NFLX Options History — August 2020 In August 2020, NFLX traded between $46.95 and $54.69. ATM implied volatility averaged 39.5%, placing in the 18.3% IV rank vs the trailing year. The 30-day expected move averaged 11.2%. IV traded above realized volatility by 0.1% (HV 20d: 39.4%). Max pain ranged from $44.50 to $48.00. Net GEX was positive for 16 of 21 trading days. Term structure was in contango for 14 of 21 days. Put/call ratio averaged 0.52.
Notable Days 2020-08-26 : Highest Volume — 5,280,940 contracts2020-08-26 : Largest IV spike — 19.5% change2020-08-31 : Highest IV Rank — 35.3%2020-08-31 : Largest Expected Move — 14.0%Monthly Statistics Metric Avg Min Max Open Close Price $49.82 $46.95 $54.69 $49.89 $53.07 Max Pain $46.12 $44.50 $48.00 $47.50 $47.50 ATM IV 39.5% 35.4% 52.1% 39.8% 52.1% Expected Move 11.2% 10.2% 14.0% 10.9% 14.0% HV 20d 39.4% 27.3% 50.1% 48.0% 49.8% HV 60d 41.3% 39.6% 46.4% 39.6% 46.0% IV Rank 18.3% 12.7% 35.3% 18.7% 35.3% IV Percentile 44.7% 32.9% 73.4% 48.8% 73.4% Term Structure 0.3% -0.7% 1.1% -0.5% 0.2% VWIV 40.0% 36.4% 50.0% 38.7% 50.0% Skew 25d 1.0% -3.0% 2.9% 0.5% -0.9% Skew 10d 1.2% -5.2% 3.9% -0.8% -1.6% Call IV 25d 39.6% 34.2% 53.4% 39.8% 53.4% Put IV 25d 40.6% 36.4% 52.5% 40.3% 52.5% Bid-Ask Spread % 26.60 16.47 44.80 33.10 34.24 Gamma HHI 0.05 0.04 0.10 0.05 0.05 Net GEX 86.1M -58.6M 216.9M 108.9M 160.6M Net DEX -4.84B -9.88B -1.38B -5.04B -8.47B Net VEX -34.7M -44.0M -31.8M -32.4M -43.9M Div Yield 0.0% 0.0% 0.0% 0.0% 0.0% P/C Ratio 0.52 0.26 0.89 0.49 0.26 Total Volume 1,445,258.571 643,390 5,280,940 1,385,350 1,690,050 Total OI 6,725,048.571 5,767,330 7,961,000 6,065,520 7,321,060
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 2020-08-03 $49.89 $47.50 39.8% 10.9% 48.0% 18.7% 38.7% 0.5% -0.5% 108.9M -5.04B -32.4M 0.49 33.10 N/A N/A 932,840 452,510 2,949,990 3,115,530 2020-08-04 $50.93 $47.50 39.6% 11.0% 48.6% 18.5% 39.3% -0.2% -0.0% 157.4M -6.15B -33.5M 0.55 41.23 N/A N/A 976,720 541,260 3,119,640 3,227,080 2020-08-05 $50.20 $48.00 38.6% 10.4% 48.5% 17.0% 37.1% 0.9% -0.5% 98.1M -5.18B -34.1M 0.49 43.50 N/A N/A 689,570 340,470 3,240,780 3,406,380 2020-08-06 $50.92 $44.50 37.5% 10.9% 48.7% 15.6% 38.8% 1.5% -0.0% 193.4M -6.06B -33.9M 0.51 16.47 N/A N/A 691,680 353,210 3,330,800 3,454,550 2020-08-07 $49.35 $45.00 39.4% 11.4% 40.3% 18.1% 40.9% 1.7% -0.7% -47.9M -4.03B -34.1M 0.64 18.66 