BOX Options History — September 2011 In September 2011, BOX traded between $10.75 and $12.82. ATM implied volatility averaged 57.6%. The 30-day expected move averaged 15.0%. IV traded below realized volatility by 6.3% (HV 20d: 63.8%). Max pain ranged from $12.50 to $15.00. Net GEX was positive for 4 of 18 trading days. Term structure was in contango for 8 of 18 days. Put/call ratio averaged 0.00.
Notable Days 2011-09-15 : Highest Volume — 250 contracts2011-09-21 : Largest IV spike — 112.1% change2011-09-21 : Largest Expected Move — 38.7%Monthly Statistics Metric Avg Min Max Open Close Price $11.78 $10.75 $12.82 $12.82 $12.13 Max Pain $12.65 $12.50 $15.00 $15.00 $12.50 ATM IV 57.6% 34.9% 134.9% 51.7% 34.9% Expected Move 15.0% 10.0% 38.7% 14.8% 10.0% HV 20d 63.8% 54.2% 83.2% 79.5% 58.6% HV 60d 56.5% 55.5% 58.6% 55.8% 58.5% Term Structure 1.0% -42.0% 54.2% -14.3% 22.7% VWIV 57.3% 57.3% 57.3% 57.3% 57.3% Skew 25d 1.0% -11.3% 24.8% -3.8% 15.2% Skew 10d 14.2% -22.4% 44.3% 15.5% 19.5% Call IV 25d 49.5% 34.7% 112.2% 43.6% 34.7% Put IV 25d 50.5% 37.8% 104.2% 39.8% 49.9% Bid-Ask Spread % 123.75 95.11 200.00 95.11 118.55 Gamma HHI 0.54 0.34 0.81 0.81 0.41 Net GEX -716 -5.1K 457 -5.1K 457 Net DEX 305.7K 5.9K 580.5K 575.1K 5.9K Net VEX -118 -241 0 -241 -53 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 15.389 0 250 7 0 Total OI 388.056 114 611 604 136
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 2011-09-01 $12.82 $15.00 51.7% 14.8% 79.5% 0.0% 0.0% 0.0% -14.3% -5.1K 575.1K -241 0.00 95.11 N/A N/A 0 7 116 488 2011-09-06 $12.20 $12.50 48.8% 16.5% 80.5% 0.0% 57.3% -3.8% -2.5% -2.2K 565.6K -204 0.00 99.96 N/A N/A 0 7 116 495 2011-09-07 $12.53 $12.50 54.9% 14.5% 81.5% 0.0% 0.0% 24.8% -2.1% -3.1K 580.5K -194 0.00 118.75 N/A N/A 0 0 116 495 2011-09-08 $11.97 $12.50 53.7% 12.8% 82.1% 0.0% 0.0% -0.8% 0.6% -639 562.9K -157 0.00 113.01 N/A N/A 0 7 116 495 2011-09-09 $11.42 $12.50 65.6% 11.6% 83.2% 0.0% 0.0% 0.5% 8.7% -684 544.1K -105 0.00 122.09 N/A N/A 0 0 116 492 2011-09-12 $11.46 $12.50 65.8% 11.8% 64.0% 0.0% 0.0% 3.3% 12.8% -302 547.5K -98 0.00 112.29 N/A N/A 0 0 116 492 2011-09-13 $12.18 $12.50 59.3% 14.3% 61.2% 0.0% 0.0% -1.3% -0.0% -43 573.4K -140 0.00 107.22 N/A N/A 0 0 116 492 2011-09-14 $12.07 $12.50 82.0% 14.4% 58.5% 0.0% 0.0% -0.9% 0.1% -784 565.8K -145 0.00 115.87 N/A N/A 0 0 116 492 2011-09-15 $12.08 $12.50 50.1% 14.4% 55.1% 0.0% 0.0% -1.8% -0.6% 1 571.1K -122 0.00 110.14 N/A N/A 0 250 116 492 2011-09-16 $11.69 $12.50 45.7% 13.1% 54.3% 0.0% 0.0% -5.1% 2.5% -68 264.1K -105 0.00 109.92 N/A N/A 0 0 116 242 2011-09-19 $11.65 $0.00 50.2% 14.4% 54.2% 0.0% 0.0% 0.0% -11.4% -1 9.3K 0 0.00 200.00 N/A N/A 0 0 106 8 2011-09-20 $11.05 $12.50 63.6% 18.2% 56.6% 0.0% 0.0% -3.8% -42.0% -204 25.2K -81 0.00 116.37 N/A N/A 0 0 115 35 2011-09-21 $10.75 $12.50 134.9% 38.7% 54.6% 0.0% 0.0% -8.1% -30.9% 368 9.5K -156 0.00 170.31 N/A N/A 0 0 115 35 2011-09-22 $11.08 $12.50 42.6% 12.2% 54.7% 0.0% 0.0% -11.3% 54.2% -104 25.6K -70 0.00 173.73 N/A N/A 0 0 115 35 2011-09-23 $11.50 $12.50 47.5% 13.6% 55.2% 0.0% 0.0% 7.3% -2.7% -229 27.5K -72 0.00 103.73 N/A N/A 0 0 115 35 2011-09-26 $11.35 $12.50 46.3% 13.3% 54.9% 0.0% 0.0% 1.1% -4.5% -231 28.4K -68 0.00 121.53 N/A N/A 0 0 115 35 2011-09-29 $12.10 $12.50 38.4% 11.0% 59.9% 0.0% 0.0% 15.2% 26.8% 33 20.1K -108 0.00 118.94 N/A N/A 6 0 115 35 2011-09-30 $12.13 $12.50 34.9% 10.0% 58.6% 0.0% 0.0% 0.0% 22.7% 457 5.9K -53 0.00 118.55 N/A N/A 0 0 121 15
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