BOX Options History — August 2011 In August 2011, BOX traded between $11.91 and $14.48. ATM implied volatility averaged 47.8%. The 30-day expected move averaged 13.0%. IV traded below realized volatility by 20.1% (HV 20d: 67.8%). Max pain ranged from $15.00 to $15.00. Net GEX was positive for 0 of 18 trading days. Term structure was in contango for 12 of 18 days. Put/call ratio averaged 0.00.
Notable Days 2011-08-31 : Highest Volume — 20 contracts2011-08-09 : Largest IV spike — 83.8% change2011-08-01 : Largest Expected Move — 32.6%Monthly Statistics Metric Avg Min Max Open Close Price $12.96 $11.91 $14.48 $14.48 $13.29 Max Pain $15.00 $15.00 $15.00 $15.00 $15.00 ATM IV 47.8% 33.2% 113.6% 113.6% 48.6% Expected Move 13.0% 9.5% 32.6% 32.6% 13.9% HV 20d 67.8% 35.7% 79.3% 35.7% 79.1% HV 60d 56.0% 55.7% 56.5% 55.7% 55.9% Term Structure 0.1% -35.0% 13.8% -35.0% -6.7% VWIV 64.3% 64.3% 64.3% 64.3% 64.3% Skew 25d 2.6% -16.6% 16.3% 1.8% -0.3% Skew 10d 5.3% -24.9% 17.1% -14.1% 15.1% Call IV 25d 43.0% 31.3% 92.0% 92.0% 45.5% Put IV 25d 45.5% 30.0% 93.8% 93.8% 45.2% Bid-Ask Spread % 122.73 102.78 179.39 179.39 124.53 Gamma HHI 0.80 0.69 0.89 0.69 0.81 Net GEX -7.0K -18.5K -2.1K -6.6K -7.4K Net DEX 531.2K 278.2K 591.4K 278.2K 577.8K Net VEX -405 -1.3K -97 -1.3K -216 Div Yield 0.0% 0.0% 0.0% 0.0% 0.0% P/C Ratio 0.00 0.00 0.00 0.00 0.00 Total Volume 1.667 0 20 0 20 Total OI 645.667 575 715 614 584
Daily Data (18 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 2011-08-01 $14.48 $15.00 113.6% 32.6% 35.7% 0.0% 0.0% 1.8% -35.0% -6.6K 278.2K -1.3K 0.00 179.39 N/A N/A 0 0 131 483 2011-08-02 $14.00 $15.00 36.6% 10.5% 35.7% 0.0% 0.0% 6.9% -7.5% -18.5K 387.6K -1.1K 0.00 130.02 N/A N/A 0 0 131 483 2011-08-03 $13.99 $15.00 34.4% 9.8% 35.8% 0.0% 0.0% -3.9% 0.3% -17.2K 432.1K -1.0K 0.00 119.64 N/A N/A 0 0 131 483 2011-08-08 $12.01 $15.00 45.2% 11.0% 59.4% 0.0% 64.3% -16.6% 4.2% -4.0K 547.0K -257 0.00 102.78 N/A N/A 1 0 231 483 2011-08-09 $13.00 $15.00 83.0% 12.9% 68.6% 0.0% 0.0% -9.6% 2.0% -3.9K 575.6K -329 0.00 125.88 N/A N/A 0 0 232 483 2011-08-10 $12.35 $15.00 44.0% 12.3% 68.9% 0.0% 0.0% 4.4% 1.7% -5.3K 554.5K -287 0.00 109.71 N/A N/A 0 0 232 483 2011-08-11 $13.01 $15.00 40.3% 11.6% 73.1% 0.0% 0.0% 16.3% 13.8% -9.9K 530.8K -513 0.00 116.13 N/A N/A 0 0 232 483 2011-08-15 $13.44 $15.00 33.2% 9.5% 74.8% 0.0% 0.0% 2.8% 13.5% -11.5K 580.8K -435 0.00 115.49 N/A N/A 0 0 232 483 2011-08-16 $13.24 $15.00 34.9% 10.0% 74.9% 0.0% 0.0% 4.3% 11.6% -8.8K 591.4K -329 0.00 119.94 N/A N/A 0 0 232 483 2011-08-18 $13.07 $15.00 38.2% 11.0% 74.5% 0.0% 0.0% 8.8% 10.5% -7.7K 587.0K -281 0.00 112.86 N/A N/A 0 0 232 483 2011-08-19 $12.39 $15.00 34.9% 10.0% 75.6% 0.0% 0.0% -4.8% -15.0% -2.1K 587.1K -97 0.00 117.75 N/A N/A 0 0 232 483 2011-08-22 $11.91 $15.00 44.4% 12.7% 76.0% 0.0% 0.0% -0.5% 0.6% -2.2K 539.3K -139 0.00 126.19 N/A N/A 0 0 107 468 2011-08-23 $12.30 $15.00 47.9% 13.7% 77.3% 0.0% 0.0% 13.4% 5.8% -5.3K 531.8K -258 0.00 125.00 N/A N/A 0 0 107 468 2011-08-24 $12.47 $15.00 45.5% 13.0% 77.6% 0.0% 0.0% 6.7% -1.1% -2.8K 564.6K -140 0.00 120.17 N/A N/A 9 0 107 468 2011-08-25 $12.29 $15.00 45.5% 13.0% 76.9% 0.0% 0.0% 7.5% 1.0% -3.0K 548.9K -161 0.00 112.96 N/A N/A 0 0 116 468 2011-08-26 $12.70 $15.00 44.6% 12.8% 77.9% 0.0% 0.0% 10.6% 4.3% -3.0K 568.3K -163 0.00 129.66 N/A N/A 0 0 116 468 2011-08-29 $13.31 $15.00 44.8% 12.8% 79.3% 0.0% 0.0% -1.8% -1.8% -7.6K 578.5K -224 0.00 121.02 N/A N/A 0 0 116 468 2011-08-31 $13.29 $15.00 48.6% 13.9% 79.1% 0.0% 0.0% -0.3% -6.7% -7.4K 577.8K -216 0.00 124.53 N/A N/A 0 20 116 468
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