BOX Options History — October 2012

In October 2012, BOX traded between $17.95 and $18.84. ATM implied volatility averaged 29.0%, placing in the 11.7% IV rank vs the trailing year. The 30-day expected move averaged 7.7%. IV traded above realized volatility by 12.0% (HV 20d: 17.1%). 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 12 of 21 days. Put/call ratio averaged 0.08.

Notable Days

  • 2012-10-19: Highest Volume — 46 contracts
  • 2012-10-18: Largest IV spike — 111.9% change
  • 2012-10-10: Highest IV Rank — 45.6%
  • 2012-10-19: Largest Expected Move — 12.6%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$18.49$17.95$18.84$18.72$18.52
Max Pain$17.50$17.50$17.50$17.50$17.50
ATM IV29.0%16.6%64.3%26.2%18.0%
Expected Move7.7%4.8%12.6%7.5%5.2%
HV 20d17.1%15.5%18.6%17.5%16.4%
HV 60d19.4%17.3%20.6%20.6%17.3%
IV Rank11.7%0.0%45.6%8.7%1.3%
IV Percentile28.8%0.0%97.6%18.3%0.8%
Term Structure-1.1%-24.1%9.4%-1.1%9.4%
VWIV15.3%13.4%16.4%13.4%16.2%
Skew 25d5.6%-3.3%23.8%0.6%2.5%
Skew 10d10.0%-21.9%43.0%7.0%1.7%
Call IV 25d21.5%14.8%32.1%22.4%16.9%
Put IV 25d27.1%16.3%51.5%23.0%19.4%
Bid-Ask Spread %97.6937.70162.5376.7947.28
Gamma HHI0.570.470.650.650.58
Net GEX24.4K16.0K31.1K28.0K16.0K
Net DEX-311.7K-365.8K-259.9K-353.7K-330.0K
Net VEX-1.6K-1.8K-1.5K-1.8K-1.5K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.080.000.420.000.42
Total Volume10.238046100
Total OI697.857648771648760

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2012-10-01$18.72$17.5026.2%7.5%17.5%8.7%0.0%0.6%-1.1%28.0K-353.7K-1.8K0.0076.79N/AN/A01055494
2012-10-02$18.60$17.5023.4%6.7%17.5%6.0%0.0%-2.3%1.8%26.5K-313.8K-1.8K0.0074.32N/AN/A00554104
2012-10-03$18.60$17.5024.1%6.9%17.0%6.7%0.0%0.4%0.3%25.3K-302.9K-1.7K0.0074.34N/AN/A00554104
2012-10-04$18.57$17.5024.1%6.9%16.9%6.7%0.0%-2.7%1.8%26.2K-320.0K-1.7K0.0072.85N/AN/A00554104
2012-10-05$18.57$17.5039.6%10.1%16.8%21.6%0.0%-0.7%-14.4%24.8K-303.1K-1.8K0.00109.63N/AN/A50554104
2012-10-08$18.54$17.5050.3%9.0%16.6%32.0%0.0%13.4%-5.7%25.3K-299.4K-1.7K0.00119.03N/AN/A00559104
2012-10-09$18.38$17.5032.1%10.8%16.8%14.4%0.0%9.4%-15.1%23.1K-305.0K-1.7K0.00153.78N/AN/A00559104
2012-10-10$18.47$17.5064.3%11.1%16.9%45.6%0.0%10.7%-15.5%24.3K-303.1K-1.7K0.00129.37N/AN/A00559104
2012-10-11$18.54$17.5026.4%7.6%16.5%8.9%0.0%12.7%3.5%24.7K-304.0K-1.6K0.00148.71N/AN/A00559104
2012-10-12$18.43$17.5028.9%8.3%16.7%11.3%0.0%10.4%-1.2%22.5K-279.5K-1.5K0.0093.66N/AN/A03559104
2012-10-15$18.75$17.5019.8%5.7%17.6%2.5%0.0%6.2%8.3%27.0K-314.1K-1.5K0.0089.69N/AN/A150559107
2012-10-16$18.84$17.5020.7%5.9%15.5%3.4%13.4%2.8%6.9%31.1K-365.8K-1.7K0.00162.53N/AN/A220574107
2012-10-17$18.80$17.5016.6%4.8%15.5%0.0%0.0%4.3%8.4%29.4K-344.7K-1.5K0.00129.26N/AN/A00596107
2012-10-18$18.40$17.5035.2%10.1%16.3%17.9%0.0%17.3%-6.3%24.1K-287.3K-1.5K0.00143.87N/AN/A350596107
2012-10-19$17.95$17.5043.8%12.6%18.1%26.2%0.0%23.8%-24.1%25.3K-306.9K-1.6K0.31151.41N/AN/A3511631107
2012-10-22$18.14$17.5025.3%7.3%18.2%8.4%0.0%1.9%4.9%20.9K-259.9K-1.6K0.00104.44N/AN/A200633118
2012-10-23$18.36$17.5024.4%7.0%18.6%7.5%0.0%3.2%6.4%23.1K-313.9K-1.7K0.0037.70N/AN/A00653118
2012-10-24$18.47$17.5021.9%6.3%18.5%5.1%16.4%-2.4%0.9%23.6K-327.4K-1.7K0.0045.83N/AN/A320653118
2012-10-25$18.38$17.5022.7%6.5%18.6%5.9%0.0%9.2%7.0%19.7K-300.4K-1.6K0.0039.52N/AN/A100635118
2012-10-26$18.32$17.5021.9%6.3%15.9%5.1%16.2%-3.3%-0.1%20.4K-311.1K-1.6K0.4247.58N/AN/A125645118
2012-10-31$18.52$17.5018.0%5.2%16.4%1.3%0.0%2.5%9.4%16.0K-330.0K-1.5K0.0047.28N/AN/A00645115