NFLX Options History — October 2020 In October 2020, NFLX traded between $47.40 and $55.56. ATM implied volatility averaged 53.4%, placing in the 37.0% IV rank vs the trailing year. The 30-day expected move averaged 14.7%. IV traded above realized volatility by 8.2% (HV 20d: 45.2%). Max pain ranged from $48.00 to $50.00. Net GEX was positive for 18 of 22 trading days. Term structure was in contango for 6 of 22 days. Put/call ratio averaged 0.55.
Notable Days 2020-10-21 : Highest Volume — 3,871,110 contracts2020-10-21 : Largest IV drop — 20.4% change2020-10-14 : Highest IV Rank — 47.3%2020-10-19 : Largest Expected Move — 17.1%Monthly Statistics Metric Avg Min Max Open Close Price $51.56 $47.40 $55.56 $52.58 $47.40 Max Pain $49.11 $48.00 $50.00 $50.00 $49.50 ATM IV 53.4% 41.2% 61.0% 56.5% 47.8% Expected Move 14.7% 11.9% 17.1% 12.3% 14.3% HV 20d 45.2% 41.5% 50.2% 43.2% 50.2% HV 60d 45.6% 43.3% 48.5% 47.2% 48.5% IV Rank 37.0% 20.6% 47.3% 41.2% 29.5% IV Percentile 74.6% 45.2% 88.9% 84.5% 62.7% Term Structure -1.1% -2.9% 1.2% 1.2% 0.3% VWIV 52.3% 42.5% 60.1% 44.7% 51.1% Skew 25d -0.4% -3.1% 4.6% -0.6% 4.6% Skew 10d -0.3% -4.2% 8.5% -0.2% 8.5% Call IV 25d 54.2% 41.6% 63.2% 57.3% 46.4% Put IV 25d 53.8% 42.5% 60.1% 56.7% 50.9% Bid-Ask Spread % 23.82 14.65 34.75 34.75 25.37 Gamma HHI 0.06 0.03 0.11 0.07 0.08 Net GEX 201.8M -142.9M 496.5M 390.2M -77.3M Net DEX -6.68B -12.08B -705.6M -9.89B -705.6M Net VEX -42.7M -44.6M -40.2M -43.6M -42.9M Div Yield 0.0% 0.0% 0.0% 0.0% 0.0% P/C Ratio 0.55 0.29 1.10 0.29 0.80 Total Volume 1,842,426.818 649,780 3,871,110 2,677,600 1,989,170 Total OI 7,917,611.818 6,695,050 8,869,170 7,715,960 8,187,540
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 2020-10-01 $52.58 $50.00 56.5% 12.3% 43.2% 41.2% 44.7% -0.6% 1.2% 390.2M -9.89B -43.6M 0.29 34.75 N/A N/A 2,081,460 596,140 4,355,730 3,360,230 2020-10-02 $50.48 $50.00 58.2% 12.6% 42.4% 43.5% 46.7% -1.1% 1.0% 309.9M -6.67B -44.2M 0.49 26.63 N/A N/A 1,360,320 661,960 4,537,600 3,473,050 2020-10-05 $51.90 $48.00 58.5% 16.2% 43.1% 43.9% 56.9% -0.4% -1.7% 327.4M -8.14B -43.4M 0.42 18.24 N/A N/A 874,100 366,990 4,271,120 3,300,400 2020-10-06 $50.50 $48.00 58.2% 16.2% 43.7% 43.5% 56.9% -0.1% -1.8% 252.0M -6.13B -43.0M 0.52 20.00 N/A N/A 669,290 346,170 4,381,480 3,413,220 2020-10-07 $53.47 $48.00 59.5% 16.1% 47.7% 45.3% 56.8% -1.6% -2.0% 431.5M -10.86B -43.1M 0.31 14.65 N/A N/A 2,116,110 654,760 4,472,560 3,506,210 2020-10-08 $53.16 $48.00 58.7% 15.9% 