BOX Options History — May 2015

In May 2015, BOX traded between $16.83 and $17.75. ATM implied volatility averaged 53.4%, placing in the 54.3% IV rank vs the trailing year. The 30-day expected move averaged 16.5%. IV traded above realized volatility by 34.2% (HV 20d: 19.3%). Max pain ranged from $18.00 to $20.00. Net GEX was positive for 1 of 20 trading days. Term structure was in contango for 1 of 20 days. Put/call ratio averaged 1.80.

Notable Days

  • 2015-05-27: Highest Volume — 3,316 contracts
  • 2015-05-13: Largest IV spike — 39.1% change
  • 2015-05-29: Highest IV Rank — 67.4%
  • 2015-05-29: Largest Expected Move — 18.7%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$17.17$16.83$17.75$17.45$17.58
Max Pain$19.90$18.00$20.00$18.00$20.00
ATM IV53.4%41.5%65.3%44.9%65.3%
Expected Move16.5%12.9%18.7%12.9%18.7%
HV 20d19.3%13.0%22.5%22.5%19.8%
HV 60d43.8%39.8%53.5%53.5%40.4%
IV Rank54.3%41.2%67.4%44.9%67.4%
IV Percentile83.1%70.2%92.9%76.2%92.9%
Term Structure-3.1%-10.3%12.3%12.3%-10.3%
VWIV56.4%42.5%62.9%43.9%62.9%
Skew 25d3.4%-0.1%7.4%7.4%5.0%
Skew 10d7.1%-0.8%26.9%26.9%12.4%
Call IV 25d56.8%42.0%63.4%42.0%62.2%
Put IV 25d60.2%49.4%67.7%49.4%67.2%
Bid-Ask Spread %41.2021.7380.1331.9540.12
Gamma HHI0.160.140.190.150.15
Net GEX-44.2K-126.3K538-36.0K-4.2K
Net DEX8.3M6.3M10.1M7.2M6.6M
Net VEX-54.7K-60.7K-49.8K-58.6K-60.7K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.800.233.642.721.58
Total Volume2,019.253153,3161,9142,042
Total OI28,365.325,29630,95827,66729,923

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2015-05-01$17.45$18.0044.9%12.9%22.5%44.9%43.9%7.4%12.3%-36.0K7.2M-58.6K2.7231.95N/AN/A5151,39913,66314,004
2015-05-04$17.40$20.0044.6%17.0%21.7%44.6%59.3%2.0%-4.3%-35.9K7.2M-57.7K0.8740.76N/AN/A29025313,79714,084
2015-05-05$17.32$20.0046.2%16.6%21.7%46.3%56.2%2.3%-2.7%-38.2K7.7M-57.7K3.6453.84N/AN/A5091,85513,97814,197
2015-05-06$17.03$20.0052.7%16.5%21.8%53.4%58.3%-0.1%-4.4%-55.9K8.4M-59.1K2.9344.57N/AN/A6201,81614,02714,821
2015-05-07$17.00$20.0045.9%16.1%21.3%46.0%42.5%2.2%-0.9%-75.6K9.4M-55.8K3.3141.03N/AN/A4481,48114,19815,007
2015-05-08$17.10$20.0043.5%16.3%21.4%43.3%56.7%1.6%-0.5%-70.5K9.2M-55.5K0.2334.47N/AN/A2565914,20115,071
2015-05-11$17.31$20.0045.5%16.7%21.8%45.5%57.8%4.2%-3.7%-47.6K8.6M-53.7K0.2537.12N/AN/A92523214,37615,075
2015-05-12$17.24$20.0041.5%16.9%19.8%41.2%59.4%6.0%-4.8%5388.6M-54.4K1.3380.13N/AN/A1,1211,49615,07315,146
2015-05-13$17.12$20.0057.8%16.6%19.5%59.1%57.5%3.5%-4.5%-29.9K9.8M-52.1K2.6353.07N/AN/A5601,47415,30615,303
2015-05-14$17.07$20.0056.6%16.2%19.0%57.8%51.8%3.1%-1.1%-72.4K9.4M-53.4K2.6555.24N/AN/A6231,65015,32615,344
2015-05-15$16.97$20.0057.2%16.4%19.0%58.4%53.0%0.8%-0.9%-126.3K10.1M-51.6K2.4041.50N/AN/A7651,83615,51715,441
2015-05-18$16.87$20.0058.7%16.8%18.4%60.1%58.3%2.7%-3.3%-62.4K8.6M-49.8K1.7340.29N/AN/A6451,11712,13813,158
2015-05-19$16.83$20.0057.1%16.4%18.4%58.3%57.2%4.3%-2.7%-44.1K8.4M-50.1K1.3741.41N/AN/A18825812,51413,079
2015-05-20$16.87$20.0059.2%17.0%16.2%60.6%58.3%6.6%-7.4%-48.5K8.5M-49.9K1.5536.35N/AN/A9491,46912,61213,261
2015-05-21$16.86$20.0056.8%16.3%16.2%58.0%56.6%2.1%-3.5%-48.1K8.6M-51.8K1.0039.04N/AN/A1,2651,26112,86913,546
2015-05-22$16.97$20.0056.1%16.1%13.3%57.3%56.6%4.8%-2.4%-34.7K8.1M-52.9K1.4921.73N/AN/A1,0391,55313,42313,673
2015-05-26$17.00$20.0058.5%16.8%13.0%59.8%59.7%2.6%-4.4%-34.1K8.1M-53.9K1.7021.95N/AN/A7981,35913,54613,932
2015-05-27$17.75$20.0060.6%17.4%20.4%62.2%62.4%0.7%-5.9%-8.0K6.6M-56.0K1.1922.59N/AN/A1,5131,80313,67814,078
2015-05-28$17.67$20.0059.9%17.2%19.9%61.4%60.0%6.7%-6.8%-12.9K6.3M-58.7K1.3246.77N/AN/A1,2711,67214,30714,614
2015-05-29$17.58$20.0065.3%18.7%19.8%67.4%62.9%5.0%-10.3%-4.2K6.6M-60.7K1.5840.12N/AN/A7901,25214,84815,075