NFLX Options History — September 2020 In September 2020, NFLX traded between $46.66 and $55.53. ATM implied volatility averaged 53.6%, placing in the 37.2% IV rank vs the trailing year. The 30-day expected move averaged 14.2%. IV traded above realized volatility by 2.0% (HV 20d: 51.5%). Max pain ranged from $47.50 to $50.50. Net GEX was positive for 18 of 21 trading days. Term structure was in contango for 14 of 21 days. Put/call ratio averaged 0.63.
Notable Days 2020-09-01 : Highest Volume — 2,796,830 contracts2020-09-21 : Largest IV spike — 14.1% change2020-09-23 : Highest IV Rank — 48.4%2020-09-03 : Largest Expected Move — 18.0%Monthly Statistics Metric Avg Min Max Open Close Price $49.51 $46.66 $55.53 $55.53 $49.97 Max Pain $50.07 $47.50 $50.50 $47.50 $50.00 ATM IV 53.6% 45.4% 61.9% 54.6% 54.1% Expected Move 14.2% 11.5% 18.0% 14.7% 11.5% HV 20d 51.5% 38.3% 59.3% 51.7% 38.3% HV 60d 47.4% 46.1% 48.7% 46.8% 46.2% IV Rank 37.2% 26.2% 48.4% 38.6% 38.0% IV Percentile 77.0% 61.1% 89.7% 81.3% 78.2% Term Structure 3.8% -3.5% 14.1% 0.1% 0.8% VWIV 50.2% 40.9% 62.5% 52.2% 41.2% Skew 25d 2.0% -0.6% 4.5% -0.3% 0.4% Skew 10d 3.2% -1.1% 8.0% -1.1% 1.8% Call IV 25d 53.0% 44.5% 62.7% 55.8% 54.6% Put IV 25d 55.0% 46.4% 64.0% 55.5% 55.1% Bid-Ask Spread % 23.65 13.44 39.46 14.96 33.81 Gamma HHI 0.05 0.04 0.10 0.06 0.07 Net GEX 117.7M -54.6M 286.6M 273.2M 286.6M Net DEX -4.73B -12.38B -960.2M -12.38B -5.89B Net VEX -43.7M -48.9M -40.8M -45.6M -42.4M Div Yield 0.0% 0.0% 0.0% 0.0% 0.0% P/C Ratio 0.63 0.27 1.02 0.34 0.39 Total Volume 1,317,633.81 832,570 2,796,830 2,796,830 1,272,970 Total OI 8,045,128.095 7,135,230 8,902,540 7,891,110 7,565,360
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 2020-09-01 $55.53 $47.50 54.6% 14.7% 51.7% 38.6% 52.2% -0.3% 0.1% 273.2M -12.38B -45.6M 0.34 14.96 N/A N/A 2,094,860 701,970 4,188,700 3,702,410 2020-09-02 $55.23 $48.00 52.7% 14.3% 51.3% 36.1% 51.2% -0.6% 0.2% 266.2M -11.76B -47.7M 0.55 26.25 N/A N/A 840,130 458,570 4,411,130 3,904,080 2020-09-03 $52.73 $50.50 56.1% 18.0% 54.3% 40.7% 62.5% 3.1% -0.2% 125.5M -8.20B -48.9M 0.64 18.20 N/A N/A 759,210 485,980 4,479,050 3,995,840 2020-09-04 $51.68 $50.50 53.4% 17.3% 53.5% 37.0% 59.8% 4.5% 0.4% 121.7M -6.68B -48.2M 0.85 20.35 N/A N/A 920,040 780,860 4,501,180 4,037,880 2020-09-08 $50.70 $50.50 53.3% 17.4% 53.4% 36.9% 60.0% 4.3% 7.0% 109.9M -6.25B -47.1M 