BOX Options History — January 2012

In January 2012, BOX traded between $14.52 and $15.44. ATM implied volatility averaged 35.2%, placing in the 12.7% IV rank vs the trailing year. The 30-day expected move averaged 10.5%. IV traded above realized volatility by 6.1% (HV 20d: 29.1%). 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 6 of 20 days. Put/call ratio averaged 1.20.

Notable Days

2012-01-03: Highest Volume — 30 contracts
2012-01-23: Largest IV spike — 78.6% change
2012-01-23: Highest IV Rank — 34.2%
2012-01-23: Largest Expected Move — 17.1%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$14.92	$14.52	$15.44	$14.98	$15.44
Max Pain	$13.75	$12.50	$15.00	$15.00	$15.00
ATM IV	35.2%	27.3%	59.7%	38.4%	29.6%
Expected Move	10.5%	7.8%	17.1%	11.0%	8.5%
HV 20d	29.1%	17.5%	36.9%	36.7%	17.6%
HV 60d	35.2%	31.7%	39.0%	39.0%	31.7%
IV Rank	12.7%	5.8%	34.2%	15.5%	7.8%
IV Percentile	22.5%	2.2%	89.4%	33.6%	6.1%
Term Structure	-1.4%	-7.8%	1.7%	-3.3%	1.7%
VWIV	53.7%	30.9%	80.6%	67.3%	30.9%
Skew 25d	2.0%	-9.8%	27.3%	9.9%	9.4%
Skew 10d	6.8%	-10.3%	39.9%	15.9%	18.8%
Call IV 25d	34.8%	23.3%	45.3%	31.1%	23.3%
Put IV 25d	36.8%	32.7%	55.4%	41.0%	32.7%
Bid-Ask Spread %	106.58	93.96	144.38	97.84	98.27
Gamma HHI	0.69	0.54	0.90	0.63	0.88
Net GEX	12.3K	8.7K	15.5K	12.2K	12.6K
Net DEX	-161.6K	-231.0K	-68.5K	-200.4K	-128.0K
Net VEX	-1.1K	-1.4K	-733	-1.4K	-893
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	1.20	0.00	4.00	2.00	0.00
Total Volume	4.5	0	30	30	0
Total OI	531.5	509	543	532	540

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
2012-01-03	$14.98	$15.00	38.4%	11.0%	36.7%	15.5%	0.0%	9.9%	-3.3%	12.2K	-200.4K	-1.4K	2.00	97.84	N/A	N/A	10	20	511	21
2012-01-04	$14.96	$15.00	37.6%	10.8%	36.7%	14.8%	0.0%	10.2%	-0.7%	13.1K	-213.4K	-1.4K	0.00	98.86	N/A	N/A	0	0	521	1
2012-01-05	$14.90	$15.00	38.1%	10.9%	36.7%	15.3%	0.0%	9.2%	-2.0%	13.0K	-204.4K	-1.3K	0.00	106.53	N/A	N/A	0	0	521	1
2012-01-06	$14.72	$12.50	37.1%	16.1%	36.9%	14.4%	67.3%	-9.7%	-7.8%	12.6K	-202.2K	-1.3K	0.00	111.71	N/A	N/A	0	10	521	1
2012-01-09	$14.58	$12.50	34.1%	11.0%	35.5%	11.8%	0.0%	-8.7%	-0.2%	12.0K	-165.3K	-1.2K	0.00	99.93	N/A	N/A	0	0	521	11
2012-01-10	$14.66	$12.50	34.7%	10.9%	34.9%	12.2%	0.0%	-8.7%	-0.6%	12.2K	-167.7K	-1.2K	0.00	101.12	N/A	N/A	0	1	521	11
2012-01-11	$14.61	$12.50	37.5%	10.7%	34.7%	14.7%	0.0%	-7.1%	0.8%	12.3K	-174.6K	-1.2K	0.00	105.27	N/A	N/A	0	0	521	12
2012-01-12	$14.65	$12.50	37.7%	10.8%	34.3%	14.9%	0.0%	-9.4%	-1.0%	12.3K	-158.5K	-1.2K	0.00	97.81	N/A	N/A	0	0	521	12
2012-01-13	$14.52	$12.50	38.0%	10.9%	33.1%	15.2%	0.0%	-8.1%	0.3%	12.0K	-165.7K	-1.2K	0.00	101.64	N/A	N/A	0	0	521	12
2012-01-17	$14.68	$12.50	36.9%	10.6%	32.1%	14.2%	0.0%	-9.8%	-0.3%	12.3K	-141.7K	-999	0.00	104.31	N/A	N/A	0	0	521	12
2012-01-18	$15.09	$12.50	30.0%	8.6%	33.6%	8.2%	0.0%	-5.7%	-3.9%	13.9K	-210.3K	-1.2K	0.00	142.75	N/A	N/A	10	0	521	12
2012-01-19	$15.24	$12.50	27.3%	7.8%	32.9%	5.8%	0.0%	-6.7%	-3.7%	15.5K	-231.0K	-1.4K	0.00	144.38	N/A	N/A	0	0	531	12
2012-01-20	$15.01	$12.50	33.4%	9.6%	24.9%	11.2%	35.9%	-4.9%	-6.8%	15.4K	-200.1K	-1.2K	0.00	134.80	N/A	N/A	0	3	531	12
2012-01-23	$15.01	$15.00	59.7%	17.1%	24.3%	34.2%	80.6%	27.3%	-1.9%	12.1K	-178.1K	-1.2K	4.00	113.31	N/A	N/A	5	20	496	13
2012-01-24	$14.77	$15.00	29.7%	8.5%	24.8%	7.9%	0.0%	6.9%	1.4%	8.7K	-68.5K	-733	0.00	95.98	N/A	N/A	0	0	496	33
2012-01-25	$14.98	$15.00	30.9%	8.9%	18.5%	8.9%	30.9%	7.3%	0.1%	10.3K	-108.6K	-938	0.00	94.18	N/A	N/A	1	0	496	33
2012-01-26	$15.11	$15.00	30.5%	8.7%	18.7%	8.6%	0.0%	8.5%	0.6%	10.8K	-100.7K	-798	0.00	93.96	N/A	N/A	10	0	497	33
2012-01-27	$15.20	$15.00	30.8%	8.8%	17.8%	8.8%	0.0%	9.4%	-0.6%	10.6K	-101.0K	-803	0.00	94.70	N/A	N/A	0	0	507	33
2012-01-30	$15.31	$15.00	31.4%	9.0%	17.5%	9.4%	0.0%	21.2%	-0.1%	11.4K	-112.4K	-790	0.00	94.20	N/A	N/A	0	0	507	33
2012-01-31	$15.44	$15.00	29.6%	8.5%	17.6%	7.8%	0.0%	9.4%	1.7%	12.6K	-128.0K	-893	0.00	98.27	N/A	N/A	0	0	507	33