4,487,840 4,512,050 5,068,140 2018-07-18 $37.43 $37.00 34.4% 9.9% 42.9% 30.8% 34.6% 0.0% -0.1% -25.0M -3.63B -31.4M 0.85 3.06 N/A N/A 2,001,470 1,703,780 5,465,150 5,898,090 2018-07-19 $36.43 $37.50 34.7% 9.9% 41.5% 31.6% 35.1% 0.8% 0.0% -147.5M -1.24B -33.0M 0.84 3.37 N/A N/A 1,969,260 1,652,130 5,904,620 6,183,660 2018-07-20 $36.10 $37.50 33.0% 9.4% 41.5% 27.2% 33.3% 1.0% 0.0% -216.1M -752.1M -32.8M 0.99 5.38 N/A N/A 1,948,720 1,937,260 6,162,600 6,249,570 2018-07-23 $36.22 $37.50 32.2% 9.3% 41.7% 25.3% 32.9% 1.0% 0.1% -24.2M -1.27B -32.7M 0.74 3.11 N/A N/A 1,052,780 775,650 4,232,370 4,885,470 2018-07-24 $35.67 $37.00 31.9% 9.2% 35.4% 24.5% 32.5% 1.0% 0.1% -52.0M -397.4M -32.5M 0.73 3.03 N/A N/A 1,097,570 799,250 4,455,320 5,062,690 2018-07-25 $36.25 $37.00 29.8% 8.5% 32.3% 19.2% 30.2% 1.0% 0.2% 26.1M -1.63B -32.4M 0.92 4.88 N/A N/A 801,420 741,030 4,633,690 5,217,350 2018-07-26 $36.31 $37.00 30.6% 8.7% 32.1% 21.2% 30.9% 1.0% 0.2% 50.1M -1.83B -32.8M 0.78 3.60 N/A N/A 899,180 701,410 4,749,600 5,319,110 2018-07-27 $35.56 $37.00 30.2% 8.6% 32.6% 20.3% 30.5% 1.5% 0.1% -111.2M -111.6M -31.9M 0.90 4.97 N/A N/A 1,354,700 1,217,710 4,804,400 5,345,750 2018-07-30 $33.52 $37.00 34.7% 10.4% 37.7% 31.5% 36.8% 2.5% -0.9% -95.4M 2.26B -29.9M 1.11 3.92 N/A N/A 1,441,980 1,602,670 4,239,700 4,971,340 2018-07-31 $33.77 $37.00 33.3% 9.7% 37.5% 28.0% 35.0% 2.7% -0.9% -83.6M 1.84B -31.6M 1.05 4.49 N/A N/A 1,045,490 1,102,480 4,685,100 5,385,420
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