BOX Options History — April 2012 In April 2012, BOX traded between $16.34 and $18.55. ATM implied volatility averaged 30.0%, placing in the 9.1% IV rank vs the trailing year. The 30-day expected move averaged 8.4%. IV traded below realized volatility by 2.9% (HV 20d: 32.9%). Max pain ranged from $17.50 to $20.00. Net GEX was positive for 20 of 20 trading days. Term structure was in contango for 11 of 20 days. Put/call ratio averaged 0.00.
Notable Days 2012-04-25 : Highest Volume — 27 contracts2012-04-30 : Largest IV drop — 41.1% change2012-04-03 : Highest IV Rank — 15.5%2012-04-03 : Largest Expected Move — 10.7%Monthly Statistics Metric Avg Min Max Open Close Price $17.30 $16.34 $18.55 $17.91 $18.55 Max Pain $18.00 $17.50 $20.00 $20.00 $17.50 ATM IV 30.0% 21.5% 37.3% 37.0% 21.5% Expected Move 8.4% 6.0% 10.7% 10.6% 6.2% HV 20d 32.9% 30.0% 35.8% 34.0% 32.9% HV 60d 26.8% 24.8% 28.2% 24.8% 28.2% IV Rank 9.1% 1.7% 15.5% 15.2% 1.7% IV Percentile 21.6% 1.4% 45.2% 42.6% 1.4% Term Structure -0.4% -14.8% 8.4% -2.3% 2.3% VWIV 26.3% 21.4% 30.8% 29.0% 21.4% Skew 25d 5.4% -4.0% 25.8% 25.8% 4.6% Skew 10d 10.6% -1.0% 47.1% 47.1% 8.9% Call IV 25d 27.1% 18.8% 35.6% 32.4% 18.8% Put IV 25d 32.5% 23.1% 58.2% 58.2% 23.3% Bid-Ask Spread % 103.97 55.04 129.91 129.91 96.32 Gamma HHI 0.97 0.94 0.99 0.94 0.94 Net GEX 22.6K 16.9K 27.5K 19.6K 22.5K Net DEX -275.5K -536.4K -128.0K -333.6K -536.4K Net VEX -893 -1.0K -590 -1.0K -590 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 3.75 0 27 0 5 Total OI 418.85 408 431 414 428
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 2012-04-02 $17.91 $20.00 37.0% 10.6% 34.0% 15.2% 0.0% 25.8% -2.3% 19.6K -333.6K -1.0K 0.00 129.91 N/A N/A 0 0 355 59 2012-04-03 $17.43 $20.00 37.3% 10.7% 34.0% 15.5% 0.0% 12.7% -14.8% 21.8K -322.4K -1.0K 0.00 127.52 N/A N/A 0 0 355 59 2012-04-04 $17.10 $20.00 25.3% 7.2% 34.6% 5.0% 0.0% 0.8% 1.0% 19.2K -243.5K -1.0K 0.00 113.80 N/A N/A 0 0 355 59 2012-04-05 $17.12 $20.00 30.6% 8.8% 34.6% 9.7% 0.0% 2.4% -0.6% 18.8K -247.6K -1.0K 0.00 112.60 N/A N/A 5 0 355 59 2012-04-09 $16.98 $17.50 23.6% 8.2% 33.8% 3.6% 0.0% -4.0% 0.3% 20.1K -218.6K -974 0.00 102.11 N/A N/A 1 0 360 59 2012-04-10 $16.34 $17.50 31.1% 7.6% 34.7% 10.1% 0.0% 1.1% 3.7% 21.5K -206.5K -954 0.00 116.73 N/A N/A 0 0 361 59 2012-04-11 $16.45 $17.50 32.7% 6.0% 34.6% 11.5% 0.0% 20.3% 8.4% 16.9K -128.0K -835 0.00 106.66 N/A N/A 0 0 361 59 2012-04-12 $16.91 $17.50 25.4% 7.3% 35.8% 5.1% 0.0% -2.1% 1.9% 22.2K -172.5K -883 0.00 55.04 N/A N/A 0 0 361 59 2012-04-13 $16.86 $17.50 30.2% 8.6% 35.7% 9.3% 0.0% -1.0% -1.0% 19.5K -212.9K -941 0.00 108.23 N/A N/A 0 0 361 59 2012-04-16 $17.01 $17.50 26.0% 7.5% 35.2% 5.7% 0.0% 1.8% 3.5% 24.0K -206.9K -887 0.00 102.36 N/A N/A 0 0 361 59 2012-04-17 $17.43 $17.50 29.0% 8.3% 30.8% 8.3% 29.0% 2.9% 0.8% 23.8K -291.0K -932 0.00 100.27 N/A N/A 2 0 361 59 2012-04-18 $17.14 $17.50 26.9% 7.7% 31.3% 6.5% 27.2% 1.1% 2.8% 25.3K -252.1K -893 0.00 104.36 N/A N/A 1 0 361 59 2012-04-19 $17.14 $17.50 29.0% 8.3% 30.0% 8.3% 0.0% -0.2% 0.4% 23.4K -233.1K -879 0.00 100.64 N/A N/A 0 0 361 59 2012-04-20 $17.51 $17.50 29.1% 8.3% 31.0% 8.4% 0.0% 3.3% -0.3% 25.1K -309.5K -882 0.00 118.25 N/A N/A 0 0 361 59 2012-04-23 $17.40 $17.50 30.7% 8.8% 31.0% 9.7% 25.0% 2.7% -0.3% 25.1K -275.9K -845 0.00 82.43 N/A N/A 0 1 349 59 2012-04-24 $17.52 $17.50 35.0% 10.0% 30.9% 13.5% 0.0% -0.6% -6.6% 24.7K -278.4K -822 0.00 96.06 N/A N/A 24 0 349 59 2012-04-25 $17.60 $17.50 31.5% 9.0% 30.9% 10.4% 30.8% 10.5% -3.0% 27.5K -314.1K -844 0.00 99.03 N/A N/A 27 0 359 59 2012-04-26 $17.50 $17.50 31.8% 9.1% 30.0% 10.7% 0.0% 2.4% -4.4% 26.8K -303.9K -848 0.00 103.93 N/A N/A 8 0 372 59 2012-04-27 $18.14 $17.50 36.5% 10.5% 32.2% 14.7% 24.3% 24.4% 0.7% 23.4K -423.4K -772 0.00 103.14 N/A N/A 1 0 370 59 2012-04-30 $18.55 $17.50 21.5% 6.2% 32.9% 1.7% 21.4% 4.6% 2.3% 22.5K -536.4K -590 0.00 96.32 N/A N/A 5 0 369 59
« Mar 2012 | All History | May 2012 » Home BOX History April 2012