BOX Options History — March 2012

In March 2012, BOX traded between $15.62 and $17.93. ATM implied volatility averaged 38.7%, placing in the 16.7% IV rank vs the trailing year. The 30-day expected move averaged 9.0%. IV traded above realized volatility by 13.4% (HV 20d: 25.3%). Max pain ranged from $17.50 to $20.00. Net GEX was positive for 22 of 22 trading days. Term structure was in contango for 9 of 22 days. Put/call ratio averaged 0.00.

Notable Days

2012-03-08: Highest Volume — 404 contracts
2012-03-14: Largest IV spike — 97.4% change
2012-03-14: Highest IV Rank — 87.6%
2012-03-14: Largest Expected Move — 11.4%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$16.86	$15.62	$17.93	$16.49	$17.20
Max Pain	$18.33	$17.50	$20.00	$17.50	$20.00
ATM IV	38.7%	22.0%	120.5%	22.0%	26.7%
Expected Move	9.0%	6.3%	11.4%	6.3%	7.7%
HV 20d	25.3%	17.8%	31.2%	21.1%	31.2%
HV 60d	25.1%	22.9%	26.9%	26.1%	23.5%
IV Rank	16.7%	2.2%	87.6%	2.2%	6.3%
IV Percentile	35.3%	1.8%	98.9%	1.8%	8.5%
Term Structure	-1.2%	-10.1%	12.9%	12.9%	2.2%
VWIV	28.7%	25.5%	32.9%	26.7%	29.7%
Skew 25d	5.2%	-6.3%	27.6%	-2.4%	2.3%
Skew 10d	10.9%	1.1%	31.9%	13.3%	3.0%
Call IV 25d	28.8%	19.1%	39.7%	24.0%	27.6%
Put IV 25d	33.9%	21.6%	52.2%	21.6%	29.8%
Bid-Ask Spread %	111.30	29.00	158.54	29.00	113.50
Gamma HHI	0.94	0.88	0.97	0.94	0.97
Net GEX	15.9K	7.2K	19.4K	19.0K	18.6K
Net DEX	-230.7K	-351.3K	-47.2K	-226.8K	-251.4K
Net VEX	-1.1K	-1.5K	-691	-1.5K	-1.1K
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	0.00	0.00	0.03	0.00	0.00
Total Volume	25.682	0	404	2	0
Total OI	420.636	317	513	513	414

Daily Data (22 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
2012-03-01	$16.49	$0.00	22.0%	6.3%	21.1%	2.2%	0.0%	-2.4%	12.9%	19.0K	-226.8K	-1.5K	0.00	29.00	N/A	N/A	2	0	461	52
2012-03-02	$16.48	$0.00	35.9%	10.3%	20.3%	14.3%	0.0%	0.8%	8.4%	18.3K	-235.7K	-1.5K	0.00	118.55	N/A	N/A	2	0	461	52
2012-03-05	$16.48	$0.00	38.1%	9.9%	17.8%	16.1%	0.0%	2.8%	-3.6%	17.3K	-229.9K	-1.4K	0.00	132.24	N/A	N/A	0	0	461	52
2012-03-06	$16.03	$0.00	51.9%	11.3%	20.1%	28.1%	0.0%	-0.6%	-7.8%	13.6K	-192.9K	-1.3K	0.00	150.71	N/A	N/A	10	0	461	52
2012-03-07	$15.86	$0.00	45.8%	10.6%	20.4%	22.8%	0.0%	2.8%	-5.6%	14.3K	-126.9K	-1.2K	0.00	132.54	N/A	N/A	0	0	451	52
2012-03-08	$15.94	$0.00	43.7%	9.7%	18.6%	21.0%	0.0%	7.5%	-0.3%	15.4K	-94.8K	-997	0.01	77.29	N/A	N/A	401	3	451	52
2012-03-09	$15.62	$0.00	42.4%	9.9%	19.6%	19.9%	26.7%	7.7%	0.7%	7.2K	-47.2K	-691	0.00	79.88	N/A	N/A	0	3	262	55
2012-03-12	$16.20	$17.50	42.3%	8.9%	23.6%	19.8%	0.0%	7.7%	-5.7%	8.9K	-97.4K	-871	0.00	76.66	N/A	N/A	5	0	262	58
2012-03-13	$16.36	$17.50	61.1%	10.1%	23.4%	36.0%	0.0%	2.8%	-6.4%	10.4K	-125.2K	-907	0.00	131.63	N/A	N/A	0	0	267	58
2012-03-14	$16.24	$17.50	120.5%	11.4%	23.0%	87.6%	25.5%	18.4%	-6.0%	9.1K	-113.4K	-884	0.03	158.54	N/A	N/A	91	3	267	58
2012-03-15	$16.43	$17.50	36.4%	10.4%	22.7%	14.7%	0.0%	8.8%	-10.1%	18.0K	-210.0K	-1.1K	0.00	156.82	N/A	N/A	6	0	339	58
2012-03-16	$16.73	$17.50	26.4%	7.6%	23.5%	6.0%	0.0%	-6.3%	2.5%	13.3K	-197.7K	-1.1K	0.00	68.23	N/A	N/A	0	7	339	58
2012-03-19	$17.64	$17.50	31.4%	9.0%	30.2%	10.4%	0.0%	27.6%	6.9%	18.1K	-336.8K	-1.1K	0.00	153.38	N/A	N/A	6	0	339	62
2012-03-20	$17.53	$17.50	34.5%	9.9%	29.9%	13.0%	0.0%	18.4%	-8.8%	19.3K	-321.6K	-1.2K	0.00	131.88	N/A	N/A	0	0	343	62
2012-03-21	$17.93	$17.50	22.0%	6.3%	29.9%	2.2%	32.9%	2.0%	-1.6%	17.4K	-349.4K	-1.1K	0.00	131.24	N/A	N/A	17	0	343	62
2012-03-22	$17.78	$17.50	25.7%	7.4%	30.0%	5.4%	0.0%	4.4%	4.2%	17.4K	-329.7K	-1.2K	0.00	98.98	N/A	N/A	5	0	355	62
2012-03-23	$17.67	$17.50	29.7%	8.5%	30.2%	8.8%	29.7%	4.3%	-0.0%	17.5K	-323.4K	-1.2K	0.00	109.71	N/A	N/A	0	3	355	62
2012-03-26	$17.87	$20.00	28.1%	8.0%	30.3%	7.4%	0.0%	4.0%	0.5%	19.0K	-346.6K	-1.1K	0.00	107.64	N/A	N/A	0	0	355	59
2012-03-27	$17.82	$20.00	28.1%	8.0%	29.6%	7.5%	0.0%	3.4%	1.6%	18.1K	-351.3K	-1.1K	0.00	65.54	N/A	N/A	1	0	355	59
2012-03-28	$17.44	$20.00	29.3%	8.4%	30.9%	8.5%	0.0%	-4.7%	-8.6%	19.4K	-308.7K	-1.1K	0.00	114.17	N/A	N/A	0	0	355	59
2012-03-29	$17.25	$20.00	29.5%	8.5%	31.2%	8.7%	0.0%	1.9%	-1.9%	19.4K	-259.1K	-1.1K	0.00	110.44	N/A	N/A	0	0	355	59
2012-03-30	$17.20	$20.00	26.7%	7.7%	31.2%	6.3%	0.0%	2.3%	2.2%	18.6K	-251.4K	-1.1K	0.00	113.50	N/A	N/A	0	0	355	59