NFLX Options History — February 2021

In February 2021, NFLX traded between $53.59 and $56.27. ATM implied volatility averaged 35.4%, placing in the 7.5% IV rank vs the trailing year. The 30-day expected move averaged 10.2%. IV traded below realized volatility by 16.1% (HV 20d: 51.5%). Max pain ranged from $51.00 to $52.50. Net GEX was positive for 15 of 19 trading days. Term structure was in contango for 16 of 19 days. Put/call ratio averaged 0.64.

Notable Days

  • 2021-02-04: Highest Volume — 2,137,110 contracts
  • 2021-02-25: Largest IV spike — 11.1% change
  • 2021-02-01: Highest IV Rank — 13.5%
  • 2021-02-25: Largest Expected Move — 11.3%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$54.94$53.59$56.27$54.16$54.23
Max Pain$51.92$51.00$52.50$51.00$52.50
ATM IV35.4%32.6%38.8%38.6%37.0%
Expected Move10.2%9.5%11.3%10.7%10.6%
HV 20d51.5%20.3%67.9%67.9%20.3%
HV 60d44.1%43.3%46.6%46.5%43.7%
IV Rank7.5%2.4%13.5%13.5%6.5%
IV Percentile10.9%1.2%30.6%29.4%19.8%
Term Structure0.3%-0.3%1.1%0.3%-0.2%
VWIV36.5%34.3%40.2%39.0%37.8%
Skew 25d1.3%-0.1%3.6%2.3%3.6%
Skew 10d2.8%-0.5%7.4%4.1%7.4%
Call IV 25d35.4%32.6%38.6%38.3%35.8%
Put IV 25d36.7%32.9%41.2%40.6%39.4%
Bid-Ask Spread %19.347.7737.4414.8420.82
Gamma HHI0.070.020.310.030.04
Net GEX121.8M-109.1M438.2M33.3M-55.2M
Net DEX-3.92B-5.69B-1.89B-2.98B-2.16B
Net VEX-41.9M-43.5M-40.2M-42.5M-43.0M
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.640.281.080.450.99
Total Volume975,311.053605,3702,137,110856,6201,027,020
Total OI5,935,619.4744,994,7506,629,6905,785,9105,796,510

Daily Data (19 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2021-02-01$54.16$51.0038.6%10.7%67.9%13.5%39.0%2.3%0.3%33.3M-2.98B-42.5M0.4514.84N/AN/A588,990267,6302,809,1802,976,730
2021-02-02$55.14$51.0035.6%9.9%67.3%9.2%35.6%2.0%0.4%182.8M-4.45B-41.5M0.5312.13N/AN/A531,280282,3203,011,4603,020,180
2021-02-03$54.13$51.0035.4%9.6%67.7%8.9%35.2%2.0%0.1%111.9M-3.19B-41.5M0.597.77N/AN/A380,320225,0503,063,9603,047,490
2021-02-04$54.97$52.0034.9%10.2%66.6%8.3%36.6%-0.1%0.3%237.4M-4.34B-41.1M0.2914.48N/AN/A1,660,490476,6203,107,9403,100,760
2021-02-05$55.03$52.0032.6%9.7%66.5%5.0%35.0%0.3%0.8%438.2M-4.43B-40.8M0.5115.23N/AN/A782,130402,4903,267,7803,146,970
2021-02-08$54.89$52.0033.4%9.8%66.5%6.2%35.6%0.4%0.7%137.5M-4.00B-40.2M0.609.41N/AN/A388,000232,8002,832,5202,901,500
2021-02-09$56.12$52.0034.8%10.2%66.0%8.1%36.5%0.0%0.5%217.3M-5.50B-40.5M0.288.76N/AN/A1,077,730304,8402,906,0302,973,510
2021-02-10$56.27$52.0036.5%10.6%65.7%10.5%38.1%0.1%0.4%241.4M-5.69B-41.2M0.3316.08N/AN/A1,002,000327,5403,027,0703,019,320
2021-02-11$55.84$52.0036.0%10.4%64.9%9.8%37.3%-0.1%0.4%239.0M-5.45B-42.9M0.7117.09N/AN/A590,350416,2503,263,7903,138,380
2021-02-12$55.55$52.0034.8%10.2%64.5%8.2%36.4%0.2%0.6%-109.1M-5.10B-42.3M0.7526.01N/AN/A657,430492,8303,316,3403,313,350
2021-02-16$55.53$52.0035.1%10.1%64.4%8.5%36.2%0.8%-0.1%152.6M-4.83B-41.9M0.5536.61N/AN/A447,080246,5202,969,3802,945,280
2021-02-17$55.12$52.0035.2%10.1%64.5%7.6%36.0%1.6%0.3%121.9M-4.44B-42.1M0.6727.25N/AN/A390,100259,7103,014,3102,993,730
2021-02-18$54.89$52.0035.5%10.2%29.1%8.1%36.3%1.3%0.2%100.8M-4.05B-42.3M0.7125.41N/AN/A436,050310,2203,072,7103,069,470
2021-02-19$54.01$52.0033.4%9.5%29.3%4.8%34.3%1.9%1.1%151.3M-2.86B-41.2M0.9622.01N/AN/A416,440398,5403,054,5103,121,490
2021-02-22$53.59$52.0034.2%9.8%28.4%2.4%35.6%2.3%0.4%-5.5M-1.89B-41.6M0.7312.59N/AN/A399,420290,1002,389,0402,605,710
2021-02-23$54.65$52.0035.5%10.3%28.8%4.3%36.5%2.2%0.1%68.3M-3.05B-42.5M1.0828.49N/AN/A521,870564,3802,512,1702,722,120
2021-02-24$55.21$52.5034.9%10.0%28.8%3.4%35.8%1.9%0.1%64.4M-3.54B-43.0M0.6614.96N/AN/A588,240386,1302,603,2002,938,650
2021-02-25$54.47$52.5038.8%11.3%21.2%9.1%40.2%2.6%-0.3%-13.4M-2.55B-43.5M0.8537.44N/AN/A410,970351,0302,687,6703,036,560
2021-02-26$54.23$52.5037.0%10.6%20.3%6.5%37.8%3.6%-0.2%-55.2M-2.16B-43.0M0.9920.82N/AN/A514,810512,2102,729,1003,067,410