NFLX Options History — September 2021 In September 2021, NFLX traded between $57.26 and $61.14. ATM implied volatility averaged 30.9%, placing in the 24.5% IV rank vs the trailing year. The 30-day expected move averaged 7.6%. IV traded above realized volatility by 8.1% (HV 20d: 22.7%). Max pain ranged from $50.00 to $53.00. Net GEX was positive for 21 of 21 trading days. Term structure was in contango for 12 of 21 days. Put/call ratio averaged 0.55.
Notable Days 2021-09-02 : Highest Volume — 3,488,250 contracts2021-09-20 : Largest IV spike — 34.3% change2021-09-30 : Highest IV Rank — 49.4%2021-09-30 : Largest Expected Move — 9.1%Monthly Statistics Metric Avg Min Max Open Close Price $59.13 $57.26 $61.14 $58.41 $61.14 Max Pain $51.76 $50.00 $53.00 $51.00 $53.00 ATM IV 30.9% 23.1% 40.7% 23.6% 40.7% Expected Move 7.6% 6.8% 9.1% 6.8% 9.1% HV 20d 22.7% 19.2% 26.7% 20.2% 25.2% HV 60d 21.7% 20.8% 22.9% 21.0% 22.9% IV Rank 24.5% 5.3% 49.4% 6.5% 49.4% IV Percentile 39.2% 9.1% 77.4% 13.9% 77.4% Term Structure 1.8% -2.1% 10.1% 0.4% -2.1% VWIV 27.9% 24.6% 33.8% 24.6% 32.8% Skew 25d 2.8% -0.5% 5.9% -0.5% 4.8% Skew 10d 7.1% 0.9% 12.6% 0.9% 10.5% Call IV 25d 30.4% 23.2% 39.4% 25.4% 39.4% Put IV 25d 33.2% 24.5% 44.2% 24.9% 44.2% Bid-Ask Spread % 34.19 18.78 48.73 35.57 44.25 Gamma HHI 0.09 0.04 0.36 0.07 0.07 Net GEX 291.8M 96.6M 790.1M 394.0M 359.7M Net DEX -7.20B -10.26B -3.65B -9.13B -8.26B Net VEX -44.2M -45.4M -43.2M -43.3M -44.8M Div Yield 0.0% 0.0% 0.0% 0.0% 0.0% P/C Ratio 0.55 0.26 0.89 0.26 0.42 Total Volume 1,504,635.238 488,580 3,488,250 3,290,560 2,379,960 Total OI 6,817,780 5,883,650 7,658,130 6,890,460 6,536,450
Daily Data (21 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 2021-09-01 $58.41 $51.00 23.6% 6.8% 20.2% 6.5% 24.6% -0.5% 0.4% 394.0M -9.13B -43.3M 0.26 35.57 N/A N/A 2,618,520 672,040 3,314,600 3,575,860 2021-09-02 $58.91 $50.00 24.1% 7.4% 20.0% 7.6% 26.6% 0.3% 0.2% 430.6M -9.79B -44.3M 0.37 24.28 N/A N/A 2,546,040 942,210 3,394,790 3,645,140 2021-09-03 $59.01 $51.00 23.1% 7.2% 19.2% 5.3% 26.3% 0.8% 0.5% 790.1M -9.57B -44.7M 0.80 28.67 N/A N/A 1,121,500 900,680 3,569,470 3,833,270 2021-09-07 $60.70 $51.00 25.6% 7.8% 20.6% 11.3% 28.1% 0.6% 1.6% 330.1M -10.18B -43.6M 0.52 29.24 N/A N/A 1,371,300 714,810 3,283,660 3,658,110 2021-09-08 $60.58 $51.00 26.2% 7.9% 19.8% 12.9% 28.7% 1.1% 1.6% 375.6M -10.26B -44.0M 