NFLX Options History — December 2020 In December 2020, NFLX traded between $49.33 and $53.78. ATM implied volatility averaged 40.1%, placing in the 17.2% IV rank vs the trailing year. The 30-day expected move averaged 10.4%. IV traded above realized volatility by 11.3% (HV 20d: 28.8%). Max pain ranged from $45.00 to $50.00. Net GEX was positive for 21 of 22 trading days. Term structure was in contango for 14 of 22 days. Put/call ratio averaged 0.56.
Notable Days 2020-12-31 : Highest Volume — 2,513,400 contracts2020-12-21 : Largest IV spike — 13.7% change2020-12-23 : Highest IV Rank — 26.2%2020-12-11 : Largest Expected Move — 11.0%Monthly Statistics Metric Avg Min Max Open Close Price $51.59 $49.33 $53.78 $50.30 $53.78 Max Pain $47.07 $45.00 $50.00 $50.00 $48.00 ATM IV 40.1% 34.5% 47.7% 34.9% 46.0% Expected Move 10.4% 9.5% 11.0% 10.4% 9.8% HV 20d 28.8% 21.0% 35.5% 35.5% 29.1% HV 60d 41.1% 38.2% 42.5% 42.5% 38.2% IV Rank 17.2% 11.6% 26.2% 12.1% 23.9% IV Percentile 35.7% 15.1% 62.3% 15.9% 58.3% Term Structure 2.4% -1.7% 11.5% 1.3% -1.7% VWIV 37.3% 34.5% 39.2% 37.9% 35.7% Skew 25d -0.5% -1.9% 0.6% -0.5% -1.6% Skew 10d -0.1% -2.7% 2.4% 0.3% -2.7% Call IV 25d 41.0% 35.0% 49.7% 36.1% 48.0% Put IV 25d 40.5% 34.8% 48.8% 35.6% 46.4% Bid-Ask Spread % 10.63 3.02 27.16 7.98 3.89 Gamma HHI 0.07 0.03 0.23 0.05 0.11 Net GEX 187.6M -13.2M 398.9M 188.8M 286.1M Net DEX -5.29B -8.08B -2.51B -4.61B -7.47B Net VEX -37.3M -38.9M -35.3M -38.4M -35.3M Div Yield 0.0% 0.0% 0.0% 0.0% 0.0% P/C Ratio 0.56 0.37 0.90 0.38 0.37 Total Volume 1,199,963.182 560,980 2,513,400 2,088,890 2,513,400 Total OI 7,385,314.091 6,376,900 8,175,360 7,370,050 7,070,040
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 2020-12-01 $50.30 $50.00 34.9% 10.4% 35.5% 12.1% 37.9% -0.5% 1.3% 188.8M -4.61B -38.4M 0.38 7.98 N/A N/A 1,511,070 577,820 3,516,780 3,853,270 2020-12-02 $50.23 $50.00 35.7% 10.6% 35.3% 13.2% 38.3% -0.6% 0.9% 185.9M -4.34B -38.9M 0.37 9.70 N/A N/A 798,040 298,510 3,612,420 3,894,270 2020-12-03 $49.73 $45.00 34.5% 10.8% 35.2% 11.6% 38.5% 0.1% 1.4% 153.5M -3.63B -37.7M 0.53 13.12 N/A N/A 812,260 431,060 3,659,980 3,944,120 2020-12-04 $49.79 $45.00 34.8% 10.7% 32.8% 11.9% 37.5% -0.3% 1.7% 184.1M -3.68B -37.6M 0.62 6.39 N/A N/A 840,660 519,540 3,741,580 4,052,500 2020-12-07 $51.60 $45.00 36.4% 11.0% 35.3% 14.2% 39.2% -0.8% 1.3% 183.0M -5.71B -37.9M 0.46 7.78 N/A N/A 1,094,640 499,110 3,462,890 3,851,840 2020-12-08 $51.20 $45.50 