NFLX Options History — November 2020 In November 2020, NFLX traded between $47.56 and $51.35. ATM implied volatility averaged 37.5%, placing in the 15.6% IV rank vs the trailing year. The 30-day expected move averaged 11.0%. IV traded below realized volatility by 10.3% (HV 20d: 47.8%). Max pain ranged from $49.50 to $51.00. Net GEX was positive for 20 of 20 trading days. Term structure was in contango for 11 of 20 days. Put/call ratio averaged 0.64.
Notable Days 2020-11-20 : Highest Volume — 2,152,070 contracts2020-11-04 : Largest IV drop — 10.1% change2020-11-02 : Highest IV Rank — 28.1%2020-11-02 : Largest Expected Move — 14.1%Monthly Statistics Metric Avg Min Max Open Close Price $48.78 $47.56 $51.35 $48.29 $48.86 Max Pain $50.08 $49.50 $51.00 $49.50 $50.00 ATM IV 37.5% 34.0% 46.8% 46.8% 35.0% Expected Move 11.0% 9.9% 14.1% 14.1% 10.6% HV 20d 47.8% 34.7% 52.9% 49.5% 34.7% HV 60d 47.6% 42.3% 50.8% 48.2% 42.3% IV Rank 15.6% 10.9% 28.1% 28.1% 12.3% IV Percentile 27.5% 16.3% 61.1% 61.1% 17.9% Term Structure 0.2% -0.8% 1.3% 0.1% 0.9% VWIV 39.9% 35.7% 52.3% 52.3% 39.5% Skew 25d 1.6% -0.2% 4.6% 4.6% -0.1% Skew 10d 3.3% -0.9% 10.2% 9.5% 0.0% Call IV 25d 37.6% 34.7% 45.8% 45.8% 36.1% Put IV 25d 39.2% 34.8% 50.4% 50.4% 36.0% Bid-Ask Spread % 18.66 9.26 31.46 22.22 11.40 Gamma HHI 0.06 0.03 0.29 0.03 0.04 Net GEX 117.5M 20.0M 354.0M 53.8M 87.3M Net DEX -2.58B -5.90B -972.3M -2.26B -2.67B Net VEX -39.9M -43.5M -37.3M -43.3M -37.9M Div Yield 0.0% 0.0% 0.0% 0.0% 0.0% P/C Ratio 0.64 0.35 1.03 0.66 0.76 Total Volume 1,041,850.5 553,860 2,152,070 623,250 971,420 Total OI 7,731,113.5 6,841,020 8,319,390 7,411,950 7,007,720
Daily Data (20 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 2020-11-02 $48.29 $49.50 46.8% 14.1% 49.5% 28.1% 52.3% 4.6% 0.1% 53.8M -2.26B -43.3M 0.66 22.22 N/A N/A 375,800 247,450 3,732,220 3,679,730 2020-11-03 $48.86 $49.50 45.0% 13.5% 49.0% 25.7% 48.8% 4.1% -0.0% 70.5M -2.84B -42.6M 0.78 27.71 N/A N/A 312,010 241,850 3,732,220 3,679,730 2020-11-04 $49.60 $49.50 40.4% 12.1% 44.3% 19.6% 45.0% 3.6% 0.4% 119.9M -3.58B -42.8M 1.03 18.36 N/A N/A 345,780 356,780 3,822,450 3,776,840 2020-11-05 $51.34 $51.00 40.2% 11.9% 46.3% 19.3% 42.9% 2.5% 0.5% 213.7M -5.90B -43.5M 0.75 16.77 N/A N/A 764,410 573,500 3,863,540 3,809,650 2020-11-06 $51.35 $51.00 36.4% 