NFLX Options History — January 2020 In January 2020, NFLX traded between $32.57 and $35.31. ATM implied volatility averaged 38.9%, placing in the 38.8% IV rank vs the trailing year. The 30-day expected move averaged 10.3%. IV traded above realized volatility by 7.2% (HV 20d: 31.7%). Max pain ranged from $29.00 to $32.00. Net GEX was positive for 19 of 21 trading days. Term structure was in contango for 4 of 21 days. Put/call ratio averaged 0.61.
Notable Days 2020-01-24 : Highest Volume — 5,390,920 contracts2020-01-22 : Largest IV drop — 33.7% change2020-01-21 : Highest IV Rank — 64.6%2020-01-21 : Largest Expected Move — 12.9%Monthly Statistics Metric Avg Min Max Open Close Price $33.86 $32.57 $35.31 $32.90 $34.42 Max Pain $30.57 $29.00 $32.00 $31.00 $32.00 ATM IV 38.9% 30.3% 45.7% 44.7% 32.2% Expected Move 10.3% 8.2% 12.9% 8.4% 9.1% HV 20d 31.7% 24.0% 39.4% 28.1% 39.2% HV 60d 30.0% 26.3% 31.7% 31.4% 30.4% IV Rank 38.8% 14.2% 64.6% 44.6% 20.7% IV Percentile 57.3% 18.3% 87.3% 80.2% 32.5% Term Structure -1.5% -2.7% 0.6% -2.5% 0.6% VWIV 36.1% 29.3% 44.7% 30.4% 32.2% Skew 25d 1.9% 0.4% 3.2% 3.2% 3.1% Skew 10d 3.3% -0.2% 6.0% 6.0% 6.0% Call IV 25d 37.8% 29.8% 44.0% 42.9% 31.1% Put IV 25d 39.8% 31.1% 46.1% 46.1% 34.2% Bid-Ask Spread % 5.44 2.81 11.24 3.68 4.60 Gamma HHI 0.07 0.03 0.25 0.06 0.08 Net GEX 104.4M -36.5M 255.6M 54.0M -8.2M Net DEX -3.56B -5.56B -903.3M -3.33B -2.54B Net VEX -26.8M -28.5M -25.1M -27.3M -28.3M Div Yield 0.0% 0.0% 0.0% 0.0% 0.0% P/C Ratio 0.61 0.33 1.04 0.52 0.85 Total Volume 1,966,371.905 998,600 5,390,920 998,600 1,281,020 Total OI 8,182,964.286 5,827,720 9,154,050 8,750,550 7,695,710
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 2020-01-02 $32.90 $31.00 44.7% 8.4% 28.1% 44.6% 30.4% 3.2% -2.5% 54.0M -3.33B -27.3M 0.52 3.68 N/A N/A 657,240 341,360 4,015,240 4,735,310 2020-01-03 $32.71 $31.00 43.3% 8.2% 28.1% 41.3% 29.3% 3.1% -2.4% 88.1M -3.06B -26.9M 1.04 4.36 N/A N/A 491,110 509,200 4,100,240 4,801,300 2020-01-06 $33.58 $29.00 45.0% 11.4% 29.1% 48.5% 39.9% 2.8% -2.3% 111.5M -4.05B -26.8M 0.52 6.31 N/A N/A 1,031,730 533,670 3,792,690 4,432,990 2020-01-07 $33.12 $29.50 43.5% 11.2% 29.6% 44.8% 39.1% 2.4% -2.2% 122.5M -3.52B -26.8M 0.43 4.02 N/A N/A 783,820 333,310 4,021,350 4,575,450 2020-01-08 $34.11 $29.50 44.6% 11.5% 30.2% 52.5% 40.0% 2.2% -2.4% 205.2M -5.21B -26.9M 0.33 3.84 N/A N/A 