BOX Options History — January 2013

In January 2013, BOX traded between $19.04 and $23.14. ATM implied volatility averaged 17.4%, placing in the 5.2% IV rank vs the trailing year. The 30-day expected move averaged 5.5%. IV traded below realized volatility by 12.8% (HV 20d: 30.2%). 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 18 of 21 days. Put/call ratio averaged 4.60.

Notable Days

  • 2013-01-22: Highest Volume — 1,172 contracts
  • 2013-01-22: Largest IV drop — 84.2% change
  • 2013-01-18: Highest IV Rank — 17.1%
  • 2013-01-18: Largest Expected Move — 9.8%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$20.77$19.04$23.14$19.24$22.97
Max Pain$17.50$17.50$17.50$17.50$17.50
ATM IV17.4%4.3%34.3%26.5%5.0%
Expected Move5.5%1.2%9.8%7.6%1.4%
HV 20d30.2%17.1%49.2%20.4%47.5%
HV 60d26.9%21.9%34.4%22.5%34.1%
IV Rank5.2%0.0%17.1%9.5%0.5%
IV Percentile16.4%0.0%74.2%28.6%1.2%
Term Structure2.7%-1.6%10.0%0.8%10.0%
VWIV20.0%5.6%38.0%28.2%8.8%
Skew 25d-0.9%-10.8%8.0%-6.7%-6.0%
Skew 10d6.5%-16.2%18.3%-1.9%-10.2%
Call IV 25d20.1%5.6%37.5%27.1%13.6%
Put IV 25d19.2%5.0%32.5%20.4%7.6%
Bid-Ask Spread %16.766.3526.6725.356.35
Gamma HHI0.770.481.000.650.97
Net GEX134.8K37.4K188.2K155.5K37.4K
Net DEX-4.0M-7.2M-2.4M-2.6M-5.8M
Net VEX-4.6K-6.9K-984-6.9K-2.5K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio4.600.0032.750.000.00
Total Volume139.38101,172332
Total OI3,247.0953,0943,6363,1013,636

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2013-01-02$19.24$17.5026.5%7.6%20.4%9.5%0.0%-6.7%0.8%155.5K-2.6M-6.9K0.0025.35N/AN/A3302,739362
2013-01-03$19.12$17.5020.9%6.0%20.0%4.2%0.0%-3.5%3.3%156.4K-2.5M-6.9K0.0026.67N/AN/A0122,749362
2013-01-04$19.16$17.5021.1%7.7%18.9%4.3%0.0%3.9%1.8%158.3K-2.5M-6.6K0.0025.11N/AN/A202,749372
2013-01-07$19.04$17.5016.9%7.9%19.2%0.3%0.0%3.7%1.2%154.4K-2.4M-6.4K0.0024.45N/AN/A502,751372
2013-01-08$19.17$17.5016.9%8.2%19.2%0.3%0.0%2.0%0.3%157.7K-2.5M-6.2K0.0022.44N/AN/A002,756372
2013-01-09$19.42$17.5021.4%8.1%19.5%4.6%28.2%7.6%1.0%158.9K-2.8M-6.6K0.0324.74N/AN/A6822,756372
2013-01-10$19.48$17.5027.1%7.8%19.5%10.1%0.0%6.9%1.0%164.1K-2.8M-6.2K0.0018.72N/AN/A002,724370
2013-01-11$19.55$17.5027.3%7.8%19.4%10.3%27.3%8.0%0.8%170.1K-2.9M-6.2K0.0019.03N/AN/A802,724370
2013-01-14$19.48$17.5030.0%8.6%19.5%12.9%0.0%7.7%-1.6%160.5K-2.8M-6.1K0.0017.14N/AN/A002,725370
2013-01-15$19.54$17.5027.2%7.8%18.8%10.2%0.0%7.6%0.8%178.6K-2.8M-5.8K0.0018.34N/AN/A002,725370
2013-01-16$19.50$17.5026.1%7.5%18.8%9.2%17.8%-4.2%1.7%181.5K-2.8M-5.5K1.0015.78N/AN/A112,725370
2013-01-17$19.72$17.5028.7%8.2%17.1%11.7%28.7%-3.6%-1.4%188.2K-3.1M-5.6K0.0017.36N/AN/A3502,726370
2013-01-18$20.30$17.5034.3%9.8%19.3%17.1%38.0%-10.8%-0.9%168.2K-3.8M-5.5K0.0115.03N/AN/A84662,760370
2013-01-22$23.14$17.505.4%1.5%49.2%0.0%5.6%-0.3%9.0%126.4K-7.2M-9840.247.78N/AN/A9422303,178312
2013-01-23$22.94$17.505.1%1.5%48.2%0.0%0.0%-4.6%6.4%92.6K-6.3M-1.3K0.8710.10N/AN/A1441252,863521
2013-01-24$22.87$17.504.3%1.2%48.4%0.0%0.0%-6.7%0.6%91.3K-5.9M-2.1K3.3313.21N/AN/A6202,738645
2013-01-25$22.87$17.504.4%1.3%48.5%0.1%0.0%-7.0%5.2%81.9K-5.9M-1.9K5.0311.40N/AN/A341712,737645
2013-01-28$22.88$17.505.5%1.6%48.0%1.0%5.9%-3.9%5.9%95.7K-6.0M-2.1K32.759.33N/AN/A41312,764650
2013-01-29$22.90$17.504.6%1.3%47.6%0.2%0.0%-6.6%6.1%73.9K-5.7M-2.3K0.0010.66N/AN/A502,764781
2013-01-30$22.93$17.506.9%2.0%47.5%2.2%8.8%-2.1%5.5%78.5K-5.3M-3.6K30.3312.97N/AN/A3912,763781
2013-01-31$22.97$17.505.0%1.4%47.5%0.5%0.0%-6.0%10.0%37.4K-5.8M-2.5K0.006.35N/AN/A202,764872