NFLX Options History — September 2019 In September 2019, NFLX traded between $25.37 and $29.86. ATM implied volatility averaged 42.3%, placing in the 30.2% IV rank vs the trailing year. The 30-day expected move averaged 13.6%. IV traded above realized volatility by 12.4% (HV 20d: 29.9%). Max pain ranged from $29.00 to $31.00. Net GEX was positive for 4 of 20 trading days. Term structure was in contango for 8 of 20 days. Put/call ratio averaged 0.82.
Notable Days 2019-09-20 : Highest Volume — 6,034,540 contracts2019-09-16 : Largest IV spike — 23.6% change2019-09-24 : Highest IV Rank — 58.0%2019-09-30 : Largest Expected Move — 18.2%Monthly Statistics Metric Avg Min Max Open Close Price $28.17 $25.37 $29.86 $28.89 $26.54 Max Pain $29.90 $29.00 $31.00 $31.00 $29.00 ATM IV 42.3% 31.2% 55.4% 35.4% 53.8% Expected Move 13.6% 9.7% 18.2% 10.3% 18.2% HV 20d 29.9% 22.3% 37.9% 32.0% 36.9% HV 60d 37.9% 36.7% 39.9% 37.7% 39.7% IV Rank 30.2% 6.3% 58.0% 15.3% 54.7% IV Percentile 50.7% 10.7% 89.3% 30.6% 85.7% Term Structure 1.2% -3.7% 11.7% -0.0% -2.9% VWIV 47.5% 33.5% 64.4% 35.7% 64.4% Skew 25d 5.3% 2.3% 8.6% 6.0% 5.0% Skew 10d 9.4% 3.5% 15.0% 10.9% 9.3% Call IV 25d 40.1% 28.2% 54.0% 33.0% 50.9% Put IV 25d 45.4% 32.2% 60.2% 39.0% 55.9% Bid-Ask Spread % 8.33 3.75 13.02 3.76 10.24 Gamma HHI 0.07 0.04 0.40 0.06 0.04 Net GEX -50.1M -236.2M 47.0M -78.8M -27.3M Net DEX 2.99B 1.24B 5.44B 3.11B 2.94B Net VEX -28.8M -31.4M -26.0M -28.4M -31.4M Div Yield 0.0% 0.0% 0.0% 0.0% 0.0% P/C Ratio 0.82 0.55 1.09 0.79 0.88 Total Volume 2,016,119 880,560 6,034,540 880,560 999,080 Total OI 9,254,708 7,955,350 10,905,470 7,955,350 9,960,400
Daily Data (20 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 2019-09-03 $28.89 $31.00 35.4% 10.3% 32.0% 15.3% 35.7% 6.0% -0.0% -78.8M 3.11B -28.4M 0.79 3.76 N/A N/A 491,600 388,960 3,639,080 4,316,270 2019-09-04 $29.20 $31.00 33.9% 9.7% 32.1% 12.1% 33.5% 5.3% 0.1% -59.2M 2.70B -28.7M 0.71 8.29 N/A N/A 741,200 528,960 3,767,530 4,392,150 2019-09-05 $29.28 $30.00 32.4% 11.6% 31.5% 8.9% 41.0% 5.1% 0.5% -29.5M 2.41B -28.7M 0.75 11.59 N/A N/A 1,034,180 777,120 3,936,320 4,438,450 2019-09-06 $29.11 $30.00 31.2% 11.4% 28.0% 6.3% 38.5% 5.3% 0.4% -50.9M 2.67B -27.9M 0.87 11.02 N/A N/A 792,040 686,040 4,026,200 4,566,020 2019-09-09 $29.43 $30.00 31.6% 