BOX Options History — June 2012

In June 2012, BOX traded between $16.31 and $17.85. ATM implied volatility averaged 33.2%, placing in the 11.9% IV rank vs the trailing year. The 30-day expected move averaged 9.0%. IV traded below realized volatility by 2.1% (HV 20d: 35.3%). Max pain ranged from $17.50 to $17.50. Net GEX was positive for 21 of 21 trading days. Term structure was in contango for 18 of 21 days. Put/call ratio averaged 2.19.

Notable Days

2012-06-08: Highest Volume — 52 contracts
2012-06-12: Largest IV spike — 89.6% change
2012-06-01: Highest IV Rank — 26.2%
2012-06-01: Largest Expected Move — 14.3%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$17.21	$16.31	$17.85	$17.12	$17.07
Max Pain	$17.50	$17.50	$17.50	$17.50	$17.50
ATM IV	33.2%	22.3%	49.8%	49.8%	34.6%
Expected Move	9.0%	6.4%	14.3%	14.3%	9.9%
HV 20d	35.3%	28.8%	38.9%	37.3%	28.8%
HV 60d	33.0%	32.0%	34.1%	34.1%	32.1%
IV Rank	11.9%	2.4%	26.2%	26.2%	13.2%
IV Percentile	33.7%	2.4%	84.1%	84.1%	42.5%
Term Structure	1.1%	-19.0%	9.4%	-19.0%	1.0%
VWIV	27.4%	21.2%	35.8%	22.4%	30.9%
Skew 25d	0.7%	-15.4%	15.7%	-15.4%	15.7%
Skew 10d	1.2%	-25.8%	19.1%	-25.8%	19.1%
Call IV 25d	29.6%	23.0%	63.0%	63.0%	30.8%
Put IV 25d	30.3%	22.3%	47.6%	47.6%	46.5%
Bid-Ask Spread %	95.85	54.86	143.98	143.98	116.80
Gamma HHI	0.49	0.46	0.69	0.46	0.56
Net GEX	8.2K	4.7K	9.9K	7.2K	6.9K
Net DEX	-137.4K	-192.5K	-45.5K	-130.9K	-125.8K
Net VEX	-1.1K	-1.3K	-892	-1.0K	-1.2K
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	2.19	0.00	23.00	1.07	0.00
Total Volume	14.095	0	52	27	12
Total OI	391.619	333	429	360	426

Daily Data (21 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
2012-06-01	$17.12	$17.50	49.8%	14.3%	37.3%	26.2%	0.0%	-15.4%	-19.0%	7.2K	-130.9K	-1.0K	0.00	143.98	N/A	N/A	0	27	274	86
2012-06-04	$17.00	$17.50	37.4%	8.1%	36.8%	15.5%	0.0%	-4.9%	1.6%	6.6K	-87.9K	-892	1.07	106.53	N/A	N/A	14	15	274	59
2012-06-05	$17.32	$17.50	39.5%	9.6%	37.4%	17.3%	0.0%	-10.7%	-0.3%	7.6K	-146.0K	-1.0K	0.00	124.50	N/A	N/A	2	0	286	59
2012-06-06	$17.61	$17.50	34.2%	9.4%	38.0%	12.8%	0.0%	1.7%	1.1%	8.0K	-170.2K	-1.1K	0.00	72.31	N/A	N/A	0	0	288	59
2012-06-07	$17.63	$17.50	34.8%	9.1%	37.6%	13.3%	0.0%	3.1%	1.1%	8.4K	-170.0K	-1.1K	0.00	103.84	N/A	N/A	0	0	288	59
2012-06-08	$17.61	$17.50	33.4%	9.4%	36.9%	12.0%	22.4%	2.9%	0.9%	8.1K	-167.1K	-1.1K	0.04	99.25	N/A	N/A	50	2	288	59
2012-06-11	$17.01	$17.50	25.0%	8.2%	38.6%	4.8%	0.0%	1.4%	2.6%	9.8K	-144.8K	-1.1K	0.00	103.59	N/A	N/A	0	0	333	61
2012-06-12	$17.23	$17.50	47.4%	8.1%	38.9%	24.2%	0.0%	4.0%	5.3%	9.8K	-134.4K	-1.1K	0.00	121.55	N/A	N/A	0	0	333	61
2012-06-13	$17.27	$17.50	32.9%	8.7%	37.7%	11.7%	0.0%	1.9%	2.3%	9.4K	-155.2K	-1.2K	0.00	100.07	N/A	N/A	0	0	333	61
2012-06-14	$17.61	$17.50	35.8%	10.3%	38.1%	14.1%	35.8%	4.2%	-1.1%	9.2K	-186.0K	-1.2K	23.00	98.51	N/A	N/A	1	23	333	61
2012-06-15	$17.63	$17.50	30.0%	8.6%	37.2%	9.1%	0.0%	1.5%	3.3%	9.9K	-185.4K	-1.3K	0.00	68.40	N/A	N/A	0	0	334	84
2012-06-18	$17.49	$17.50	31.3%	9.0%	32.7%	10.3%	0.0%	5.3%	1.1%	9.3K	-172.9K	-1.2K	0.00	54.86	N/A	N/A	0	0	320	84
2012-06-19	$17.85	$17.50	32.2%	9.2%	30.6%	11.1%	26.7%	5.7%	1.4%	9.7K	-192.5K	-1.2K	0.00	76.82	N/A	N/A	38	0	320	84
2012-06-20	$17.63	$17.50	30.3%	8.7%	30.6%	9.4%	0.0%	6.0%	1.4%	9.7K	-178.8K	-1.2K	0.00	91.13	N/A	N/A	10	0	326	84
2012-06-21	$17.01	$17.50	29.8%	8.6%	32.8%	9.0%	0.0%	0.8%	1.5%	9.2K	-135.7K	-1.2K	0.00	96.39	N/A	N/A	0	3	336	84
2012-06-22	$17.07	$17.50	32.4%	9.3%	32.9%	11.2%	0.0%	2.0%	0.9%	8.7K	-128.7K	-1.2K	0.00	89.01	N/A	N/A	1	0	336	87
2012-06-25	$16.58	$17.50	27.4%	7.9%	34.0%	6.9%	0.0%	-1.4%	2.7%	7.9K	-89.8K	-1.0K	0.00	93.59	N/A	N/A	5	0	337	87
2012-06-26	$16.31	$17.50	22.3%	6.4%	34.2%	2.4%	21.2%	-1.4%	9.4%	6.3K	-45.5K	-907	0.00	79.18	N/A	N/A	49	0	342	87
2012-06-27	$16.65	$17.50	29.1%	8.3%	35.3%	8.3%	0.0%	-2.5%	2.2%	4.7K	-51.6K	-922	0.00	105.90	N/A	N/A	44	0	298	87
2012-06-28	$16.79	$17.50	27.3%	7.8%	35.5%	6.8%	0.0%	-4.5%	3.4%	6.2K	-86.2K	-1.1K	0.00	66.69	N/A	N/A	0	0	339	87
2012-06-29	$17.07	$17.50	34.6%	9.9%	28.8%	13.2%	30.9%	15.7%	1.0%	6.9K	-125.8K	-1.2K	0.00	116.80	N/A	N/A	12	0	339	87