10.9% 46.2% 14.1% 39.5% 1.8% 1.3% 210.4M -5.83B -42.5M 0.81 19.88 N/A N/A 632,010 512,840 3,982,820 3,923,710 2020-11-09 $47.56 $51.00 38.9% 11.4% 52.9% 17.5% 40.6% 2.0% 0.8% 20.0M -972.3M -39.4M 0.70 21.06 N/A N/A 831,320 581,980 3,735,270 3,712,870 2020-11-10 $48.30 $50.00 39.3% 11.5% 52.2% 18.0% 41.4% 1.8% 0.7% 63.3M -1.89B -41.1M 0.48 22.48 N/A N/A 746,520 355,630 3,988,910 3,905,840 2020-11-11 $49.00 $50.00 38.1% 11.1% 52.4% 16.5% 39.6% 1.7% 0.7% 134.5M -3.05B -41.3M 0.59 31.46 N/A N/A 551,080 324,980 4,123,330 3,970,590 2020-11-12 $48.44 $50.00 38.4% 11.2% 52.4% 16.8% 40.2% 2.1% 0.6% 99.0M -2.12B -40.9M 0.73 20.29 N/A N/A 640,820 468,900 4,191,380 4,037,040 2020-11-13 $48.27 $50.00 36.9% 10.7% 52.4% 14.8% 39.1% 2.6% 0.7% 55.9M -1.63B -40.3M 0.85 22.42 N/A N/A 508,800 433,280 4,189,670 4,129,720 2020-11-16 $47.80 $50.00 35.0% 10.0% 52.4% 12.2% 36.2% 1.7% 0.2% 45.6M -977.1M -38.3M 0.88 19.19 N/A N/A 447,110 393,480 3,865,050 3,876,880 2020-11-17 $48.07 $50.00 34.4% 9.9% 52.5% 11.4% 36.4% 1.2% -0.0% 72.7M -1.37B -37.8M 0.43 14.56 N/A N/A 682,570 290,570 3,988,500 4,035,130 2020-11-18 $48.36 $50.00 35.0% 10.0% 45.6% 12.3% 35.9% 1.0% -0.4% 129.2M -1.86B -39.2M 0.47 21.23 N/A N/A 592,790 278,630 4,136,900 4,095,700 2020-11-19 $48.61 $50.00 35.2% 10.1% 45.6% 12.5% 36.3% 0.7% -0.1% 171.9M -2.18B -38.2M 0.54 13.47 N/A N/A 405,790 220,910 4,053,970 4,120,760 2020-11-20 $48.93 $50.00 36.0% 10.4% 45.5% 13.6% 37.6% -0.2% -0.5% 184.9M -2.55B -38.5M 0.35 19.36 N/A N/A 1,595,960 556,110 4,105,510 4,136,330 2020-11-23 $48.02 $50.00 35.0% 10.2% 46.0% 12.3% 36.8% 0.4% -0.3% 59.2M -1.83B -37.3M 0.56 9.26 N/A N/A 856,920 476,640 3,274,470 3,566,550 2020-11-24 $48.34 $50.00 34.0% 9.9% 46.1% 10.9% 35.7% -0.0% -0.2% 83.2M -2.22B -38.4M 0.51 9.53 N/A N/A 573,300 294,340 3,521,120 3,810,560 2020-11-25 $48.53 $50.00 34.2% 9.9% 46.1% 11.1% 35.9% -0.2% -0.8% 120.7M -2.54B -37.6M 0.48 14.35 N/A N/A 723,180 347,130 3,565,610 3,870,690 2020-11-27 $48.98 $50.00 34.9% 10.3% 43.6% 12.2% 37.2% 0.2% -0.7% 354.0M -3.40B -37.8M 0.42 18.13 N/A N/A 933,030 391,390 3,678,420 3,924,870 2020-11-30 $48.86 $50.00 35.0% 10.6% 34.7% 12.3% 39.5% -0.1% 0.9% 87.3M -2.67B -37.9M 0.76 11.40 N/A N/A 552,750 418,670 3,368,250 3,639,470
« Oct 2020 | All History | Dec 2020 » Home NFLX History November 2020