NFLX Options History — March 2021 In March 2021, NFLX traded between $49.58 and $55.12. ATM implied volatility averaged 38.2%, placing in the 11.5% IV rank vs the trailing year. The 30-day expected move averaged 10.0%. IV traded above realized volatility by 6.5% (HV 20d: 31.7%). Max pain ranged from $52.00 to $52.50. Net GEX was positive for 14 of 23 trading days. Term structure was in contango for 10 of 23 days. Put/call ratio averaged 0.76.
Notable Days 2021-03-23 : Highest Volume — 1,462,690 contracts2021-03-18 : Largest IV spike — 13.8% change2021-03-25 : Highest IV Rank — 30.6%2021-03-08 : Largest Expected Move — 11.9%Monthly Statistics Metric Avg Min Max Open Close Price $51.87 $49.58 $55.12 $54.88 $52.17 Max Pain $52.22 $52.00 $52.50 $52.50 $52.50 ATM IV 38.2% 32.4% 46.1% 33.2% 43.8% Expected Move 10.0% 8.4% 11.9% 9.3% 8.4% HV 20d 31.7% 18.9% 39.4% 19.7% 35.9% HV 60d 44.9% 43.3% 46.3% 43.3% 45.7% IV Rank 11.5% 0.0% 30.6% 0.9% 25.3% IV Percentile 27.2% 0.0% 63.1% 0.4% 56.0% Term Structure 2.2% -2.2% 10.4% -0.3% -2.2% VWIV 35.5% 30.7% 41.7% 34.1% 30.7% Skew 25d 3.3% 2.2% 6.0% 2.7% 2.2% Skew 10d 7.4% 4.5% 13.2% 6.3% 5.7% Call IV 25d 36.7% 31.0% 44.8% 32.0% 42.3% Put IV 25d 40.0% 34.2% 47.9% 34.7% 44.5% Bid-Ask Spread % 17.61 3.93 36.32 5.12 12.26 Gamma HHI 0.03 0.03 0.05 0.03 0.04 Net GEX 3.6M -107.4M 102.3M 43.9M 93.8M Net DEX -765.2M -3.44B 1.32B -3.17B -1.59B Net VEX -42.7M -44.8M -41.1M -41.5M -43.7M Div Yield 0.0% 0.0% 0.0% 0.0% 0.0% P/C Ratio 0.76 0.40 1.14 0.93 0.73 Total Volume 905,279.565 390,150 1,462,690 659,040 729,480 Total OI 5,891,598.696 5,164,130 6,452,970 5,293,180 5,963,810
Daily Data (23 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 2021-03-01 $54.88 $52.50 33.2% 9.3% 19.7% 0.9% 34.1% 2.7% -0.3% 43.9M -3.17B -41.5M 0.93 5.12 N/A N/A 342,030 317,010 2,494,370 2,798,810 2021-03-02 $55.12 $52.50 33.1% 9.4% 18.9% 0.6% 33.4% 2.6% -0.2% 82.9M -3.44B -41.7M 0.43 13.22 N/A N/A 417,270 181,010 2,526,660 2,801,180 2021-03-03 $52.48 $52.50 36.9% 10.8% 24.9% 6.3% 38.4% 3.6% -0.7% -66.3M -690.4M -41.1M 0.78 12.42 N/A N/A 718,150 563,470 2,606,170 2,845,960 2021-03-04 $51.17 $52.50 38.5% 11.6% 25.6% 8.7% 41.0% 6.0% -1.2% -94.3M 675.5M -41.8M 1.14 21.01 N/A N/A 581,550 663,290 2,821,410 3,033,730 2021-03-05 $51.60 $52.50 36.9% 11.2% 25.1% 6.4% 40.1% 4.8% -0.2% -107.4M 293.3M -42.7M 0.90 28.73 N/A N/A 701,500 629,230 2,944,400 3,196,970 2021-03-08 $49.58 $52.00 39.0% 11.9% 28.2% 9.5% 41.7% 5.6% 3.1% -68.9M 1.32B -41.8M 0.95 