BOX Options History — June 2015

In June 2015, BOX traded between $16.91 and $19.37. ATM implied volatility averaged 53.1%, placing in the 53.9% IV rank vs the trailing year. The 30-day expected move averaged 14.1%. IV traded above realized volatility by 19.9% (HV 20d: 33.2%). Max pain ranged from $17.00 to $20.00. Net GEX was positive for 14 of 22 trading days. Term structure was in contango for 12 of 22 days. Put/call ratio averaged 0.95.

Notable Days

2015-06-11: Highest Volume — 15,000 contracts
2015-06-10: Largest IV drop — 35.8% change
2015-06-09: Highest IV Rank — 93.1%
2015-06-01: Largest Expected Move — 20.1%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$17.75	$16.91	$19.37	$17.50	$18.61
Max Pain	$17.59	$17.00	$20.00	$20.00	$18.00
ATM IV	53.1%	38.6%	88.5%	70.0%	45.5%
Expected Move	14.1%	11.1%	20.1%	20.1%	13.0%
HV 20d	33.2%	17.7%	50.1%	18.7%	50.1%
HV 60d	34.6%	29.9%	40.3%	40.3%	32.9%
IV Rank	53.9%	37.8%	93.1%	72.6%	45.5%
IV Percentile	75.5%	59.5%	99.6%	97.6%	68.7%
Term Structure	0.6%	-12.9%	8.9%	-12.9%	-0.5%
VWIV	49.1%	39.6%	67.8%	67.8%	43.0%
Skew 25d	1.7%	-2.3%	6.1%	5.2%	0.3%
Skew 10d	3.8%	-9.0%	19.5%	4.6%	0.7%
Call IV 25d	49.1%	39.7%	65.5%	63.7%	45.8%
Put IV 25d	50.8%	39.6%	70.8%	68.9%	46.1%
Bid-Ask Spread %	27.86	17.83	48.87	28.09	23.91
Gamma HHI	0.17	0.13	0.38	0.15	0.13
Net GEX	95.7K	-51.3K	467.7K	-245	172.0K
Net DEX	4.6M	-5.8M	10.5M	6.6M	-801.7K
Net VEX	-56.4K	-62.7K	-50.4K	-59.6K	-62.3K
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	0.95	0.45	1.90	1.90	0.88
Total Volume	4,187	192	15,000	2,031	4,037
Total OI	32,841.955	25,114	42,947	30,179	30,781

Daily Data (22 trading days)