45.8% 44.2% 56.3% -1.3% -2.2% 422.5M -10.04B -43.1M 0.42 17.95 N/A N/A 1,248,530 521,470 4,585,390 3,655,370 2020-10-09 $53.65 $49.00 59.0% 16.1% 45.7% 44.5% 56.8% -2.4% -2.8% 496.5M -11.02B -42.7M 0.31 19.55 N/A N/A 1,621,170 509,300 4,641,670 3,704,710 2020-10-12 $54.14 $49.00 57.1% 15.8% 45.4% 42.0% 56.0% -1.9% -1.4% 326.2M -10.28B -41.6M 0.43 21.63 N/A N/A 894,880 386,400 4,157,110 3,377,390 2020-10-13 $55.56 $49.00 58.1% 16.1% 44.8% 43.3% 56.9% -2.1% -1.4% 352.0M -12.08B -42.0M 0.34 23.99 N/A N/A 995,630 333,590 4,287,940 3,491,340 2020-10-14 $54.35 $49.00 61.0% 16.9% 45.3% 47.3% 59.2% -1.9% -2.3% 333.3M -10.39B -42.6M 0.30 19.42 N/A N/A 1,901,490 571,480 4,402,980 3,586,410 2020-10-15 $54.17 $49.00 60.6% 16.8% 42.4% 46.7% 59.2% -3.1% -2.5% 360.2M -10.05B -42.9M 0.31 19.61 N/A N/A 1,304,510 402,170 4,618,580 3,685,790 2020-10-16 $53.52 $49.00 59.1% 16.5% 42.8% 44.7% 58.0% -3.0% -2.2% 114.1M -8.84B -42.8M 0.38 21.44 N/A N/A 1,413,260 532,370 4,696,600 3,766,890 2020-10-19 $53.02 $49.00 60.5% 17.1% 41.5% 46.6% 60.1% -0.9% -2.9% 137.8M -6.80B -42.0M 0.54 21.68 N/A N/A 879,970 474,150 3,530,110 3,164,940 2020-10-20 $52.71 $49.50 56.0% 16.0% 41.5% 40.5% 56.4% -0.3% -2.2% 138.9M -6.44B -42.6M 0.62 27.65 N/A N/A 1,454,750 900,310 3,813,820 3,421,810 2020-10-21 $48.92 $49.50 44.6% 12.8% 47.6% 25.1% 45.3% 1.1% -1.3% -87.9M -1.71B -40.2M 0.83 27.52 N/A N/A 2,112,150 1,758,960 4,187,100 3,859,050 2020-10-22 $48.48 $49.50 42.7% 12.3% 47.7% 22.7% 43.8% 0.9% -1.2% -142.9M -1.13B -41.3M 1.10 30.90 N/A N/A 856,040 945,740 4,484,770 4,135,730 2020-10-23 $48.83 $49.50 41.2% 11.9% 47.2% 20.6% 42.5% 1.0% -0.8% -60.6M -1.79B -41.9M 1.10 22.35 N/A N/A 742,090 818,100 4,615,270 4,253,900 2020-10-26 $48.68 $49.50 42.9% 12.6% 46.9% 22.9% 44.8% 0.6% 1.1% 50.5M -2.63B -42.4M 0.74 27.44 N/A N/A 570,970 419,870 3,734,520 3,645,720 2020-10-27 $48.82 $49.50 42.3% 12.4% 46.9% 22.0% 44.3% 0.8% 0.9% 67.8M -2.75B -42.7M 0.84 21.46 N/A N/A 353,790 295,990 3,873,740 3,776,810 2020-10-28 $48.91 $49.50 45.6% 13.6% 46.6% 26.5% 48.2% 2.3% 0.9% 75.1M -2.84B -43.7M 0.54 29.66 N/A N/A 805,330 435,780 3,941,860 3,864,410 2020-10-29 $50.98 $49.50 46.0% 13.7% 45.3% 27.1% 48.8% 1.2% -0.0% 221.7M -5.84B -44.6M 0.46 32.16 N/A N/A 1,614,010 742,670 4,031,420 3,935,170 2020-10-30 $47.40 $49.50 47.8% 14.3% 50.2% 29.5% 51.1% 4.6% 0.3% -77.3M -705.6M -42.9M 0.80 25.37 N/A N/A 1,107,710 881,460 4,181,990 4,005,550
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