BOX Options History — July 2012

In July 2012, BOX traded between $17.02 and $17.80. ATM implied volatility averaged 32.9%, placing in the 11.6% IV rank vs the trailing year. The 30-day expected move averaged 8.5%. IV traded above realized volatility by 7.2% (HV 20d: 25.7%). 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 19 of 21 days. Put/call ratio averaged 0.12.

Notable Days

  • 2012-07-03: Highest Volume — 35 contracts
  • 2012-07-09: Largest IV spike — 44.4% change
  • 2012-07-11: Highest IV Rank — 25.7%
  • 2012-07-30: Largest Expected Move — 9.7%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$17.34$17.02$17.80$17.18$17.56
Max Pain$17.50$17.50$17.50$17.50$17.50
ATM IV32.9%24.8%49.1%24.8%31.0%
Expected Move8.5%6.8%9.7%7.1%8.9%
HV 20d25.7%21.8%28.8%28.7%22.4%
HV 60d30.9%29.5%32.4%32.2%29.5%
IV Rank11.6%4.6%25.7%4.6%10.0%
IV Percentile34.1%6.7%84.9%6.7%29.0%
Term Structure2.7%-13.2%10.7%4.9%2.3%
VWIV31.7%30.9%32.8%30.9%31.3%
Skew 25d1.5%-6.9%10.3%-0.2%6.3%
Skew 10d3.7%-9.3%13.1%-0.9%10.3%
Call IV 25d30.2%24.0%42.6%28.6%28.1%
Put IV 25d31.7%26.1%39.6%28.3%34.4%
Bid-Ask Spread %105.4275.37137.27100.7398.39
Gamma HHI0.540.480.680.530.58
Net GEX9.0K5.9K13.9K7.8K8.1K
Net DEX-154.6K-209.2K-106.2K-120.2K-194.4K
Net VEX-1.2K-1.3K-1.0K-1.2K-1.2K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.120.001.250.000.00
Total Volume6.09503592
Total OI453.19436479438460

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2012-07-02$17.18$17.5024.8%7.1%28.7%4.6%0.0%-0.2%4.9%7.8K-120.2K-1.2K0.00100.73N/AN/A9035187
2012-07-03$17.52$17.5030.8%8.8%28.8%9.8%30.9%2.5%1.7%8.7K-161.4K-1.3K0.00107.33N/AN/A35035787
2012-07-05$17.39$17.5031.1%8.9%28.3%10.0%0.0%6.9%2.5%9.3K-142.2K-1.2K0.00118.67N/AN/A8035087
2012-07-06$17.16$17.5031.4%8.9%28.7%10.4%0.0%0.0%4.4%8.7K-146.2K-1.2K0.0095.19N/AN/A0035887
2012-07-09$17.07$17.5045.4%6.9%28.7%22.5%0.0%-5.8%8.8%7.7K-143.9K-1.1K0.00122.63N/AN/A0035887
2012-07-10$17.12$17.5044.8%6.9%25.9%21.9%0.0%-5.8%10.7%7.9K-134.4K-1.1K1.25120.82N/AN/A4535887
2012-07-11$17.02$17.5049.1%6.8%25.5%25.7%0.0%-5.4%10.2%7.0K-127.3K-1.1K0.00133.53N/AN/A5035892
2012-07-12$17.05$17.5032.4%9.3%25.5%11.2%0.0%-2.3%1.6%9.1K-115.2K-1.2K0.0076.36N/AN/A0036392
2012-07-13$17.66$17.5032.8%9.4%27.7%11.5%32.8%3.7%0.3%12.3K-180.0K-1.3K0.1475.64N/AN/A14236392
2012-07-16$17.65$17.5030.5%8.8%27.7%9.6%0.0%-6.9%2.7%11.7K-178.4K-1.2K0.00136.50N/AN/A0237794
2012-07-17$17.59$17.5030.0%8.6%27.6%9.1%0.0%3.0%2.3%13.9K-181.8K-1.2K0.0078.41N/AN/A0037792
2012-07-18$17.80$17.5032.5%9.3%26.9%11.3%0.0%5.3%0.9%13.8K-209.2K-1.2K0.0075.80N/AN/A10037792
2012-07-19$17.50$17.5031.0%8.9%27.2%10.0%0.0%6.2%1.3%12.4K-193.2K-1.3K0.0075.37N/AN/A0038792
2012-07-20$17.28$17.5027.6%7.9%24.3%7.0%0.0%7.1%3.7%10.4K-162.1K-1.2K0.00137.27N/AN/A5038792
2012-07-23$17.13$17.5026.1%7.5%24.5%5.7%0.0%10.3%4.1%5.9K-142.3K-1.1K0.00119.08N/AN/A2034492
2012-07-24$17.09$17.5033.0%9.5%22.0%11.7%0.0%-0.0%-13.2%6.3K-106.2K-1.0K0.00134.87N/AN/A0034692
2012-07-25$17.42$17.5032.8%9.4%21.8%11.6%0.0%4.0%2.3%6.7K-141.9K-1.1K0.00114.17N/AN/A14034692
2012-07-26$17.10$17.5028.3%8.1%22.1%7.7%0.0%-0.5%1.4%7.0K-144.5K-1.1K0.0081.77N/AN/A0036092
2012-07-27$17.44$17.5031.3%9.0%22.9%10.3%31.3%3.4%3.5%7.3K-154.4K-1.1K0.00108.59N/AN/A11036092
2012-07-30$17.40$17.5033.7%9.7%22.3%12.3%0.0%-0.2%-0.2%7.8K-166.6K-1.2K0.00102.67N/AN/A0036892
2012-07-31$17.56$17.5031.0%8.9%22.4%10.0%0.0%6.3%2.3%8.1K-194.4K-1.2K0.0098.39N/AN/A2036892