NFLX Options History — April 2020 In April 2020, NFLX traded between $35.98 and $43.84. ATM implied volatility averaged 56.9%, placing in the 41.8% IV rank vs the trailing year. The 30-day expected move averaged 16.1%. IV traded below realized volatility by 1.5% (HV 20d: 58.4%). Max pain ranged from $35.00 to $38.50. Net GEX was positive for 20 of 21 trading days. Term structure was in contango for 1 of 21 days. Put/call ratio averaged 0.59.
Notable Days 2020-04-22 : Highest Volume — 3,805,250 contracts2020-04-22 : Largest IV drop — 30.2% change2020-04-21 : Highest IV Rank — 69.2%2020-04-21 : Largest Expected Move — 23.3%Monthly Statistics Metric Avg Min Max Open Close Price $40.44 $35.98 $43.84 $36.33 $41.76 Max Pain $37.38 $35.00 $38.50 $35.00 $38.50 ATM IV 56.9% 40.1% 77.3% 67.0% 42.7% Expected Move 16.1% 11.9% 23.3% 17.6% 12.4% HV 20d 58.4% 46.0% 73.0% 73.0% 48.4% HV 60d 54.0% 52.3% 55.6% 52.5% 54.5% IV Rank 41.8% 19.0% 69.2% 55.3% 22.6% IV Percentile 85.6% 58.7% 98.4% 96.4% 65.1% Term Structure -2.6% -5.4% 0.1% -3.0% -0.7% VWIV 56.8% 42.9% 80.3% 61.1% 44.9% Skew 25d 6.2% -0.1% 18.6% 16.1% -0.1% Skew 10d 11.3% -1.7% 33.6% 30.2% -1.7% Call IV 25d 53.7% 40.2% 75.7% 58.2% 43.0% Put IV 25d 60.0% 41.0% 76.1% 74.3% 42.9% Bid-Ask Spread % 17.45 10.43 37.72 37.72 15.06 Gamma HHI 0.05 0.03 0.08 0.04 0.05 Net GEX 64.6M -22.8M 134.4M 21.5M 96.4M Net DEX -3.81B -6.99B -958.6M -1.37B -4.22B Net VEX -28.7M -31.5M -26.7M -28.3M -30.0M Div Yield 0.0% 0.0% 0.0% 0.0% 0.0% P/C Ratio 0.59 0.42 0.78 0.61 0.56 Total Volume 1,871,428.571 719,420 3,805,250 987,330 1,763,940 Total OI 6,394,160 5,263,910 7,912,110 5,542,460 7,229,260
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 2020-04-01 $36.33 $35.00 67.0% 17.6% 73.0% 55.3% 61.1% 16.1% -3.0% 21.5M -1.37B -28.3M 0.61 37.72 N/A N/A 612,980 374,350 2,457,400 3,085,060 2020-04-02 $36.79 $37.00 63.1% 16.6% 72.7% 50.1% 58.9% 18.0% -3.1% 19.6M -1.60B -27.9M 0.70 14.66 N/A N/A 422,260 297,160 2,502,630 3,170,150 2020-04-03 $35.98 $37.00 63.2% 16.8% 72.9% 50.2% 56.5% 18.6% -3.8% -22.8M -958.6M -27.9M 0.71 12.40 N/A N/A 553,720 391,170 2,564,460 3,241,940 2020-04-06 $37.69 $37.00 53.9% 14.9% 72.6% 37.7% 50.4% 13.4% -1.1% 55.9M -2.28B -26.7M 0.56 21.00 N/A N/A 663,720 370,340 2,253,220 3,010,690 2020-04-07 $37.31 $37.00 55.3% 14.7% 71.9% 39.5% 52.2% 12.8% -3.8% 60.3M -2.12B -27.6M 0.57 18.76 N/A N/A 740,400 