BOX Options History — March 2015

In March 2015, BOX traded between $16.97 and $20.53. ATM implied volatility averaged 60.4%, placing in the 67.9% IV rank vs the trailing year. The 30-day expected move averaged 16.4%. IV traded below realized volatility by 0.0% (HV 20d: 60.4%). Max pain ranged from $17.00 to $19.00. Net GEX was positive for 10 of 22 trading days. Term structure was in contango for 14 of 22 days. Put/call ratio averaged 1.08.

Notable Days

  • 2015-03-12: Highest Volume — 11,651 contracts
  • 2015-03-11: Largest IV drop — 27.8% change
  • 2015-03-04: Highest IV Rank — 100.0%
  • 2015-03-04: Largest Expected Move — 20.5%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$18.24$16.97$20.53$18.90$19.86
Max Pain$18.23$17.00$19.00$19.00$18.00
ATM IV60.4%43.2%94.8%68.9%46.1%
Expected Move16.4%12.4%20.5%19.7%13.2%
HV 20d60.4%46.1%110.6%110.6%59.4%
HV 60d67.6%63.2%71.9%63.2%71.9%
IV Rank67.9%43.0%100.0%97.9%46.2%
IV Percentile90.4%80.6%100.0%98.4%81.7%
Term Structure2.7%-10.0%10.6%-3.3%4.8%
VWIV57.1%43.0%80.4%66.8%46.9%
Skew 25d3.3%-1.9%8.5%2.3%6.1%
Skew 10d6.6%-5.0%22.0%4.1%3.2%
Call IV 25d56.6%44.5%73.6%66.7%44.5%
Put IV 25d59.9%49.1%75.9%68.9%50.6%
Bid-Ask Spread %32.3823.5748.1441.2241.58
Gamma HHI0.160.120.330.130.18
Net GEX-6.1K-273.4K213.5K45.1K213.5K
Net DEX2.1M-5.8M8.6M-1.0M-2.4M
Net VEX-48.8K-67.4K-33.7K-33.9K-66.6K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.080.412.630.732.63
Total Volume3,396.63678811,6511,4945,496
Total OI21,780.77312,00231,11312,00227,258

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2015-03-02$18.90$19.0068.9%19.7%110.6%97.9%66.8%2.3%-3.3%45.1K-1.0M-33.9K0.7341.22N/AN/A8666286,3685,634
2015-03-03$18.55$19.0068.9%19.8%68.1%98.0%67.0%-1.9%-5.7%47.8K-822.6K-33.7K1.0233.80N/AN/A2,0602,0976,4695,626
2015-03-04$18.93$19.0071.5%20.5%68.3%100.0%80.4%7.6%-10.0%39.7K218.0K-36.6K2.1426.88N/AN/A1,0132,1647,7817,113
2015-03-05$19.12$19.0075.3%18.2%63.8%100.0%64.2%5.1%-3.8%57.3K-569.3K-37.9K1.0135.94N/AN/A1,4311,4447,9237,234
2015-03-06$18.89$19.0071.6%18.1%63.2%94.9%62.4%3.1%-2.0%56.0K-291.1K-38.2K0.7433.14N/AN/A1,5771,1608,3147,329
2015-03-09$19.40$19.0086.6%19.0%54.0%100.0%66.7%4.7%-3.1%112.1K-2.2M-39.3K0.4540.21N/AN/A1,7597998,9697,361
2015-03-10$19.64$18.0094.8%19.6%50.8%100.0%69.1%8.5%-6.8%128.6K-3.0M-40.6K0.4141.05N/AN/A6442639,6177,569
2015-03-11$20.53$18.0068.5%19.6%46.1%70.9%68.7%3.2%-5.4%156.4K-5.8M-42.0K0.7029.97N/AN/A4,7543,3509,9387,711
2015-03-12$18.20$18.0055.9%16.0%62.7%57.0%55.7%4.4%8.2%-9.9K2.2M-35.9K0.8448.14N/AN/A6,3215,33011,7108,962
2015-03-13$17.88$17.0056.1%16.1%62.2%57.2%54.6%-0.3%8.1%-71.2K2.5M-47.3K0.6731.20N/AN/A1,8541,24414,41011,260
2015-03-16$17.13$17.0056.3%16.1%63.5%57.4%58.3%2.8%8.1%-163.9K4.9M-47.3K1.0629.74N/AN/A80985715,25011,520
2015-03-17$17.12$18.0055.1%15.8%61.2%56.2%53.2%1.7%7.6%-186.2K5.6M-46.6K0.7730.14N/AN/A2,1271,63115,50911,901
2015-03-18$17.01$18.0054.4%15.6%58.3%55.3%53.2%1.2%9.7%-223.1K6.7M-50.6K1.0931.90N/AN/A81288516,37812,670
2015-03-19$17.06$19.0052.7%15.1%55.1%53.4%52.4%0.9%10.6%-273.4K7.2M-53.2K1.2927.09N/AN/A1,0591,36516,74813,112
2015-03-20$17.21$18.0051.8%14.8%55.3%52.5%50.3%2.5%8.0%-32.8K8.6M-56.3K0.8724.01N/AN/A1,8271,59117,46213,651
2015-03-23$17.11$18.0050.2%14.4%54.2%50.7%49.2%3.0%10.1%-25.4K3.9M-59.2K0.9624.94N/AN/A94390910,48210,220
2015-03-24$17.00$18.0048.0%13.8%52.4%48.3%47.1%3.1%6.1%-19.4K4.4M-59.3K1.1423.57N/AN/A1,3001,47811,12110,532
2015-03-25$16.97$18.0047.7%13.7%52.4%47.9%48.0%3.5%5.6%-37.0K6.3M-59.9K0.8125.33N/AN/A43635211,95711,815
2015-03-26$17.44$18.0053.8%15.4%53.4%54.7%48.9%4.2%3.3%-23.0K5.2M-62.1K1.4727.34N/AN/A1,3281,95612,12112,069
2015-03-27$18.30$18.0050.7%14.5%56.3%51.2%49.6%-0.4%0.1%-1.6K2.8M-60.2K1.7039.83N/AN/A6741,14312,22212,141
2015-03-30$18.93$18.0043.2%12.4%57.5%43.0%43.0%7.2%8.3%76.6K1.2M-67.4K1.2125.34N/AN/A2,2602,73012,58613,154
2015-03-31$19.86$18.0046.1%13.2%59.4%46.2%46.9%6.1%4.8%213.5K-2.4M-66.6K2.6341.58N/AN/A1,5163,98013,33513,923