NFLX Options History — May 2020 In May 2020, NFLX traded between $41.39 and $45.30. ATM implied volatility averaged 40.6%, placing in the 19.7% IV rank vs the trailing year. The 30-day expected move averaged 11.7%. IV traded above realized volatility by 3.7% (HV 20d: 36.9%). Max pain ranged from $35.00 to $38.50. Net GEX was positive for 17 of 20 trading days. Term structure was in contango for 14 of 20 days. Put/call ratio averaged 0.54.
Notable Days 2020-05-27 : Highest Volume — 2,307,740 contracts2020-05-13 : Largest IV spike — 12.7% change2020-05-04 : Highest IV Rank — 24.6%2020-05-04 : Largest Expected Move — 12.7%Monthly Statistics Metric Avg Min Max Open Close Price $43.28 $41.39 $45.30 $41.46 $41.79 Max Pain $36.67 $35.00 $38.50 $38.50 $38.00 ATM IV 40.6% 37.9% 44.2% 43.8% 38.3% Expected Move 11.7% 10.7% 12.7% 12.6% 10.7% HV 20d 36.9% 28.1% 48.6% 48.6% 28.2% HV 60d 54.5% 52.6% 55.3% 54.6% 52.6% IV Rank 19.7% 16.1% 24.6% 24.1% 16.6% IV Percentile 57.4% 48.0% 70.6% 70.2% 48.0% Term Structure 0.2% -0.8% 1.2% -0.6% -0.6% VWIV 41.3% 38.2% 45.3% 45.3% 38.2% Skew 25d 2.8% 1.7% 4.0% 2.5% 3.5% Skew 10d 5.7% 3.1% 10.5% 4.0% 10.5% Call IV 25d 39.4% 36.4% 43.0% 42.7% 37.0% Put IV 25d 42.3% 38.9% 45.8% 45.2% 40.5% Bid-Ask Spread % 18.21 6.82 36.73 13.15 6.82 Gamma HHI 0.08 0.03 0.47 0.04 0.05 Net GEX 76.7M -68.1M 300.4M 33.9M 52.2M Net DEX -4.49B -7.26B -2.07B -3.63B -2.75B Net VEX -28.6M -30.5M -27.2M -30.5M -28.3M Div Yield 0.0% 0.0% 0.0% 0.0% 0.0% P/C Ratio 0.54 0.39 0.76 0.63 0.65 Total Volume 1,596,958.5 1,005,060 2,307,740 2,230,990 1,196,380 Total OI 6,881,401.5 6,113,070 7,784,730 7,329,940 7,090,700
Daily Data (20 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 2020-05-01 $41.46 $38.50 43.8% 12.6% 48.6% 24.1% 45.3% 2.5% -0.6% 33.9M -3.63B -30.5M 0.63 13.15 N/A N/A 1,369,710 861,280 3,600,110 3,729,830 2020-05-04 $42.70 $35.00 44.2% 12.7% 48.1% 24.6% 44.4% 2.8% 0.5% 80.4M -4.68B -29.9M 0.48 9.00 N/A N/A 908,660 433,560 3,106,750 3,463,190 2020-05-05 $42.33 $35.00 41.1% 12.1% 46.3% 20.4% 42.4% 2.5% 1.1% 80.2M -4.39B -29.8M 0.47 19.14 N/A N/A 857,870 399,960 3,295,330 3,568,080 2020-05-06 $43.58 $35.00 42.2% 12.4% 46.6% 22.0% 43.8% 2.6% 0.5% 139.9M -5.62B -29.6M 0.44 15.32 N/A N/A 1,211,040 536,000 3,389,170 3,624,820 2020-05-07 $43.49 $35.00 