BOX Options History — February 2013

In February 2013, BOX traded between $22.91 and $23.00. ATM implied volatility averaged 10.2%, placing in the 5.1% IV rank vs the trailing year. The 30-day expected move averaged 3.0%. IV traded below realized volatility by 20.4% (HV 20d: 30.6%). Max pain ranged from $30.00 to $30.00. Net GEX was positive for 13 of 19 trading days. Term structure was in contango for 0 of 19 days. Put/call ratio averaged 12.50.

Notable Days

  • 2013-02-15: Highest Volume — 1,563 contracts
  • 2013-02-25: Largest IV spike — 48.7% change
  • 2013-02-26: Highest IV Rank — 10.0%
  • 2013-02-26: Largest Expected Move — 4.6%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$22.97$22.91$23.00$23.00$22.99
Max Pain$30.00$30.00$30.00$30.00$30.00
ATM IV10.2%5.8%16.0%5.8%15.6%
Expected Move3.0%2.2%4.6%2.6%4.5%
HV 20d30.6%1.8%47.4%47.2%1.9%
HV 60d30.8%30.1%34.1%34.1%30.1%
IV Rank5.1%1.3%10.0%1.3%9.7%
IV Percentile6.3%2.8%9.9%2.8%9.9%
Term Structure-6.6%-9.9%-2.4%-5.6%-8.9%
Skew 25d-5.8%-10.0%0.5%-4.4%-10.0%
Skew 10d-0.9%-4.6%7.9%0.2%-3.9%
Call IV 25d15.8%12.0%23.4%12.4%23.4%
Put IV 25d10.1%8.1%14.4%8.1%13.4%
Bid-Ask Spread %56.4511.4798.2812.3097.57
Gamma HHI0.900.640.980.640.76
Net GEX16.9K-38.8K55.6K55.6K-29.3K
Net DEX-3.2M-5.8M388.2K-5.5M2.2K
Net VEX-2.8K-4.6K-2.2K-3.4K-3.4K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio12.500.00100.000.00100.00
Total Volume104.57901,56300
Total OI2,514.4748853,6363,6361,184

Daily Data (19 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2013-02-01$23.00$30.005.8%2.6%47.2%1.3%0.0%-4.4%-5.6%55.6K-5.5M-3.4K0.0012.30N/AN/A002,764872
2013-02-04$22.97$30.007.8%2.6%47.3%3.0%0.0%-4.6%-5.4%49.1K-5.6M-2.8K0.0011.47N/AN/A1802,764872
2013-02-05$22.97$30.006.0%2.2%47.1%1.4%0.0%-3.8%-5.9%39.7K-5.8M-2.5K0.0016.00N/AN/A0222,750872
2013-02-06$22.94$30.008.8%2.6%47.2%3.9%0.0%-4.7%-9.0%42.8K-5.7M-2.6K0.0063.45N/AN/A502,750883
2013-02-07$22.95$30.009.1%2.6%47.3%4.1%0.0%-4.7%-9.9%44.6K-5.7M-2.4K0.0012.98N/AN/A502,746883
2013-02-08$23.00$30.009.3%2.7%47.3%4.3%0.0%-4.5%-9.1%47.2K-5.6M-2.6K0.0014.28N/AN/A702,741883
2013-02-11$23.00$30.0010.2%2.9%47.4%5.0%0.0%-5.0%-8.7%39.2K-5.7M-2.4K0.0063.36N/AN/A002,734883
2013-02-12$23.00$30.009.4%2.7%47.3%4.4%0.0%-4.5%-5.0%29.4K-5.6M-2.5K0.0013.61N/AN/A012,691883
2013-02-13$23.00$30.009.6%2.7%47.3%4.5%0.0%-4.6%-2.4%15.6K-5.6M-2.5K0.0066.38N/AN/A0402,691883
2013-02-14$22.96$30.007.5%2.2%47.3%2.8%0.0%0.5%-5.1%38.0K-5.5M-2.4K0.0066.65N/AN/A002,691923
2013-02-15$22.97$30.009.6%2.8%47.4%4.6%0.0%-4.7%-4.3%29.1K-5.5M-2.5K0.0067.56N/AN/A1,56302,691923
2013-02-19$22.93$30.009.6%2.8%46.8%4.6%0.0%-7.0%-6.3%8.7K-107.7K-2.3K0.0066.51N/AN/A200329579
2013-02-20$22.91$30.0010.0%2.9%3.7%4.9%0.0%-7.4%-6.1%-15.5K-116.9K-2.3K0.0066.71N/AN/A00309579
2013-02-21$22.93$30.0010.0%2.9%2.1%4.9%0.0%-7.3%-6.1%15.1K-147.0K-2.4K0.0078.26N/AN/A30309579
2013-02-22$22.95$30.0010.1%2.9%1.8%5.0%0.0%-7.2%-5.5%-5.2K-135.5K-2.2K100.0062.62N/AN/A2200306579
2013-02-25$22.93$30.0015.0%4.3%1.8%9.2%0.0%-7.5%-6.4%-16.6K167.5K-3.8K0.0096.94N/AN/A00304779
2013-02-26$22.97$30.0016.0%4.6%1.9%10.0%0.0%-8.9%-7.2%-38.8K388.2K-4.6K0.0098.28N/AN/A00304779
2013-02-27$23.00$30.0015.1%4.3%1.9%9.3%0.0%-9.6%-8.2%-28.5K217.8K-3.7K0.0097.59N/AN/A0101304779
2013-02-28$22.99$30.0015.6%4.5%1.9%9.7%0.0%-10.0%-8.9%-29.3K2.2K-3.4K0.0097.57N/AN/A00304880