BOX Options History — May 2012

In May 2012, BOX traded between $17.49 and $18.92. ATM implied volatility averaged 34.2%, placing in the 12.8% IV rank vs the trailing year. The 30-day expected move averaged 9.9%. IV traded above realized volatility by 3.1% (HV 20d: 31.1%). Max pain ranged from $17.50 to $17.50. Net GEX was positive for 22 of 22 trading days. Term structure was in contango for 7 of 22 days. Put/call ratio averaged 0.04.

Notable Days

2012-05-18: Highest Volume — 129 contracts
2012-05-09: Largest IV spike — 44.7% change
2012-05-31: Highest IV Rank — 33.9%
2012-05-31: Largest Expected Move — 16.8%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$18.27	$17.49	$18.92	$18.92	$18.22
Max Pain	$17.50	$17.50	$17.50	$17.50	$17.50
ATM IV	34.2%	22.7%	58.6%	23.9%	58.6%
Expected Move	9.9%	6.5%	16.8%	6.9%	16.8%
HV 20d	31.1%	26.9%	36.3%	30.6%	32.4%
HV 60d	30.1%	27.9%	32.2%	28.0%	31.5%
IV Rank	12.8%	2.8%	33.9%	3.9%	33.9%
IV Percentile	37.3%	2.7%	91.8%	5.2%	91.8%
Term Structure	-0.6%	-14.9%	17.9%	13.2%	-14.9%
VWIV	24.6%	21.6%	31.4%	22.6%	21.6%
Skew 25d	7.9%	-9.8%	21.3%	11.9%	-9.8%
Skew 10d	11.5%	-22.4%	32.8%	15.0%	-22.4%
Call IV 25d	28.5%	16.4%	63.0%	16.4%	63.0%
Put IV 25d	36.4%	28.3%	60.4%	28.3%	53.2%
Bid-Ask Spread %	113.44	93.27	152.25	103.26	152.25
Gamma HHI	0.76	0.47	0.96	0.85	0.48
Net GEX	20.8K	1.6K	118.1K	17.4K	7.3K
Net DEX	-360.3K	-588.5K	-71.6K	-573.8K	-168.2K
Net VEX	-749	-1.1K	-495	-495	-1.1K
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	0.04	0.00	0.34	0.00	0.00
Total Volume	26.773	0	129	26	27
Total OI	402.727	216	495	428	356

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
2012-05-01	$18.92	$17.50	23.9%	6.9%	30.6%	3.9%	22.6%	11.9%	13.2%	17.4K	-573.8K	-495	0.00	103.26	N/A	N/A	26	0	369	59
2012-05-02	$18.80	$17.50	25.6%	7.3%	28.7%	5.3%	0.0%	21.3%	17.9%	19.8K	-578.4K	-520	0.00	114.19	N/A	N/A	10	0	382	59
2012-05-03	$18.17	$17.50	31.5%	9.0%	30.7%	10.4%	22.8%	10.8%	6.7%	31.8K	-511.8K	-637	0.00	112.61	N/A	N/A	20	0	391	59
2012-05-04	$17.82	$0.00	32.2%	8.9%	31.7%	11.0%	0.0%	4.3%	-2.6%	32.4K	-406.6K	-755	0.00	125.93	N/A	N/A	0	0	411	59
2012-05-07	$17.94	$0.00	29.5%	9.1%	31.5%	8.7%	0.0%	5.6%	1.6%	35.2K	-435.4K	-724	0.18	109.48	N/A	N/A	57	10	411	59
2012-05-08	$17.96	$0.00	26.3%	8.9%	27.6%	5.9%	31.4%	3.2%	0.6%	30.6K	-383.4K	-643	0.00	114.01	N/A	N/A	18	0	361	69
2012-05-09	$18.21	$17.50	38.0%	10.3%	27.7%	16.1%	0.0%	9.2%	-4.2%	25.3K	-434.9K	-696	0.00	108.78	N/A	N/A	2	0	378	69
2012-05-10	$18.54	$17.50	44.4%	12.7%	26.9%	21.6%	0.0%	4.0%	-12.4%	19.9K	-511.1K	-581	0.00	138.60	N/A	N/A	0	0	380	69
2012-05-11	$18.40	$17.50	31.8%	9.1%	27.1%	10.7%	0.0%	8.3%	-1.8%	20.4K	-521.5K	-535	0.00	108.02	N/A	N/A	1	0	380	69
2012-05-14	$18.16	$17.50	33.1%	9.5%	27.8%	11.8%	0.0%	6.4%	-0.3%	29.4K	-484.4K	-551	0.04	101.72	N/A	N/A	24	1	380	69
2012-05-15	$18.59	$17.50	33.2%	9.5%	27.7%	11.9%	0.0%	10.3%	-0.5%	12.0K	-560.8K	-533	0.14	114.27	N/A	N/A	36	5	397	70
2012-05-16	$18.86	$17.50	22.7%	6.5%	26.9%	2.8%	0.0%	12.1%	13.6%	10.4K	-588.5K	-675	0.00	114.86	N/A	N/A	0	0	420	75
2012-05-17	$18.39	$17.50	30.9%	8.8%	28.9%	9.9%	0.0%	8.4%	0.2%	14.1K	-570.6K	-617	0.00	115.58	N/A	N/A	17	0	420	74
2012-05-18	$17.49	$17.50	36.4%	10.4%	33.8%	14.6%	0.0%	-1.1%	-2.9%	118.1K	-287.2K	-706	0.34	104.06	N/A	N/A	96	33	420	74
2012-05-21	$18.16	$17.50	38.4%	11.0%	36.2%	16.4%	21.6%	10.1%	-4.9%	1.6K	-71.6K	-710	0.00	108.24	N/A	N/A	31	0	130	86
2012-05-22	$18.35	$17.50	33.0%	9.5%	36.3%	11.7%	0.0%	8.2%	-0.7%	3.0K	-98.4K	-733	0.00	107.90	N/A	N/A	58	0	157	86
2012-05-23	$18.29	$17.50	35.9%	10.3%	36.3%	14.3%	0.0%	11.2%	-4.2%	4.5K	-123.7K	-959	0.00	93.27	N/A	N/A	0	0	205	86
2012-05-24	$18.30	$17.50	34.9%	10.0%	36.2%	13.4%	0.0%	9.2%	-1.8%	4.3K	-124.3K	-930	0.00	108.33	N/A	N/A	75	0	205	86
2012-05-25	$18.08	$17.50	36.2%	10.4%	34.3%	14.5%	0.0%	9.0%	-3.7%	5.1K	-136.3K	-1.1K	0.00	108.60	N/A	N/A	38	0	232	86
2012-05-29	$18.10	$17.50	33.9%	9.7%	33.2%	12.5%	0.0%	6.2%	-3.2%	7.0K	-181.3K	-1.1K	0.00	99.54	N/A	N/A	4	0	270	86
2012-05-30	$18.17	$17.50	42.6%	12.2%	32.4%	20.0%	0.0%	14.4%	-9.4%	7.0K	-175.4K	-1.1K	0.00	132.23	N/A	N/A	0	0	270	86
2012-05-31	$18.22	$17.50	58.6%	16.8%	32.4%	33.9%	0.0%	-9.8%	-14.9%	7.3K	-168.2K	-1.1K	0.00	152.25	N/A	N/A	27	0	270	86