0.53 33.64 N/A N/A 1,383,050 731,810 3,379,820 3,717,970 2021-09-09 $59.94 $51.00 25.3% 7.6% 20.5% 10.8% 27.4% 1.3% 1.6% 299.9M -9.13B -43.8M 0.89 34.49 N/A N/A 567,240 507,150 3,533,710 3,904,990 2021-09-10 $59.94 $51.50 26.8% 7.9% 20.4% 14.3% 28.8% 1.8% 1.1% 462.7M -8.92B -45.4M 0.50 34.02 N/A N/A 1,302,720 647,750 3,685,000 3,973,130 2021-09-13 $58.80 $52.00 26.6% 7.7% 22.5% 13.9% 28.4% 2.8% 8.1% 198.6M -7.15B -44.6M 0.71 33.93 N/A N/A 627,120 446,720 3,356,090 3,735,380 2021-09-14 $57.72 $52.00 26.4% 7.6% 24.2% 13.4% 27.2% 2.9% 9.1% 156.8M -5.77B -44.5M 0.77 37.24 N/A N/A 496,550 384,660 3,418,910 3,811,810 2021-09-15 $58.43 $52.00 24.6% 7.0% 24.2% 8.9% 26.3% 2.3% 9.3% 193.2M -6.63B -43.9M 0.46 36.33 N/A N/A 693,650 319,550 3,449,180 3,899,190 2021-09-16 $58.60 $52.00 25.7% 6.8% 24.2% 11.5% 25.1% 2.8% 10.1% 275.2M -6.97B -43.8M 0.55 23.69 N/A N/A 435,880 239,560 3,519,110 3,955,760 2021-09-17 $58.77 $52.00 28.2% 7.0% 20.5% 17.7% 25.9% 2.9% 9.9% 257.4M -7.20B -43.8M 0.59 18.78 N/A N/A 592,090 348,320 3,561,980 4,046,690 2021-09-20 $57.26 $52.00 37.9% 8.9% 23.0% 41.3% 33.8% 5.7% -1.7% 109.0M -3.65B -44.8M 0.84 32.02 N/A N/A 466,570 393,060 2,680,710 3,202,940 2021-09-21 $57.50 $52.00 37.0% 8.1% 22.9% 39.2% 29.1% 5.9% -1.4% 96.6M -3.70B -45.1M 0.67 39.52 N/A N/A 292,620 195,960 2,728,410 3,289,340 2021-09-22 $59.35 $52.00 37.8% 7.7% 25.1% 41.3% 28.0% 4.5% -1.6% 204.1M -5.72B -44.9M 0.40 26.94 N/A N/A 941,250 375,640 2,781,100 3,378,260 2021-09-23 $59.46 $52.50 36.4% 6.9% 24.7% 37.7% 27.0% 4.0% -1.6% 275.0M -6.08B -43.5M 0.41 28.51 N/A N/A 802,560 325,100 2,829,980 3,432,360 2021-09-24 $59.21 $52.50 36.0% 7.0% 24.9% 37.2% 24.6% 3.5% -1.8% 279.8M -5.88B -43.2M 0.59 40.57 N/A N/A 573,600 338,330 2,977,760 3,501,520 2021-09-27 $59.23 $52.00 36.8% 7.2% 24.2% 39.5% 26.0% 2.5% -2.0% 202.9M -5.52B -43.8M 0.51 42.37 N/A N/A 458,580 233,070 2,790,150 3,254,570 2021-09-28 $58.45 $52.00 39.7% 8.4% 24.6% 46.7% 30.3% 4.9% -1.8% 162.4M -4.72B -44.3M 0.37 45.20 N/A N/A 866,930 321,560 2,863,140 3,329,090 2021-09-29 $60.26 $52.50 40.5% 8.5% 26.7% 48.9% 30.1% 4.6% -1.3% 274.4M -6.89B -44.4M 0.48 48.73 N/A N/A 1,364,160 657,470 2,967,830 3,406,150 2021-09-30 $61.14 $53.00 40.7% 9.1% 25.2% 49.4% 32.8% 4.8% -2.1% 359.7M -8.26B -44.8M 0.42 44.25 N/A N/A 1,674,020 705,940 3,081,430 3,455,020
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