BOX Options History — August 2015

In August 2015, BOX traded between $13.01 and $15.50. ATM implied volatility averaged 70.2%, placing in the 71.9% IV rank vs the trailing year. The 30-day expected move averaged 20.7%. IV traded above realized volatility by 13.1% (HV 20d: 57.1%). Max pain ranged from $17.00 to $20.00. Net GEX was positive for 17 of 21 trading days. Term structure was in contango for 3 of 21 days. Put/call ratio averaged 0.62.

Notable Days

  • 2015-08-10: Highest Volume — 3,673 contracts
  • 2015-08-12: Largest IV spike — 21.2% change
  • 2015-08-24: Highest IV Rank — 100.0%
  • 2015-08-24: Largest Expected Move — 28.1%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$14.24$13.01$15.50$15.42$13.52
Max Pain$18.14$17.00$20.00$18.00$17.50
ATM IV70.2%48.0%97.9%48.8%88.5%
Expected Move20.7%13.8%28.1%14.0%25.4%
HV 20d57.1%48.3%64.3%48.3%58.1%
HV 60d49.3%42.0%52.4%42.0%52.3%
IV Rank71.9%48.3%100.0%49.2%90.0%
IV Percentile89.5%69.0%100.0%72.2%98.4%
Term Structure-9.1%-21.4%14.0%9.8%-15.3%
VWIV71.6%47.5%94.9%47.5%88.6%
Skew 25d1.0%-3.6%6.1%-1.8%3.5%
Skew 10d-1.3%-15.3%25.1%-15.3%12.2%
Call IV 25d73.1%49.7%92.6%49.7%89.2%
Put IV 25d74.1%47.7%95.2%47.9%92.6%
Bid-Ask Spread %56.6020.8382.4721.4577.30
Gamma HHI0.140.110.240.130.14
Net GEX24.4K-25.5K81.9K3.9K35.8K
Net DEX9.9M8.1M12.4M9.6M8.2M
Net VEX-43.4K-52.6K-35.8K-52.6K-36.2K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.620.281.080.580.90
Total Volume2,468.8578493,6732,0862,350
Total OI33,549.8129,05637,72732,17130,605

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2015-08-03$15.42$18.0048.8%14.0%48.3%49.2%47.5%-1.8%9.8%3.9K9.6M-52.6K0.5821.45N/AN/A1,32076617,53014,641
2015-08-04$14.44$18.0048.0%13.8%52.2%48.3%51.3%-2.7%14.0%-25.5K11.8M-45.1K0.8031.32N/AN/A1,8491,47717,57614,942
2015-08-05$14.10$17.0049.8%14.3%50.9%50.3%54.4%-3.6%11.7%-7.3K11.6M-43.8K0.4980.91N/AN/A1,50073418,20214,806
2015-08-06$14.00$20.0054.1%18.0%50.8%55.0%64.3%0.9%-5.5%-16.3K12.4M-41.5K0.9021.24N/AN/A1,4901,34518,25814,970
2015-08-07$15.50$19.0050.2%18.3%64.3%50.7%56.8%5.3%-2.5%18.9K9.2M-51.2K0.7462.78N/AN/A1,8321,35618,55414,958
2015-08-10$15.27$19.0052.9%18.9%64.0%53.7%60.5%-0.1%-10.6%15.2K9.2M-50.2K0.3443.50N/AN/A2,73893518,94615,101
2015-08-11$14.75$19.0054.6%18.8%59.5%55.6%67.4%2.6%-11.2%32.9K9.9M-49.5K0.3420.83N/AN/A63221720,06915,117
2015-08-12$14.37$19.0066.3%19.0%59.7%68.5%63.7%0.9%-7.7%27.8K10.7M-46.0K0.2862.29N/AN/A2,02356920,48515,146
2015-08-13$14.56$19.0066.5%19.1%58.3%68.7%65.9%1.2%-9.3%32.1K10.6M-46.4K0.3675.61N/AN/A1,86367620,60815,153
2015-08-14$14.56$19.0069.8%20.0%57.6%72.4%68.0%2.3%-8.9%43.4K10.4M-45.7K0.3854.21N/AN/A1,89671620,83215,138
2015-08-17$14.51$19.0070.8%20.3%54.9%73.5%71.5%-2.0%-14.3%38.1K10.7M-44.4K0.3235.50N/AN/A2,15068320,96115,232
2015-08-18$14.34$17.5071.6%20.5%54.8%74.4%70.0%-2.8%-12.2%48.3K10.6M-44.1K0.5648.75N/AN/A1,15664321,43615,251
2015-08-19$14.74$17.5073.9%21.2%55.2%76.9%74.6%0.9%-12.0%72.5K10.1M-45.6K0.3670.38N/AN/A1,91369221,48915,274
2015-08-20$14.37$17.5074.3%21.3%55.6%77.3%76.5%0.6%-15.0%81.9K10.6M-45.1K0.6657.57N/AN/A1,24282022,19215,426
2015-08-21$14.02$17.5080.9%23.2%55.8%84.7%81.9%-0.4%-16.6%-13.7K11.0M-42.2K0.6926.63N/AN/A1,5361,06422,32415,403
2015-08-24$13.01$17.5097.9%28.1%59.1%100.0%94.9%2.6%-20.7%18.3K8.7M-35.8K0.7381.19N/AN/A1,16885416,48512,571
2015-08-25$13.03$17.5087.4%25.1%59.3%88.8%87.7%4.9%-15.7%15.3K8.6M-35.8K0.7579.13N/AN/A1,4661,09516,51312,645
2015-08-26$13.24$17.5093.3%26.8%59.8%95.1%88.5%0.5%-21.4%24.5K8.5M-35.9K1.0882.47N/AN/A1,0431,12617,01712,546
2015-08-27$13.55$17.5088.4%25.3%60.5%89.8%85.8%2.1%-15.2%29.7K8.2M-37.1K0.7278.62N/AN/A1,5231,10217,19712,599
2015-08-28$13.66$17.5085.0%24.4%60.7%86.3%83.8%6.1%-13.4%37.3K8.1M-37.6K0.9977.02N/AN/A1,1501,13617,62112,727
2015-08-31$13.52$17.5088.5%25.4%58.1%90.0%88.6%3.5%-15.3%35.8K8.2M-36.2K0.9077.30N/AN/A1,2371,11317,79212,813