NFLX Options History — September 2023 In September 2023, NFLX traded between $37.61 and $45.09. ATM implied volatility averaged 38.5%, placing in the 15.8% IV rank vs the trailing year. The 30-day expected move averaged 12.6%. IV traded above realized volatility by 4.6% (HV 20d: 33.9%). Max pain ranged from $40.00 to $43.50. Net GEX was positive for 8 of 20 trading days. Term structure was in contango for 10 of 20 days. Put/call ratio averaged 0.83.
Notable Days 2023-09-13 : Highest Volume — 4,026,300 contracts2023-09-18 : Largest IV spike — 15.6% change2023-09-26 : Highest IV Rank — 32.8%2023-09-27 : Largest Expected Move — 14.5%Monthly Statistics Metric Avg Min Max Open Close Price $40.74 $37.61 $45.09 $43.93 $37.64 Max Pain $41.83 $40.00 $43.50 $41.00 $40.00 ATM IV 38.5% 30.1% 47.4% 30.3% 45.3% Expected Move 12.6% 8.0% 14.5% 8.0% 14.0% HV 20d 33.9% 27.4% 39.9% 32.8% 27.4% HV 60d 36.0% 34.9% 36.9% 35.7% 35.6% IV Rank 15.8% 0.0% 32.8% 0.0% 28.8% IV Percentile 31.7% 0.0% 64.7% 0.0% 55.2% Term Structure 2.1% -2.1% 11.8% 0.5% -1.9% VWIV 44.2% 29.0% 50.1% 29.0% 49.1% Skew 25d 2.8% 1.4% 4.2% 1.4% 3.7% Skew 10d 5.4% 2.5% 7.7% 2.5% 6.8% Call IV 25d 37.3% 29.6% 45.6% 29.8% 44.3% Put IV 25d 40.1% 31.2% 49.8% 31.2% 48.0% Bid-Ask Spread % 4.33 2.28 5.89 2.28 4.41 Gamma HHI 0.07 0.03 0.26 0.26 0.06 Net GEX -317.5K -182.7M 328.1M 328.1M 10.1M Net DEX -3.10B -7.80B -358.6M -7.15B -773.1M Net VEX -34.4M -36.1M -33.5M -36.1M -33.5M Div Yield 0.0% 0.0% 0.0% 0.0% 0.0% P/C Ratio 0.83 0.55 1.21 0.66 0.66 Total Volume 1,774,425 767,920 4,026,300 2,427,240 1,740,270 Total OI 8,725,099.5 7,871,830 9,803,650 9,145,430 8,904,760
Daily Data (20 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 2023-09-01 $43.93 $41.00 30.3% 8.0% 32.8% 0.0% 29.0% 1.4% 0.5% 328.1M -7.15B -36.1M 0.66 2.28 N/A N/A 1,463,130 964,110 4,301,700 4,843,730 2023-09-05 $45.09 $43.50 32.0% 11.9% 33.4% 3.3% 42.7% 1.4% 0.3% 162.8M -7.80B -35.3M 0.64 4.29 N/A N/A 1,211,330 770,030 4,028,890 4,522,600 2023-09-06 $44.52 $43.50 31.8% 11.9% 33.7% 2.9% 42.2% 1.8% 0.5% 124.5M -6.97B -35.5M 0.79 5.26 N/A N/A 752,120 597,860 4,266,230 4,722,410 2023-09-07 $44.34 $43.50 31.5% 11.8% 32.9% 2.4% 42.0% 2.2% 1.0% 114.5M -6.77B -35.5M 0.77 5.89 N/A N/A 642,390 493,670 4,258,690 4,793,100 2023-09-08 $44.20 $43.50 30.4% 11.7% 