NFLX Options History — June 2020 In June 2020, NFLX traded between $41.18 and $46.70. ATM implied volatility averaged 46.2%, placing in the 27.3% IV rank vs the trailing year. The 30-day expected move averaged 13.8%. IV traded above realized volatility by 16.0% (HV 20d: 30.2%). Max pain ranged from $38.00 to $43.00. Net GEX was positive for 20 of 22 trading days. Term structure was in contango for 5 of 22 days. Put/call ratio averaged 0.63.
Notable Days 2020-06-11 : Highest Volume — 2,099,320 contracts2020-06-15 : Largest IV spike — 17.4% change2020-06-26 : Highest IV Rank — 39.6%2020-06-29 : Largest Expected Move — 16.8%Monthly Statistics Metric Avg Min Max Open Close Price $43.84 $41.18 $46.70 $42.50 $45.55 Max Pain $41.77 $38.00 $43.00 $38.00 $43.00 ATM IV 46.2% 35.6% 55.3% 37.9% 48.7% Expected Move 13.8% 10.5% 16.8% 10.8% 15.5% HV 20d 30.2% 25.9% 35.6% 28.7% 35.6% HV 60d 42.7% 36.7% 52.4% 52.4% 37.6% IV Rank 27.3% 13.0% 39.6% 16.2% 30.6% IV Percentile 65.8% 41.7% 85.7% 46.4% 73.8% Term Structure -0.4% -2.8% 4.5% -0.2% -1.3% VWIV 48.4% 37.8% 58.3% 38.3% 53.6% Skew 25d 2.9% 0.4% 5.4% 4.8% 2.5% Skew 10d 5.4% 0.1% 10.0% 8.6% 5.2% Call IV 25d 45.0% 34.4% 55.2% 36.1% 47.5% Put IV 25d 47.9% 37.9% 57.0% 40.9% 50.0% Bid-Ask Spread % 17.82 6.55 30.50 10.08 26.47 Gamma HHI 0.07 0.04 0.39 0.04 0.05 Net GEX 99.8M -30.6M 277.2M 64.0M 94.1M Net DEX -4.28B -7.14B -2.06B -3.55B -3.90B Net VEX -28.1M -29.5M -26.6M -27.7M -28.3M Div Yield 0.0% 0.0% 0.0% 0.0% 0.0% P/C Ratio 0.63 0.37 0.95 0.57 0.60 Total Volume 1,222,774.545 617,130 2,099,320 870,770 758,300 Total OI 6,339,768.636 4,767,280 7,501,760 6,288,190 5,229,400
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 2020-06-01 $42.50 $38.00 37.9% 10.8% 28.7% 16.2% 38.3% 4.8% -0.2% 64.0M -3.55B -27.7M 0.57 10.08 N/A N/A 554,440 316,330 2,842,580 3,445,610 2020-06-02 $42.64 $38.00 37.7% 10.7% 26.7% 15.9% 38.7% 5.1% -0.4% 83.7M -3.74B -28.0M 0.69 6.55 N/A N/A 364,480 252,650 2,975,920 3,551,890 2020-06-03 $42.28 $38.00 37.1% 10.5% 26.7% 15.1% 37.8% 4.2% -0.6% 61.1M -3.33B -27.4M 0.64 9.91 N/A N/A 543,050 347,740 3,017,050 3,605,780 2020-06-04 $41.18 $42.00 37.9% 11.7% 25.9% 16.2% 40.6% 4.0% -0.4% -30.6M -2.06B -27.1M 0.67 24.70 N/A N/A 873,950 587,680 3,089,210 3,700,180 2020-06-05 $41.86 $42.00 35.6% 11.0% 26.8% 13.0% 38.8% 3.5% -0.5% 52.1M -2.98B -26.8M 0.76 20.41 N/A N/A 807,760 617,380 3,195,260 3,751,800 2020-06-08 $41.88 $42.00 37.6% 