BOX Options History — February 2015

In February 2015, BOX traded between $16.69 and $20.87. ATM implied volatility averaged 66.1%, placing in the 97.2% IV rank vs the trailing year. The 30-day expected move averaged 19.2%. IV traded below realized volatility by 36.3% (HV 20d: 102.4%). Max pain ranged from $17.50 to $19.00. Net GEX was positive for 16 of 19 trading days. Term structure was in contango for 5 of 19 days. Put/call ratio averaged 0.84.

Notable Days

  • 2015-02-18: Highest Volume — 4,117 contracts
  • 2015-02-10: Largest IV spike — 7.4% change
  • 2015-02-02: Highest IV Rank — 100.0%
  • 2015-02-25: Largest Expected Move — 20.1%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$18.85$16.69$20.87$18.02$18.65
Max Pain$18.08$17.50$19.00$17.50$19.00
ATM IV66.1%60.4%70.2%64.7%64.1%
Expected Move19.2%18.1%20.1%18.6%18.4%
HV 20d102.4%86.7%110.4%86.7%110.3%
HV 60d58.7%50.0%63.1%50.0%63.1%
IV Rank97.2%89.8%100.0%100.0%90.8%
IV Percentile98.7%94.0%100.0%100.0%94.0%
Term Structure-2.4%-8.4%8.7%8.7%-1.7%
VWIV65.9%61.5%69.7%62.9%61.5%
Skew 25d4.1%-3.3%10.7%-3.3%3.0%
Skew 10d7.7%-5.2%29.3%-5.2%4.4%
Call IV 25d64.0%57.3%69.0%60.1%64.5%
Put IV 25d68.1%56.9%72.8%56.9%67.6%
Bid-Ask Spread %50.3025.3880.4080.4051.50
Gamma HHI0.230.120.540.540.13
Net GEX30.4K-11.5K120.3K046.1K
Net DEX-968.6K-3.2M520.0K0-919.3K
Net VEX-20.9K-35.3K00-35.3K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.840.222.060.740.82
Total Volume2,083.3169154,1171,3752,168
Total OI7,342.684012,186011,992

Daily Data (19 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2015-02-02$18.02$0.0064.7%18.6%86.7%100.0%62.9%-3.3%8.7%0000.7480.40N/AN/A79058500
2015-02-03$18.22$17.5064.3%18.4%86.9%99.3%64.0%10.7%0.1%4.0K48.3K-4.1K1.4573.85N/AN/A373542581437
2015-02-04$17.10$17.5065.5%18.8%88.7%100.0%65.6%7.1%5.5%7.4K63.2K-4.7K2.0673.23N/AN/A5801,195863566
2015-02-05$16.69$17.5066.7%18.6%88.6%100.0%65.2%-0.7%-0.9%-11.5K520.0K-6.7K1.2753.27N/AN/A7129021,1601,355
2015-02-06$18.40$17.5062.5%20.0%97.3%93.1%68.9%4.9%-1.9%15.1K-637.6K-8.8K0.5229.79N/AN/A2,1081,1051,7261,513
2015-02-09$19.39$17.5060.4%19.6%99.8%89.8%66.6%6.1%-3.7%31.8K-1.6M-13.1K0.5243.27N/AN/A2,1301,1052,4762,254
2015-02-10$20.87$17.5064.8%19.1%104.0%97.0%66.9%9.7%-1.8%41.1K-2.9M-18.4K0.4447.77N/AN/A1,2075373,3563,147
2015-02-11$20.86$17.5063.0%18.1%104.0%94.0%64.9%4.0%0.3%46.4K-3.2M-18.4K0.7452.52N/AN/A5874333,5333,363
2015-02-12$20.22$17.5063.5%18.2%104.4%94.8%64.2%6.0%-2.8%41.8K-2.6M-21.2K0.7757.06N/AN/A1,1799103,8623,480
2015-02-13$20.15$17.5067.1%19.2%104.3%100.0%61.7%8.4%-4.9%45.7K-2.6M-23.7K0.9346.32N/AN/A7296754,3273,902
2015-02-17$19.09$17.5068.3%19.6%105.6%100.0%65.4%2.1%0.7%53.8K-1.5M-22.9K1.1652.36N/AN/A9581,1084,6083,938
2015-02-18$18.06$19.0069.1%19.8%106.8%100.0%66.1%4.7%-5.6%-3.0K514.2K-22.8K0.9433.64N/AN/A2,1261,9914,9164,601
2015-02-19$18.96$17.5069.6%19.9%108.9%100.0%68.0%5.8%-5.9%120.3K-508.9K-30.4K0.2252.30N/AN/A1,5093385,8385,549
2015-02-20$18.85$19.0068.0%19.5%108.9%97.5%67.1%0.3%-8.4%20.8K-440.0K-32.4K0.4264.75N/AN/A6542776,4795,707
2015-02-23$18.23$19.0068.2%19.6%109.1%97.9%68.4%1.7%-4.4%15.9K-162.2K-32.2K0.9039.97N/AN/A1,3861,2445,1904,947
2015-02-24$18.87$19.0070.0%20.1%110.3%100.0%68.4%3.0%-7.5%19.5K-547.4K-32.8K0.5425.38N/AN/A1,8179785,4265,265
2015-02-25$18.71$19.0070.2%20.1%110.2%100.0%69.7%2.6%-7.8%33.5K-860.4K-34.4K0.7939.39N/AN/A1,3291,0475,9955,374
2015-02-26$18.90$19.0065.2%18.7%110.4%92.4%66.3%2.1%-3.1%47.9K-1.1M-35.1K0.8138.90N/AN/A1,2521,0176,2625,523
2015-02-27$18.65$19.0064.1%18.4%110.3%90.8%61.5%3.0%-1.7%46.1K-919.3K-35.3K0.8251.50N/AN/A1,1919776,3955,597