BOX Options History — March 2013

In March 2013, BOX traded between $22.92 and $22.99. ATM implied volatility averaged 13.6%, placing in the 10.0% IV rank vs the trailing year. The 30-day expected move averaged 2.8%. IV traded above realized volatility by 11.9% (HV 20d: 1.6%). Max pain ranged from $25.00 to $30.00. Net GEX was positive for 0 of 20 trading days. Term structure was in contango for 1 of 20 days. Put/call ratio averaged 210.00.

Notable Days

  • 2013-03-05: Highest Volume — 211 contracts
  • 2013-03-22: Largest IV spike — 83.9% change
  • 2013-03-28: Highest IV Rank — 16.5%
  • 2013-03-01: Largest Expected Move — 4.6%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$22.96$22.92$22.99$22.98$22.96
Max Pain$25.36$25.00$30.00$30.00$25.00
ATM IV13.6%6.1%22.9%16.1%14.2%
Expected Move2.8%1.8%4.6%4.6%4.1%
HV 20d1.6%1.4%1.8%1.8%1.4%
HV 60d29.1%28.0%30.0%30.0%28.0%
IV Rank10.0%1.5%16.5%10.1%16.5%
IV Percentile10.8%3.6%24.2%10.7%13.1%
Term Structure-3.0%-9.7%1.9%-9.6%-3.9%
VWIV26.2%19.7%32.6%19.7%32.6%
Skew 25d-1.3%-10.4%10.6%-10.4%-1.7%
Skew 10d3.4%-4.1%9.1%-4.1%7.7%
Call IV 25d12.6%6.9%24.3%24.3%14.3%
Put IV 25d11.3%6.1%17.5%13.9%12.7%
Bid-Ask Spread %71.5716.21121.1997.57120.70
Gamma HHI0.880.580.990.980.68
Net GEX-64.5K-118.7K-20.4K-34.2K-38.6K
Net DEX323.2K40.3K588.9K223.3K574.8K
Net VEX-5.0K-6.7K-3.6K-3.6K-6.6K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio210.00210.00210.00210.00210.00
Total Volume25.70211011
Total OI1,400.81,1821,5611,1841,557

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2013-03-01$22.98$30.0016.1%4.6%1.8%10.1%0.0%-10.4%-9.6%-34.2K223.3K-3.6K0.0097.57N/AN/A00304880
2013-03-04$22.96$0.0018.1%2.9%1.8%11.8%0.0%-1.7%-2.0%-37.4K318.0K-4.2K0.0087.56N/AN/A00304880
2013-03-05$22.99$0.0018.8%3.1%1.8%12.5%0.0%-5.9%-2.2%-45.3K392.0K-4.4K210.0096.59N/AN/A1210302880
2013-03-06$22.98$0.0021.4%3.4%1.8%14.7%0.0%-6.6%-1.9%-62.1K40.3K-4.0K0.0098.96N/AN/A003031,090
2013-03-07$22.99$0.0020.8%3.2%1.7%14.2%0.0%-1.7%-2.0%-43.3K567.9K-5.5K0.00113.52N/AN/A003031,090
2013-03-08$22.99$0.0022.9%2.8%1.7%16.0%0.0%-3.4%1.9%-63.7K95.2K-4.3K0.0098.96N/AN/A003031,090
2013-03-11$22.99$0.0014.8%1.9%1.5%9.1%19.7%-4.3%-1.1%-96.4K202.1K-4.5K0.0020.23N/AN/A0203031,090
2013-03-12$22.97$25.0015.1%2.1%1.5%9.3%0.0%-3.6%-2.1%-86.1K314.6K-4.6K0.0020.68N/AN/A003031,100
2013-03-13$22.98$25.0017.2%2.0%1.6%11.1%0.0%-2.5%-1.0%-89.6K215.9K-4.4K0.0040.89N/AN/A003031,100
2013-03-14$22.95$25.007.1%2.0%1.6%2.4%0.0%-1.4%-0.9%-86.9K186.5K-4.3K0.0041.78N/AN/A0103031,100
2013-03-15$22.96$25.006.2%1.8%1.5%1.6%0.0%-3.7%-0.2%-64.3K340.5K-4.6K0.0019.45N/AN/A003031,100
2013-03-18$22.92$25.006.1%1.8%1.6%1.5%0.0%6.8%-1.0%-96.2K139.0K-4.7K0.0018.74N/AN/A003021,016
2013-03-19$22.93$25.006.7%1.9%1.5%3.9%32.6%5.5%-2.0%-88.1K67.6K-4.4K0.0019.67N/AN/A0303021,016
2013-03-20$22.97$25.007.7%2.2%1.6%5.6%0.0%10.6%-4.6%-87.1K182.3K-4.5K0.0041.67N/AN/A01933021,046
2013-03-21$22.94$25.006.3%1.8%1.6%3.3%0.0%5.8%-4.8%-118.7K535.3K-6.4K0.0016.21N/AN/A003021,239
2013-03-22$22.95$25.0011.6%3.3%1.6%12.2%0.0%-2.0%-1.7%-64.3K471.4K-6.2K0.00120.41N/AN/A003021,239
2013-03-25$22.95$25.0013.4%3.8%1.6%15.1%0.0%-1.4%-3.2%-28.9K498.7K-6.4K0.00120.70N/AN/A0303021,239
2013-03-26$22.97$25.0012.5%3.6%1.5%13.6%0.0%-2.8%-7.5%-20.4K509.1K-6.3K0.00115.81N/AN/A003021,259
2013-03-27$22.95$25.0013.9%4.0%1.4%16.0%0.0%-1.6%-9.7%-37.7K588.9K-6.7K0.00121.19N/AN/A092981,259
2013-03-28$22.96$25.0014.2%4.1%1.4%16.5%0.0%-1.7%-3.9%-38.6K574.8K-6.6K0.00120.70N/AN/A0112981,259