NFLX Options History — September 2018

In September 2018, NFLX traded between $34.22 and $38.08. ATM implied volatility averaged 42.7%, placing in the 51.9% IV rank vs the trailing year. The 30-day expected move averaged 13.6%. IV traded above realized volatility by 3.4% (HV 20d: 39.3%). Max pain ranged from $34.00 to $34.50. Net GEX was positive for 17 of 19 trading days. Term structure was in contango for 5 of 19 days. Put/call ratio averaged 0.62.

Notable Days

  • 2018-09-05: Highest Volume — 2,507,800 contracts
  • 2018-09-17: Largest IV spike — 22.9% change
  • 2018-09-19: Highest IV Rank — 68.8%
  • 2018-09-28: Largest Expected Move — 15.1%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$36.26$34.22$38.08$36.39$37.49
Max Pain$34.17$34.00$34.50$34.25$34.50
ATM IV42.7%34.9%49.4%35.0%48.4%
Expected Move13.6%10.1%15.1%10.1%15.1%
HV 20d39.3%33.4%42.5%33.4%37.3%
HV 60d37.6%35.9%39.8%37.6%36.3%
IV Rank51.9%32.0%68.8%32.3%66.1%
IV Percentile71.8%49.2%86.1%51.6%84.1%
Term Structure1.8%-2.3%13.5%-0.6%-2.3%
VWIV47.5%36.0%52.8%36.0%52.8%
Skew 25d3.3%0.2%4.6%0.2%3.1%
Skew 10d6.1%0.3%8.7%0.3%5.2%
Call IV 25d41.2%31.5%47.4%35.6%47.4%
Put IV 25d44.5%34.3%51.3%35.8%50.5%
Bid-Ask Spread %6.223.289.806.963.28
Gamma HHI0.050.030.060.040.05
Net GEX104.8M-47.9M254.2M72.0M145.8M
Net DEX-4.97B-7.14B-983.7M-5.42B-5.90B
Net VEX-37.5M-40.3M-35.5M-38.5M-35.7M
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.620.410.790.720.64
Total Volume1,712,195.789976,2602,507,8001,375,0601,569,570
Total OI10,385,5208,605,10011,289,66010,146,5809,625,430

Daily Data (19 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2018-09-04$36.39$34.2535.0%10.1%33.4%32.3%36.0%0.2%-0.6%72.0M-5.42B-38.5M0.726.96N/AN/A801,410573,6504,657,2605,489,320
2018-09-05$34.22$34.5039.0%11.8%40.3%42.4%41.2%3.7%-0.8%-47.9M-983.7M-39.4M0.795.07N/AN/A1,403,3601,104,4404,904,3505,712,980
2018-09-06$34.71$34.0038.6%13.4%40.5%41.3%46.5%3.8%-0.5%-15.3M-2.02B-40.3M0.697.82N/AN/A1,439,690992,9705,141,4505,865,860
2018-09-07$34.88$34.0036.9%13.2%40.6%37.2%45.8%3.7%-0.4%6.7M-2.45B-40.0M0.669.80N/AN/A1,268,020832,4105,295,9505,973,230
2018-09-10$34.83$34.0036.9%13.3%40.3%37.2%47.5%3.8%9.8%6.3M-2.58B-38.7M0.757.41N/AN/A557,390418,8704,775,6405,626,950
2018-09-11$35.50$34.0035.5%13.2%40.6%33.6%46.1%3.5%10.5%62.2M-4.00B-38.3M0.706.35N/AN/A724,430508,5104,853,6205,708,820
2018-09-12$36.72$34.0034.9%13.2%41.7%32.0%46.5%3.1%11.0%160.0M-6.62B-37.7M0.566.30N/AN/A1,357,860763,0204,945,7305,782,640
2018-09-13$36.83$34.0036.9%12.9%39.2%37.0%46.0%3.0%10.3%175.1M-6.82B-37.9M0.545.34N/AN/A1,112,420606,0605,035,6305,910,790
2018-09-14$36.50$34.0037.5%13.2%39.0%38.7%46.5%2.8%13.5%106.0M-6.07B-37.5M0.766.50N/AN/A835,020635,9805,157,2005,974,580
2018-09-17$35.06$34.0046.1%14.0%41.7%60.4%48.6%4.6%-1.7%20.6M-2.94B-37.7M0.636.92N/AN/A900,980569,1304,886,2105,652,580
2018-09-18$36.51$34.0046.0%13.6%42.5%60.0%47.6%4.1%-1.6%136.0M-5.97B-37.2M0.575.31N/AN/A946,060540,0405,025,1105,739,620
2018-09-19$36.60$34.0049.4%14.2%41.4%68.8%49.3%3.7%-1.6%173.0M-6.38B-37.2M0.415.04N/AN/A1,521,670626,7605,168,0705,813,040
2018-09-20$36.54$34.0048.6%14.0%41.0%66.7%49.3%3.7%-1.9%192.5M-6.31B-36.7M0.547.81N/AN/A810,900437,8905,320,3805,876,910
2018-09-21$36.20$34.0047.9%13.9%40.6%64.8%48.2%3.2%-2.1%55.5M-5.50B-36.1M0.627.05N/AN/A1,252,430781,1005,373,6205,916,040
2018-09-24$36.95$34.5049.3%14.7%36.6%68.4%51.3%2.9%-1.9%123.2M-5.12B-36.1M0.546.07N/AN/A1,116,460601,8604,000,8504,604,250
2018-09-25$36.99$34.5049.2%14.8%36.2%68.3%51.0%3.2%-1.9%135.4M-5.18B-36.3M0.594.92N/AN/A644,010380,2804,139,4904,773,080
2018-09-26$37.96$34.5048.2%14.6%36.8%65.7%51.2%3.1%-2.1%229.5M-6.99B-35.5M0.485.78N/AN/A1,620,480785,5404,262,0504,868,690
2018-09-27$38.08$34.5047.7%14.7%36.8%64.4%51.3%2.6%-2.1%254.2M-7.14B-35.7M0.564.50N/AN/A955,850535,2004,415,6405,051,820
2018-09-28$37.49$34.5048.4%15.1%37.3%66.1%52.8%3.1%-2.3%145.8M-5.90B-35.7M0.643.28N/AN/A959,790609,7804,508,1605,117,270