35.9% 11.0% 21.0% 12.1% 38.6% -1.9% 1.5% 198.0M -5.25B -38.1M 0.45 7.48 N/A N/A 840,270 376,440 3,644,230 3,918,810 2020-12-09 $49.33 $46.50 37.0% 11.0% 25.1% 13.6% 39.0% 0.3% 1.3% 59.2M -2.51B -38.3M 0.57 25.94 N/A N/A 819,830 463,960 3,721,420 3,990,680 2020-12-10 $50.14 $46.50 36.2% 10.9% 25.2% 12.5% 38.7% 0.6% 2.1% 118.4M -3.67B -38.4M 0.52 14.82 N/A N/A 571,170 294,250 3,856,260 4,137,560 2020-12-11 $50.22 $46.50 38.1% 11.0% 24.7% 15.1% 39.2% -0.3% 0.1% 171.6M -3.82B -38.1M 0.63 14.63 N/A N/A 683,540 433,310 3,956,590 4,218,770 2020-12-14 $52.17 $46.50 37.9% 11.0% 27.8% 14.8% 39.1% 0.2% 8.1% 224.9M -6.30B -37.1M 0.49 27.16 N/A N/A 1,067,460 520,560 3,578,470 4,010,850 2020-12-15 $51.99 $46.50 37.0% 10.6% 27.5% 13.5% 37.7% -0.1% 10.0% 255.6M -5.99B -36.8M 0.77 14.05 N/A N/A 526,000 403,230 3,671,750 4,050,850 2020-12-16 $52.68 $47.00 36.9% 10.6% 27.7% 12.6% 37.5% -0.4% 10.5% 326.5M -7.21B -37.0M 0.50 17.25 N/A N/A 767,610 386,300 3,751,480 4,154,150 2020-12-17 $53.14 $47.00 38.1% 10.3% 27.7% 13.7% 36.5% -1.0% 11.5% 398.9M -8.08B -37.8M 0.48 9.24 N/A N/A 945,140 453,650 3,837,020 4,225,000 2020-12-18 $52.89 $47.00 40.6% 10.5% 27.9% 16.2% 37.7% -0.9% 11.2% 391.2M -7.25B -38.0M 0.54 9.70 N/A N/A 694,070 373,470 3,833,180 4,222,210 2020-12-21 $52.75 $47.50 46.1% 10.5% 28.0% 24.0% 38.5% -0.9% -1.3% 148.2M -5.85B -37.4M 0.76 10.23 N/A N/A 453,030 345,240 2,999,430 3,377,470 2020-12-22 $52.53 $47.50 46.6% 10.2% 26.9% 24.7% 37.1% -0.5% -1.2% 125.0M -5.57B -37.0M 0.55 4.72 N/A N/A 361,990 198,990 3,124,510 3,534,920 2020-12-23 $51.64 $47.50 47.7% 9.9% 27.9% 26.2% 35.4% -0.6% -1.5% 57.7M -4.51B -36.7M 0.66 8.50 N/A N/A 467,600 309,560 3,152,050 3,588,510 2020-12-24 $51.31 $47.50 46.2% 9.5% 28.1% 24.2% 34.5% 0.3% -0.9% -13.2M -3.93B -36.6M 0.90 10.54 N/A N/A 305,270 275,390 3,260,690 3,684,510 2020-12-28 $52.01 $47.50 44.9% 9.6% 28.3% 22.3% 34.6% -0.7% -1.5% 113.6M -4.95B -35.3M 0.51 4.21 N/A N/A 619,350 318,180 3,035,790 3,528,930 2020-12-29 $53.12 $48.00 45.4% 9.8% 28.9% 23.0% 35.4% -0.8% -0.9% 211.2M -6.51B -36.0M 0.49 3.02 N/A N/A 962,810 473,480 3,193,490 3,610,040 2020-12-30 $52.46 $48.00 45.0% 9.6% 28.0% 22.5% 35.0% -0.9% -1.4% 159.3M -5.57B -35.5M 0.70 3.55 N/A N/A 464,770 327,160 3,262,020 3,685,580 2020-12-31 $53.78 $48.00 46.0% 9.8% 29.1% 23.9% 35.7% -1.6% -1.7% 286.1M -7.47B -35.3M 0.37 3.89 N/A N/A 1,834,230 679,170 3,299,800 3,770,240
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