12.1% 26.8% 15.7% 42.1% 4.6% 4.3% 48.6M -3.14B -26.6M 0.55 30.50 N/A N/A 812,810 445,400 2,863,130 3,502,480 2020-06-09 $43.33 $42.00 36.9% 11.7% 28.8% 14.8% 41.5% 2.8% 4.5% 135.3M -5.12B -27.2M 0.37 23.87 N/A N/A 1,332,760 491,250 3,100,360 3,650,630 2020-06-10 $43.60 $42.00 37.6% 11.8% 28.1% 15.8% 41.3% 2.6% 3.9% 165.6M -5.46B -28.3M 0.42 23.64 N/A N/A 750,620 317,330 3,263,860 3,698,300 2020-06-11 $42.80 $42.00 43.7% 13.2% 28.8% 24.0% 46.1% 5.4% 2.7% 112.3M -4.39B -29.0M 0.63 30.04 N/A N/A 1,286,100 813,220 3,364,080 3,737,170 2020-06-12 $41.51 $42.00 42.5% 12.5% 30.4% 22.4% 43.2% 4.3% 1.4% 25.0M -2.36B -28.7M 0.95 30.29 N/A N/A 898,670 849,670 3,373,400 3,816,150 2020-06-15 $42.39 $42.00 50.0% 15.0% 29.9% 32.4% 52.2% 3.8% -1.8% 68.5M -3.60B -28.0M 0.65 21.93 N/A N/A 561,480 365,300 3,078,980 3,604,820 2020-06-16 $43.44 $42.00 52.3% 15.4% 31.5% 35.5% 53.7% 2.9% -2.2% 125.6M -4.93B -28.3M 0.54 12.83 N/A N/A 657,270 357,420 3,235,350 3,712,410 2020-06-17 $44.66 $42.00 54.6% 15.7% 33.2% 38.7% 54.3% 1.8% -2.4% 191.3M -6.44B -28.4M 0.46 9.53 N/A N/A 1,194,620 548,690 3,304,660 3,778,180 2020-06-18 $44.89 $42.00 54.0% 15.6% 32.9% 37.9% 54.3% 1.4% -2.0% 210.9M -6.81B -28.5M 0.65 8.37 N/A N/A 655,280 428,390 3,485,940 3,905,180 2020-06-19 $45.12 $42.50 53.8% 15.6% 31.2% 37.5% 54.9% 0.4% -2.4% 277.2M -7.14B -28.6M 0.58 8.06 N/A N/A 873,810 504,150 3,524,380 3,977,380 2020-06-22 $46.70 $42.50 52.9% 15.7% 32.6% 36.4% 55.1% 1.0% -2.2% 117.5M -4.99B -27.8M 0.57 8.49 N/A N/A 963,790 551,580 2,266,550 2,500,730 2020-06-23 $46.67 $43.00 50.1% 15.0% 29.3% 32.6% 52.5% 0.6% -1.0% 134.8M -5.06B -28.4M 0.67 11.87 N/A N/A 684,140 455,930 2,480,080 2,654,150 2020-06-24 $45.98 $43.00 52.1% 15.3% 30.1% 35.2% 53.8% 1.7% -1.6% 96.1M -4.33B -28.5M 0.88 12.64 N/A N/A 510,230 449,000 2,514,830 2,720,430 2020-06-25 $46.61 $43.00 53.1% 15.7% 29.6% 36.6% 55.2% 1.0% -2.8% 135.7M -4.94B -28.9M 0.58 17.38 N/A N/A 613,800 356,490 2,593,010 2,782,040 2020-06-26 $44.44 $43.00 55.3% 16.7% 35.2% 39.6% 58.1% 1.8% -1.9% -14.9M -2.83B -29.5M 0.74 18.20 N/A N/A 805,200 599,290 2,674,170 2,843,170 2020-06-29 $44.50 $43.00 53.9% 16.8% 34.8% 37.7% 58.3% 2.9% -2.0% 41.5M -2.98B -28.7M 0.68 26.19 N/A N/A 442,460 301,130 2,399,760 2,664,470 2020-06-30 $45.55 $43.00 48.7% 15.5% 35.6% 30.6% 53.6% 2.5% -1.3% 94.1M -3.90B -28.3M 0.60 26.47 N/A N/A 474,720 283,580 2,500,550 2,728,850
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