24.70 N/A N/A 362,510 343,080 2,778,030 3,025,880 2021-03-09 $50.86 $52.00 36.0% 11.2% 30.2% 5.1% 39.9% 5.0% 3.2% -37.1M 138.3M -43.3M 1.00 27.78 N/A N/A 302,130 302,710 2,867,390 3,111,990 2021-03-10 $50.76 $52.00 35.7% 11.2% 28.7% 4.6% 39.7% 3.5% 2.9% -49.5M 280.3M -43.4M 1.08 26.99 N/A N/A 299,400 322,970 2,920,900 3,180,700 2021-03-11 $52.40 $52.00 35.0% 11.1% 31.4% 3.5% 38.9% 2.4% 4.4% 65.0M -1.74B -44.8M 0.40 36.32 N/A N/A 824,620 330,100 2,991,430 3,318,990 2021-03-12 $51.79 $52.00 35.1% 10.7% 31.5% 3.7% 38.2% 2.9% 3.4% 46.3M -989.9M -44.2M 0.64 30.10 N/A N/A 624,330 398,180 3,109,430 3,343,540 2021-03-15 $51.73 $52.00 33.7% 9.7% 31.5% 1.5% 34.6% 2.4% 10.1% 9.4M -807.0M -43.1M 0.64 26.48 N/A N/A 392,880 250,200 2,899,870 3,233,430 2021-03-16 $52.46 $52.00 32.4% 9.3% 32.1% 0.0% 33.5% 2.8% 10.3% 62.1M -1.69B -42.8M 0.71 22.81 N/A N/A 627,420 442,540 2,952,450 3,268,250 2021-03-17 $52.36 $52.00 32.7% 9.4% 32.1% 0.5% 34.0% 2.5% 10.4% 50.8M -1.56B -43.0M 0.91 26.79 N/A N/A 301,100 274,800 2,960,900 3,258,970 2021-03-18 $50.54 $52.00 37.2% 10.2% 34.2% 7.1% 35.5% 3.6% 9.3% -72.1M 689.7M -41.7M 0.71 10.47 N/A N/A 429,430 305,200 3,001,880 3,294,400 2021-03-19 $50.99 $52.00 35.7% 9.2% 34.1% 7.4% 32.9% 3.2% 9.8% -13.4M 364.1M -41.4M 0.82 8.64 N/A N/A 623,450 513,580 3,036,110 3,363,580 2021-03-22 $52.39 $52.00 39.0% 8.7% 35.7% 14.7% 31.3% 2.9% -1.2% 31.7M -1.60B -41.8M 0.69 10.99 N/A N/A 488,780 336,750 2,395,800 2,768,330 2021-03-23 $53.73 $52.00 40.6% 8.9% 36.2% 18.3% 31.5% 3.0% -1.2% 102.3M -2.93B -42.4M 0.47 11.54 N/A N/A 992,920 469,770 2,500,200 2,813,240 2021-03-24 $52.42 $52.00 42.0% 9.0% 36.9% 21.3% 31.4% 3.9% -1.3% 46.5M -1.52B -42.4M 0.68 3.93 N/A N/A 588,680 401,680 2,637,580 2,866,030 2021-03-25 $50.42 $52.50 46.1% 10.0% 38.9% 30.6% 35.4% 3.1% -2.1% -106.0M 939.0M -42.7M 0.73 11.27 N/A N/A 837,890 609,190 2,866,640 3,077,960 2021-03-26 $50.44 $52.50 45.3% 9.8% 38.9% 28.8% 34.5% 3.0% -1.7% 5.7M 752.6M -43.1M 0.89 11.02 N/A N/A 541,480 480,660 2,957,020 3,145,910 2021-03-29 $51.38 $52.50 45.8% 9.8% 39.4% 29.9% 34.3% 2.4% -1.7% 25.7M -707.9M -43.6M 0.56 10.84 N/A N/A 363,580 205,280 2,695,810 2,996,870 2021-03-30 $51.38 $52.50 45.2% 8.9% 39.3% 28.6% 32.2% 2.4% -2.2% 31.9M -610.8M -43.6M 0.80 11.63 N/A N/A 216,800 173,350 2,767,240 3,066,550 2021-03-31 $52.17 $52.50 43.8% 8.4% 35.9% 25.3% 30.7% 2.2% -2.2% 93.8M -1.59B -43.7M 0.73 12.26 N/A N/A 422,050 307,430 2,830,430 3,133,380
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