BOX Options History — April 2013

In April 2013, BOX traded between $22.95 and $23.00. ATM implied volatility averaged 13.6%, placing in the 15.5% IV rank vs the trailing year. The 30-day expected move averaged 3.2%. IV traded above realized volatility by 12.3% (HV 20d: 1.3%). Max pain ranged from $20.00 to $25.00. Net GEX was positive for 0 of 18 trading days. Term structure was in contango for 13 of 18 days. Put/call ratio averaged 0.00.

Notable Days

  • 2013-04-03: Highest Volume — 32 contracts
  • 2013-04-16: Largest IV spike — 76.0% change
  • 2013-04-09: Highest IV Rank — 28.4%
  • 2013-04-03: Largest Expected Move — 4.9%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$22.98$22.95$23.00$22.96$23.00
Max Pain$21.11$20.00$25.00$25.00$20.00
ATM IV13.6%5.9%21.3%14.3%10.2%
Expected Move3.2%1.7%4.9%4.1%2.9%
HV 20d1.3%1.0%1.4%1.4%1.0%
HV 60d20.4%1.5%27.8%27.8%1.5%
IV Rank15.5%2.6%28.4%16.7%9.9%
IV Percentile14.8%3.2%25.8%13.5%13.1%
Term Structure16.1%-15.0%39.4%-11.0%2.6%
VWIV32.8%31.2%34.0%31.2%34.0%
Skew 25d-3.4%-9.5%11.8%11.8%-9.3%
Skew 10d3.3%-3.6%14.9%14.9%-3.6%
Call IV 25d15.1%12.6%18.5%14.8%16.3%
Put IV 25d11.7%5.9%26.6%26.6%7.0%
Bid-Ask Spread %116.9666.27131.64114.1669.15
Gamma HHI0.660.400.850.770.62
Net GEX-37.2K-86.3K-11.4K-63.5K-26.9K
Net DEX562.5K509.8K691.6K588.2K542.4K
Net VEX-6.2K-6.7K-5.9K-6.7K-5.9K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.000.000.000.000.00
Total Volume303200
Total OI1,589.8331,5681,6021,5681,579

Daily Data (18 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2013-04-01$22.96$25.0014.3%4.1%1.4%16.7%0.0%11.8%-11.0%-63.5K588.2K-6.7K0.00114.16N/AN/A002981,270
2013-04-02$22.95$25.0014.8%4.2%1.4%17.4%31.2%10.4%-13.2%-67.4K549.9K-6.6K0.00113.89N/AN/A202981,270
2013-04-03$22.97$25.0017.1%4.9%1.4%21.4%0.0%-2.3%-13.7%-11.4K509.8K-6.4K0.00122.13N/AN/A0323001,270
2013-04-04$22.98$25.0015.5%4.5%1.4%18.7%0.0%-4.3%-15.0%-86.3K691.6K-6.7K0.00119.47N/AN/A003001,302
2013-04-05$22.97$20.0018.2%2.5%1.4%23.2%0.0%-2.5%4.3%-59.7K515.8K-6.2K0.00125.97N/AN/A003001,302
2013-04-08$22.96$20.0020.4%2.3%1.4%26.9%0.0%-2.3%38.7%-29.0K549.5K-6.3K0.00125.39N/AN/A003001,302
2013-04-09$22.96$20.0021.3%3.0%1.4%28.4%0.0%-7.5%30.8%-21.6K562.2K-6.4K0.00120.05N/AN/A003001,302
2013-04-10$22.99$20.0020.5%2.9%1.4%26.9%33.1%-5.4%30.9%-39.1K556.0K-6.2K0.00125.73N/AN/A1003001,302
2013-04-11$23.00$20.009.2%2.6%1.4%8.2%0.0%-5.6%33.7%-35.6K548.8K-6.2K0.00126.71N/AN/A003001,302
2013-04-12$22.99$20.006.6%1.9%1.3%3.7%34.0%-5.1%38.3%-34.6K540.2K-6.2K0.00125.06N/AN/A1003001,302
2013-04-15$22.97$20.005.9%1.7%1.4%2.6%0.0%-7.1%39.4%-23.1K564.3K-6.1K0.00125.43N/AN/A002901,302
2013-04-16$22.99$20.0010.3%3.0%1.2%10.0%0.0%-7.6%31.7%-28.3K578.1K-6.1K0.00127.02N/AN/A002901,302
2013-04-17$22.98$20.0010.7%3.1%1.2%10.6%0.0%-6.2%32.5%-28.5K580.0K-6.1K0.00126.03N/AN/A002901,302
2013-04-18$22.98$20.0013.9%4.0%1.1%15.9%0.0%-4.4%27.6%-29.5K579.2K-6.2K0.00131.64N/AN/A002901,302
2013-04-19$23.00$20.009.5%2.7%1.0%8.6%0.0%-1.7%38.8%-25.0K554.1K-6.1K0.00124.64N/AN/A002901,302
2013-04-22$22.99$20.0014.4%4.1%1.0%16.8%0.0%-9.5%-8.9%-34.8K576.2K-6.0K0.0066.27N/AN/A002881,291
2013-04-23$22.99$20.0011.9%3.4%1.0%12.6%0.0%-3.1%2.0%-25.3K538.4K-6.0K0.00116.56N/AN/A002881,291
2013-04-24$23.00$20.0010.2%2.9%1.0%9.9%0.0%-9.3%2.6%-26.9K542.4K-5.9K0.0069.15N/AN/A002881,291