NFLX Options History — March 2020 In March 2020, NFLX traded between $30.73 and $38.17. ATM implied volatility averaged 66.7%, placing in the 74.5% IV rank vs the trailing year. The 30-day expected move averaged 18.7%. IV traded above realized volatility by 8.2% (HV 20d: 58.5%). Max pain ranged from $34.00 to $35.50. Net GEX was positive for 12 of 22 trading days. Term structure was in contango for 6 of 22 days. Put/call ratio averaged 0.75.
Notable Days 2020-03-05 : Highest Volume — 1,861,860 contracts2020-03-16 : Largest IV spike — 24.9% change2020-03-06 : Highest IV Rank — 100.0%2020-03-18 : Largest Expected Move — 28.7%Monthly Statistics Metric Avg Min Max Open Close Price $35.03 $30.73 $38.17 $37.71 $37.23 Max Pain $34.95 $34.00 $35.50 $34.00 $35.00 ATM IV 66.7% 43.3% 100.1% 47.0% 58.0% Expected Move 18.7% 12.9% 28.7% 14.2% 14.4% HV 20d 58.5% 37.9% 77.0% 39.7% 73.2% HV 60d 44.2% 35.5% 52.5% 35.5% 52.4% IV Rank 74.5% 43.2% 100.0% 69.1% 43.2% IV Percentile 96.0% 73.4% 100.0% 88.9% 93.7% Term Structure -0.6% -3.9% 7.4% -1.6% -3.1% VWIV 64.0% 46.4% 90.7% 54.2% 51.1% Skew 25d 16.2% 8.8% 28.6% 9.8% 13.8% Skew 10d 30.0% 16.0% 48.9% 18.2% 27.5% Call IV 25d 57.9% 39.6% 80.9% 42.0% 50.4% Put IV 25d 74.2% 48.4% 109.5% 51.8% 64.3% Bid-Ask Spread % 30.85 9.26 53.81 17.29 48.23 Gamma HHI 0.04 0.03 0.06 0.04 0.05 Net GEX 5.6M -61.6M 79.5M 50.3M 49.2M Net DEX -811.0M -3.57B 2.11B -3.05B -2.00B Net VEX -28.7M -31.2M -27.3M -29.5M -27.7M Div Yield 0.0% 0.0% 0.0% 0.0% 0.0% P/C Ratio 0.75 0.40 1.21 0.90 0.59 Total Volume 1,084,573.182 598,390 1,861,860 656,580 1,025,760 Total OI 6,087,233.636 4,826,820 6,833,960 6,161,940 5,352,220
Daily Data (22 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 2020-03-02 $37.71 $34.00 47.0% 14.2% 39.7% 69.1% 54.2% 9.8% -1.6% 50.3M -3.05B -29.5M 0.90 17.29 N/A N/A 345,700 310,880 2,642,530 3,519,410 2020-03-03 $37.15 $34.00 48.2% 15.1% 38.0% 73.0% 54.1% 10.2% -0.5% 40.0M -2.54B -29.9M 0.57 12.69 N/A N/A 944,800 536,820 2,720,530 3,624,250 2020-03-04 $38.17 $34.00 43.3% 12.9% 37.9% 56.8% 46.4% 8.8% -0.8% 79.5M -3.57B -28.7M 0.43 9.26 N/A N/A 639,900 272,290 2,789,750 3,742,250 2020-03-05 $37.20 $35.00 52.9% 16.1% 39.1% 88.2% 53.7% 10.5% -1.4% 25.2M -2.37B -30.6M 0.50 34.08 N/A N/A 1,244,930 616,930 2,904,950 3,786,950 2020-03-06 $36.71 $35.00 57.1% 17.6% 39.3% 100.0% 63.5% 14.7% -0.9% -45.2M -1.67B -31.2M 0.83 29.55 N/A N/A 876,700 724,420 2,946,070 3,887,890 2020-03-09 $34.99 $35.50 