NFLX Options History — December 2023

In December 2023, NFLX traded between $44.71 and $49.38. ATM implied volatility averaged 28.8%, placing in the 12.7% IV rank vs the trailing year. The 30-day expected move averaged 8.7%. IV traded above realized volatility by 5.2% (HV 20d: 23.5%). Max pain ranged from $35.00 to $43.00. Net GEX was positive for 17 of 20 trading days. Term structure was in contango for 16 of 20 days. Put/call ratio averaged 0.78.

Notable Days

  • 2023-12-18: Highest Volume — 2,301,460 contracts
  • 2023-12-26: Largest IV spike — 26.0% change
  • 2023-12-27: Highest IV Rank — 43.2%
  • 2023-12-14: Largest Expected Move — 10.6%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$47.40$44.71$49.38$46.61$48.71
Max Pain$37.20$35.00$43.00$43.00$39.00
ATM IV28.8%23.1%42.5%23.1%41.5%
Expected Move8.7%6.8%10.6%6.8%7.0%
HV 20d23.5%17.7%26.7%17.7%26.4%
HV 60d40.2%39.1%41.5%41.1%40.1%
IV Rank12.7%0.0%43.2%0.0%41.1%
IV Percentile19.0%0.8%65.9%0.8%64.7%
Term Structure5.7%-2.1%15.2%0.2%-2.1%
VWIV30.8%24.4%37.4%24.4%25.1%
Skew 25d1.5%0.3%5.1%1.5%1.9%
Skew 10d3.1%1.1%5.0%3.6%4.4%
Call IV 25d28.0%20.4%42.0%22.7%41.8%
Put IV 25d29.5%24.2%44.0%24.2%43.7%
Bid-Ask Spread %3.972.615.132.742.61
Gamma HHI0.070.030.120.110.06
Net GEX112.5M-49.4M252.7M-49.4M55.8M
Net DEX-7.33B-9.49B-4.74B-6.64B-7.46B
Net VEX-29.8M-30.4M-28.9M-30.4M-29.4M
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.780.471.161.161.00
Total Volume1,169,493.5568,7802,301,4601,093,500990,700
Total OI8,390,9717,756,4109,073,9408,468,6108,481,960

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2023-12-01$46.61$43.0023.1%6.8%17.7%0.0%24.4%1.5%0.2%-49.4M-6.64B-30.4M1.162.74N/AN/A505,980587,5203,795,3004,673,310
2023-12-04$45.36$35.0024.0%9.9%19.9%2.0%35.2%5.1%0.6%-16.6M-5.34B-30.1M1.134.55N/AN/A551,910624,4403,525,6804,441,820
2023-12-05$45.43$35.0024.0%10.0%19.9%2.0%35.2%1.9%0.8%12.8M-5.54B-30.3M0.974.87N/AN/A418,590407,2403,635,6104,537,650
2023-12-06$44.71$35.5024.4%10.2%20.9%3.0%35.3%2.0%0.8%-15.6M-4.74B-30.3M0.994.67N/AN/A527,800522,8003,732,2704,592,440
2023-12-07$45.24$36.0024.3%10.2%21.2%2.7%36.1%1.8%0.7%32.0M-5.52B-30.4M1.024.46N/AN/A419,270426,9503,813,0904,648,260
2023-12-08$45.32$36.0023.3%10.0%21.1%0.5%35.1%1.5%0.8%49.5M-5.64B-30.2M0.794.58N/AN/A484,490380,8203,873,1104,746,110
2023-12-11$46.05$36.0024.5%10.3%20.0%3.1%36.9%1.6%11.4%82.9M-6.69B-29.7M0.614.23N/AN/A941,850575,1703,660,5004,576,350
2023-12-12$46.27$36.0023.8%10.2%20.0%1.6%36.8%1.5%11.8%122.8M-6.99B-29.8M0.674.38N/AN/A361,100241,9303,866,6104,684,740
2023-12-13$48.11$36.0024.4%10.4%23.9%2.9%37.4%0.9%11.8%252.7M-9.49B-29.5M0.575.13N/AN/A1,336,720764,8903,922,7004,722,310
2023-12-14$46.85$36.0027.2%10.6%24.3%9.2%37.3%0.7%12.1%149.0M-7.60B-29.9M0.514.74N/AN/A1,059,690543,9904,092,4504,863,840
2023-12-15$47.14$36.0024.9%7.3%24.0%3.9%25.8%0.3%0.7%182.9M-8.17B-28.9M0.473.01N/AN/A1,076,460505,4604,165,7904,908,150
2023-12-18$48.63$37.0025.9%7.4%26.3%6.2%26.8%0.7%13.1%217.4M-8.40B-29.0M0.503.88N/AN/A1,534,080767,3803,565,9004,190,510
2023-12-19$49.38$38.0025.9%7.4%26.1%6.2%26.6%0.5%13.6%241.9M-9.14B-29.6M0.493.63N/AN/A969,640473,5403,704,1504,425,180
2023-12-20$49.03$38.0026.8%7.7%26.3%8.2%27.5%0.7%13.4%213.5M-8.59B-30.2M0.635.13N/AN/A1,021,950644,4703,807,8204,550,380
2023-12-21$49.16$38.0029.9%7.7%26.2%15.1%27.6%0.8%14.0%171.8M-8.51B-30.1M0.723.78N/AN/A520,730376,7603,806,6204,651,020
2023-12-22$48.68$38.0032.4%7.6%26.5%20.7%26.9%0.9%15.2%90.7M-7.83B-30.2M0.694.50N/AN/A636,970438,5803,863,2804,700,010
2023-12-26$49.11$38.0040.8%7.6%26.7%39.4%27.0%2.2%-1.7%138.7M-8.10B-29.6M0.892.86N/AN/A307,190273,8703,585,5704,419,480
2023-12-27$49.14$38.5042.5%7.5%26.7%43.2%27.0%2.1%-1.8%156.4M-8.16B-29.6M0.812.64N/AN/A314,560254,2203,666,0804,552,490
2023-12-28$49.06$39.0042.0%7.3%26.6%42.2%26.6%1.7%-2.0%160.2M-8.05B-29.5M0.952.94N/AN/A308,540291,6203,736,1904,634,690
2023-12-29$48.71$39.0041.5%7.0%26.4%41.1%25.1%1.9%-2.1%55.8M-7.46B-29.4M1.002.61N/AN/A495,290495,4103,767,1104,714,850