32.9% 0.4% 41.6% 2.0% 0.4% 110.6M -6.73B -34.8M 0.72 4.27 N/A N/A 800,710 575,370 4,330,570 4,826,690 2023-09-11 $44.66 $43.50 30.1% 11.8% 32.4% 0.0% 42.4% 2.0% 10.9% 102.5M -6.89B -34.1M 0.75 5.31 N/A N/A 571,320 427,310 3,908,630 4,512,180 2023-09-12 $43.47 $43.00 30.5% 11.9% 34.0% 0.6% 42.1% 2.1% 11.1% 31.3M -5.40B -34.4M 0.83 3.86 N/A N/A 419,700 348,220 4,010,110 4,590,230 2023-09-13 $41.13 $43.00 31.6% 12.2% 39.5% 2.7% 42.8% 2.6% 11.0% -62.8M -2.47B -33.8M 1.13 4.22 N/A N/A 1,894,290 2,132,010 4,060,390 4,640,560 2023-09-14 $40.18 $42.50 32.9% 12.1% 39.9% 5.2% 42.7% 2.4% 11.6% -125.3M -1.28B -33.8M 1.21 3.55 N/A N/A 1,643,590 1,995,600 4,428,150 4,878,210 2023-09-15 $39.70 $42.00 35.5% 12.3% 38.2% 10.2% 44.3% 2.2% 11.8% -157.0M -1.03B -34.2M 0.93 3.81 N/A N/A 1,691,020 1,573,560 4,775,720 5,027,930 2023-09-18 $39.38 $42.00 41.1% 12.5% 38.2% 20.7% 45.1% 2.9% -1.5% -38.3M -1.53B -33.8M 1.05 3.50 N/A N/A 679,590 716,200 3,691,230 4,180,600 2023-09-19 $39.62 $41.50 42.6% 12.6% 38.1% 23.7% 43.8% 3.5% -0.9% -40.9M -1.83B -34.5M 0.83 4.17 N/A N/A 732,480 611,540 3,857,250 4,425,530 2023-09-20 $38.74 $41.00 44.7% 12.8% 38.5% 27.6% 43.1% 3.3% -0.9% -94.8M -819.6M -34.0M 1.01 4.64 N/A N/A 668,000 677,050 3,974,940 4,479,690 2023-09-21 $38.45 $41.00 46.3% 13.4% 35.6% 30.6% 47.5% 3.4% -1.9% -121.8M -642.5M -34.5M 0.82 4.16 N/A N/A 1,307,740 1,072,510 4,105,190 4,553,360 2023-09-22 $38.05 $41.00 45.9% 13.3% 32.1% 30.0% 46.7% 3.6% -1.9% -182.7M -358.6M -34.0M 0.84 4.47 N/A N/A 947,540 796,420 4,313,230 4,573,460 2023-09-25 $38.43 $40.50 46.4% 13.8% 31.3% 30.8% 49.1% 3.5% -1.7% -31.2M -1.39B -34.1M 0.55 4.25 N/A N/A 722,640 400,730 3,783,700 4,336,210 2023-09-26 $37.80 $40.50 47.4% 14.4% 31.6% 32.8% 49.9% 4.0% -2.1% -40.2M -735.7M -34.2M 0.79 4.41 N/A N/A 518,450 410,960 3,953,000 4,427,960 2023-09-27 $37.76 $40.00 47.2% 14.5% 27.8% 32.5% 48.1% 4.2% -1.9% -43.0M -752.2M -34.2M 0.88 5.16 N/A N/A 550,850 485,230 4,059,820 4,507,710 2023-09-28 $37.61 $40.00 46.9% 14.5% 27.4% 31.8% 50.1% 4.0% -2.0% -52.9M -661.0M -33.7M 0.77 4.76 N/A N/A 836,800 646,160 4,130,450 4,517,180 2023-09-29 $37.64 $40.00 45.3% 14.0% 27.4% 28.8% 49.1% 3.7% -1.9% 10.1M -773.1M -33.5M 0.66 4.41 N/A N/A 1,050,800 689,470 4,300,370 4,604,390
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