424,190 2,480,180 3,147,730 2020-04-08 $36.88 $37.00 57.2% 15.5% 70.6% 42.2% 54.2% 12.2% -3.5% 50.0M -1.78B -27.8M 0.65 23.43 N/A N/A 555,880 362,690 2,631,610 3,249,160 2020-04-09 $37.05 $37.00 57.4% 15.7% 59.9% 42.4% 55.1% 12.3% -3.5% 66.7M -2.01B -27.8M 0.78 22.73 N/A N/A 651,670 507,220 2,738,640 3,350,850 2020-04-13 $39.95 $37.00 56.4% 15.8% 64.4% 41.0% 56.3% 9.7% -1.8% 102.5M -4.12B -27.0M 0.45 22.32 N/A N/A 1,420,030 645,360 2,439,250 3,153,670 2020-04-14 $41.52 $37.00 55.7% 15.8% 61.5% 40.2% 56.2% 5.3% -1.9% 134.4M -5.67B -26.7M 0.45 15.99 N/A N/A 1,539,090 698,320 2,670,480 3,335,820 2020-04-15 $42.72 $37.00 65.2% 18.7% 61.4% 53.0% 66.4% 0.0% -4.2% 134.1M -6.55B -27.0M 0.51 16.92 N/A N/A 1,972,180 1,012,680 2,879,860 3,531,370 2020-04-16 $43.64 $37.50 68.2% 19.7% 57.9% 57.0% 69.2% 2.2% -4.4% 120.8M -6.99B -27.9M 0.53 16.49 N/A N/A 1,804,260 957,960 3,036,850 3,712,530 2020-04-17 $42.11 $37.50 68.1% 20.0% 52.9% 56.8% 69.6% 1.9% -5.4% 51.4M -5.41B -29.2M 0.71 14.06 N/A N/A 1,436,800 1,013,320 3,272,940 3,830,940 2020-04-20 $43.80 $37.50 71.3% 21.7% 53.2% 61.1% 76.3% 1.4% -4.3% 71.4M -5.47B -29.4M 0.52 14.56 N/A N/A 1,124,630 584,220 2,759,630 3,026,160 2020-04-21 $43.84 $37.50 77.3% 23.3% 47.2% 69.2% 80.3% 0.4% -5.3% 68.0M -5.47B -31.5M 0.61 18.45 N/A N/A 1,674,940 1,026,850 2,987,910 3,267,920 2020-04-22 $42.23 $38.00 53.9% 15.8% 48.7% 37.7% 57.4% 2.3% -1.6% 59.3M -4.15B -30.3M 0.64 10.43 N/A N/A 2,317,800 1,487,450 3,474,490 3,773,730 2020-04-23 $42.62 $38.00 51.1% 14.7% 46.6% 33.9% 52.2% 2.3% -1.6% 71.1M -4.58B -30.2M 0.57 10.50 N/A N/A 1,644,690 936,170 3,732,700 3,962,230 2020-04-24 $42.51 $38.00 45.7% 13.1% 46.0% 26.6% 47.0% 0.4% -1.0% 42.5M -4.41B -30.1M 0.62 15.65 N/A N/A 1,266,770 786,920 3,832,000 4,080,110 2020-04-27 $42.47 $38.00 41.2% 11.9% 46.1% 20.5% 42.9% 0.1% 0.1% 78.7M -4.46B -29.5M 0.42 12.02 N/A N/A 988,130 414,150 3,159,330 3,379,460 2020-04-28 $40.51 $38.50 41.3% 12.1% 49.3% 20.8% 43.1% 0.8% -1.0% 13.1M -2.72B -29.4M 0.73 19.85 N/A N/A 1,088,500 793,660 3,357,670 3,472,310 2020-04-29 $41.47 $38.00 40.1% 12.0% 49.7% 19.0% 42.9% 0.8% -0.6% 62.7M -3.72B -29.6M 0.52 13.43 N/A N/A 1,294,690 678,740 3,455,780 3,579,240 2020-04-30 $41.76 $38.50 42.7% 12.4% 48.4% 22.6% 44.9% -0.1% -0.7% 96.4M -4.22B -30.0M 0.56 15.06 N/A N/A 1,132,140 631,800 3,560,380 3,668,880
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