41.3% 12.0% 46.2% 20.7% 42.7% 3.0% 0.4% 140.1M -5.44B -29.3M 0.52 8.97 N/A N/A 746,880 386,000 3,472,660 3,696,920 2020-05-08 $43.48 $35.00 37.9% 11.1% 46.3% 16.1% 39.1% 2.5% 0.9% 137.0M -5.42B -28.6M 0.50 19.92 N/A N/A 1,034,010 522,060 3,530,610 3,748,250 2020-05-11 $44.29 $35.50 39.5% 11.4% 39.1% 18.2% 40.4% 2.5% 0.1% 103.4M -5.87B -27.7M 0.58 16.68 N/A N/A 669,040 388,490 3,117,000 3,529,370 2020-05-12 $43.44 $36.00 38.1% 11.2% 37.9% 16.4% 38.9% 3.0% 1.2% 73.3M -5.03B -28.2M 0.51 17.90 N/A N/A 664,690 340,370 3,254,300 3,630,210 2020-05-13 $43.63 $36.00 42.9% 12.1% 36.6% 22.9% 42.5% 2.7% -0.5% 84.4M -5.23B -28.7M 0.64 26.60 N/A N/A 1,392,460 891,760 3,351,940 3,694,050 2020-05-14 $44.00 $37.00 43.7% 12.5% 36.0% 23.9% 44.0% 3.2% 0.3% 100.2M -5.66B -28.7M 0.39 18.92 N/A N/A 1,521,180 586,430 3,518,560 4,018,900 2020-05-15 $45.11 $37.00 43.4% 12.3% 34.3% 23.5% 43.5% 2.9% -0.6% 300.4M -7.26B -28.3M 0.44 36.73 N/A N/A 1,525,190 665,990 3,658,530 4,126,200 2020-05-18 $45.20 $37.00 39.4% 11.2% 31.6% 18.1% 39.5% 2.1% 0.1% 94.3M -5.40B -27.5M 0.52 25.90 N/A N/A 1,053,380 546,880 2,776,750 3,336,320 2020-05-19 $45.30 $37.00 38.9% 11.1% 31.6% 17.4% 39.8% 1.8% 0.1% 102.8M -5.39B -28.4M 0.57 16.10 N/A N/A 698,250 399,310 2,955,120 3,460,330 2020-05-20 $44.73 $37.50 38.6% 11.1% 28.6% 17.1% 39.1% 1.7% 0.5% 63.1M -4.80B -28.1M 0.61 16.07 N/A N/A 676,990 410,410 3,012,840 3,536,460 2020-05-21 $43.50 $37.50 41.0% 11.7% 30.5% 20.3% 41.5% 3.0% 0.4% -15.3M -3.41B -28.7M 0.51 20.96 N/A N/A 1,260,430 644,140 3,065,890 3,604,470 2020-05-22 $42.84 $37.50 39.1% 11.2% 31.0% 17.8% 39.6% 3.9% 0.2% -68.1M -2.79B -28.4M 0.67 32.08 N/A N/A 928,320 625,240 3,291,370 3,707,760 2020-05-26 $41.39 $38.00 39.4% 11.3% 33.4% 18.1% 40.6% 3.2% 0.4% -15.0M -2.07B -27.2M 0.76 19.06 N/A N/A 835,210 631,690 2,797,110 3,414,860 2020-05-27 $41.87 $38.00 39.1% 11.3% 28.9% 17.8% 40.6% 3.6% -0.1% 12.8M -2.62B -28.1M 0.56 12.34 N/A N/A 1,478,520 829,220 2,985,840 3,573,420 2020-05-28 $41.40 $38.00 39.3% 11.1% 28.1% 18.1% 39.6% 4.0% -0.8% 34.9M -2.42B -28.3M 0.43 12.45 N/A N/A 1,267,790 544,380 3,214,330 3,679,680 2020-05-29 $41.79 $38.00 38.3% 10.7% 28.2% 16.6% 38.2% 3.5% -0.6% 52.2M -2.75B -28.3M 0.65 6.82 N/A N/A 725,650 470,730 3,332,090 3,758,610
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