NFLX Options History — December 2019 In December 2019, NFLX traded between $29.27 and $33.55. ATM implied volatility averaged 33.3%, placing in the 15.3% IV rank vs the trailing year. The 30-day expected move averaged 8.9%. IV traded above realized volatility by 7.5% (HV 20d: 25.8%). Max pain ranged from $30.00 to $31.00. Net GEX was positive for 17 of 21 trading days. Term structure was in contango for 15 of 21 days. Put/call ratio averaged 0.74.
Notable Days 2019-12-19 : Highest Volume — 2,703,510 contracts2019-12-23 : Largest IV spike — 20.9% change2019-12-30 : Highest IV Rank — 46.1%2019-12-10 : Largest Expected Move — 11.2%Monthly Statistics Metric Avg Min Max Open Close Price $31.46 $29.27 $33.55 $31.03 $32.29 Max Pain $30.21 $30.00 $31.00 $30.00 $31.00 ATM IV 33.3% 25.9% 45.4% 30.3% 44.3% Expected Move 8.9% 7.7% 11.2% 9.2% 8.2% HV 20d 25.8% 22.5% 28.7% 23.5% 28.2% HV 60d 33.3% 31.2% 35.6% 35.0% 31.2% IV Rank 15.3% 0.0% 46.1% 5.7% 43.6% IV Percentile 29.0% 0.0% 80.6% 15.1% 77.0% Term Structure 4.4% -2.8% 15.2% 0.3% -2.3% VWIV 31.7% 27.4% 38.7% 33.6% 29.4% Skew 25d 3.0% 0.7% 3.8% 3.4% 3.6% Skew 10d 5.8% 1.4% 8.4% 6.3% 6.8% Call IV 25d 31.6% 24.2% 44.3% 28.9% 41.8% Put IV 25d 34.6% 27.8% 47.5% 32.4% 45.5% Bid-Ask Spread % 5.86 2.87 11.95 3.99 3.00 Gamma HHI 0.06 0.04 0.29 0.04 0.04 Net GEX 74.3M -57.1M 363.9M 44.9M -4.3M Net DEX -2.21B -6.74B 1.06B -1.61B -2.15B Net VEX -29.1M -31.0M -28.0M -30.6M -28.0M Div Yield 0.0% 0.0% 0.0% 0.0% 0.0% P/C Ratio 0.74 0.50 1.00 0.96 1.00 Total Volume 1,297,740 455,360 2,703,510 988,350 918,930 Total OI 8,839,737.619 8,292,690 10,093,050 8,301,760 8,538,590
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 2019-12-02 $31.03 $30.00 30.3% 9.2% 23.5% 5.7% 33.6% 3.4% 0.3% 44.9M -1.61B -30.6M 0.96 3.99 N/A N/A 503,100 485,250 3,775,060 4,526,700 2019-12-03 $30.61 $30.00 30.8% 9.3% 23.3% 6.6% 33.1% 3.8% 0.8% 20.0M -948.4M -31.0M 0.93 5.90 N/A N/A 365,090 338,050 3,875,850 4,662,580 2019-12-04 $30.41 $30.00 28.1% 8.4% 22.5% 0.9% 29.8% 3.5% 1.0% 2.1M -605.2M -30.4M 0.69 3.09 N/A N/A 372,190 254,970 3,912,600 4,726,440 2019-12-05 $30.30 $30.00 28.1% 10.5% 22.6% 1.0% 37.0% 3.7% 0.7% -33.7M -309.7M -30.0M 0.69 9.45 N/A N/A 629,250 435,910 3,904,970 4,774,310 2019-12-06 $30.74 $30.00 25.9% 10.3% 22.9% 0.0% 36.5% 3.5% 0.9% 107.0M -1.21B -29.6M 0.79 10.21 N/A N/A 