BOX Options History — August 2012

In August 2012, BOX traded between $17.16 and $19.25. ATM implied volatility averaged 26.7%, placing in the 7.7% IV rank vs the trailing year. The 30-day expected move averaged 7.8%. IV traded above realized volatility by 3.7% (HV 20d: 23.0%). Max pain ranged from $17.50 to $17.50. Net GEX was positive for 23 of 23 trading days. Term structure was in contango for 17 of 23 days. Put/call ratio averaged 1.26.

Notable Days

  • 2012-08-20: Highest Volume — 49 contracts
  • 2012-08-08: Largest IV spike — 52.8% change
  • 2012-08-15: Highest IV Rank — 29.7%
  • 2012-08-06: Largest Expected Move — 10.7%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$18.57$17.16$19.25$17.19$19.10
Max Pain$17.50$17.50$17.50$17.50$17.50
ATM IV26.7%17.2%52.2%27.5%21.4%
Expected Move7.8%5.8%10.7%7.9%6.1%
HV 20d23.0%17.8%26.5%22.6%17.8%
HV 60d27.7%24.3%30.7%29.8%24.3%
IV Rank7.7%0.0%29.7%6.9%3.5%
IV Percentile15.8%0.0%90.9%13.1%2.0%
Term Structure3.6%-2.3%10.9%3.1%10.9%
VWIV29.8%28.5%31.1%29.5%28.5%
Skew 25d5.0%-7.6%26.5%1.9%-0.9%
Skew 10d9.8%1.6%53.6%4.5%5.0%
Call IV 25d25.0%18.1%38.0%30.4%21.6%
Put IV 25d30.0%18.3%57.2%32.3%20.7%
Bid-Ask Spread %86.1944.03136.86113.6371.98
Gamma HHI0.680.550.800.580.78
Net GEX13.6K7.3K18.7K7.5K18.2K
Net DEX-281.8K-358.6K-136.4K-162.9K-286.6K
Net VEX-1.5K-1.8K-1.1K-1.2K-1.7K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.260.006.000.000.00
Total Volume11.78304902
Total OI499.174429567462512

Daily Data (23 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2012-08-01$17.19$17.5027.5%7.9%22.6%6.9%0.0%1.9%3.1%7.5K-162.9K-1.2K0.00113.63N/AN/A0037092
2012-08-02$17.16$17.5031.3%9.0%22.5%10.2%0.0%-2.8%-1.0%7.3K-136.4K-1.1K0.0044.37N/AN/A2037092
2012-08-03$17.83$17.5032.1%9.2%25.8%10.9%0.0%26.5%0.2%8.7K-212.6K-1.2K0.00102.89N/AN/A3037292
2012-08-06$18.04$17.5030.5%10.7%25.9%9.6%0.0%11.1%6.3%9.2K-221.3K-1.1K0.15136.86N/AN/A20337592
2012-08-07$18.02$17.5017.2%10.0%25.9%0.0%0.0%4.2%-2.3%8.8K-273.2K-1.3K5.00102.55N/AN/A21039595
2012-08-08$18.40$17.5026.3%9.1%26.5%7.7%0.0%6.5%2.4%10.7K-277.8K-1.2K4.60108.13N/AN/A52339599
2012-08-09$18.45$17.5025.6%9.4%26.5%7.1%0.0%9.4%-0.7%11.0K-294.9K-1.4K0.00100.87N/AN/A50400107
2012-08-10$18.40$17.5025.1%8.4%23.9%6.7%29.5%7.6%4.5%10.9K-284.6K-1.3K0.7898.78N/AN/A1814400107
2012-08-13$18.47$17.5028.3%9.5%23.9%9.4%0.0%9.3%-1.5%11.0K-297.8K-1.3K0.00100.55N/AN/A20409121
2012-08-14$18.50$17.5035.0%8.9%23.8%15.1%0.0%9.8%1.7%10.9K-308.7K-1.4K0.0095.02N/AN/A00409121
2012-08-15$18.80$17.5052.2%7.5%24.0%29.7%30.8%9.7%8.7%12.5K-337.0K-1.4K4.0075.82N/AN/A312409121
2012-08-16$18.80$17.5025.1%7.2%22.9%6.7%0.0%0.2%0.0%12.3K-342.0K-1.4K0.0077.75N/AN/A270412133
2012-08-17$18.90$17.5023.4%6.7%22.1%5.3%29.2%12.1%9.7%13.7K-358.6K-1.5K0.6078.97N/AN/A53434133
2012-08-20$19.11$17.5024.3%7.0%21.6%6.0%31.1%3.4%-0.4%14.7K-263.2K-1.5K0.0277.51N/AN/A48135673
2012-08-21$19.09$17.5028.8%8.3%21.6%9.8%0.0%3.1%-1.1%17.6K-307.6K-1.6K0.0044.03N/AN/A25040473
2012-08-22$18.89$17.5020.2%5.8%21.7%2.6%0.0%9.8%7.4%17.9K-309.1K-1.8K0.0058.53N/AN/A0042973
2012-08-23$18.59$17.5028.2%8.1%21.3%9.3%0.0%10.2%5.9%17.4K-266.2K-1.7K0.0077.61N/AN/A0042973
2012-08-24$18.99$17.5021.0%6.0%21.5%3.2%28.5%4.5%3.5%18.1K-310.4K-1.7K0.21120.63N/AN/A14342973
2012-08-27$19.25$17.5025.3%7.2%21.6%6.8%0.0%-7.6%2.7%18.7K-334.6K-1.7K0.0070.97N/AN/A4041973
2012-08-28$18.98$17.5021.5%6.2%22.6%3.6%0.0%-6.0%5.4%18.4K-304.6K-1.7K6.0075.71N/AN/A1642373
2012-08-29$19.22$17.5021.8%6.2%20.7%3.9%0.0%-1.4%10.4%18.7K-317.4K-1.7K0.0076.37N/AN/A01042379
2012-08-30$18.96$17.5021.5%6.2%21.6%3.7%0.0%-5.0%6.9%17.8K-274.7K-1.7K0.0072.96N/AN/A0042389
2012-08-31$19.10$17.5021.4%6.1%17.8%3.5%0.0%-0.9%10.9%18.2K-286.6K-1.7K0.0071.98N/AN/A2042389