1,346,230 444,220 4,076,810 4,647,220 2020-01-09 $33.52 $29.50 43.4% 11.3% 27.6% 51.7% 39.2% 2.0% -2.4% 140.8M -4.04B -26.7M 0.44 4.23 N/A N/A 809,050 356,300 4,153,660 4,697,620 2020-01-10 $32.79 $29.50 43.0% 11.3% 28.8% 51.5% 39.2% 1.8% -2.4% 3.9M -2.61B -26.9M 0.65 5.42 N/A N/A 806,490 527,810 4,223,650 4,775,080 2020-01-13 $33.78 $30.00 43.4% 11.6% 30.0% 56.6% 40.3% 2.3% -2.4% 127.9M -4.24B -26.0M 0.49 3.56 N/A N/A 879,930 429,170 3,974,690 4,563,910 2020-01-14 $33.84 $30.00 43.8% 11.7% 30.0% 58.0% 40.8% 1.7% -2.6% 125.4M -4.26B -26.3M 0.38 3.93 N/A N/A 1,020,630 388,020 4,050,790 4,687,700 2020-01-15 $33.81 $30.00 43.0% 11.6% 29.6% 55.8% 40.3% 1.1% -2.6% 124.8M -4.26B -26.0M 0.57 3.17 N/A N/A 636,900 363,250 4,153,050 4,757,480 2020-01-16 $33.84 $30.00 41.8% 11.4% 26.8% 52.1% 39.4% 1.1% -2.5% 125.4M -4.33B -25.7M 0.69 4.42 N/A N/A 651,030 450,650 4,210,960 4,817,590 2020-01-17 $33.93 $30.00 40.5% 11.1% 26.3% 47.6% 38.6% 0.4% -2.7% 171.7M -4.37B -25.4M 0.67 11.15 N/A N/A 808,600 542,370 4,247,980 4,906,070 2020-01-21 $33.95 $30.00 45.7% 12.9% 24.0% 64.6% 44.7% 0.9% -2.5% 53.3M -2.61B -25.4M 0.83 10.94 N/A N/A 1,756,810 1,454,300 2,739,920 3,087,800 2020-01-22 $32.57 $31.00 30.3% 8.7% 28.1% 14.2% 31.0% 0.9% -0.2% -36.5M -903.3M -25.1M 0.79 5.08 N/A N/A 2,590,400 2,041,610 3,443,840 3,842,540 2020-01-23 $34.78 $31.00 31.4% 9.0% 36.8% 17.9% 32.2% 0.8% -0.1% 227.4M -4.60B -26.5M 0.55 11.24 N/A N/A 3,145,470 1,725,850 3,734,580 4,048,360 2020-01-24 $35.31 $31.00 32.3% 9.3% 37.0% 20.7% 32.9% 1.1% -0.3% 255.6M -5.56B -27.3M 0.53 9.64 N/A N/A 3,527,490 1,863,430 3,974,040 4,333,680 2020-01-27 $34.26 $32.00 33.1% 9.6% 38.8% 23.6% 34.3% 2.4% -0.1% 58.4M -2.41B -28.3M 0.68 2.81 N/A N/A 1,147,670 780,930 3,265,960 3,799,960 2020-01-28 $34.97 $32.00 30.9% 8.9% 39.2% 16.5% 31.7% 2.3% 0.2% 100.7M -3.45B -27.9M 0.48 3.79 N/A N/A 1,271,020 605,840 3,340,830 3,960,150 2020-01-29 $34.28 $32.00 31.1% 8.9% 39.4% 16.8% 31.6% 2.4% 0.1% 21.6M -2.27B -28.3M 0.66 4.12 N/A N/A 1,003,640 662,060 3,483,600 4,046,060 2020-01-30 $34.68 $32.00 30.6% 8.6% 39.4% 15.2% 30.6% 2.1% 0.6% 119.1M -3.15B -28.5M 0.63 3.93 N/A N/A 791,900 502,280 3,601,280 4,025,110 2020-01-31 $34.42 $32.00 32.2% 9.1% 39.2% 20.7% 32.2% 3.1% 0.6% -8.2M -2.54B -28.3M 0.85 4.60 N/A N/A 691,530 589,490 3,609,880 4,085,830
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