BOX Options History — October 2011

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

In October 2011, BOX traded between $12.03 and $13.93. ATM implied volatility averaged 51.1%. The 30-day expected move averaged 13.7%. IV traded below realized volatility by 0.5% (HV 20d: 51.6%). Max pain ranged from $12.50 to $12.50. Net GEX was positive for 20 of 20 trading days. Term structure was in contango for 13 of 20 days. Put/call ratio averaged 0.15.

Notable Days

2011-10-13: Highest Volume — 10 contracts
2011-10-12: Largest IV spike — 125.7% change
2011-10-11: Largest Expected Move — 15.3%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$13.01	$12.03	$13.93	$12.03	$13.90
Max Pain	$12.50	$12.50	$12.50	$12.50	$12.50
ATM IV	51.1%	38.5%	118.4%	43.3%	40.3%
Expected Move	13.7%	11.0%	15.3%	12.4%	11.6%
HV 20d	51.6%	43.0%	58.9%	55.7%	43.1%
HV 60d	60.8%	58.5%	62.0%	58.5%	61.2%
Term Structure	2.6%	-8.2%	14.5%	6.7%	10.5%
VWIV	83.0%	43.6%	122.5%	43.6%	122.5%
Skew 25d	4.9%	-51.8%	15.6%	2.5%	7.1%
Skew 10d	5.7%	-67.5%	19.5%	7.9%	12.1%
Call IV 25d	44.2%	33.6%	103.0%	46.4%	36.9%
Put IV 25d	49.1%	40.3%	55.4%	48.9%	44.1%
Bid-Ask Spread %	116.46	75.26	128.78	121.22	122.00
Gamma HHI	0.52	0.33	0.82	0.48	0.44
Net GEX	772	123	1.7K	123	1.2K
Net DEX	-7.1K	-22.4K	18.3K	18.3K	-21.0K
Net VEX	-131	-185	-100	-107	-180
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	0.15	0.00	1.33	1.33	0.00
Total Volume	3.1	0	10	7	0
Total OI	168	155	182	156	181

Daily Data (20 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
2011-10-03	$12.03	$12.50	43.3%	12.4%	55.7%	0.0%	43.6%	2.5%	6.7%	123	18.3K	-107	1.33	121.22	N/A	N/A	3	4	121	35
2011-10-04	$12.61	$12.50	52.4%	15.0%	58.7%	0.0%	0.0%	3.8%	1.0%	355	9.0K	-116	0.00	122.06	N/A	N/A	0	0	124	31
2011-10-05	$12.12	$12.50	49.4%	14.2%	58.9%	0.0%	0.0%	1.9%	0.5%	342	8.8K	-111	0.00	128.78	N/A	N/A	0	0	124	31
2011-10-07	$12.08	$12.50	49.2%	13.9%	56.3%	0.0%	0.0%	2.5%	-2.3%	270	9.3K	-102	0.00	109.44	N/A	N/A	4	0	124	31
2011-10-10	$12.68	$12.50	52.0%	15.3%	58.2%	0.0%	0.0%	7.3%	-0.0%	395	2.7K	-109	0.00	75.26	N/A	N/A	3	0	128	31
2011-10-11	$12.64	$12.50	52.5%	15.3%	55.6%	0.0%	0.0%	6.5%	-0.7%	521	1.3K	-123	0.00	103.12	N/A	N/A	0	0	131	31
2011-10-12	$13.10	$12.50	118.4%	15.1%	53.5%	0.0%	0.0%	9.8%	0.6%	419	-2.1K	-119	0.00	112.69	N/A	N/A	1	0	131	31
2011-10-13	$13.51	$12.50	47.8%	13.7%	54.2%	0.0%	0.0%	8.6%	5.8%	624	-11.4K	-100	0.00	122.73	N/A	N/A	10	0	132	31
2011-10-14	$13.35	$12.50	50.5%	14.5%	50.8%	0.0%	0.0%	15.6%	-8.2%	740	-15.7K	-142	0.00	109.95	N/A	N/A	0	0	142	31
2011-10-17	$13.30	$12.50	45.0%	12.9%	50.7%	0.0%	0.0%	11.3%	10.5%	645	-16.0K	-133	0.00	123.59	N/A	N/A	9	0	142	31
2011-10-18	$13.15	$12.50	49.9%	14.3%	51.0%	0.0%	0.0%	11.3%	1.9%	700	-15.3K	-131	0.00	113.10	N/A	N/A	0	0	142	31
2011-10-19	$12.74	$12.50	52.3%	15.0%	50.9%	0.0%	0.0%	8.5%	-1.1%	1.7K	-13.9K	-134	0.00	124.25	N/A	N/A	0	1	151	31
2011-10-20	$13.04	$12.50	46.4%	13.3%	51.2%	0.0%	0.0%	9.5%	7.1%	1.4K	-22.4K	-126	0.00	117.41	N/A	N/A	0	0	151	31
2011-10-21	$12.59	$12.50	52.8%	15.1%	48.9%	0.0%	0.0%	6.3%	-8.0%	1.6K	-8.3K	-121	0.00	121.91	N/A	N/A	10	0	151	31
2011-10-24	$13.19	$12.50	45.8%	13.1%	49.1%	0.0%	0.0%	12.5%	5.6%	776	-8.2K	-143	0.00	119.50	N/A	N/A	0	0	140	24
2011-10-25	$13.27	$12.50	48.5%	13.9%	48.5%	0.0%	0.0%	13.1%	-8.2%	848	-9.5K	-142	0.00	124.96	N/A	N/A	0	0	140	24
2011-10-26	$13.31	$12.50	47.3%	13.6%	47.4%	0.0%	122.5%	-51.8%	6.3%	597	-10.6K	-147	0.00	118.55	N/A	N/A	10	0	140	24
2011-10-27	$13.73	$12.50	40.6%	11.6%	47.5%	0.0%	0.0%	4.3%	8.9%	968	-16.2K	-153	0.00	117.10	N/A	N/A	7	0	150	24
2011-10-28	$13.93	$12.50	38.5%	11.0%	43.0%	0.0%	0.0%	8.0%	14.5%	1.2K	-21.5K	-185	0.00	121.63	N/A	N/A	0	0	157	24
2011-10-31	$13.90	$12.50	40.3%	11.6%	43.1%	0.0%	0.0%	7.1%	10.5%	1.2K	-21.0K	-180	0.00	122.00	N/A	N/A	0	0	157	24