BOX Options History — November 2011 In November 2011, BOX traded between $13.14 and $15.39. ATM implied volatility averaged 49.4%. The 30-day expected move averaged 13.8%. IV traded above realized volatility by 8.5% (HV 20d: 41.0%). Max pain ranged from $12.50 to $15.00. Net GEX was positive for 20 of 20 trading days. Term structure was in contango for 10 of 20 days. Put/call ratio averaged 0.00.
Notable Days 2011-11-15 : Highest Volume — 16 contracts2011-11-29 : Largest IV spike — 155.2% change2011-11-08 : Largest Expected Move — 24.4%Monthly Statistics Metric Avg Min Max Open Close Price $14.25 $13.14 $15.39 $13.32 $15.39 Max Pain $13.75 $12.50 $15.00 $15.00 $15.00 ATM IV 49.4% 32.7% 85.3% 45.9% 40.3% Expected Move 13.8% 9.4% 24.4% 13.2% 11.5% HV 20d 41.0% 36.9% 46.3% 46.3% 40.2% HV 60d 53.4% 47.4% 61.9% 61.3% 47.6% Term Structure -3.7% -73.7% 17.9% 1.5% 7.3% VWIV 118.4% 118.4% 118.4% 118.4% 118.4% Skew 25d 0.7% -89.1% 15.8% 0.2% 9.8% Skew 10d 5.1% -100.8% 15.1% 14.4% 14.5% Call IV 25d 44.0% 31.3% 143.7% 42.6% 41.4% Put IV 25d 44.8% 34.7% 54.6% 42.8% 51.2% Bid-Ask Spread % 123.79 103.14 200.00 200.00 121.08 Gamma HHI 0.54 0.38 1.00 1.00 0.49 Net GEX 1.3K 62 4.3K 62 1.0K Net DEX -26.8K -52.4K -112 -112 -37.5K Net VEX -159 -247 -1 -1 -181 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 1.8 0 16 0 10 Total OI 140.45 11 197 11 73
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 2011-11-01 $13.32 $15.00 45.9% 13.2% 46.3% 0.0% 0.0% 0.0% 0.0% 62 -112 -1 0.00 200.00 N/A N/A 0 0 11 0 2011-11-02 $13.43 $12.50 45.2% 12.9% 43.6% 0.0% 0.0% 0.2% 1.5% 910 -14.9K -160 0.00 121.08 N/A N/A 0 0 157 24 2011-11-03 $13.85 $12.50 50.3% 14.4% 41.5% 0.0% 0.0% 10.3% -7.8% 1.2K -19.0K -152 0.00 164.51 N/A N/A 0 0 157 24 2011-11-04 $13.47 $0.00 50.2% 14.0% 43.2% 0.0% 0.0% 4.2% -1.8% 932 -16.2K -164 0.00 112.29 N/A N/A 0 0 157 24 2011-11-07 $13.14 $0.00 50.7% 13.7% 41.3% 0.0% 0.0% 6.2% 0.6% 878 -11.8K -150 0.00 111.20 N/A N/A 0 0 157 24 2011-11-08 $13.56 $0.00 85.3% 24.4% 42.5% 0.0% 0.0% -89.1% -41.7% 1.9K -52.4K -247 0.00 157.72 N/A N/A 0 0 157 24 2011-11-09 $13.33 $0.00 66.1% 13.3% 41.4% 0.0% 0.0% 11.9% 8.4% 890 -13.2K -150 0.00 121.45 N/A N/A 0 0 157 24 2011-11-10 $13.72 $0.00 45.3% 13.0% 41.2% 0.0% 0.0% 15.0% 10.9% 935 -17.4K -151 0.00 111.73 N/A N/A 0 0 157 24 2011-11-11 $14.16 $0.00 42.0% 12.0% 42.3% 0.0% 0.0% -3.6% -1.6% 1.3K -23.3K -161 0.00 116.36 N/A N/A 0 0 157 24 2011-11-14 $14.34 $0.00 41.8% 12.0% 42.3% 0.0% 0.0% 13.5% 1.1% 1.3K -27.2K -161 0.00 112.47 N/A N/A 0 0 157 24 2011-11-15 $14.83 $0.00 45.9% 13.2% 43.2% 0.0% 0.0% -0.4% 17.9% 2.5K -33.5K -156 0.00 118.99 N/A N/A 16 0 157 24 2011-11-16 $14.92 $0.00 45.1% 12.9% 40.8% 0.0% 0.0% -0.3% -0.6% 2.5K -48.3K -179 0.00 114.06 N/A N/A 0 0 173 24 2011-11-17 $14.89 $0.00 45.3% 13.0% 40.6% 0.0% 0.0% 8.4% -0.0% 2.6K -49.1K -177 0.00 113.35 N/A N/A 0 0 173 24 2011-11-18 $14.97 $0.00 45.5% 13.0% 37.5% 0.0% 0.0% 7.5% -0.3% 4.3K -49.8K -174 0.00 103.14 N/A N/A 0 0 173 24 2011-11-21 $14.55 $0.00 40.1% 11.5% 36.9% 0.0% 0.0% -2.7% 3.1% 571 -21.5K -164 0.00 107.90 N/A N/A 0 0 43 20 2011-11-22 $15.01 $0.00 46.6% 13.4% 38.0% 0.0% 0.0% 2.9% -1.8% 617 -26.3K -164 0.00 117.20 N/A N/A 0 0 43 20 2011-11-23 $14.72 $0.00 40.6% 11.6% 39.1% 0.0% 0.0% 0.3% 0.2% 573 -24.3K -161 0.00 114.05 N/A N/A 0 0 43 20 2011-11-28 $14.53 $0.00 32.7% 9.4% 38.3% 0.0% 0.0% 15.8% 8.4% 608 -20.2K -152 0.00 123.76 N/A N/A 9 0 43 20 2011-11-29 $14.93 $0.00 83.5% 23.9% 39.1% 0.0% 118.4% 4.3% -73.7% 891 -29.3K -181 0.00 113.38 N/A N/A 1 0 52 20 2011-11-30 $15.39 $15.00 40.3% 11.5% 40.2% 0.0% 0.0% 9.8% 7.3% 1.0K -37.5K -181 0.00 121.08 N/A N/A 10 0 53 20
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