NFLX Options History — July 2020 In July 2020, NFLX traded between $47.55 and $54.81. ATM implied volatility averaged 48.9%, placing in the 30.9% IV rank vs the trailing year. The 30-day expected move averaged 13.8%. IV traded above realized volatility by 0.1% (HV 20d: 48.8%). Max pain ranged from $43.00 to $47.50. Net GEX was positive for 19 of 22 trading days. Term structure was in contango for 7 of 22 days. Put/call ratio averaged 0.54.
Notable Days 2020-07-10 : Highest Volume — 5,941,320 contracts2020-07-17 : Largest IV drop — 31.9% change2020-07-15 : Highest IV Rank — 57.0%2020-07-15 : Largest Expected Move — 18.8%Monthly Statistics Metric Avg Min Max Open Close Price $49.95 $47.55 $54.81 $48.67 $48.77 Max Pain $45.84 $43.00 $47.50 $43.00 $47.50 ATM IV 48.9% 37.6% 68.2% 49.4% 37.6% Expected Move 13.8% 10.5% 18.8% 16.2% 10.5% HV 20d 48.8% 40.3% 56.3% 41.7% 48.4% HV 60d 39.0% 35.5% 40.6% 38.8% 39.4% IV Rank 30.9% 15.7% 57.0% 31.6% 15.7% IV Percentile 67.4% 38.9% 96.0% 73.8% 38.9% Term Structure -1.0% -4.2% 0.8% -0.5% -0.0% VWIV 48.4% 37.5% 65.7% 56.7% 37.5% Skew 25d -0.3% -4.3% 1.7% 1.7% 0.9% Skew 10d -1.3% -10.6% 3.7% 3.7% 1.9% Call IV 25d 49.5% 37.3% 70.3% 49.5% 37.3% Put IV 25d 49.1% 38.2% 69.0% 51.1% 38.2% Bid-Ask Spread % 27.29 17.49 47.23 33.94 47.23 Gamma HHI 0.08 0.03 0.27 0.07 0.06 Net GEX 101.1M -110.9M 302.8M 171.4M 79.9M Net DEX -5.66B -11.39B -2.29B -6.71B -4.02B Net VEX -31.0M -33.2M -27.5M -27.6M -32.1M Div Yield 0.0% 0.0% 0.0% 0.0% 0.0% P/C Ratio 0.54 0.33 0.92 0.38 0.72 Total Volume 1,960,726.818 809,320 5,941,320 2,520,000 1,425,500 Total OI 6,218,883.182 5,186,050 7,763,060 5,340,190 6,689,510
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 2020-07-01 $48.67 $43.00 49.4% 16.2% 41.7% 31.6% 56.7% 1.7% -0.5% 171.4M -6.71B -27.6M 0.38 33.94 N/A N/A 1,832,630 687,370 2,581,340 2,758,850 2020-07-02 $47.94 $43.50 47.0% 15.4% 40.7% 28.5% 53.7% 0.3% -0.7% 190.0M -5.98B -28.0M 0.66 20.99 N/A N/A 1,098,480 727,900 2,793,180 2,868,850 2020-07-06 $49.32 $45.00 50.7% 13.6% 41.3% 33.4% 47.9% 0.0% -0.6% 137.1M -6.39B -27.5M 0.45 21.81 N/A N/A 1,207,290 546,830 2,503,080 2,682,970 2020-07-07 $49.43 $45.00 52.1% 14.0% 41.2% 35.2% 48.9% -1.3% -1.6% 146.5M -6.45B -28.1M 0.35 22.90 N/A N/A 1,040,520 359,990 2,671,720 2,767,260 2020-07-08 $50.30 $45.00 52.1% 13.9% 40.3% 35.3% 48.7% -1.5% -2.3% 254.0M -7.63B -28.5M 0.39 20.37 N/A N/A 971,820 382,190 2,916,970 2,836,840 2020-07-09 $50.71 $45.00 51.2% 