BOX Options History — February 2012 In February 2012, BOX traded between $15.50 and $16.96. ATM implied volatility averaged 28.9%, placing in the 7.3% IV rank vs the trailing year. The 30-day expected move averaged 7.8%. IV traded above realized volatility by 8.9% (HV 20d: 20.0%). Max pain ranged from $15.00 to $15.00. Net GEX was positive for 20 of 20 trading days. Term structure was in contango for 13 of 20 days. Put/call ratio averaged 1.16.
Notable Days 2012-02-24 : Highest Volume — 41 contracts2012-02-02 : Largest IV spike — 51.2% change2012-02-03 : Highest IV Rank — 23.4%2012-02-02 : Largest Expected Move — 13.0%Monthly Statistics Metric Avg Min Max Open Close Price $16.39 $15.50 $16.96 $15.50 $16.34 Max Pain $15.00 $15.00 $15.00 $15.00 $15.00 ATM IV 28.9% 19.5% 47.4% 29.9% 19.5% Expected Move 7.8% 5.6% 13.0% 8.6% 5.6% HV 20d 20.0% 17.2% 21.6% 17.2% 21.0% HV 60d 29.0% 26.2% 31.7% 31.7% 26.2% IV Rank 7.3% 0.0% 23.4% 8.0% 0.0% IV Percentile 13.0% 0.0% 72.0% 7.4% 0.0% Term Structure 3.7% -11.0% 18.7% 2.2% 4.6% Skew 25d 2.7% -6.0% 39.6% 8.7% -2.4% Skew 10d 8.0% -3.7% 29.9% 17.3% 2.3% Call IV 25d 24.5% 18.3% 30.6% 23.1% 22.5% Put IV 25d 27.2% 20.1% 59.8% 31.8% 20.1% Bid-Ask Spread % 84.19 30.22 145.40 39.18 117.22 Gamma HHI 0.93 0.89 1.00 0.89 0.93 Net GEX 19.7K 13.6K 38.2K 13.6K 26.1K Net DEX -296.1K -449.8K -195.8K -195.8K -281.0K Net VEX -1.5K -1.6K -1.2K -1.2K -1.5K Div Yield 0.0% 0.0% 0.0% 0.0% 0.0% P/C Ratio 1.16 0.00 4.00 4.00 0.00 Total Volume 6 0 41 0 20 Total OI 534.4 482 566 540 523
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 2012-02-01 $15.50 $15.00 29.9% 8.6% 17.2% 8.0% 0.0% 8.7% 2.2% 13.6K -195.8K -1.2K 0.00 39.18 N/A N/A 0 0 507 33 2012-02-02 $15.79 $15.00 45.2% 13.0% 18.2% 21.4% 0.0% 39.6% -3.0% 15.0K -231.7K -1.3K 0.00 107.01 N/A N/A 0 0 507 33 2012-02-03 $16.24 $0.00 47.4% 7.3% 20.1% 23.4% 0.0% 5.5% 10.9% 17.0K -299.4K -1.5K 4.00 145.40 N/A N/A 5 20 507 33 2012-02-06 $16.05 $0.00 35.2% 8.8% 20.1% 12.7% 0.0% 9.5% 1.4% 18.0K -254.8K -1.4K 0.00 76.30 N/A N/A 0 10 512 33 2012-02-07 $16.03 $0.00 30.1% 8.0% 19.5% 8.3% 0.0% 10.2% 8.2% 16.6K -252.3K -1.4K 0.00 65.98 N/A N/A 0 0 512 43 2012-02-08 $16.40 $0.00 30.6% 8.1% 20.5% 8.7% 0.0% 1.1% -1.1% 18.4K -287.2K -1.5K 0.00 67.33 N/A N/A 0 0 512 43 2012-02-09 $16.23 $0.00 26.1% 7.5% 21.1% 4.7% 0.0% -1.2% -6.1% 16.8K -289.0K -1.5K 0.00 137.16 N/A N/A 0 0 512 43 2012-02-10 $16.09 $0.00 28.9% 8.3% 21.6% 7.2% 0.0% -3.2% -3.3% 17.9K -272.5K -1.4K 0.00 80.55 N/A N/A 5 0 512 43 2012-02-13 $16.30 $0.00 23.6% 6.8% 21.2% 2.6% 0.0% 0.6% 9.3% 17.5K -294.9K -1.5K 0.00 78.54 N/A N/A 0 0 517 43 2012-02-14 $16.53 $0.00 24.2% 6.9% 21.3% 3.1% 0.0% 2.0% 7.8% 18.5K -328.4K -1.5K 1.00 118.90 N/A N/A 1 1 517 43 2012-02-15 $16.78 $0.00 30.1% 8.6% 20.1% 8.3% 0.0% -4.3% -0.5% 20.9K -367.3K -1.6K 0.00 59.92 N/A N/A 2 0 516 43 2012-02-16 $16.93 $0.00 31.3% 9.0% 20.1% 9.2% 0.0% -2.9% -0.9% 21.4K -387.2K -1.6K 0.00 58.60 N/A N/A 15 0 518 43 2012-02-17 $16.96 $0.00 30.3% 8.7% 18.6% 8.4% 0.0% -3.6% 0.3% 21.7K -385.4K -1.6K 0.00 62.11 N/A N/A 0 0 523 43 2012-02-21 $16.76 $0.00 24.5% 7.0% 19.6% 3.3% 0.0% -5.9% -11.0% 38.2K -449.8K -1.6K 0.00 119.10 N/A N/A 0 0 461 21 2012-02-22 $16.48 $0.00 24.6% 7.1% 19.7% 3.4% 0.0% -6.0% 3.5% 19.0K -269.1K -1.5K 0.00 63.27 N/A N/A 0 0 461 21 2012-02-23 $16.68 $0.00 30.1% 8.6% 19.6% 8.3% 0.0% 1.8% 15.7% 17.1K -254.8K -1.5K 0.00 68.28 N/A N/A 0 0 461 21 2012-02-24 $16.67 $0.00 23.2% 6.6% 19.7% 2.2% 0.0% 5.2% 14.6% 19.6K -272.3K -1.5K 3.10 67.86 N/A N/A 10 31 461 21 2012-02-27 $16.63 $0.00 19.9% 5.7% 19.8% 0.0% 0.0% 4.9% 18.7% 19.3K -239.9K -1.6K 0.00 30.22 N/A N/A 0 0 471 52 2012-02-28 $16.38 $0.00 22.8% 6.5% 21.0% 2.5% 0.0% -5.0% 2.3% 21.4K -309.3K -1.6K 0.00 120.83 N/A N/A 0 0 471 52 2012-02-29 $16.34 $0.00 19.5% 5.6% 21.0% 0.0% 0.0% -2.4% 4.6% 26.1K -281.0K -1.5K 0.00 117.22 N/A N/A 20 0 471 52
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