0.68 17.48 N/A N/A 537,530 363,090 4,244,810 3,799,940 2020-09-09 $49.88 $50.50 47.8% 16.2% 52.6% 29.5% 56.4% 3.4% 8.8% 80.7M -5.03B -45.8M 1.02 15.16 N/A N/A 744,010 761,550 4,375,410 3,926,900 2020-09-10 $48.18 $50.50 50.4% 16.6% 54.1% 33.0% 57.8% 4.1% 9.6% -14.6M -2.65B -44.4M 0.98 20.54 N/A N/A 829,360 809,440 4,453,630 4,031,860 2020-09-11 $48.12 $50.50 49.6% 15.9% 53.9% 31.9% 55.9% 4.5% 9.5% -54.6M -2.53B -44.0M 0.91 13.44 N/A N/A 790,530 719,950 4,584,860 4,154,690 2020-09-14 $47.70 $50.50 52.3% 15.5% 54.0% 35.5% 54.2% 2.2% 2.6% 33.3M -2.38B -42.0M 0.91 16.82 N/A N/A 697,260 636,850 4,292,180 3,914,430 2020-09-15 $49.37 $50.50 45.4% 13.0% 55.4% 26.2% 46.0% 0.9% 12.8% 99.7M -4.56B -42.4M 0.44 31.55 N/A N/A 1,109,580 491,330 4,304,740 3,967,370 2020-09-16 $48.59 $50.50 46.0% 13.2% 55.3% 27.0% 47.3% 0.5% 13.5% 81.2M -3.62B -42.9M 0.54 27.73 N/A N/A 676,580 363,440 4,510,070 4,007,770 2020-09-17 $46.76 $50.50 48.4% 13.1% 56.6% 30.2% 46.9% 2.0% 14.1% -23.3M -1.01B -40.8M 0.86 21.43 N/A N/A 797,230 682,000 4,650,880 4,050,270 2020-09-18 $46.66 $50.50 50.0% 12.9% 55.6% 32.5% 46.7% 2.1% 14.1% 1.2M -960.2M -41.1M 0.72 23.16 N/A N/A 945,000 685,050 4,776,660 4,125,880 2020-09-21 $48.47 $50.50 57.1% 13.2% 57.3% 42.0% 48.3% 1.3% -3.5% 138.1M -3.68B -42.3M 0.39 19.51 N/A N/A 787,740 310,350 3,928,630 3,206,600 2020-09-22 $49.14 $50.00 57.9% 12.7% 57.5% 43.1% 45.8% 0.5% -1.3% 194.5M -4.50B -42.4M 0.46 27.54 N/A N/A 609,910 278,320 4,062,150 3,265,650 2020-09-23 $47.15 $50.00 61.9% 13.6% 59.3% 48.4% 47.6% 1.3% -2.5% 82.9M -2.17B -41.3M 0.27 31.75 N/A N/A 993,310 272,360 4,120,790 3,333,960 2020-09-24 $47.31 $50.00 61.6% 13.0% 41.9% 48.0% 46.7% 3.3% -3.4% 85.9M -2.32B -41.5M 0.60 39.46 N/A N/A 519,720 312,850 4,286,110 3,392,820 2020-09-25 $48.31 $50.00 59.4% 12.0% 41.7% 45.1% 43.3% 2.3% -2.8% 183.1M -3.51B -42.3M 0.60 25.23 N/A N/A 573,200 346,590 4,356,290 3,448,740 2020-09-28 $48.99 $50.00 57.3% 12.0% 42.2% 42.3% 43.0% 1.5% -0.0% 180.2M -4.46B -42.0M 0.56 32.71 N/A N/A 546,950 308,200 4,022,340 3,166,450 2020-09-29 $49.28 $50.00 55.4% 11.6% 41.8% 39.8% 40.9% 0.8% 0.2% 220.8M -4.88B -41.7M 0.49 19.53 N/A N/A 573,650 282,790 4,147,220 3,251,960 2020-09-30 $49.97 $50.00 54.1% 11.5% 38.3% 38.0% 41.2% 0.4% 0.8% 286.6M -5.89B -42.4M 0.39 33.81 N/A N/A 915,140 357,830 4,248,510 3,316,850
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