BOX Options History — December 2012

In December 2012, BOX traded between $18.01 and $18.99. ATM implied volatility averaged 31.1%, placing in the 14.0% IV rank vs the trailing year. The 30-day expected move averaged 9.2%. IV traded above realized volatility by 12.1% (HV 20d: 19.0%). Max pain ranged from $17.50 to $17.50. Net GEX was positive for 20 of 20 trading days. Term structure was in contango for 13 of 20 days. Put/call ratio averaged 0.07.

Notable Days

  • 2012-12-13: Highest Volume — 398 contracts
  • 2012-12-13: Largest IV spike — 55.1% change
  • 2012-12-05: Highest IV Rank — 22.2%
  • 2012-12-05: Largest Expected Move — 11.4%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$18.47$18.01$18.99$18.68$18.85
Max Pain$17.50$17.50$17.50$17.50$17.50
ATM IV31.1%18.2%39.7%38.3%18.2%
Expected Move9.2%5.2%11.4%11.0%5.2%
HV 20d19.0%14.6%28.8%28.8%20.0%
HV 60d21.7%21.2%22.1%21.5%22.1%
IV Rank14.0%1.5%22.2%20.9%1.5%
IV Percentile51.0%1.6%87.3%83.3%1.6%
Term Structure0.7%-2.6%11.9%-1.0%11.9%
VWIV32.0%22.3%37.0%37.0%22.3%
Skew 25d3.1%-4.1%13.1%6.1%-0.1%
Skew 10d2.4%-9.4%14.6%4.6%0.6%
Call IV 25d28.0%18.4%34.9%32.0%18.4%
Put IV 25d31.1%18.3%38.6%38.1%18.3%
Bid-Ask Spread %31.1114.8063.3319.4144.24
Gamma HHI0.530.490.610.490.61
Net GEX137.8K125.7K155.9K129.3K139.4K
Net DEX-2.3M-2.8M-1.8M-2.5M-2.2M
Net VEX-8.4K-11.4K-6.7K-10.1K-6.8K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.070.000.890.000.00
Total Volume109.5503981995
Total OI3,309.22,9653,9173,3783,101

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2012-12-03$18.68$17.5038.3%11.0%28.8%20.9%0.0%6.1%-1.0%129.3K-2.5M-10.1K0.0019.41N/AN/A19903,243135
2012-12-04$18.46$17.5037.9%10.9%28.7%20.5%37.0%13.1%-1.2%136.1K-2.5M-10.5K0.0014.80N/AN/A29203,430135
2012-12-05$18.17$17.5039.7%11.4%28.7%22.2%0.0%13.1%-2.6%135.7K-2.4M-10.6K0.0018.32N/AN/A22403,579135
2012-12-06$18.23$17.5037.5%10.8%26.5%20.1%0.0%12.2%0.9%142.4K-2.8M-11.4K0.0020.38N/AN/A503,782135
2012-12-07$18.20$17.5036.9%9.7%16.5%19.5%31.8%-3.9%0.3%155.9K-2.5M-10.4K0.0027.36N/AN/A32803,782135
2012-12-10$18.26$17.5026.8%9.7%16.0%9.8%33.6%-3.5%0.6%147.8K-2.5M-9.8K0.0319.26N/AN/A18253,510135
2012-12-11$18.29$17.5032.5%10.2%16.0%15.3%35.3%-4.1%-1.0%143.0K-2.3M-9.0K0.0030.83N/AN/A1203,339136
2012-12-12$18.23$17.5022.0%10.0%15.9%5.2%0.0%-2.4%-0.3%143.0K-2.2M-8.8K0.0022.94N/AN/A003,329136
2012-12-13$18.20$17.5034.2%9.8%14.6%16.9%0.0%-3.1%-1.2%146.1K-2.2M-8.4K0.0018.35N/AN/A39803,329136
2012-12-14$18.01$17.5032.4%9.3%15.4%15.2%0.0%-4.0%1.4%133.0K-1.9M-7.3K0.0021.41N/AN/A20003,018136
2012-12-17$18.15$17.5032.8%9.4%15.5%15.6%32.8%8.0%0.6%125.7K-1.9M-6.9K0.0040.85N/AN/A0102,829136
2012-12-18$18.63$17.5033.7%9.7%15.5%16.4%0.0%3.7%0.5%130.8K-2.3M-7.2K0.0032.68N/AN/A6802,829146
2012-12-19$18.85$17.5028.3%8.1%15.7%11.2%0.0%3.3%2.3%135.1K-2.5M-7.5K0.8925.29N/AN/A982,831146
2012-12-20$18.99$17.5027.0%7.7%15.5%10.0%0.0%2.9%0.9%147.3K-2.6M-7.4K0.0038.45N/AN/A02002,835154
2012-12-21$18.57$17.5027.0%7.7%17.9%10.0%0.0%-0.9%1.6%132.2K-2.1M-7.4K0.0043.07N/AN/A002,835339
2012-12-24$18.74$17.5030.6%8.8%17.8%13.5%31.1%1.8%0.0%136.2K-2.1M-7.3K0.0032.71N/AN/A0152,738328
2012-12-26$18.84$17.5024.0%6.9%17.6%7.1%0.0%0.8%0.7%137.7K-2.1M-7.2K0.0039.25N/AN/A1102,738342
2012-12-27$18.62$17.5031.1%8.9%18.2%14.0%0.0%10.4%0.2%131.3K-1.9M-6.9K0.0049.35N/AN/A002,739342
2012-12-28$18.45$17.5030.9%8.9%18.5%13.8%0.0%8.4%-0.7%128.3K-1.8M-6.7K0.0063.33N/AN/A0202,739342
2012-12-31$18.85$17.5018.2%5.2%20.0%1.5%22.3%-0.1%11.9%139.4K-2.2M-6.8K0.0044.24N/AN/A502,739362