BOX Options History — December 2011

In December 2011, BOX traded between $14.30 and $15.54. ATM implied volatility averaged 39.8%, placing in the 15.3% IV rank vs the trailing year. The 30-day expected move averaged 11.0%. IV traded above realized volatility by 4.5% (HV 20d: 35.3%). Max pain ranged from $15.00 to $15.00. Net GEX was positive for 21 of 21 trading days. Term structure was in contango for 14 of 21 days. Put/call ratio averaged 0.10.

Notable Days

2011-12-21: Highest Volume — 411 contracts
2011-12-05: Largest IV spike — 100.0% change
2011-12-30: Highest IV Rank — 15.6%
2011-12-01: Largest Expected Move — 12.8%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$14.96	$14.30	$15.54	$15.12	$14.81
Max Pain	$15.00	$15.00	$15.00	$15.00	$15.00
ATM IV	39.8%	23.2%	83.0%	44.6%	38.5%
Expected Move	11.0%	8.3%	12.8%	12.8%	11.0%
HV 20d	35.3%	31.4%	39.9%	37.1%	36.9%
HV 60d	42.7%	40.0%	46.9%	46.9%	40.0%
IV Rank	15.3%	15.1%	15.6%	15.1%	15.6%
IV Percentile	32.4%	31.0%	33.9%	31.0%	33.9%
Term Structure	0.6%	-14.7%	9.7%	0.2%	-2.1%
VWIV	35.3%	21.2%	43.5%	37.1%	39.2%
Skew 25d	5.1%	-8.0%	15.5%	10.0%	6.5%
Skew 10d	10.7%	-6.7%	19.6%	16.1%	11.5%
Call IV 25d	31.3%	22.6%	39.7%	37.0%	31.3%
Put IV 25d	36.4%	30.8%	47.1%	47.1%	37.8%
Bid-Ask Spread %	108.74	88.42	154.82	106.06	100.96
Gamma HHI	0.60	0.42	0.70	0.43	0.64
Net GEX	5.2K	1.3K	13.1K	1.3K	11.6K
Net DEX	-93.5K	-281.9K	-35.6K	-37.9K	-194.2K
Net VEX	-547	-1.7K	-172	-197	-1.3K
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	0.10	0.00	1.00	1.00	0.00
Total Volume	22.762	0	411	0	0
Total OI	225.571	83	532	83	532

Daily Data (21 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
2011-12-01	$15.12	$15.00	44.6%	12.8%	37.1%	0.0%	0.0%	10.0%	0.2%	1.3K	-37.9K	-197	0.00	106.06	N/A	N/A	0	0	63	20
2011-12-02	$15.36	$15.00	41.5%	11.9%	37.2%	0.0%	37.1%	7.0%	-2.1%	1.3K	-41.0K	-201	1.00	113.43	N/A	N/A	2	2	63	20
2011-12-05	$15.33	$15.00	83.0%	12.5%	36.2%	0.0%	43.5%	8.1%	1.9%	1.3K	-39.9K	-199	0.00	106.23	N/A	N/A	11	0	65	22
2011-12-06	$15.30	$15.00	34.5%	12.3%	34.2%	0.0%	0.0%	5.5%	1.3%	1.9K	-49.9K	-211	0.00	113.02	N/A	N/A	1	0	76	22
2011-12-07	$15.26	$15.00	23.2%	10.6%	32.4%	0.0%	0.0%	8.5%	9.2%	2.1K	-52.7K	-209	0.00	105.65	N/A	N/A	12	0	77	22
2011-12-08	$14.81	$15.00	31.8%	11.2%	33.7%	0.0%	40.0%	-8.0%	5.5%	3.3K	-54.0K	-223	0.00	88.42	N/A	N/A	2	0	89	22
2011-12-09	$15.08	$15.00	30.9%	11.5%	33.0%	0.0%	0.0%	7.2%	2.0%	3.7K	-56.8K	-214	0.00	110.84	N/A	N/A	0	2	91	22
2011-12-12	$14.91	$15.00	35.7%	11.6%	32.4%	0.0%	0.0%	2.5%	0.1%	3.7K	-53.1K	-213	0.00	106.18	N/A	N/A	0	0	91	22
2011-12-13	$14.68	$15.00	47.2%	11.3%	31.4%	0.0%	0.0%	2.0%	0.7%	3.2K	-49.9K	-203	0.00	111.32	N/A	N/A	0	0	91	22
2011-12-14	$14.30	$15.00	60.3%	10.2%	32.7%	0.0%	0.0%	-3.1%	1.3%	2.6K	-35.8K	-193	0.00	111.41	N/A	N/A	0	0	91	22
2011-12-15	$14.65	$15.00	38.9%	11.2%	31.5%	0.0%	0.0%	-1.3%	1.0%	3.0K	-45.0K	-193	0.00	115.97	N/A	N/A	0	0	91	20
2011-12-16	$14.64	$15.00	39.7%	11.4%	31.4%	0.0%	0.0%	1.6%	-11.0%	3.4K	-47.5K	-188	0.00	109.82	N/A	N/A	10	0	91	20
2011-12-19	$14.38	$15.00	28.9%	8.3%	32.0%	0.0%	30.7%	1.0%	9.7%	2.1K	-35.6K	-175	0.00	114.64	N/A	N/A	1	0	76	20
2011-12-20	$15.30	$15.00	35.2%	10.1%	39.2%	0.0%	21.2%	15.5%	9.2%	2.3K	-53.0K	-172	0.00	113.00	N/A	N/A	22	0	77	20
2011-12-21	$15.51	$15.00	29.1%	8.3%	37.8%	0.0%	39.2%	9.7%	-3.4%	3.1K	-63.4K	-218	0.00	154.82	N/A	N/A	410	1	99	20
2011-12-22	$15.54	$15.00	35.6%	10.2%	36.3%	0.0%	0.0%	11.9%	5.4%	13.1K	-281.9K	-1.7K	0.00	98.12	N/A	N/A	2	0	509	21
2011-12-23	$14.80	$15.00	44.5%	12.7%	39.9%	0.0%	0.0%	2.5%	-14.7%	11.9K	-183.6K	-1.3K	0.00	100.16	N/A	N/A	0	0	511	21
2011-12-27	$14.87	$15.00	39.5%	11.3%	39.6%	0.0%	0.0%	6.6%	-2.4%	11.5K	-201.5K	-1.4K	0.00	101.36	N/A	N/A	0	0	511	21
2011-12-28	$14.65	$15.00	36.0%	10.3%	38.8%	0.0%	0.0%	6.4%	0.5%	11.9K	-178.2K	-1.3K	0.00	101.49	N/A	N/A	0	0	511	21
2011-12-29	$14.84	$15.00	37.9%	10.9%	37.4%	15.1%	0.0%	7.0%	-0.6%	11.6K	-209.0K	-1.4K	0.00	100.63	N/A	N/A	0	0	511	21
2011-12-30	$14.81	$15.00	38.5%	11.0%	36.9%	15.6%	0.0%	6.5%	-2.1%	11.6K	-194.2K	-1.3K	0.00	100.96	N/A	N/A	0	0	511	21