NFLX Options History — January 2021

In January 2021, NFLX traded between $49.27 and $58.88. ATM implied volatility averaged 43.2%, placing in the 19.9% IV rank vs the trailing year. The 30-day expected move averaged 11.9%. IV traded below realized volatility by 1.6% (HV 20d: 44.8%). Max pain ranged from $50.00 to $51.00. Net GEX was positive for 17 of 19 trading days. Term structure was in contango for 5 of 19 days. Put/call ratio averaged 0.57.

Notable Days

  • 2021-01-20: Highest Volume — 8,399,660 contracts
  • 2021-01-27: Largest IV spike — 16.9% change
  • 2021-01-04: Highest IV Rank — 28.5%
  • 2021-01-12: Largest Expected Move — 13.2%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$52.82$49.27$58.88$52.26$53.28
Max Pain$50.51$50.00$51.00$51.00$51.00
ATM IV43.2%33.6%49.3%49.3%40.7%
Expected Move11.9%9.6%13.2%12.9%11.6%
HV 20d44.8%27.6%68.3%30.9%68.3%
HV 60d41.5%34.7%48.8%36.8%46.5%
IV Rank19.9%6.4%28.5%28.5%16.4%
IV Percentile44.9%7.9%64.3%64.3%39.3%
Term Structure-1.1%-2.5%0.4%-1.8%-0.2%
VWIV42.5%34.7%46.8%45.7%41.6%
Skew 25d-0.5%-2.0%3.6%-0.0%3.6%
Skew 10d-1.3%-4.0%5.7%-0.3%5.7%
Call IV 25d44.1%35.0%49.9%49.2%39.8%
Put IV 25d43.6%33.8%49.2%49.2%43.4%
Bid-Ask Spread %14.384.3536.4811.0526.32
Gamma HHI0.050.030.100.050.05
Net GEX78.1M-107.1M324.2M107.7M-107.1M
Net DEX-3.97B-11.76B-852.5M-4.90B-921.3M
Net VEX-38.1M-42.9M-35.0M-35.1M-42.4M
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.570.360.750.590.73
Total Volume1,962,778.421782,7008,399,6601,037,0801,349,490
Total OI6,879,326.8424,848,2507,690,8506,664,7106,819,000

Daily Data (19 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2021-01-04$52.26$51.0049.3%12.9%30.9%28.5%45.7%-0.0%-1.8%107.7M-4.90B-35.1M0.5911.05N/AN/A652,970384,1103,150,9903,513,720
2021-01-05$52.12$51.0047.6%12.6%31.0%26.2%44.8%-0.0%-1.8%114.6M-4.83B-35.2M0.4912.06N/AN/A525,570257,1303,288,5903,621,760
2021-01-06$50.44$51.0047.5%12.6%30.7%26.0%44.6%-0.3%-2.1%18.8M-2.67B-35.3M0.5412.94N/AN/A694,130372,8103,344,0703,691,700
2021-01-07$51.02$51.0045.3%12.2%30.9%22.9%43.3%-1.3%-1.5%84.5M-3.58B-35.5M0.4814.41N/AN/A555,920264,2103,483,5503,784,930
2021-01-08$51.06$51.0045.4%12.3%27.6%23.0%42.9%-1.6%-1.7%112.4M-3.60B-35.1M0.6214.63N/AN/A752,930469,6803,529,4103,830,180
2021-01-11$49.85$50.0048.6%13.1%28.5%27.6%46.5%-1.1%-2.3%39.9M-2.38B-35.0M0.5912.81N/AN/A568,670337,5503,329,2803,663,150
2021-01-12$49.27$50.0048.9%13.2%28.8%27.9%46.8%-1.6%-2.3%36.9M-1.70B-35.2M0.4214.81N/AN/A1,031,310436,7403,531,2903,797,110
2021-01-13$51.08$50.0047.0%12.8%28.4%25.3%45.4%-1.9%-2.4%174.4M-4.83B-37.1M0.3913.28N/AN/A1,128,850443,9003,671,1003,883,940
2021-01-14$50.16$50.0047.5%13.0%29.0%26.0%46.3%-0.7%-2.5%73.3M-3.11B-36.7M0.5213.28N/AN/A703,280362,5903,623,1203,915,990
2021-01-15$49.80$50.0046.5%12.9%28.5%24.5%45.5%-0.3%-2.2%66.0M-2.17B-36.4M0.6513.69N/AN/A1,104,840719,1503,691,1103,999,740
2021-01-19$50.24$50.0043.4%12.3%28.5%20.2%43.9%0.2%-1.0%36.8M-1.35B-36.5M0.5514.48N/AN/A1,991,2701,102,4402,373,6002,474,650
2021-01-20$58.88$50.0037.4%10.7%64.0%11.8%38.5%-1.9%-0.4%324.2M-11.76B-36.9M0.635.72N/AN/A5,139,6303,260,0303,241,5702,960,370
2021-01-21$58.17$50.0036.1%10.3%64.3%9.9%37.1%-2.0%0.3%220.6M-9.16B-40.9M0.629.84N/AN/A2,319,2101,437,3403,611,4003,693,260
2021-01-22$56.80$50.2533.6%9.6%65.0%6.4%34.7%-1.3%0.3%12.6M-6.67B-41.4M0.625.90N/AN/A1,647,5001,015,2803,788,6803,774,320
2021-01-25$55.71$50.5037.0%10.5%65.1%11.2%38.4%-1.2%0.2%26.5M-3.71B-41.8M0.744.35N/AN/A1,093,110813,4202,964,0803,092,110
2021-01-26$56.20$51.0036.6%10.3%65.0%10.6%37.5%-1.1%0.4%112.5M-4.98B-42.2M0.367.09N/AN/A983,520351,6003,169,3903,119,220
2021-01-27$53.18$51.0042.8%12.3%68.3%19.3%44.0%2.2%-0.3%-9.2M-852.5M-42.9M0.7536.48N/AN/A914,020687,9603,309,9803,211,310
2021-01-28$54.15$51.0039.2%10.9%68.1%14.3%39.1%1.4%0.3%39.3M-2.28B-42.6M0.5230.12N/AN/A936,060484,5703,443,4203,316,120
2021-01-29$53.28$51.0040.7%11.6%68.3%16.4%41.6%3.6%-0.2%-107.1M-921.3M-42.4M0.7326.32N/AN/A779,660569,8303,460,6503,358,350