BOX Options History — April 2015

In April 2015, BOX traded between $17.06 and $18.74. ATM implied volatility averaged 47.8%, placing in the 48.1% IV rank vs the trailing year. The 30-day expected move averaged 13.6%. IV traded above realized volatility by 0.8% (HV 20d: 47.0%). Max pain ranged from $18.00 to $19.00. Net GEX was positive for 4 of 21 trading days. Term structure was in contango for 21 of 21 days. Put/call ratio averaged 1.85.

Notable Days

  • 2015-04-01: Highest Volume — 5,346 contracts
  • 2015-04-06: Largest IV spike — 15.9% change
  • 2015-04-06: Highest IV Rank — 60.7%
  • 2015-04-06: Largest Expected Move — 16.3%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$17.65$17.06$18.74$18.74$17.11
Max Pain$18.05$18.00$19.00$19.00$18.00
ATM IV47.8%40.5%59.2%48.6%45.1%
Expected Move13.6%11.6%16.3%13.9%12.9%
HV 20d47.0%25.9%64.8%62.9%25.9%
HV 60d71.8%54.9%74.2%72.8%54.9%
IV Rank48.1%39.9%60.7%49.0%45.0%
IV Percentile79.7%73.0%88.5%82.5%76.6%
Term Structure11.9%4.7%18.1%5.9%13.8%
VWIV46.8%39.8%55.8%47.1%42.5%
Skew 25d1.6%-4.8%6.2%-4.6%6.2%
Skew 10d1.7%-12.0%17.5%-4.0%-6.1%
Call IV 25d47.6%40.4%55.3%52.6%42.3%
Put IV 25d49.2%42.6%57.3%48.0%48.6%
Bid-Ask Spread %42.2322.2982.3182.3151.01
Gamma HHI0.170.140.270.170.14
Net GEX-62.8K-211.0K24.9K-4.3K-45.8K
Net DEX7.4M2.9M12.3M2.9M7.8M
Net VEX-64.7K-75.1K-57.0K-75.1K-58.3K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.850.575.121.072.52
Total Volume2,734.9521,5275,3465,3461,936
Total OI29,137.95225,03133,27928,29027,399

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2015-04-01$18.74$19.0048.6%13.9%62.9%49.0%47.1%-4.6%5.9%-4.3K2.9M-75.1K1.0782.31N/AN/A2,5852,76113,44414,846
2015-04-02$17.92$18.0051.1%15.7%64.6%51.7%52.5%3.5%7.0%-48.9K6.3M-74.2K1.0344.68N/AN/A1,9451,99514,07015,205
2015-04-06$17.61$18.0059.2%16.3%64.8%60.7%55.8%2.6%4.7%-72.5K7.8M-70.0K2.0433.77N/AN/A9111,86114,26015,457
2015-04-07$17.64$18.0058.8%15.0%63.8%60.2%51.2%3.7%13.2%-80.0K8.6M-68.5K3.1428.92N/AN/A6241,95814,49515,815
2015-04-08$17.36$18.0052.1%14.9%63.6%52.8%50.5%3.7%11.1%-97.6K9.2M-67.2K3.5342.87N/AN/A3371,19014,52916,029
2015-04-09$17.13$18.0051.7%14.8%60.8%52.4%51.3%-0.5%8.7%-154.0K10.9M-65.4K1.9833.87N/AN/A1,0532,08814,68416,846
2015-04-10$17.07$18.0052.5%15.1%44.3%53.3%50.9%3.6%8.9%-189.8K12.0M-63.9K1.4538.59N/AN/A1,0971,59414,91417,165
2015-04-13$17.06$18.0051.5%14.8%44.0%52.2%46.9%1.9%11.5%-211.0K12.3M-62.3K1.5280.82N/AN/A9581,45615,22917,397
2015-04-14$17.50$18.0049.9%14.3%42.3%50.3%50.0%-4.8%11.4%-190.2K10.5M-62.8K5.1252.70N/AN/A7383,77815,47717,426
2015-04-15$17.66$18.0049.0%14.1%42.4%49.4%48.2%-1.0%10.8%-110.5K8.8M-64.8K1.3832.96N/AN/A1,1321,56615,58517,173
2015-04-16$17.84$18.0046.5%13.3%42.3%46.7%47.1%-0.3%10.7%-19.8K7.7M-64.7K1.7646.64N/AN/A8291,45915,97917,107
2015-04-17$17.74$18.0045.1%12.9%42.4%45.1%45.9%2.5%11.9%-32.2K9.5M-63.9K3.1334.20N/AN/A6502,03315,89917,380
2015-04-20$17.94$18.0043.3%12.4%42.5%43.1%42.3%0.7%13.8%-14.6K4.8M-62.4K1.4822.29N/AN/A7531,11412,09012,941
2015-04-21$17.91$18.0042.8%12.3%42.4%42.6%43.8%3.2%14.8%6454.8M-63.7K0.5734.30N/AN/A2,0311,15712,30412,996
2015-04-22$18.29$18.0042.3%12.1%42.8%42.0%42.9%2.4%16.3%8.8K3.6M-62.1K1.4326.19N/AN/A8791,25512,42913,046
2015-04-23$18.27$18.0042.5%12.2%42.8%42.2%41.8%2.5%15.7%24.9K3.3M-64.6K1.3131.94N/AN/A8581,12112,72013,131
2015-04-24$17.72$18.0040.5%11.6%43.5%40.0%39.8%3.8%15.3%4274.9M-63.6K0.9946.31N/AN/A1,3861,37712,76813,188
2015-04-27$17.54$18.0043.6%12.5%39.8%43.4%45.6%1.9%18.1%-20.1K5.9M-61.5K0.8649.80N/AN/A1,3691,18212,88813,495
2015-04-28$17.44$18.0047.6%13.7%37.5%47.9%46.5%3.7%9.8%-16.1K6.5M-61.9K0.9237.19N/AN/A1,2901,18513,31913,649
2015-04-29$17.23$18.0040.5%11.6%32.1%39.9%40.9%-1.3%17.1%-47.1K7.9M-57.0K1.5435.56N/AN/A7641,17913,34513,778
2015-04-30$17.11$18.0045.1%12.9%25.9%45.0%42.5%6.2%13.8%-45.8K7.8M-58.3K2.5251.01N/AN/A5501,38613,54513,854