N/A N/A 1,110,120 711,150 3,352,730 3,475,130 2020-08-10 $48.34 $45.00 38.7% 11.3% 39.8% 17.3% 39.7% 2.8% 0.6% -16.7M -2.95B -33.4M 0.58 19.03 N/A N/A 673,750 388,650 3,067,380 3,343,470 2020-08-11 $46.95 $45.00 38.6% 11.2% 40.0% 17.0% 39.8% 2.9% 0.5% -58.6M -1.38B -33.1M 0.58 20.21 N/A N/A 736,970 425,510 3,169,330 3,438,400 2020-08-12 $47.56 $45.00 36.3% 10.7% 40.3% 13.9% 37.8% 1.8% 1.1% -5.2M -2.17B -33.3M 0.44 21.19 N/A N/A 710,540 313,270 3,350,050 3,518,600 2020-08-13 $48.17 $45.00 36.0% 10.5% 40.4% 13.6% 37.1% 1.9% 1.1% -1.8M -2.82B -33.1M 0.51 21.43 N/A N/A 627,580 319,440 3,338,620 3,552,780 2020-08-14 $48.12 $45.00 35.4% 10.3% 31.1% 12.7% 37.3% 2.2% 1.1% 60.4M -2.68B -32.7M 0.61 21.60 N/A N/A 681,350 418,750 3,418,660 3,598,750 2020-08-17 $48.42 $45.00 35.4% 10.2% 29.8% 12.7% 36.8% 2.0% 0.8% 64.9M -3.45B -31.8M 0.52 20.62 N/A N/A 424,310 219,080 3,066,890 3,307,060 2020-08-18 $49.33 $45.00 35.9% 10.3% 29.5% 13.5% 36.7% 1.5% -0.1% 136.0M -4.53B -31.9M 0.44 18.78 N/A N/A 847,130 374,880 3,174,200 3,378,200 2020-08-19 $48.48 $46.00 35.9% 10.3% 30.2% 13.4% 36.4% 1.9% 0.4% 79.5M -3.55B -32.0M 0.66 23.44 N/A N/A 527,000 345,940 3,259,850 3,439,820 2020-08-20 $49.78 $46.00 35.9% 10.3% 29.6% 13.4% 36.6% 1.7% 0.7% 216.9M -5.24B -32.4M 0.52 19.76 N/A N/A 870,400 451,960 3,340,300 3,515,850 2020-08-21 $49.10 $46.00 36.9% 10.5% 30.0% 14.7% 37.3% 1.8% 0.8% 27.4M -4.38B -33.6M 0.53 27.43 N/A N/A 762,980 404,750 3,458,090 3,568,090 2020-08-24 $48.77 $46.50 38.4% 10.9% 27.8% 16.8% 38.6% 1.1% 0.2% 69.2M -3.72B -34.1M 0.56 21.79 N/A N/A 674,780 378,590 2,767,520 2,999,810 2020-08-25 $48.94 $47.00 37.6% 10.6% 27.3% 15.7% 37.9% 1.0% 0.4% 78.5M -3.88B -34.7M 0.89 28.06 N/A N/A 570,920 510,020 2,911,650 3,152,880 2020-08-26 $54.69 $47.00 44.9% 13.2% 47.8% 25.6% 47.0% -3.0% 0.5% 171.9M -9.88B -36.0M 0.34 28.57 N/A N/A 3,946,280 1,334,660 3,167,020 3,516,210 2020-08-27 $52.82 $47.50 47.5% 13.1% 49.9% 29.0% 47.2% -0.7% -0.0% 172.1M -8.10B -40.4M 0.42 34.71 N/A N/A 1,608,390 680,680 3,706,800 3,745,070 2020-08-28 $52.33 $47.50 49.3% 13.4% 50.1% 31.5% 48.7% -1.0% 0.3% 143.6M -8.05B -44.0M 0.39 44.80 N/A N/A 1,171,340 460,950 4,103,540 3,857,460 2020-08-31 $53.07 $47.50 52.1% 14.0% 49.8% 35.3% 50.0% -0.9% 0.2% 160.6M -8.47B -43.9M 0.26 34.24 N/A N/A 1,339,050 351,000 3,744,780 3,576,280
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