11.8% 27.9% 7.2% 40.6% 4.8% 9.2% -32.2M 2.12B -28.5M 0.72 10.11 N/A N/A 1,100,230 797,410 3,794,440 4,385,590 2019-09-10 $28.67 $30.00 33.3% 12.3% 29.0% 10.7% 42.1% 5.6% 9.8% -85.1M 3.37B -27.9M 0.88 11.83 N/A N/A 1,251,360 1,106,890 4,029,570 4,610,710 2019-09-11 $28.70 $30.00 31.7% 12.1% 29.0% 7.4% 41.2% 4.9% 10.6% -73.6M 3.18B -28.1M 0.86 12.12 N/A N/A 940,810 804,760 4,265,140 4,742,440 2019-09-12 $28.98 $30.00 32.7% 11.9% 26.1% 9.6% 40.6% 4.4% 11.2% -41.0M 2.70B -28.6M 0.71 9.46 N/A N/A 624,680 445,080 4,445,440 4,867,140 2019-09-13 $29.41 $30.00 33.8% 11.8% 26.3% 11.9% 41.1% 4.0% 11.7% 47.0M 1.87B -29.2M 0.80 13.02 N/A N/A 1,205,930 968,740 4,552,600 4,913,700 2019-09-16 $29.39 $30.00 41.8% 12.8% 24.6% 28.9% 44.5% 5.6% -1.8% -45.1M 2.26B -29.2M 0.61 10.95 N/A N/A 788,560 480,050 4,256,490 4,801,960 2019-09-17 $29.86 $30.00 43.5% 12.9% 23.6% 32.6% 45.0% 5.1% -1.5% 25.7M 1.24B -29.6M 0.55 5.71 N/A N/A 722,830 396,530 4,401,910 4,870,150 2019-09-18 $29.13 $30.00 46.1% 13.2% 22.3% 38.2% 45.5% 4.9% -2.0% -70.1M 2.72B -28.2M 0.76 8.08 N/A N/A 1,104,940 844,180 4,518,160 4,905,570 2019-09-19 $28.62 $30.00 46.0% 13.3% 22.9% 37.8% 45.9% 4.2% -1.9% -136.3M 3.48B -28.0M 0.68 4.56 N/A N/A 1,283,100 878,660 4,723,790 4,978,180 2019-09-20 $26.93 $30.00 49.8% 14.5% 30.9% 46.1% 50.6% 2.3% -2.6% -236.2M 5.44B -26.0M 0.88 4.65 N/A N/A 3,217,280 2,817,260 5,022,610 4,977,360 2019-09-23 $26.47 $30.00 52.5% 15.9% 30.5% 51.9% 55.2% 5.1% -2.7% -53.5M 3.67B -28.1M 1.08 3.75 N/A N/A 1,165,300 1,254,200 4,400,490 4,435,410 2019-09-24 $25.37 $29.50 55.4% 16.8% 32.8% 58.0% 61.4% 8.6% -3.3% -71.2M 4.72B -27.1M 1.09 4.46 N/A N/A 1,627,470 1,771,080 4,699,500 4,750,140 2019-09-25 $26.59 $29.50 53.8% 16.6% 37.9% 54.5% 58.7% 7.3% -3.1% 28.9M 2.86B -30.9M 0.80 4.66 N/A N/A 1,532,060 1,231,300 5,071,410 5,099,300 2019-09-26 $26.44 $29.00 53.6% 16.9% 37.8% 54.2% 60.6% 6.4% -3.3% 36.0M 3.09B -31.2M 0.93 5.96 N/A N/A 829,060 767,770 5,236,900 5,390,170 2019-09-27 $26.31 $29.00 54.7% 17.6% 36.7% 56.6% 63.2% 6.3% -3.7% -49.6M 3.19B -31.2M 1.05 12.39 N/A N/A 941,100 984,580 5,412,070 5,493,400 2019-09-30 $26.54 $29.00 53.8% 18.2% 36.9% 54.7% 64.4% 5.0% -2.9% -27.3M 2.94B -31.4M 0.88 10.24 N/A N/A 531,120 467,960 4,753,450 5,206,950
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