NFLX Options History — November 2019

In November 2019, NFLX traded between $28.30 and $31.59. ATM implied volatility averaged 29.9%, placing in the 3.6% IV rank vs the trailing year. The 30-day expected move averaged 8.8%. IV traded below realized volatility by 3.5% (HV 20d: 33.4%). Max pain ranged from $28.00 to $30.00. Net GEX was positive for 19 of 20 trading days. Term structure was in contango for 14 of 20 days. Put/call ratio averaged 0.74.

Notable Days

  • 2019-11-13: Highest Volume — 2,019,300 contracts
  • 2019-11-25: Largest IV drop — 6.3% change
  • 2019-11-21: Highest IV Rank — 9.0%
  • 2019-11-21: Largest Expected Move — 9.4%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$29.92$28.30$31.59$28.67$31.44
Max Pain$29.52$28.00$30.00$28.00$30.00
ATM IV29.9%27.7%32.5%29.4%27.7%
Expected Move8.8%8.2%9.4%8.5%8.2%
HV 20d33.4%22.7%41.7%40.9%22.7%
HV 60d35.2%34.5%36.2%36.0%34.9%
IV Rank3.6%0.0%9.0%2.5%0.0%
IV Percentile9.2%0.0%24.2%4.0%0.0%
Term Structure0.2%-1.4%1.0%0.5%0.3%
VWIV31.4%29.5%33.7%30.4%29.7%
Skew 25d2.9%1.5%3.7%3.3%2.5%
Skew 10d5.5%2.5%7.4%6.9%4.5%
Call IV 25d28.9%26.8%32.8%28.1%26.8%
Put IV 25d31.8%29.3%34.3%31.3%29.3%
Bid-Ask Spread %4.653.377.263.874.10
Gamma HHI0.080.040.430.100.15
Net GEX80.4M-62.8M271.6M59.0M161.8M
Net DEX-975.5M-2.93B1.45B437.0M-2.61B
Net VEX-31.1M-32.4M-29.6M-30.8M-30.9M
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.740.570.950.790.63
Total Volume1,267,758648,3702,019,3001,690,440664,600
Total OI9,282,728.57,918,65010,408,3409,986,4708,946,030

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2019-11-01$28.67$28.0029.4%8.5%40.9%2.5%30.4%3.3%0.5%59.0M437.0M-30.8M0.793.87N/AN/A946,540743,9004,309,8305,676,640
2019-11-04$29.31$29.0030.6%9.1%41.5%5.1%32.7%3.3%0.7%55.5M-566.8M-31.5M0.854.74N/AN/A616,250524,4304,084,2905,372,790
2019-11-05$28.82$29.0030.0%9.0%41.7%3.8%32.0%3.5%0.9%21.0M351.4M-31.0M0.914.41N/AN/A398,560362,3204,161,5805,486,790
2019-11-06$28.86$29.0029.1%8.8%41.1%1.8%31.2%3.3%1.0%27.8M283.9M-31.2M0.864.73N/AN/A348,490299,8804,244,7205,556,560
2019-11-07$28.85$29.0030.7%9.0%37.7%5.4%32.9%3.4%0.5%38.1M238.9M-31.0M0.667.26N/AN/A805,790534,8104,306,6005,590,670
2019-11-08$29.15$29.0029.0%8.8%37.4%1.7%31.6%3.2%0.7%57.0M-296.4M-30.7M0.745.11N/AN/A708,890523,7904,376,9305,662,600
2019-11-11$29.48$29.5029.4%8.7%37.6%2.6%31.2%3.4%0.8%57.7M-572.8M-30.3M0.854.95N/AN/A435,300369,7704,072,8005,440,330
2019-11-12$29.12$29.5029.2%8.6%37.8%2.2%29.9%3.3%0.8%28.5M55.7M-29.9M0.764.08N/AN/A538,200406,8304,170,7605,530,090
2019-11-13$28.30$29.5030.6%8.9%39.2%5.0%31.4%3.7%0.4%-62.8M1.45B-29.6M0.853.37N/AN/A1,089,130930,1704,323,1405,626,330
2019-11-14$28.97$29.5029.6%8.7%38.8%3.0%31.5%3.0%0.8%15.8M167.4M-30.6M0.853.55N/AN/A795,300678,4704,476,7905,736,280
2019-11-15$29.54$29.5029.1%8.5%31.8%1.9%30.1%3.2%0.7%271.6M-1.12B-30.9M0.615.13N/AN/A1,131,880695,3204,552,4005,855,940
2019-11-18$30.29$30.0030.6%8.8%32.8%5.0%31.8%2.7%-0.9%51.3M-1.18B-31.3M0.583.67N/AN/A1,115,470650,0003,489,6004,429,050
2019-11-19$30.37$30.0030.8%8.8%27.3%5.4%31.8%2.5%-0.7%67.6M-1.34B-31.8M0.683.63N/AN/A620,050422,7603,717,8004,581,920
2019-11-20$30.48$30.0031.2%8.9%27.0%6.3%32.1%2.0%-0.8%86.6M-1.55B-31.8M0.586.54N/AN/A853,390496,1803,798,4804,633,410
2019-11-21$31.17$30.0032.5%9.4%27.4%9.0%33.7%1.5%-1.4%135.8M-2.68B-32.1M0.576.11N/AN/A1,076,100614,2203,953,6204,697,790
2019-11-22$31.03$30.0032.0%9.3%27.0%8.0%33.1%2.5%-1.1%175.9M-2.35B-32.4M0.645.86N/AN/A1,090,770695,5704,076,9104,814,880
2019-11-25$31.49$30.0029.9%8.8%26.7%3.7%32.1%2.3%0.2%99.8M-2.61B-31.5M0.834.83N/AN/A711,140591,3703,823,9504,577,780
2019-11-26$31.45$30.0028.3%8.2%26.6%0.2%29.7%2.6%-0.1%112.3M-2.69B-31.5M0.953.55N/AN/A427,250407,0203,996,8404,690,770
2019-11-27$31.59$30.0028.1%8.3%24.0%0.0%29.5%2.6%0.1%147.4M-2.93B-31.3M0.693.58N/AN/A612,710422,5404,058,7204,752,160
2019-11-29$31.44$30.0027.7%8.2%22.7%0.0%29.7%2.5%0.3%161.8M-2.61B-30.9M0.634.10N/AN/A407,790256,8104,137,4804,808,550