13.8% 40.3% 34.1% 48.3% 0.3% -2.1% 302.8M -8.05B -28.2M 0.54 22.30 N/A N/A 823,300 444,760 2,984,590 2,901,490 2020-07-10 $54.81 $45.00 57.2% 15.3% 46.1% 42.2% 53.7% -3.6% -2.0% 165.1M -11.39B -27.9M 0.33 22.84 N/A N/A 4,479,770 1,461,550 3,001,250 2,963,170 2020-07-13 $53.30 $45.00 63.4% 17.0% 45.8% 50.5% 59.9% -3.1% -3.0% 119.4M -8.10B -30.2M 0.36 26.33 N/A N/A 1,803,590 655,550 2,846,410 2,791,270 2020-07-14 $51.89 $45.00 67.6% 18.2% 47.7% 56.1% 63.9% -0.5% -3.5% 101.5M -6.81B -32.5M 0.42 20.39 N/A N/A 1,273,530 537,780 3,147,030 2,967,600 2020-07-15 $52.28 $45.00 68.2% 18.8% 47.4% 57.0% 65.7% -1.1% -2.8% 105.2M -7.02B -33.2M 0.44 17.49 N/A N/A 961,700 422,390 3,275,170 3,093,660 2020-07-16 $52.83 $45.00 66.6% 18.2% 46.9% 54.9% 63.3% -4.3% -4.2% 120.5M -7.58B -32.9M 0.45 27.61 N/A N/A 2,431,710 1,101,650 3,444,270 3,199,120 2020-07-17 $49.08 $45.50 45.4% 12.8% 55.2% 26.3% 45.5% -1.5% -0.7% -19.4M -3.54B -31.9M 0.74 21.23 N/A N/A 2,689,540 1,998,410 4,051,380 3,711,680 2020-07-20 $50.28 $45.50 41.6% 11.9% 55.7% 21.2% 42.6% 1.0% 0.2% 97.9M -5.01B -32.3M 0.59 26.18 N/A N/A 1,053,210 621,740 3,087,850 2,960,410 2020-07-21 $49.11 $46.00 42.4% 12.2% 55.5% 22.3% 42.8% -0.9% -0.0% 80.6M -4.16B -32.4M 0.69 24.66 N/A N/A 770,030 530,590 3,271,300 3,097,550 2020-07-22 $48.96 $47.50 41.5% 11.9% 55.5% 21.0% 42.4% -0.7% 0.4% 54.0M -3.92B -32.7M 0.65 27.36 N/A N/A 618,010 402,400 3,362,420 3,244,250 2020-07-23 $47.55 $47.50 41.1% 11.8% 56.3% 20.5% 41.5% 1.5% -0.3% -61.4M -2.29B -32.4M 0.92 36.90 N/A N/A 853,830 782,380 3,425,290 3,307,610 2020-07-24 $48.00 $47.50 40.5% 11.6% 56.2% 19.6% 40.9% 1.1% 0.6% -110.9M -2.93B -32.9M 0.75 35.93 N/A N/A 972,920 726,000 3,515,570 3,383,190 2020-07-27 $49.57 $47.50 41.5% 11.9% 54.0% 21.0% 42.1% -0.0% 0.4% 79.1M -4.71B -32.9M 0.49 25.63 N/A N/A 1,105,560 540,570 3,031,160 3,152,040 2020-07-28 $48.85 $47.50 39.8% 11.4% 54.5% 18.7% 40.5% 1.2% 0.1% 73.6M -4.13B -32.5M 0.55 31.96 N/A N/A 523,500 285,820 3,190,850 3,186,330 2020-07-29 $48.60 $47.50 38.7% 11.0% 54.1% 17.2% 39.2% 1.4% 0.8% 76.0M -3.87B -32.7M 0.45 37.29 N/A N/A 670,380 302,040 3,281,010 3,239,490 2020-07-30 $48.56 $47.50 39.2% 11.1% 48.7% 17.9% 39.6% 1.6% 0.7% 61.2M -3.78B -32.6M 0.57 29.00 N/A N/A 644,600 366,660 3,337,060 3,293,390 2020-07-31 $48.77 $47.50 37.6% 10.5% 48.4% 15.7% 37.5% 0.9% -0.0% 79.9M -4.02B -32.1M 0.72 47.23 N/A N/A 826,420 599,080 3,347,040 3,342,470
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