BOX Options History — July 2011

Name: BOX Options Analytics - July 2011
Creator: Options Analysis Suite

In July 2011, BOX traded between $13.97 and $17.46. ATM implied volatility averaged 37.3%. The 30-day expected move averaged 9.7%. IV traded above realized volatility by 7.2% (HV 20d: 30.1%). Max pain ranged from $15.00 to $17.50. Net GEX was positive for 7 of 15 trading days. Term structure was in contango for 10 of 15 days. Put/call ratio averaged 2.73.

Notable Days

2011-07-27: Highest Volume — 550 contracts
2011-07-14: Largest IV drop — 68.5% change
2011-07-29: Largest Expected Move — 11.0%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$15.62	$13.97	$17.46	$17.46	$14.51
Max Pain	$16.17	$15.00	$17.50	$17.50	$15.00
ATM IV	37.3%	20.7%	65.7%	33.5%	38.3%
Expected Move	9.7%	5.9%	11.0%	9.6%	11.0%
HV 20d	30.1%	24.8%	36.2%	24.8%	35.9%
Term Structure	-1.0%	-12.6%	5.9%	-12.6%	5.9%
VWIV	28.6%	20.6%	36.6%	36.6%	20.6%
Skew 25d	2.9%	-4.0%	11.0%	11.0%	-3.1%
Skew 10d	9.3%	-2.0%	21.0%	21.0%	-0.7%
Call IV 25d	33.4%	26.0%	40.2%	30.7%	34.8%
Put IV 25d	36.4%	30.2%	41.8%	41.6%	31.6%
Bid-Ask Spread %	127.10	75.65	192.13	192.13	133.28
Gamma HHI	0.83	0.48	0.99	0.99	0.83
Net GEX	-1.7K	-17.3K	3.8K	3.8K	-16.9K
Net DEX	62.6K	-27.1K	433.2K	-27.1K	399.8K
Net VEX	-235	-1.2K	-57	-108	-1.2K
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	2.73	0.00	5.00	0.00	5.00
Total Volume	39.533	0	550	0	0
Total OI	136.4	54	624	54	614

Daily Data (15 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
2011-07-01	$17.46	$17.50	33.5%	9.6%	24.8%	0.0%	0.0%	0.0%	-12.6%	3.8K	-27.1K	-108	0.00	192.13	N/A	N/A	0	0	46	8
2011-07-05	$17.04	$17.50	43.2%	10.3%	26.5%	0.0%	0.0%	11.0%	1.6%	3.0K	-23.6K	-97	0.00	123.99	N/A	N/A	0	0	46	8
2011-07-07	$16.90	$17.50	41.8%	10.6%	26.1%	0.0%	0.0%	5.4%	0.3%	3.3K	-21.8K	-92	0.00	117.47	N/A	N/A	0	0	46	8
2011-07-08	$16.65	$17.50	45.1%	10.4%	26.1%	0.0%	0.0%	7.6%	0.4%	2.7K	-14.1K	-82	0.00	127.38	N/A	N/A	0	0	46	8
2011-07-12	$16.77	$17.50	65.7%	10.5%	25.5%	0.0%	0.0%	8.6%	1.0%	1.8K	-270	-57	0.00	75.65	N/A	N/A	1	0	46	8
2011-07-14	$16.22	$17.50	20.7%	5.9%	27.1%	0.0%	0.0%	2.7%	-7.0%	1.2K	973	-71	0.00	132.81	N/A	N/A	0	0	47	12
2011-07-15	$16.18	$17.50	28.0%	8.0%	26.8%	0.0%	0.0%	1.5%	3.0%	100	4.7K	-64	0.00	112.40	N/A	N/A	0	0	47	12
2011-07-19	$15.57	$15.00	35.0%	10.0%	29.7%	0.0%	0.0%	9.2%	-7.7%	-355	15.9K	-109	0.00	110.73	N/A	N/A	0	0	27	33
2011-07-20	$15.17	$15.00	37.4%	10.7%	30.7%	0.0%	36.6%	4.0%	0.2%	-877	23.1K	-92	1.40	116.32	N/A	N/A	10	14	27	33
2011-07-21	$14.58	$15.00	35.9%	10.3%	33.2%	0.0%	0.0%	-1.0%	-7.3%	-1.5K	36.7K	-104	0.00	176.92	N/A	N/A	0	0	32	43
2011-07-25	$14.77	$15.00	36.5%	10.5%	33.1%	0.0%	0.0%	1.5%	0.4%	-1.6K	32.4K	-114	0.00	117.94	N/A	N/A	0	0	32	43
2011-07-26	$14.22	$15.00	37.5%	10.8%	35.1%	0.0%	0.0%	-2.7%	-1.0%	-1.5K	35.6K	-100	0.00	126.27	N/A	N/A	0	0	32	43
2011-07-27	$13.97	$15.00	34.4%	9.9%	35.0%	0.0%	0.0%	0.7%	3.2%	-1.5K	43.0K	-85	4.50	121.03	N/A	N/A	100	450	32	43
2011-07-28	$14.25	$15.00	26.1%	7.5%	36.2%	0.0%	20.6%	-4.0%	4.2%	-17.3K	433.2K	-1.2K	5.00	122.12	N/A	N/A	3	15	131	493
2011-07-29	$14.51	$15.00	38.3%	11.0%	35.9%	0.0%	0.0%	-3.1%	5.9%	-16.9K	399.8K	-1.2K	0.00	133.28	N/A	N/A	0	0	131	483