561,560 441,950 3,963,340 4,812,920 2019-12-09 $30.31 $30.00 27.4% 10.5% 23.6% 2.9% 37.5% 3.2% 9.9% 15.7M -472.4M -29.2M 0.72 11.95 N/A N/A 498,550 359,870 3,793,250 4,635,710 2019-12-10 $29.27 $30.00 30.7% 11.2% 26.6% 9.8% 38.7% 3.6% 8.0% -57.1M 1.06B -28.8M 0.83 11.45 N/A N/A 1,138,580 941,350 3,884,110 4,680,260 2019-12-11 $29.90 $30.00 29.0% 10.7% 27.3% 6.3% 36.7% 2.5% 8.2% 20.4M -254.4M -29.8M 0.78 11.34 N/A N/A 624,340 485,520 4,221,350 4,827,100 2019-12-12 $29.84 $30.00 31.1% 10.4% 25.0% 10.6% 36.6% 3.7% 5.5% 28.8M -147.3M -29.5M 0.85 10.96 N/A N/A 456,280 385,820 4,293,830 4,903,990 2019-12-13 $29.80 $30.00 27.7% 8.0% 23.8% 3.5% 28.4% 3.1% 0.4% -31.9M -53.6M -28.6M 0.85 4.46 N/A N/A 593,200 505,810 4,244,150 4,957,820 2019-12-16 $30.42 $30.00 27.1% 7.8% 23.9% 2.3% 28.4% 2.9% 13.2% 44.4M -1.14B -28.4M 0.74 2.87 N/A N/A 628,280 463,800 4,040,580 4,754,710 2019-12-17 $31.63 $30.00 27.8% 8.0% 26.1% 3.9% 28.7% 2.4% 13.7% 149.5M -3.48B -28.4M 0.51 4.36 N/A N/A 1,506,300 775,590 4,170,330 4,841,890 2019-12-18 $32.15 $30.00 28.2% 8.1% 26.6% 4.6% 28.9% 1.8% 14.2% 216.8M -4.46B -28.9M 0.52 4.72 N/A N/A 1,675,580 867,150 4,413,860 4,997,660 2019-12-19 $33.19 $30.00 31.9% 8.3% 28.5% 12.1% 29.6% 1.9% 14.5% 236.9M -6.21B -29.1M 0.50 3.55 N/A N/A 1,807,160 896,350 4,615,390 5,151,660 2019-12-20 $33.55 $30.00 33.2% 7.9% 27.8% 14.9% 28.2% 0.7% 15.2% 363.9M -6.74B -28.7M 0.63 2.87 N/A N/A 1,411,670 894,100 4,788,190 5,304,860 2019-12-23 $33.35 $30.50 40.2% 7.7% 27.9% 29.0% 27.7% 3.1% -2.3% 138.4M -4.18B -28.9M 0.53 2.93 N/A N/A 907,320 479,270 3,926,990 4,422,390 2019-12-24 $33.29 $30.50 41.9% 7.7% 27.6% 32.5% 27.4% 3.2% -2.1% 131.0M -4.05B -28.9M 0.79 4.03 N/A N/A 253,990 201,370 4,011,180 4,572,980 2019-12-26 $33.23 $30.50 44.5% 8.0% 27.6% 41.7% 28.6% 2.9% -2.5% 117.9M -3.96B -28.2M 0.69 3.95 N/A N/A 544,380 375,180 4,034,720 4,591,450 2019-12-27 $32.89 $31.00 45.4% 8.3% 28.0% 43.7% 30.6% 3.3% -2.8% 20.7M -3.21B -28.8M 0.74 4.03 N/A N/A 718,650 529,580 4,109,070 4,678,960 2019-12-30 $32.35 $31.00 45.3% 8.4% 28.7% 46.1% 30.1% 3.5% -2.3% 29.3M -2.30B -28.4M 0.83 4.00 N/A N/A 556,950 464,300 3,840,960 4,451,730 2019-12-31 $32.29 $31.00 44.3% 8.2% 28.2% 43.6% 29.4% 3.6% -2.3% -4.3M -2.15B -28.0M 1.00 3.00 N/A N/A 459,470 459,460 3,948,480 4,590,110
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