Date	Price	Max Pain	ATM IV	Exp Move	HV 20d	IV Rank	VWIV	Skew 25d	Term Str	GEX	DEX	VEX	P/C	Spread %	Call Wall	Put Wall	Call Vol	Put Vol	Call OI	Put OI
2015-06-01	$17.50	$20.00	70.0%	20.1%	18.7%	72.6%	67.8%	5.2%	-12.9%	-245	6.6M	-59.6K	1.90	28.09	N/A	N/A	701	1,330	15,011	15,168
2015-06-02	$17.37	$20.00	66.4%	19.0%	18.9%	68.6%	65.9%	5.3%	-9.3%	-4.9K	6.9M	-58.2K	0.67	19.69	N/A	N/A	115	77	15,007	15,194
2015-06-03	$17.32	$20.00	68.9%	19.8%	18.8%	71.4%	66.8%	5.7%	-9.5%	-9.9K	7.4M	-56.6K	0.68	20.50	N/A	N/A	1,573	1,076	15,090	15,232
2015-06-04	$17.35	$17.00	70.4%	16.2%	17.7%	73.0%	55.0%	3.6%	-1.4%	-2.6K	7.0M	-56.2K	1.32	31.70	N/A	N/A	824	1,089	15,367	15,264
2015-06-05	$17.55	$17.00	72.5%	15.4%	18.1%	75.3%	54.5%	6.1%	4.2%	-4.2K	6.6M	-54.1K	0.89	33.20	N/A	N/A	1,382	1,235	15,390	15,345
2015-06-08	$17.63	$17.00	79.8%	16.4%	18.0%	83.5%	57.0%	2.9%	-2.6%	10.3K	6.0M	-53.7K	0.94	33.47	N/A	N/A	1,370	1,288	15,560	15,406
2015-06-09	$16.91	$17.00	88.5%	16.8%	23.2%	93.1%	57.6%	-0.1%	-4.9%	-7.0K	8.2M	-51.5K	1.36	35.22	N/A	N/A	1,317	1,789	15,922	15,468
2015-06-10	$17.56	$17.00	56.8%	16.3%	27.0%	58.1%	57.7%	3.9%	-2.5%	49.8K	5.4M	-56.6K	1.25	31.81	N/A	N/A	2,805	3,506	16,659	15,882
2015-06-11	$18.19	$17.00	40.3%	11.5%	29.4%	39.7%	41.7%	0.1%	8.5%	142.0K	3.7M	-55.7K	0.45	46.98	N/A	N/A	10,326	4,674	17,892	17,428
2015-06-12	$17.31	$17.00	38.6%	11.1%	34.8%	37.8%	39.6%	-0.1%	8.9%	-29.4K	9.0M	-56.7K	1.26	30.70	N/A	N/A	2,202	2,774	20,368	18,312
2015-06-15	$17.09	$17.00	42.8%	12.3%	35.1%	42.5%	43.4%	-1.4%	5.3%	-51.3K	10.5M	-50.4K	1.41	23.54	N/A	N/A	1,602	2,261	20,529	18,032
2015-06-16	$17.88	$17.00	40.9%	11.7%	38.4%	40.5%	40.0%	1.8%	8.2%	137.3K	6.1M	-53.1K	0.50	24.27	N/A	N/A	3,857	1,942	21,009	18,603
2015-06-17	$17.36	$17.00	42.8%	12.3%	40.0%	42.6%	44.3%	-0.8%	6.0%	92.7K	8.3M	-55.9K	0.75	26.78	N/A	N/A	2,225	1,669	22,668	18,767
2015-06-18	$17.50	$17.00	45.0%	12.9%	40.1%	44.9%	43.2%	1.8%	4.8%	192.6K	7.7M	-57.5K	1.12	18.91	N/A	N/A	1,794	2,011	23,750	18,867
2015-06-19	$17.44	$17.00	41.3%	11.8%	40.1%	40.8%	42.0%	-0.1%	6.2%	467.7K	8.1M	-54.1K	1.28	18.72	N/A	N/A	1,489	1,907	24,034	18,913
2015-06-22	$17.37	$17.00	41.0%	11.8%	40.2%	40.5%	42.0%	3.3%	3.6%	63.6K	3.4M	-51.5K	1.12	17.83	N/A	N/A	1,020	1,146	13,812	11,302
2015-06-23	$17.49	$17.00	39.9%	11.5%	40.2%	39.4%	40.7%	1.1%	3.8%	91.1K	2.4M	-54.7K	0.50	21.47	N/A	N/A	2,645	1,330	14,270	11,554
2015-06-24	$18.52	$17.00	45.3%	13.0%	42.4%	45.2%	45.2%	-2.3%	-2.9%	198.2K	-2.9M	-58.0K	0.54	48.87	N/A	N/A	3,728	1,998	14,633	11,752
2015-06-25	$19.37	$18.00	43.9%	12.6%	44.9%	43.7%	43.6%	0.3%	-2.1%	255.2K	-5.8M	-60.5K	0.56	24.32	N/A	N/A	3,605	2,019	15,655	12,606
2015-06-26	$19.01	$18.00	42.9%	12.3%	45.6%	42.7%	44.4%	-1.1%	0.5%	214.3K	-3.6M	-60.0K	0.63	26.93	N/A	N/A	2,897	1,839	15,937	13,258
2015-06-29	$18.09	$18.00	45.1%	12.9%	49.3%	45.1%	44.9%	2.1%	2.4%	127.7K	1.4M	-62.7K	0.82	25.91	N/A	N/A	2,002	1,638	17,086	13,740
2015-06-30	$18.61	$18.00	45.5%	13.0%	50.1%	45.5%	43.0%	0.3%	-0.5%	172.0K	-801.7K	-62.3K	0.88	23.91	N/A	N/A	2,145	1,892	17,014	13,767