BOX Options History — July 2015

In July 2015, BOX traded between $16.24 and $18.77. ATM implied volatility averaged 47.5%, placing in the 47.7% IV rank vs the trailing year. The 30-day expected move averaged 13.4%. IV traded below realized volatility by 2.5% (HV 20d: 49.9%). Max pain ranged from $18.00 to $18.00. Net GEX was positive for 14 of 22 trading days. Term structure was in contango for 22 of 22 days. Put/call ratio averaged 0.91.

Notable Days

  • 2015-07-14: Highest Volume — 8,057 contracts
  • 2015-07-13: Largest IV spike — 21.1% change
  • 2015-07-13: Highest IV Rank — 56.4%
  • 2015-07-28: Largest Expected Move — 14.2%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$17.25$16.24$18.77$18.77$16.31
Max Pain$18.00$18.00$18.00$18.00$18.00
ATM IV47.5%43.1%55.4%43.1%48.8%
Expected Move13.4%12.4%14.2%12.4%14.0%
HV 20d49.9%45.3%55.9%50.1%45.8%
HV 60d37.3%32.8%40.5%32.9%40.5%
IV Rank47.7%42.9%56.4%42.9%49.2%
IV Percentile69.8%61.1%79.0%63.1%72.2%
Term Structure7.4%0.4%14.3%2.2%11.8%
VWIV46.7%37.5%50.3%37.5%49.4%
Skew 25d0.5%-3.9%3.3%-3.9%-1.0%
Skew 10d-1.0%-8.9%6.0%-1.0%-1.3%
Call IV 25d47.0%43.4%50.9%46.8%48.3%
Put IV 25d47.5%42.9%50.9%42.9%47.3%
Bid-Ask Spread %31.3121.8659.2223.6124.66
Gamma HHI0.150.130.260.150.14
Net GEX50.9K-51.3K253.7K216.9K29.0K
Net DEX4.6M-1.8M9.4M-1.8M6.8M
Net VEX-57.3K-64.6K-44.6K-60.4K-61.3K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.910.351.440.970.35
Total Volume4,021.0911,8628,0574,0023,741
Total OI30,96325,58635,60930,89431,584

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2015-07-01$18.77$18.0043.1%12.4%50.1%42.9%37.5%-3.9%2.2%216.9K-1.8M-60.4K0.9723.61N/AN/A2,0271,97517,19413,700
2015-07-02$18.58$18.0045.0%12.9%50.3%45.0%40.6%1.5%0.4%186.6K-674.9K-58.4K1.0429.54N/AN/A1,9602,03017,30213,733
2015-07-06$17.98$18.0047.2%14.0%51.8%47.4%48.2%3.3%2.9%112.0K2.4M-55.1K0.9636.63N/AN/A1,9851,89617,31213,681
2015-07-07$17.56$18.0045.1%13.7%52.5%45.1%47.5%-0.3%3.8%45.8K5.3M-50.9K1.0425.61N/AN/A2,2552,35117,33013,695
2015-07-08$16.79$18.0047.7%14.0%52.9%48.0%48.8%3.3%3.4%-12.4K8.3M-47.9K1.0629.68N/AN/A1,8972,01417,67013,785
2015-07-09$16.78$18.0047.3%13.3%50.9%47.5%46.8%1.3%6.1%-34.4K8.7M-47.4K0.5728.73N/AN/A2,5441,43817,88913,903
2015-07-10$16.66$18.0045.7%12.8%49.0%45.8%45.5%2.1%7.4%-51.3K9.4M-45.2K0.7224.93N/AN/A1,7231,24217,89713,933
2015-07-13$16.93$18.0055.4%13.1%46.4%56.4%45.2%-1.4%6.5%-31.8K8.5M-44.6K0.5235.47N/AN/A2,9121,50617,95513,995
2015-07-14$18.02$18.0053.6%12.9%51.3%54.5%44.8%0.1%9.0%236.6K1.2M-51.0K0.7025.86N/AN/A4,7333,32418,83014,242
2015-07-15$17.77$18.0043.4%12.4%49.0%43.2%45.7%1.0%10.4%142.0K2.8M-53.6K0.9959.22N/AN/A3,1323,11318,63514,629
2015-07-16$18.35$18.0045.2%13.0%49.1%45.2%46.1%2.7%5.6%253.7K-979.2K-58.1K1.1727.88N/AN/A2,7393,19819,32415,418
2015-07-17$18.64$18.0045.5%13.0%49.2%45.5%45.7%1.3%7.6%27.8K-1.8M-61.1K0.8628.40N/AN/A3,7033,20119,55316,056
2015-07-20$17.56$18.0048.0%13.8%54.1%48.3%47.9%-2.6%7.4%3.5K3.1M-62.4K1.3631.63N/AN/A1,8972,58612,98812,598
2015-07-21$17.23$18.0047.4%13.6%54.5%47.6%48.4%0.0%8.0%-24.3K4.8M-64.6K1.4427.46N/AN/A1,3411,93513,81913,799
2015-07-22$16.60$18.0047.0%13.5%55.9%47.1%48.1%0.3%9.0%-32.8K6.4M-63.3K1.0923.20N/AN/A1,7861,94114,15614,129
2015-07-23$16.56$18.0045.6%13.1%51.3%45.7%46.4%1.5%9.4%-11.9K6.9M-61.5K1.2435.70N/AN/A1,1381,41114,99914,183
2015-07-24$16.24$18.0048.2%13.8%47.8%48.5%48.1%0.1%8.6%-5.6K7.1M-61.4K1.3348.48N/AN/A8571,14015,41614,354
2015-07-27$16.68$18.0048.7%14.0%49.3%49.1%48.3%1.3%9.3%4.6K6.0M-63.2K0.8721.86N/AN/A1,3631,18915,49614,382
2015-07-28$16.41$18.0049.6%14.2%46.8%50.1%48.8%-1.6%8.1%22.8K5.6M-64.0K0.6824.93N/AN/A1,35491815,98014,339
2015-07-29$16.48$18.0048.7%14.0%45.3%49.0%50.3%3.0%14.3%22.3K6.1M-62.9K0.6646.98N/AN/A1,12573716,17314,375
2015-07-30$16.68$18.0047.8%13.7%45.4%48.1%48.2%-0.4%12.3%20.5K5.9M-62.3K0.4728.35N/AN/A2,11399416,24714,508
2015-07-31$16.31$18.0048.8%14.0%45.8%49.2%49.4%-1.0%11.8%29.0K6.8M-61.3K0.3524.66N/AN/A2,77596616,93714,647