65.5% 19.4% 42.8% 100.0% 66.5% 16.9% 2.4% -20.2M -453.4M -30.9M 0.78 37.54 N/A N/A 418,780 327,700 2,703,370 3,652,110 2020-03-10 $36.16 $35.50 59.8% 18.3% 44.5% 85.7% 62.9% 15.1% 4.5% 6.0M -1.53B -30.4M 0.74 36.55 N/A N/A 489,940 362,920 2,769,820 3,657,020 2020-03-11 $34.83 $35.50 66.2% 19.9% 46.0% 100.0% 68.3% 15.7% 3.8% -22.8M -373.6M -30.2M 0.93 21.60 N/A N/A 310,730 287,660 2,826,400 3,708,880 2020-03-12 $31.60 $35.50 80.2% 23.3% 56.2% 100.0% 77.9% 19.9% 0.9% -61.6M 2.11B -28.5M 1.15 40.92 N/A N/A 635,450 733,890 2,864,580 3,757,800 2020-03-13 $32.40 $35.00 73.6% 21.4% 57.2% 87.9% 73.2% 19.6% 2.4% -55.0M 1.57B -28.4M 1.21 53.81 N/A N/A 548,060 662,490 2,958,740 3,746,630 2020-03-16 $30.94 $35.00 91.9% 26.5% 58.7% 100.0% 83.9% 25.9% -3.9% -39.2M 1.80B -27.5M 0.93 36.38 N/A N/A 388,420 360,540 2,662,900 3,501,620 2020-03-17 $31.97 $35.00 84.9% 24.4% 59.4% 89.3% 80.5% 22.9% -1.8% -34.6M 1.25B -27.8M 1.06 19.09 N/A N/A 420,070 445,390 2,731,270 3,519,580 2020-03-18 $30.73 $35.00 100.1% 28.7% 60.3% 100.0% 90.7% 28.6% -3.5% -37.5M 1.80B -27.3M 1.07 30.53 N/A N/A 466,920 501,930 2,814,080 3,590,550 2020-03-19 $33.83 $35.00 76.4% 21.9% 71.4% 68.1% 75.3% 21.5% -0.1% 1.9M -298.5M -28.2M 0.76 35.43 N/A N/A 711,580 539,210 2,881,970 3,636,530 2020-03-20 $33.54 $35.00 68.8% 19.1% 71.3% 57.8% 64.9% 17.8% 7.4% -14.4M 2.7M -27.5M 0.94 41.73 N/A N/A 654,930 616,920 3,019,030 3,663,420 2020-03-23 $36.33 $35.00 67.3% 17.1% 77.0% 55.8% 59.6% 15.5% -3.3% 30.3M -1.68B -28.2M 0.69 20.26 N/A N/A 667,450 463,430 2,122,430 2,704,390 2020-03-24 $35.50 $35.00 64.7% 16.6% 76.9% 52.3% 58.6% 12.1% -2.0% 22.3M -1.22B -28.0M 0.65 29.99 N/A N/A 615,330 398,380 2,269,070 2,850,210 2020-03-25 $34.49 $35.00 70.0% 17.6% 74.6% 59.5% 60.1% 13.8% -2.5% -674.9K -507.1M -27.9M 0.40 28.29 N/A N/A 511,910 204,390 2,330,430 2,970,170 2020-03-26 $35.69 $35.00 64.2% 15.3% 75.8% 51.6% 53.6% 14.7% -3.0% 31.4M -1.35B -28.0M 0.50 28.16 N/A N/A 611,750 304,770 2,432,240 3,004,850 2020-03-27 $36.16 $35.00 66.2% 16.4% 74.5% 54.3% 56.5% 15.1% -3.9% 74.0M -1.70B -28.3M 0.46 37.47 N/A N/A 1,034,600 473,580 2,477,180 3,069,840 2020-03-30 $37.25 $35.00 60.7% 14.7% 73.4% 46.9% 51.7% 14.0% -2.6% 44.6M -2.05B -27.8M 0.49 29.86 N/A N/A 775,860 376,500 2,231,220 2,874,010 2020-03-31 $37.23 $35.00 58.0% 14.4% 73.2% 43.2% 51.1% 13.8% -3.1% 49.2M -2.00B -27.7M 0.59 48.23 N/A N/A 643,830 381,930 2,361,130 2,991,090
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