BOX Options History — November 2012

In November 2012, BOX traded between $17.05 and $18.94. ATM implied volatility averaged 30.6%, placing in the 13.4% IV rank vs the trailing year. The 30-day expected move averaged 9.2%. IV traded above realized volatility by 3.8% (HV 20d: 26.8%). 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 4 of 21 days. Put/call ratio averaged 0.02.

Notable Days

  • 2012-11-08: Highest Volume — 601 contracts
  • 2012-11-15: Largest IV spike — 43.3% change
  • 2012-11-27: Highest IV Rank — 20.1%
  • 2012-11-27: Largest Expected Move — 10.7%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$17.90$17.05$18.94$18.85$18.37
Max Pain$17.50$17.50$17.50$17.50$17.50
ATM IV30.6%17.7%37.5%17.7%35.9%
Expected Move9.2%5.1%10.7%5.1%10.3%
HV 20d26.8%17.5%30.3%17.5%28.2%
HV 60d20.8%17.2%22.4%17.5%21.4%
IV Rank13.4%1.1%20.1%1.1%18.6%
IV Percentile47.9%0.8%79.0%0.8%74.2%
Term Structure-0.7%-3.7%6.2%6.2%0.1%
VWIV33.2%28.8%35.4%28.8%35.2%
Skew 25d2.5%-7.8%9.6%1.5%8.9%
Skew 10d5.3%-0.3%10.6%2.6%9.1%
Call IV 25d25.0%17.4%29.9%18.0%25.0%
Put IV 25d27.5%19.3%36.6%19.5%33.9%
Bid-Ask Spread %28.8013.3947.4013.3916.85
Gamma HHI0.490.350.660.500.47
Net GEX51.5K15.7K118.1K25.7K118.1K
Net DEX-877.0K-2.1M-215.8K-390.3K-2.1M
Net VEX-4.6K-9.4K-1.5K-1.6K-9.4K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.020.000.140.000.00
Total Volume182.61906010164
Total OI1,710.6677603,2257603,225

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2012-11-01$18.85$17.5017.7%5.1%17.5%1.1%0.0%1.5%6.2%25.7K-390.3K-1.6K0.0013.39N/AN/A00645115
2012-11-02$18.70$17.5022.3%6.4%17.7%5.5%0.0%-1.1%4.4%20.7K-375.9K-1.5K0.0017.56N/AN/A00645115
2012-11-05$18.94$0.0027.7%6.8%18.3%10.7%0.0%3.7%-0.7%35.2K-425.9K-1.6K0.0039.85N/AN/A120645115
2012-11-06$18.66$0.0019.9%8.0%19.1%3.2%0.0%9.6%-3.1%15.7K-354.6K-1.5K0.0047.40N/AN/A750655115
2012-11-07$18.08$0.0023.7%8.3%22.2%6.8%28.8%4.5%-2.9%17.1K-313.8K-1.7K0.0115.07N/AN/A2013710115
2012-11-08$17.11$17.5029.1%9.0%29.3%12.0%31.5%-5.3%-3.7%18.6K-241.9K-2.0K0.0045.70N/AN/A5992860118
2012-11-09$17.35$17.5029.8%8.8%29.8%12.7%30.7%0.3%0.1%17.0K-215.8K-2.1K0.0147.30N/AN/A1191946120
2012-11-12$17.40$17.5030.2%9.5%29.8%13.1%0.0%-2.3%-3.0%21.0K-266.3K-2.4K0.0045.39N/AN/A45911,044121
2012-11-13$17.31$17.5025.7%9.7%29.8%8.8%33.7%-4.5%-2.6%38.4K-572.6K-3.8K0.0043.10N/AN/A2801,463121
2012-11-14$17.05$17.5023.7%9.7%29.0%6.9%34.0%-7.8%-0.9%33.8K-517.3K-3.7K0.1142.71N/AN/A160181,463121
2012-11-15$17.08$17.5034.0%9.7%28.9%16.7%34.0%7.5%-0.5%40.5K-534.8K-3.9K0.0024.94N/AN/A1601,618139
2012-11-16$17.15$17.5035.0%10.0%29.1%17.8%35.0%5.9%-0.8%41.1K-573.1K-3.9K0.0033.90N/AN/A15201,618139
2012-11-19$17.60$17.5035.4%10.2%30.3%18.1%35.4%-2.5%-1.1%48.5K-857.4K-4.7K0.0016.96N/AN/A39601,44894
2012-11-20$17.57$17.5034.8%10.0%29.1%17.5%0.0%0.3%-0.8%59.7K-1.1M-5.7K0.1442.23N/AN/A280401,78394
2012-11-21$17.77$17.5034.7%10.0%29.1%17.4%0.0%1.5%-0.1%69.6K-1.2M-6.4K0.0021.47N/AN/A29202,063134
2012-11-23$17.87$17.5035.2%10.1%28.8%17.9%35.2%0.1%-0.6%79.9K-1.4M-7.4K0.0119.24N/AN/A13012,331134
2012-11-26$18.07$17.5035.7%10.2%29.0%18.4%0.0%4.8%-0.7%87.4K-1.6M-7.8K0.0016.91N/AN/A3202,446135
2012-11-27$18.26$17.5037.5%10.7%29.3%20.1%0.0%9.4%-1.6%89.7K-1.7M-7.9K0.0018.50N/AN/A7002,478135
2012-11-28$18.30$17.5037.2%10.7%29.3%19.8%0.0%8.3%-0.8%94.6K-1.8M-8.0K0.0019.08N/AN/A34002,542135
2012-11-29$18.33$17.5036.6%10.5%29.0%19.3%0.0%9.4%-1.4%109.6K-1.9M-8.7K0.0017.20N/AN/A24402,846135
2012-11-30$18.37$17.5035.9%10.3%28.2%18.6%0.0%8.9%0.1%118.1K-2.1M-9.4K0.0016.85N/AN/A16403,090135