NFLX Options History — May 2021

In May 2021, NFLX traded between $48.54 and $50.92. ATM implied volatility averaged 26.2%, placing in the 4.2% IV rank vs the trailing year. The 30-day expected move averaged 7.5%. IV traded below realized volatility by 3.1% (HV 20d: 29.3%). Max pain ranged from $51.00 to $52.00. Net GEX was positive for 8 of 20 trading days. Term structure was in contango for 16 of 20 days. Put/call ratio averaged 0.97.

Notable Days

  • 2021-05-28: Highest Volume — 1,763,940 contracts
  • 2021-05-10: Largest IV spike — 13.3% change
  • 2021-05-12: Highest IV Rank — 14.5%
  • 2021-05-12: Largest Expected Move — 8.9%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$49.68$48.54$50.92$50.92$50.39
Max Pain$51.15$51.00$52.00$52.00$51.00
ATM IV26.2%23.3%30.7%25.5%23.3%
Expected Move7.5%6.5%8.9%7.4%6.5%
HV 20d29.3%18.2%35.6%33.6%22.1%
HV 60d32.4%31.0%33.1%31.8%31.0%
IV Rank4.2%0.0%14.5%0.8%0.0%
IV Percentile2.6%0.0%6.7%0.4%0.0%
Term Structure0.3%-0.3%0.7%0.5%0.2%
VWIV27.3%23.9%32.5%26.6%23.9%
Skew 25d2.7%1.1%5.2%1.1%1.4%
Skew 10d7.1%2.7%13.0%2.7%3.9%
Call IV 25d25.5%22.9%29.4%25.1%23.0%
Put IV 25d28.2%24.4%34.1%26.2%24.4%
Bid-Ask Spread %9.292.5215.194.352.52
Gamma HHI0.060.030.340.030.34
Net GEX-14.7M-195.3M530.7M-4.2M530.7M
Net DEX1.48B-329.4M3.39B56.0M-329.4M
Net VEX-47.2M-48.7M-45.8M-46.7M-46.0M
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.970.591.380.590.74
Total Volume872,277.5444,0701,763,9401,279,2701,763,940
Total OI7,517,1036,766,7007,999,7006,927,4107,510,140

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2021-05-03$50.92$52.0025.5%7.4%33.6%0.8%26.6%1.1%0.5%-4.2M56.0M-46.7M0.594.35N/AN/A803,560475,7103,201,7703,725,640
2021-05-04$50.14$52.0027.3%8.0%33.5%5.0%28.3%2.0%0.1%-79.5M1.20B-46.9M1.208.44N/AN/A457,150547,7703,368,3803,886,620
2021-05-05$49.69$52.0027.4%8.0%33.4%5.1%27.9%2.4%0.6%-153.9M1.96B-47.2M1.179.78N/AN/A419,150490,8403,429,7804,014,650
2021-05-06$49.68$51.0026.5%7.9%32.9%3.1%27.8%2.7%0.7%-195.3M2.16B-47.1M0.9715.19N/AN/A444,480430,0403,518,3104,179,390
2021-05-07$50.47$51.0024.4%7.3%33.7%0.0%26.4%2.8%0.6%25.3M566.8M-48.2M1.0711.10N/AN/A504,740541,4203,582,0604,236,340
2021-05-10$48.90$51.0027.6%7.9%35.0%7.4%28.0%3.1%-0.3%-153.1M2.95B-45.8M0.9613.43N/AN/A510,770488,1803,296,3904,006,810
2021-05-11$49.57$51.0028.3%8.2%35.6%9.1%29.8%2.4%-0.0%-101.8M1.92B-48.6M1.1914.43N/AN/A397,800474,9203,466,5204,174,070
2021-05-12$48.56$51.0030.7%8.9%35.4%14.5%32.5%4.7%0.2%-167.4M3.39B-48.1M1.2612.25N/AN/A376,650473,5603,499,4704,208,300
2021-05-13$48.84$51.0028.0%8.0%34.8%8.4%29.0%5.2%-0.3%-155.0M3.00B-48.1M0.9812.06N/AN/A347,410339,0403,637,9704,235,350
2021-05-14$49.32$51.0024.8%7.2%35.2%1.0%26.2%3.6%0.5%-74.6M2.32B-47.4M1.0211.84N/AN/A409,000416,7903,701,5704,264,180
2021-05-17$48.80$51.0027.2%7.8%34.6%6.6%28.2%3.7%0.0%-101.0M2.87B-46.7M1.3811.97N/AN/A264,540364,0003,478,8204,055,440
2021-05-18$48.91$51.0026.4%7.6%34.7%4.7%27.6%2.9%-0.1%-92.9M2.69B-47.3M0.7613.34N/AN/A252,860191,2103,538,0404,180,500
2021-05-19$48.54$51.0028.2%8.1%18.2%8.9%29.2%3.0%0.1%-142.2M3.22B-47.5M0.8010.45N/AN/A280,560224,4603,601,6804,249,860
2021-05-20$50.15$51.0026.7%7.6%22.0%5.3%28.0%2.6%0.4%105.1M446.9M-48.7M1.029.96N/AN/A528,740538,1103,656,4404,270,500
2021-05-21$49.87$51.0026.2%7.4%22.0%4.1%26.9%2.8%0.7%69.0M1.15B-47.7M0.8512.58N/AN/A466,240394,8703,698,7404,300,960
2021-05-24$50.27$51.0024.5%7.0%22.2%0.2%25.3%2.1%0.3%52.4M-43.1M-46.8M0.593.01N/AN/A368,360218,3103,011,5403,755,160
2021-05-25$50.05$51.0024.3%6.8%22.3%0.0%26.1%2.4%0.5%38.8M226.1M-46.9M1.022.64N/AN/A252,340257,9803,113,2003,801,960
2021-05-26$50.29$51.0023.7%6.6%22.4%0.0%25.0%2.1%0.6%81.5M-66.9M-46.7M0.983.70N/AN/A486,060478,7003,135,6003,843,450
2021-05-27$50.25$51.0023.5%6.5%22.4%0.0%24.2%1.1%0.1%224.2M-123.6M-46.6M0.792.77N/AN/A427,270338,0203,394,6704,111,790
2021-05-28$50.39$51.0023.3%6.5%22.1%0.0%23.9%1.4%0.2%530.7M-329.4M-46.0M0.742.52N/AN/A1,012,570751,3703,398,9904,111,150