NFLX Options History — February 2020

In February 2020, NFLX traded between $35.80 and $38.93. ATM implied volatility averaged 34.7%, placing in the 28.7% IV rank vs the trailing year. The 30-day expected move averaged 10.1%. IV traded below realized volatility by 1.5% (HV 20d: 36.2%). Max pain ranged from $32.00 to $34.00. Net GEX was positive for 17 of 19 trading days. Term structure was in contango for 6 of 19 days. Put/call ratio averaged 0.59.

Notable Days

  • 2020-02-27: Highest Volume — 2,308,530 contracts
  • 2020-02-27: Largest IV spike — 18.4% change
  • 2020-02-28: Highest IV Rank — 95.5%
  • 2020-02-28: Largest Expected Move — 17.2%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$37.37$35.80$38.93$35.80$36.05
Max Pain$33.47$32.00$34.00$32.00$34.00
ATM IV34.7%29.0%55.1%32.7%55.1%
Expected Move10.1%8.4%17.2%9.3%17.2%
HV 20d36.2%27.5%41.4%41.2%36.9%
HV 60d31.3%30.1%34.6%31.1%34.6%
IV Rank28.7%10.1%95.5%22.1%95.5%
IV Percentile41.4%7.1%97.6%37.7%97.6%
Term Structure-0.4%-2.7%0.2%-0.1%-2.7%
VWIV36.1%30.3%61.8%33.8%61.8%
Skew 25d2.6%0.2%11.9%2.0%11.9%
Skew 10d4.9%0.5%24.6%3.8%24.6%
Call IV 25d34.0%29.1%51.3%32.3%51.3%
Put IV 25d36.6%30.0%63.3%34.3%63.3%
Bid-Ask Spread %12.003.7925.605.4025.60
Gamma HHI0.070.040.120.060.11
Net GEX118.4M-85.5M232.0M127.1M-85.5M
Net DEX-4.80B-6.67B-1.13B-4.26B-1.13B
Net VEX-26.6M-30.8M-24.7M-27.2M-30.8M
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.590.381.110.381.11
Total Volume1,470,331.0531,042,3302,308,5301,730,8401,669,850
Total OI6,899,783.6845,917,8207,459,2206,602,4306,738,560

Daily Data (19 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2020-02-03$35.80$32.0032.7%9.3%41.2%22.1%33.8%2.0%-0.1%127.1M-4.26B-27.2M0.385.40N/AN/A1,251,610479,2302,987,7503,614,680
2020-02-04$36.84$32.0033.9%9.8%41.4%26.2%36.6%0.7%0.0%166.7M-5.49B-26.4M0.395.05N/AN/A1,335,960527,0403,145,3603,701,760
2020-02-05$36.97$32.0032.8%9.2%40.8%22.6%33.9%0.9%-0.1%176.1M-5.52B-26.3M0.523.79N/AN/A992,310519,8603,202,4703,801,770
2020-02-06$36.61$33.5031.0%8.9%40.1%16.5%31.8%1.1%0.0%139.0M-4.93B-26.5M0.6119.01N/AN/A647,850394,4803,278,7503,913,360
2020-02-07$36.73$33.5031.9%9.2%39.3%19.4%32.4%1.1%0.1%186.2M-5.08B-26.3M0.4420.59N/AN/A1,294,270563,3703,356,6303,973,310
2020-02-10$37.01$33.5033.1%9.4%38.0%23.5%33.4%0.8%-0.2%133.3M-4.99B-25.9M0.4517.06N/AN/A904,520404,1003,024,5203,682,180
2020-02-11$37.41$33.5032.1%9.2%37.1%20.2%32.6%0.7%-0.0%161.2M-5.49B-25.9M0.4810.35N/AN/A878,690419,5103,177,9303,793,710
2020-02-12$37.92$33.5030.1%8.6%37.2%13.5%30.8%0.5%0.0%211.4M-6.23B-24.7M0.6813.32N/AN/A706,530477,4103,268,7803,883,340
2020-02-13$38.19$33.5030.6%8.8%37.1%15.3%31.5%0.5%0.1%232.0M-6.48B-25.6M0.5410.58N/AN/A921,670495,3803,322,6803,965,300
2020-02-14$37.97$33.5029.0%8.4%37.3%10.1%30.3%0.9%0.2%186.8M-6.05B-25.4M0.5617.90N/AN/A848,780476,1103,422,8304,036,390
2020-02-18$38.93$33.5030.8%8.8%37.9%15.9%32.0%0.2%-0.1%162.4M-6.67B-25.0M0.5013.77N/AN/A931,150468,9603,094,6303,798,320
2020-02-19$38.55$34.0029.8%8.5%38.3%12.7%30.5%0.9%-0.0%153.3M-6.32B-24.7M0.468.31N/AN/A849,110393,7003,244,2303,909,040
2020-02-20$38.57$34.0030.0%8.6%33.9%13.3%30.8%1.2%-0.1%133.5M-6.19B-25.2M0.648.08N/AN/A769,120493,3203,309,9604,025,350
2020-02-21$37.94$34.0033.1%9.5%27.5%23.4%34.2%3.4%-0.1%-10.8M-5.10B-26.3M1.0610.53N/AN/A682,860724,3503,310,5604,122,430
2020-02-24$36.91$34.0037.0%10.8%29.3%36.1%39.0%4.4%-0.7%22.4M-2.52B-27.7M0.617.54N/AN/A814,590500,2402,501,3103,416,510
2020-02-25$36.00$34.0040.2%11.8%28.6%46.6%42.0%6.9%-1.4%4.7M-1.60B-28.3M0.6812.31N/AN/A721,740492,1602,731,0703,513,960
2020-02-26$38.04$34.0039.4%11.6%33.7%44.2%40.4%5.2%-0.8%93.6M-3.87B-27.8M0.649.23N/AN/A960,420617,5102,711,5603,574,630
2020-02-27$37.63$34.0046.7%14.0%33.0%67.9%48.9%6.6%-1.4%56.9M-3.26B-29.4M0.539.56N/AN/A1,504,410804,1202,854,2503,686,020
2020-02-28$36.05$34.0055.1%17.2%36.9%95.5%61.8%11.9%-2.7%-85.5M-1.13B-30.8M1.1125.60N/AN/A789,580880,2702,953,5103,785,050