BOX Options History — June 2011

In June 2011, BOX traded between $16.16 and $17.25. ATM implied volatility averaged 41.0%. The 30-day expected move averaged 10.1%. IV traded above realized volatility by 15.8% (HV 20d: 25.2%). Max pain ranged from $17.50 to $17.50. Net GEX was positive for 13 of 16 trading days. Term structure was in contango for 11 of 16 days. Put/call ratio averaged 0.00.

Notable Days

  • 2011-06-08: Highest Volume — 35 contracts
  • 2011-06-08: Largest IV spike — 283.4% change
  • 2011-06-08: Largest Expected Move — 16.0%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$16.57$16.16$17.25$16.16$17.18
Max Pain$17.50$17.50$17.50$17.50$17.50
ATM IV41.0%28.1%127.4%48.8%32.9%
Expected Move10.1%8.1%16.0%9.6%9.4%
HV 20d25.2%25.2%25.2%25.2%25.2%
Term Structure4.6%-15.5%32.6%-7.2%2.0%
VWIV42.7%41.7%43.7%41.7%43.7%
Skew 25d7.1%6.0%8.4%6.8%6.1%
Skew 10d18.7%9.7%21.3%21.3%9.7%
Call IV 25d34.7%33.1%35.9%35.4%35.9%
Put IV 25d41.8%41.5%42.2%42.2%42.0%
Bid-Ask Spread %129.73113.93188.13128.44129.18
Gamma HHI1.001.001.001.001.00
Net GEX1.6K03.2K03.2K
Net DEX-10.2K-23.5K00-21.7K
Net VEX-59-10200-102
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.000.000.000.000.00
Total Volume3.37503501
Total OI34.438053053

Daily Data (16 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2011-06-06$16.16$0.0048.8%9.6%0.0%0.0%0.0%0.0%-7.2%0000.00128.44N/AN/A0000
2011-06-07$16.54$0.0033.2%8.6%0.0%0.0%0.0%0.0%1.4%0000.00113.93N/AN/A0000
2011-06-08$16.69$0.00127.4%16.0%0.0%0.0%41.7%0.0%19.7%0000.00182.37N/AN/A35000
2011-06-09$16.50$17.5054.9%15.8%0.0%0.0%0.0%0.0%32.6%1.1K-23.5K-710.00188.13N/AN/A00350
2011-06-10$16.30$17.5030.7%8.8%0.0%0.0%0.0%0.0%8.6%1.7K-10.6K-470.00125.64N/AN/A00350
2011-06-13$16.17$17.5041.2%11.8%0.0%0.0%0.0%0.0%-15.5%1.5K-12.9K-520.00121.99N/AN/A00350
2011-06-14$16.40$17.5028.1%8.1%0.0%0.0%0.0%0.0%6.7%1.9K-10.6K-450.00117.85N/AN/A00350
2011-06-15$16.32$17.5031.8%9.1%0.0%0.0%0.0%0.0%5.6%1.7K-12.6K-480.00118.46N/AN/A07350
2011-06-17$16.41$17.5028.2%8.1%0.0%0.0%0.0%0.0%5.7%1.7K-5.3K-760.00115.33N/AN/A00357
2011-06-20$16.44$17.5029.9%8.6%0.0%0.0%0.0%6.8%-7.6%1.7K-5.1K-730.00118.98N/AN/A50357
2011-06-21$16.80$17.5035.7%10.2%0.0%0.0%43.7%8.2%-6.7%1.8K-17.4K-980.00123.50N/AN/A01407
2011-06-23$16.53$17.5033.8%9.7%0.0%0.0%0.0%6.0%3.8%2.0K-5.2K-790.00124.44N/AN/A00408
2011-06-24$16.83$17.5033.3%9.5%0.0%0.0%0.0%8.4%-8.0%2.4K-11.2K-900.00126.23N/AN/A00408
2011-06-27$16.63$17.5031.6%9.0%0.0%0.0%0.0%6.1%1.1%2.3K-5.9K-750.00120.19N/AN/A00408
2011-06-29$17.25$17.5034.4%9.9%0.0%0.0%0.0%0.0%31.0%2.8K-21.5K-940.00120.98N/AN/A50408
2011-06-30$17.18$17.5032.9%9.4%25.2%0.0%0.0%0.0%2.0%3.2K-21.7K-1020.00129.18N/AN/A10458