BOX Options History — September 2012

In September 2012, BOX traded between $18.25 and $19.20. ATM implied volatility averaged 31.9%, placing in the 12.6% IV rank vs the trailing year. The 30-day expected move averaged 9.2%. IV traded above realized volatility by 14.4% (HV 20d: 17.5%). Max pain ranged from $17.50 to $20.00. Net GEX was positive for 19 of 19 trading days. Term structure was in contango for 8 of 19 days. Put/call ratio averaged 0.51.

Notable Days

2012-09-25: Highest Volume — 75 contracts
2012-09-06: Largest IV spike — 115.6% change
2012-09-04: Highest IV Rank — 39.3%
2012-09-04: Largest Expected Move — 18.2%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$18.73	$18.25	$19.20	$19.20	$18.75
Max Pain	$17.76	$17.50	$20.00	$17.50	$17.50
ATM IV	31.9%	22.8%	63.4%	63.4%	25.0%
Expected Move	9.2%	6.5%	18.2%	18.2%	7.2%
HV 20d	17.5%	15.2%	19.2%	17.5%	17.8%
HV 60d	21.9%	20.2%	24.3%	24.3%	20.8%
IV Rank	12.6%	4.7%	39.3%	39.3%	7.6%
IV Percentile	33.9%	6.0%	95.6%	95.6%	12.3%
Term Structure	-2.8%	-34.0%	7.8%	-34.0%	-2.4%
VWIV	28.5%	28.5%	28.5%	28.5%	28.5%
Skew 25d	1.4%	-12.5%	10.8%	-12.5%	6.3%
Skew 10d	8.4%	2.6%	39.5%	39.5%	9.5%
Call IV 25d	31.9%	19.8%	67.9%	67.9%	19.8%
Put IV 25d	33.3%	20.7%	55.4%	55.4%	26.1%
Bid-Ask Spread %	106.92	58.59	163.24	153.70	85.04
Gamma HHI	0.75	0.55	0.84	0.76	0.62
Net GEX	21.0K	18.8K	25.4K	19.8K	25.4K
Net DEX	-285.7K	-349.2K	-235.2K	-331.7K	-349.2K
Net VEX	-1.7K	-1.9K	-1.5K	-1.7K	-1.9K
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	0.51	0.00	3.75	0.00	0.00
Total Volume	9.789	0	75	32	12
Total OI	562.789	514	636	514	636

Daily Data (19 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
2012-09-04	$19.20	$17.50	63.4%	18.2%	17.5%	39.3%	0.0%	-12.5%	-34.0%	19.8K	-331.7K	-1.7K	0.00	153.70	N/A	N/A	32	0	425	89
2012-09-05	$18.96	$20.00	22.8%	6.5%	18.3%	4.7%	0.0%	2.5%	7.8%	18.8K	-321.6K	-1.8K	0.00	113.12	N/A	N/A	0	0	441	89
2012-09-06	$19.05	$20.00	49.1%	14.1%	17.1%	27.1%	0.0%	-11.8%	0.6%	21.9K	-311.3K	-1.8K	0.00	163.24	N/A	N/A	5	0	441	89
2012-09-07	$18.97	$17.50	23.4%	8.0%	17.2%	5.3%	28.5%	4.2%	-1.3%	19.0K	-312.4K	-1.8K	3.75	91.67	N/A	N/A	4	15	436	89
2012-09-10	$18.81	$17.50	23.6%	7.3%	17.5%	5.4%	0.0%	0.8%	-3.5%	19.1K	-293.0K	-1.8K	0.00	91.91	N/A	N/A	0	0	439	104
2012-09-11	$18.79	$17.50	24.4%	6.7%	17.5%	6.1%	0.0%	5.2%	1.5%	19.3K	-260.3K	-1.7K	0.33	91.51	N/A	N/A	15	5	439	104
2012-09-12	$18.85	$17.50	26.2%	7.2%	17.5%	7.7%	0.0%	0.6%	-3.9%	20.5K	-285.1K	-1.7K	0.00	98.22	N/A	N/A	0	0	454	104
2012-09-13	$18.64	$17.50	26.8%	7.7%	17.0%	8.2%	0.0%	1.4%	5.1%	20.0K	-251.6K	-1.7K	0.00	103.17	N/A	N/A	0	5	454	104
2012-09-14	$18.63	$17.50	26.0%	7.5%	17.0%	7.5%	0.0%	1.1%	6.6%	19.4K	-263.4K	-1.7K	0.00	100.29	N/A	N/A	0	0	454	109
2012-09-17	$18.50	$17.50	31.4%	9.0%	17.0%	12.0%	0.0%	10.8%	-1.5%	19.4K	-249.0K	-1.6K	0.00	104.31	N/A	N/A	0	0	454	109
2012-09-18	$18.94	$17.50	25.9%	7.4%	18.7%	7.4%	0.0%	0.8%	-3.1%	22.1K	-271.2K	-1.6K	0.00	106.20	N/A	N/A	0	0	454	109
2012-09-19	$18.93	$17.50	23.5%	6.7%	18.7%	5.3%	0.0%	-6.4%	-1.7%	22.4K	-303.4K	-1.7K	0.00	58.59	N/A	N/A	0	0	454	109
2012-09-20	$18.62	$17.50	28.5%	8.2%	19.2%	9.6%	0.0%	8.5%	2.2%	22.2K	-258.0K	-1.6K	0.00	108.95	N/A	N/A	10	0	454	109
2012-09-21	$18.75	$17.50	49.5%	14.2%	18.5%	27.5%	0.0%	4.0%	-16.2%	19.7K	-283.7K	-1.7K	0.00	156.76	N/A	N/A	0	0	464	106
2012-09-24	$18.50	$17.50	38.7%	11.1%	17.4%	18.3%	0.0%	-2.0%	-6.4%	22.0K	-256.2K	-1.5K	0.00	121.70	N/A	N/A	3	0	464	89
2012-09-25	$18.40	$17.50	42.0%	12.0%	16.5%	21.1%	0.0%	-1.9%	-11.9%	22.5K	-235.2K	-1.5K	0.00	138.78	N/A	N/A	75	0	467	89
2012-09-26	$18.25	$17.50	28.3%	8.1%	16.1%	9.5%	0.0%	7.6%	2.0%	23.5K	-304.7K	-1.8K	0.00	75.36	N/A	N/A	0	0	542	89
2012-09-27	$18.26	$17.50	26.8%	7.7%	15.2%	9.2%	0.0%	7.8%	6.2%	22.3K	-287.8K	-1.7K	0.00	69.05	N/A	N/A	0	5	542	89
2012-09-28	$18.75	$17.50	25.0%	7.2%	17.8%	7.6%	0.0%	6.3%	-2.4%	25.4K	-349.2K	-1.9K	0.00	85.04	N/A	N/A	12	0	542	94